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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2017
OR
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from              to             
Commission File No. 000-51401
logo12.jpg
Federal Home Loan Bank of Chicago
(Exact name of registrant as specified in its charter)

 
Federally chartered corporation
 
36-6001019
 
 
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
 
 
200 East Randolph Drive
Chicago, IL
 
60601
 
 
(Address of principal executive offices)
 
(Zip Code)
 

Registrant's telephone number, including area code: (312) 565-5700
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and "emerging growth company" in Rule 12b-2 of the Exchange Act.
 
Large accelerated filer   o
 
Accelerated filer  o
 
Non-accelerated filer   x  (Do not check if a smaller reporting company)
 
Smaller reporting company   o
 
 
 
 
 
Emerging growth company   o
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes o No x


As of June 30, 2017, including mandatorily redeemable capital stock, registrant had 18,287,562 total outstanding shares of Class B Capital Stock.

1

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TABLE OF CONTENTS


 
Item 1.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Item 2.
Item 3.
Item 4.
 
 
 
 
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.
 
 
 
 
 


2

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PART I - FINANCIAL INFORMATION
Item 1.    Financial Statements.
Statements of Condition (unaudited)
(Dollars in millions, except capital stock par value)
 
June 30, 2017
 
December 31, 2016
Assets
 
Cash and due from banks
$
168

 
$
351

Interest bearing deposits
750

 
650

Federal Funds sold
7,683

 
4,075

Securities purchased under agreements to resell
2,250

 
2,300

Investment securities -
 
 
 
Trading,
76
and
97
pledged
238

 
1,045

Available-for-sale
14,059

 
14,918

Held-to-maturity,
4,905
and
5,516
fair value
4,481

 
5,072

Investment securities
18,778

 
21,035

Advances,
786
 
and
672
 
carried at fair value
46,844

 
45,067

MPF Loans held in portfolio, net of,
(3)
and
(3)
allowance for credit losses
4,965

 
4,967

Derivative assets
3

 
6

Other assets,
119
and
44
carried at fair value
338

 
241

Assets
$
81,779

 
$
78,692

 
 
 
 
Liabilities
 
 
 
Deposits -
 
 
 
Noninterest bearing
$
50

 
$
53

Interest bearing,
37
and
16
from other FHLBs
508

 
443

Deposits
558

 
496

Consolidated obligations, net -
 
 
 
Discount notes,
524
and
6,368
carried at fair value
37,944

 
35,949

Bonds,
5,340
and
5,443
carried at fair value
37,878

 
36,903

Consolidated obligations, net
75,822

 
72,852

Derivative liabilities
40

 
43

Affordable Housing Program assessment payable
88

 
86

Mandatorily redeemable capital stock
303

 
301

Other liabilities
222

 
219

Liabilities
77,033

 
73,997

Commitments and contingencies - see notes to the financial statements


 


Capital
 
 
 
Class B1 activity stock,
12
and
12
million shares issued and outstanding
1,236

 
1,160

Class B2 membership stock,
3
and
6
million shares issued and outstanding
290

 
551

Capital stock - putable,
$100
and
$100
par value
1,526

 
1,711

Retained earnings - unrestricted
2,734

 
2,631

Retained earnings - restricted
419

 
389

Retained earnings
3,153

 
3,020

Accumulated other comprehensive income (loss) (AOCI)
67

 
(36
)
Capital
4,746

 
4,695

Liabilities and capital
$
81,779

 
$
78,692




The accompanying notes are an integral part of these financial statements (unaudited).

3

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Statements of Income (unaudited)
(Dollars in millions)

 
 
Three months ended June 30,
 
Six months ended June 30,
 
 
2017
 
2016
 
2017
 
2016
Interest income
 
$
373

 
$
317

 
$
710

 
$
635

Interest expense
 
256

 
206

 
480

 
404

Net interest income
 
117

 
111

 
230

 
231

Provision for (reversal of) credit losses
 
1

 

 
1

 

Net interest income after provision for (reversal of) credit losses
 
116

 
111

 
229

 
231

 
 
 
 
 
 
 
 
 
Noninterest income -
 
 
 
 
 
 
 
 
Derivatives and hedging activities
 
3

 
2

 
6

 
(14
)
Instruments held under fair value option
 
4

 
1

 
2

 
6

Litigation settlement awards
 
1

 
38

 
1

 
38

MPF fees from other FHLBs
 
5

 
4

 
10

 
8

Other, net
 
3

 
5

 
7

 
9

Noninterest income
 
16

 
50

 
26

 
47

 
 
 
 
 
 
 
 
 
Noninterest expense -
 
 
 
 
 
 
 
 
Compensation and benefits
 
26

 
22

 
51

 
45

Operating expenses
 
15

 
14

 
30

 
29

Other
 
3

 
10

 
5

 
12

Noninterest expense
 
44

 
46

 
86

 
86

 
 
 
 
 
 
 
 
 
Income before assessments
 
88

 
115

 
169

 
192

 
 
 
 
 
 
 
 
 
Affordable Housing Program assessment
 
9

 
11

 
17

 
19

 
 
 
 
 
 
 
 
 
Net income
 
$
79

 
$
104

 
$
152

 
$
173



The accompanying notes are an integral part of these financial statements (unaudited).



4

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Statements of Comprehensive Income (unaudited)
(Dollars in millions)

 
 
Three months ended June 30,
 
Six months ended June 30,
 
 
2017
 
2016
 
2017
 
2016
Net income
 
$
79

 
$
104

 
$
152

 
$
173

 
 

 
 
 
 
 
 
Other comprehensive income (loss) -
 

 
 
 
 
 
 
Net unrealized gain (loss) available-for-sale securities
 
(19
)
 
(60
)
 
19

 
(100
)
Noncredit OTTI held-to-maturity securities
 
8

 
10

 
17

 
21

Net unrealized gain (loss) cash flow hedges
 
25

 
8

 
69

 
(45
)
Postretirement plans
 

 
1

 
(2
)
 
1

Other comprehensive income (loss)
 
14

 
(41
)
 
103

 
(123
)
 
 

 
 
 

 
 
Comprehensive income
 
$
93

 
$
63

 
$
255

 
$
50



The accompanying notes are an integral part of these financial statements (unaudited).



5

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Statements of Capital (unaudited)
(Dollars and shares in millions)

 
Capital Stock - Putable - B1 Activity
 
Capital Stock - Putable - B2 Membership
 
Capital Stock
 
Retained Earnings
 
 
 
Total
 
Shares
 
Value
 
Shares
 
Value
 
Shares
 
Value
 
Unrestricted
 
Restricted
 
Total
 
AOCI
 
December 31, 2016
12

 
$
1,160

 
6

 
$
551

 
18

 
$
1,711

 
$
2,631

 
$
389

 
$
3,020

 
$
(36
)
 
$
4,695

Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
122

 
30

 
152

 
103

 
255

Proceeds from issuance of capital stock
13

 
1,452

 

 
10

 
13

 
1,462

 
 
 
 
 
 
 
 
 
1,462

Repurchases of capital stock

 
(34
)
 
(16
)
 
(1,607
)
 
(16
)
 
(1,641
)
 
 
 
 
 
 
 
 
 
(1,641
)
Capital stock reclassified to mandatorily redeemable capital stock (liabilities)

 
(3
)
 

 
(3
)
 

 
(6
)
 
 
 
 
 
 
 
 
 
(6
)
Transfers between classes of capital stock
(13
)
 
(1,339
)
 
13

 
1,339

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash dividends - class B1
 
 
 
 
 
 
 
 
 
 
 
 
(17
)
 


 
(17
)
 
 
 
(17
)
Class B1 annualized rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
3.08
%
Cash dividends - class B2
 
 
 
 
 
 
 
 
 
 
 
 
(2
)
 
 
 
(2
)
 
 
 
(2
)
Class B2 annualized rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0.95
%
Total change in period

 
76

 
(3
)
 
(261
)
 
(3
)
 
(185
)
 
103

 
30

 
133

 
103

 
51

June 30, 2017
12

 
$
1,236

 
3

 
$
290

 
15

 
$
1,526

 
$
2,734

 
$
419

 
$
3,153

 
$
67

 
$
4,746

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
13

 
$
1,313

 
6

 
$
637

 
19

 
$
1,950

 
$
2,407

 
$
323

 
$
2,730

 
$
(28
)
 
$
4,652

Comprehensive income
 
 
 
 
 
 
 
 
 
 
 
 
138

 
35

 
173

 
(123
)
 
50

Proceeds from issuance of capital stock
7

 
702

 

 
5

 
7

 
707

 
 
 
 
 
 
 
 
 
707

Repurchases of capital stock
(3
)
 
(319
)
 
(3
)
 
(265
)
 
(6
)
 
(584
)
 
 
 
 
 
 
 
 
 
(584
)
Capital stock reclassified to mandatorily redeemable capital stock (liabilities)
(3
)
 
(294
)
 

 
(5
)
 
(3
)
 
(299
)
 
 
 
 
 
 
 
 
 
(299
)
Transfers between classes of capital stock
(2
)
 
(170
)
 
2

 
170

 
 
 
 
 
 
 
 
 
 
 
 
 


Cash dividends - class B1
 
 
 
 
 
 
 
 
 
 
 
 
(17
)
 
 
 
(17
)
 
 
 
(17
)
Class B1 annualized rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2.70
%
Cash dividends - class B2
 
 
 
 
 
 
 
 
 
 
 
 
(2
)
 
 
 
(2
)
 
 
 
(2
)
Class B2 annualized rate
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0.60
%
Total change in period
(1
)
 
(81
)
 
(1
)
 
(95
)
 
(2
)
 
(176
)
 
119

 
35

 
154

 
(123
)
 
(145
)
June 30, 2016
12


$
1,232


5


$
542


17


$
1,774


$
2,526


$
358


$
2,884


$
(151
)

$
4,507



The accompanying notes are an integral part of these financial statements (unaudited).

6

Table of Contents
rlogoa14.jpg

Condensed Statements of Cash Flows (unaudited)
(Dollars in millions)

 
Six months ended June 30,
 
2017
 
2016
 
Operating
Net cash provided by (used in) operating activities
 
$
225

 
$
(8
)
 
Investing
Net change interest bearing deposits
 
(100
)
 

 
 
Net change Federal Funds sold
 
(3,608
)
 
(1,871
)
 
 
Net change securities purchased under agreements to resell
 
50

 
(375
)
 
 
Trading securities -
 
 
 
 
 
 
Sales
 
801

 
1,006

 
 
Proceeds from maturities and paydowns
 
2

 
105

 
 
Purchases
 

 
(1,153
)
 
 
Available-for-sale securities -
 
 
 
 
 
 
Proceeds from maturities and paydowns
 
828

 
1,159

 
 
Purchases
 

 
(2
)
 
 
Held-to-maturity securities -
 
 
 
 
 
 
Short-term held-to-maturity securities, net
 
90

a 
5

a 
 
Proceeds from maturities and paydowns
 
553

 
486

 
 
Purchases
 
(17
)
 
(27
)
 
 
Advances -
 
 
 
 
 
 
Principal collected
 
359,395

 
381,703

 
 
Issued
 
(361,153
)
 
(391,161
)
 
 
MPF Loans held in portfolio -
 
 
 
 
 
 
Principal collected
 
511

 
570

 
 
Purchases
 
(513
)
 
(409
)
 
 
Other investing activities
 
14

 
20

 
 
Net cash provided by (used in) investing activities
 
(3,147
)
 
(9,944
)
 
Financing
Net change deposits
 
62

 
(6
)
 
 
Discount notes -
 
 
 
 
 
 
Net proceeds from issuance
 
725,466

 
231,170

 
 
Payments for maturing and retiring
 
(723,480
)
 
(226,872
)
 
 
Consolidated obligation bonds -
 
 
 
 
 
 
Net proceeds from issuance
 
10,579

 
14,341

 
 
Payments for maturing and retiring
 
(9,670
)
 
(7,932
)
 
 
Payments for retirement of subordinated notes
 

 
(944
)
 
 
Capital stock -
 
 
 
 
 
 
Proceeds from issuance
 
1,462

 
707

 
 
Repurchases
 
(1,641
)
 
(584
)
 
 
Cash dividends paid
 
(19
)
 
(19
)
 
 
Other financing activities
 
(20
)
 
(33
)
 
 
Net cash provided by (used in) financing activities
 
2,739

 
9,828

 
 
Net increase (decrease) in cash and due from banks
 
(183
)
 
(124
)
 
 
Cash and due from banks at beginning of period
 
351

 
499

 
 
Cash and due from banks at end of period
 
$
168

 
$
375

 
a 
Short-term held-to-maturity securities, net, consists of investment securities with a maturity of less than 90 days when purchased.

The accompanying notes are an integral part of these financial statements (unaudited).

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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)


Note 1 – Background and Basis of Presentation

The Federal Home Loan Bank of Chicago is a federally chartered corporation and one of 11 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System).  The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership.  We are supervised and regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency in the executive branch of the United States (U.S.) government.

Each FHLB is a member-owned cooperative with members from a specifically defined geographic district. Our defined geographic district is Illinois and Wisconsin. All federally-insured depository institutions, insurance companies engaged in residential housing finance, credit unions and community development financial institutions located in our district are eligible to apply for membership with us. All our members are required to purchase our capital stock as a condition of membership. Our capital stock is not publicly traded, and is issued, repurchased or redeemed at par value, $100 per share, subject to certain statutory and regulatory limits. As a cooperative, we do business with our members, and former members (under limited circumstances). Specifically, we provide credit principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance® (MPF®) Program.

Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and if material are disclosed in the following notes.

In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements and the following footnotes should be read in conjunction with the audited financial statements and footnotes for the year ended December 31, 2016, included in our Annual Report on Form 10-K (2016 Form 10-K) starting on page F-1, as filed with the Securities and Exchange Commission (SEC).

Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago.

“Mortgage Partnership Finance”, “MPF”, “MPF Xtra”, and "Community First" are registered trademarks of the Federal Home Loan Bank of Chicago.

See the Glossary of Terms starting on page 59 for the definitions of certain terms used herein.


Use of Estimates and Assumptions

We are required to make estimates and assumptions when preparing our financial statements in accordance with GAAP. The most significant of these estimates and assumptions applies to fair value measurements and allowance for credit losses. Our actual results may differ from the results reported in our financial statements due to such estimates and assumptions. This includes the reported amounts of assets and liabilities, the reported amounts of income and expense, and the disclosure of contingent assets and liabilities.

Consolidation of Variable Interest Entities

We are not the primary beneficiary of any variable interest entity. Specifically, we do not have the power to direct the activities of any variable interest entity that would most significantly impact its economic performance and we do not have the obligation to absorb losses or the right to receive benefits from any variable interest entity that could potentially be significant to a variable interest entity. As a result, we do not consolidate any of our investments in variable interest entities. Instead, we classify variable interest entities as investment securities in our statements of condition. Such investment securities include, but are not limited to, senior interests in private-label mortgage backed securities (MBS) and Federal Family Education Loan Program asset backed securities (FFELP ABS). Our maximum loss exposure for these investment securities is limited to their carrying amounts. We have no liabilities related to these investments in variable interest entities. We have not provided financial or other support (explicitly or implicitly) to these investment securities that we were not previously contractually required to provide, nor do we intend to provide such support in the future.


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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)

Gross versus Net Presentation of Financial Instruments

Our over-the-counter derivative transactions may be entered into through a bilateral agreement with an individual counterparty. We present these derivative transactions on a net basis in our statements of condition on the basis that our right to net amounts due to our counterparties is enforceable at law upon early termination. Derivatives are netted by contract (e.g., master netting agreement), to discharge all or a portion of the amounts that would be owed to our counterparty by applying them against the amounts that our counterparty owes to us. If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or asset.

We also enter into cleared derivative transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO) through a Futures Commission Merchant (FCM), a clearing member of the DCO. Prior to 2017, our accounting presented derivative assets and liabilities of our cleared derivative transactions on a net basis, inclusive of initial and variation margin, and accrued interest receivable/payable and cash collateral. Due to rule changes adopted by our DCOs that characterize the treatment of variation margin payments as settlement of a derivative’s mark-to-market exposure and not as collateral against the derivative’s mark-to-market exposure, we now account for our variation margin payments as settlements to our derivative assets and derivative liabilities. The amendments to the DCOs’ rules have no effect on how we present initial margin, which we include in the carrying amount of our derivative assets or derivative liabilities.
   
See Note 9 - Derivatives and Hedging Activities for further details.

Our policy is to report securities purchased under agreements to resell and securities sold under agreements to repurchase, if any, and securities borrowing transactions, if any, on a gross basis.


Note 2 – Summary of Significant Accounting Policies

Our Summary of Significant Accounting Policies through December 31, 2016, can be found in Note 2 – Summary of Significant Accounting Policies to the financial statements in our 2016 Form 10-K. We adopted the following policies year to date in 2017:

Accounting for Variation Margin Payments

Effective in January of 2017 we began accounting for variation margin payments made to or received by the DCOs through our FCMs as settlements to our cleared derivative assets and derivative liabilities. See Note 1 - Background and Basis for Presentation for further details. This change in accounting did not have any effect on the accounting of our existing hedge relationships. Specifically, the change in accounting would not require us to discontinue existing hedge relationships or preclude us from using the short-cut method of hedge accounting provided no additional changes are made by the DCOs that would preclude the use of the short-cut method of hedge accounting. The International Swaps and Derivatives Association (ISDA) issued a confirmation letter confirming the SEC staff’s non-objection to the conclusions reached by ISDA related to the accounting implications of the DCO rule changes regarding the characterization of the variation margin payments as daily settlements and the continued application of existing hedge accounting relationships, including the use of the short-cut method of hedge accounting.
Contingent Put and Call Options in Debt Instruments

In March of 2016, the FASB issued new guidance clarifying the requirements for assessing whether a contingent call (put) option embedded in a debt instrument is clearly and closely related to that debt instrument, which is referred to the "host contract" for purposes of this assessment. Specifically, we are no longer required to consider the event triggering the acceleration of an embedded contingent call (put) option when assessing whether it is clearly and closely related to the debt instrument or host contract. We adopted the new guidance effective January 1, 2017. The new guidance did not have any effect on our financial condition, results of operations, or cash flows at the time of adoption.



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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 3 – Recently Issued but Not Yet Adopted Accounting Standards


Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost

In March of 2017, the FASB amended existing GAAP to require the service cost component of our net periodic pension and postretirement benefit costs to be classified as compensation costs. The other components of our net periodic pension and postretirement benefit costs are required to be classified as Noninterest expense - Other operating expenses on a retrospective basis effective January 1, 2018. Currently, our total net periodic pension and postretirement costs are classified as compensation costs. We do not expect the classification guidance of this GAAP amendment will have a significant effect on our financial condition, results of operations, and cash flows.

Classification of Certain Cash Receipts and Cash Payments in the Statement of Cash Flows

In August of 2016, the FASB issued statement of cash flows classification guidance governing certain cash receipts and cash payments. The new guidance becomes effective January 1, 2018 and will be applied retrospectively for each period our statements of cash flows are presented at the time of adoption. The new guidance is not expected to have any effect on our financial condition, results of operations, and cash flows since our existing practice is consistent with the provisions that are applicable to us. The provisions applicable to us are outlined below.

We classify cash payments related to prepaying or extinguishing our consolidated obligations as financing activities in our statements of cash flows.

We classify the cash payments attributable to interest expense paid at the maturity of our discount notes, which have a zero coupon rate, as operating activities in our statements of cash flows and in our supplemental disclosure of interest expense paid.

Measurement of Credit Losses on Financial Instruments

In June of 2016, the FASB amended existing GAAP guidance applicable to measuring credit losses on financial instruments. The amendments are expected to result in recognizing credit losses in the financial statements on a timelier basis by utilizing forward looking information. Key provisions of the amendments relevant to us are outlined below.

Replaces the “incurred loss” impairment methodology applied under current GAAP with an “expected credit losses” methodology.

The expected credit losses methodology requires us to estimate all credit losses on financial instruments carried on an amortized cost basis and off-balance-sheet credit exposures over their contractual term. On balance sheet financial instruments include, but are not limited to, advances, MPF Loans held in portfolio, and Held-to-maturity (HTM) securities. Off-balance-sheet credit exposure refers to unfunded credit exposures, such as standby letters of credit.

The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount.

Aligns the income statement recognition of credit losses for securities with the reporting period in which changes in collectability occur by recording credit losses (and subsequent reversals) through an allowance rather than a write-down as currently required under GAAP.

Requires recognition of a credit loss on available-for-sale (AFS) securities into the income statement if the present value of cash flows expected to be collected on the security is less than its amortized cost basis. Additionally, the allowance on AFS debt securities will be limited to the amount by which fair value is less than the amortized cost basis.

Expands upon the current credit quality disclosures by requiring further disaggregation of financial instruments by their year of origination. This disclosure is expected to help financial statement users better understand credit quality trends of asset portfolios.

The amendments become effective January 1, 2020, with early adoption permitted effective January 1, 2019. We plan to implement the expected credit loss methodology through a cumulative-effect adjustment to our beginning retained earnings as of the first reporting period in which the new guidance becomes effective for us. The cumulative effect adjustment will equal the amount required to adjust our existing allowance for credit losses for our on balance-sheet financial instruments and other

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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)

liabilities for our off-balance sheet financial instruments to the amounts determined under the expected credit losses methodology. A prospective transition approach is required for debt securities in which an other-than-temporary-impairment (OTTI) impairment had been recognized before our effective date. The accounting implications of such an approach are outlined below:

Write-downs recognized prior to our effective date on securities may not be reversed at the time of our adoption.

Improvements in expected cash flows subsequent to adoption for such securities will continue to be accounted for as yield adjustments over their remaining life.

Recoveries of amounts previously written off prior to the date of adoption will be recorded in earnings when received.

We are in the process of reviewing the expected effect of this guidance on our financial condition, results of operations, and cash flows.

Leases

In February of 2016, the FASB issued new guidance pertaining to lease accounting. The new guidance requires us to recognize operating leases and right-to-use assets, if any, in our statements of condition if their term exceeds 12 months. Currently, we recognize our operating leases off-balance sheet. The new guidance becomes effective January 1, 2019. A modified retrospective transition approach is required to be applied to leases existing at, or entered into after, January 1, 2018. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows since our existing off-balance sheet operating leases are not material.

Recognition and Measurement of Financial Assets and Financial Liabilities

In January of 2016, the FASB issued new guidance governing recognition and measurement of financial assets and financial liabilities. The new guidance becomes effective January 1, 2018. We do not expect the new guidance to have a significant effect on our financial condition, results of operations, and cash flows. The key provisions applicable to us are as follows:

The ability to elect the fair value option will continue to be permitted.

The portion of instrument-specific credit risk attributable to the total change in fair value of our consolidated obligations that are carried at fair value under the fair value option should be recognized in other comprehensive income. We will measure such instrument-specific credit risk based on our nonperformance risk. Specifically, our nonperformance risk includes our own credit risk and the credit risk associated with the joint and several liability of other FHLBs. We do not expect this requirement will have a material effect on our financial condition, results of operations, and cash flows.

The requirement to separately present financial assets and financial liabilities by measurement category, such as amortized cost, and form, such as securities or loans, on our statements of condition or the accompanying notes to the financial statements.

Revenue from Contracts with Customers

In May of 2014, the FASB issued new guidance governing revenue recognition from contracts with customers. Subsequently the FASB issued several other related pronouncements that provide additional revenue recognition guidance and clarifications to the original guidance issued in 2014. The new guidance becomes effective January 1, 2018. We do not expect the new revenue recognition guidance will have any effect on our financial condition, results of operations, or cash flows at the time of adoption. This is because the majority of our financial instruments and other contractual rights that generate revenue are covered by other GAAP, and therefore, are scoped out of this new guidance. Further, we believe that recognition of our service fee revenue, which is insignificant, is consistent with this new guidance.

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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 4 – Interest Income and Interest Expense
The following table presents interest income and interest expense for the periods indicated:
 
Three months ended June 30,
 
Six months ended June 30,
 
2017
 
2016
 
2017
 
2016
Interest income -
 
 
 
 
 
 
 
 


 
 
 
 
 
 
Trading
$
1

 
$
3

 
$
2

 
$
5

Available-for-sale interest income
107

 
114

 
215

 
225

Available-for-sale prepayment fees
7

 
5

 
11

 
26

Available-for-sale
114

 
119

 
226

 
251

Held-to-maturity
48

 
56

 
101

 
115

Investment securities
163

 
178

 
329

 
371

 

 
 
 
 
 
 
Advance interest income
129

 
68

 
227

 
130

Advance prepayment fees
1

 
6

 
2

 
7

Advances
130

 
74

 
229

 
137

 


 
 
 
 
 
 
MPF Loans held in portfolio
53

 
55

 
107

 
112

Federal funds sold and securities purchased under agreements to resell
25

 
6

 
40

 
9

Other interest bearing assets
2

 
4

 
5

 
6

 
 
 
 
 
 
 
 
Interest income
373

 
317

 
710

 
635

 

 
 
 
 
 
 
Interest expense -

 
 
 
 
 
 
 

 
 
 
 
 
 
Discount notes
119

 
95

 
215

 
177

Bonds
133

 
98

 
258

 
200

Consolidated obligations
252

 
193

 
473

 
377

 

 
 
 
 
 
 
Subordinated notes

 
10

 

 
24

Other interest bearing liabilities
4

 
3

 
7

 
3

 
 
 
 
 
 
 
 
Interest expense
256

 
206

 
480

 
404

 

 
 
 
 
 
 
Net interest income
117

 
111

 
230

 
$
231

Provision for (reversal of) credit losses
1

 

 
1

 

Net interest income after provision for (reversal of) credit losses
$
116

 
$
111

 
$
229

 
$
231


 

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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)

Note 5 – Investment Securities


We classify securities as either trading, held-to-maturity (HTM), or available-for-sale (AFS). Our security disclosures within these classifications are disaggregated by major security types as shown below. Our major security types are based on the nature and risks of the security.

U.S. Government & other government related may consist of the sovereign debt of the United States; debt issued by government sponsored enterprises (GSE); and non-mortgage-backed securities of the Small Business Administration and Tennessee Valley Authority.
Federal Family Education Loan Program - asset backed securities (FFELP ABS).
GSE residential mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac.
Government-guaranteed MBS.
Private-label residential MBS.
State or local housing agency obligations.


Pledged Collateral

We disclose the amount of investment securities pledged as collateral pertaining to our derivatives activity on our statements of condition. Also see Note 9 - Derivatives and Hedging Activities for further details.


Trading Securities

The following table presents the fair value of our trading securities. We had no material unrealized gains or losses on trading securities still held on our statement of condition as of the end of the reporting period.

As of
 
June 30, 2017
 
December 31, 2016
U.S. Government & other government related
 
$
201

 
$
1,005

Residential MBS:
 
 
 
 
GSE
 
36

 
39

Government-guaranteed
 
1

 
1

Trading securities
 
$
238

 
$
1,045




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Notes to Financial Statements - (Unaudited)
(Dollars in tables in millions except per share amounts unless otherwise indicated)

Amortized Cost Basis and Fair Value – Available-for-Sale Securities (AFS)

 
Amortized Cost Basis
 
Gross Unrealized Gains in AOCI
 
Gross Unrealized (Losses) in AOCI
 
Carrying Amount and Fair Value
As of June 30, 2017
 
 
 
 
 
 
 
U.S. Government & other government related
$
284

 
$
14

 
$

 
$
298

State or local housing agency
17

 

 

 
17

FFELP ABS
4,197

 
222

 
(7
)
 
4,412

Residential MBS:
 
 
 
 
 
 
 
GSE
7,897

 
216