Non-agency mortgage-backed securities continue to affect the financial performance of several Federal Home Loan Banks, according to the Federal Housing Finance Agency’s annual report to Congress.In aggregate, the FHLBanks hold 1,622 non-agency MBS with a par value of $46.9 billion. Although all of the non-agency MBS had triple-A ratings when purchased, the portfolios are generally of poor quality credit, said the FHFA.