x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation | 31-6000228 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
1000 Atrium Two, P.O. Box 598, | ||
Cincinnati, Ohio | 45201-0598 | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer o | Accelerated filer o | Non-accelerated filer x | Smaller reporting company o |
(Do not check if a smaller reporting company) |
PART I - FINANCIAL INFORMATION | ||
Item 1. | Financial Statements (Unaudited): | |
Statements of Condition - June 30, 2012 and December 31, 2011 | ||
Statements of Income - Three and six months ended June 30, 2012 and 2011 | ||
Statements of Comprehensive Income - Three and six months ended June 30, 2012 and 2011 | ||
Statements of Capital - Six months ended June 30, 2012 and 2011 | ||
Statements of Cash Flows - Six months ended June 30, 2012 and 2011 | ||
Notes to Unaudited Financial Statements | ||
Item 2. | Management's Discussion and Analysis of Financial Condition and Results of Operations | |
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | |
Item 4. | Controls and Procedures | |
PART II - OTHER INFORMATION | ||
Item 1A. | Risk Factors | |
Item 6. | Exhibits | |
Signatures |
Item 1. | Financial Statements |
June 30, 2012 | December 31, 2011 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 779,734 | $ | 2,033,944 | |||
Interest-bearing deposits | 207 | 119 | |||||
Securities purchased under agreements to resell | 3,200,000 | — | |||||
Federal funds sold | 3,710,000 | 2,270,000 | |||||
Investment securities: | |||||||
Trading securities | 2,930,180 | 2,862,648 | |||||
Available-for-sale securities | 800,053 | 4,171,142 | |||||
Held-to-maturity securities (includes $0 and $0 pledged as collateral at June 30, 2012 and December 31, 2011, respectively, that may be repledged) (a) | 12,718,924 | 12,637,373 | |||||
Total investment securities | 16,449,157 | 19,671,163 | |||||
Advances | 35,095,004 | 28,423,774 | |||||
Mortgage loans held for portfolio: | |||||||
Mortgage loans held for portfolio | 8,113,421 | 7,871,019 | |||||
Less: allowance for credit losses on mortgage loans | 19,498 | 20,750 | |||||
Mortgage loans held for portfolio, net | 8,093,923 | 7,850,269 | |||||
Accrued interest receivable | 107,746 | 114,266 | |||||
Premises, software, and equipment, net | 8,776 | 9,193 | |||||
Derivative assets | 6,835 | 4,912 | |||||
Other assets | 14,793 | 18,891 | |||||
TOTAL ASSETS | $ | 67,466,175 | $ | 60,396,531 | |||
LIABILITIES | |||||||
Deposits: | |||||||
Interest bearing | $ | 1,123,724 | $ | 1,067,288 | |||
Non-interest bearing | 16,513 | 16,244 | |||||
Total deposits | 1,140,237 | 1,083,532 | |||||
Consolidated Obligations, net: | |||||||
Discount Notes | 30,538,715 | 26,136,303 | |||||
Bonds (includes $4,687,996 and $4,900,296 at fair value under fair value option at June 30, 2012 and December 31, 2011, respectively) | 31,319,210 | 28,854,544 | |||||
Total Consolidated Obligations, net | 61,857,925 | 54,990,847 | |||||
Mandatorily redeemable capital stock | 264,695 | 274,781 | |||||
Accrued interest payable | 123,813 | 142,212 | |||||
Affordable Housing Program payable | 79,793 | 74,195 | |||||
Derivative liabilities | 132,624 | 105,284 | |||||
Other liabilities | 129,458 | 166,573 | |||||
Total liabilities | 63,728,545 | 56,837,424 | |||||
Commitments and contingencies | |||||||
CAPITAL | |||||||
Capital stock Class B putable ($100 par value); 32,587 and 31,259 shares issued and outstanding at June 30, 2012 and December 31, 2011, respectively | 3,258,703 | 3,125,895 | |||||
Retained earnings: | |||||||
Unrestricted | 454,049 | 432,530 | |||||
Restricted | 34,126 | 11,683 | |||||
Total retained earnings | 488,175 | 444,213 | |||||
Accumulated other comprehensive loss | (9,248 | ) | (11,001 | ) | |||
Total capital | 3,737,630 | 3,559,107 | |||||
TOTAL LIABILITIES AND CAPITAL | $ | 67,466,175 | $ | 60,396,531 |
(a) | Fair values: $13,079,921 and $13,035,503 at June 30, 2012 and December 31, 2011, respectively. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
INTEREST INCOME: | |||||||||||||||
Advances | $ | 57,914 | $ | 57,899 | $ | 117,903 | $ | 118,564 | |||||||
Prepayment fees on Advances, net | 1,658 | 729 | 5,077 | 1,230 | |||||||||||
Interest-bearing deposits | 165 | 98 | 292 | 257 | |||||||||||
Securities purchased under agreements to resell | 1,085 | 385 | 1,799 | 1,564 | |||||||||||
Federal funds sold | 1,523 | 1,060 | 2,322 | 3,003 | |||||||||||
Trading securities | 11,856 | 10,798 | 21,831 | 19,181 | |||||||||||
Available-for-sale securities | 1,010 | 2,248 | 2,605 | 5,629 | |||||||||||
Held-to-maturity securities | 67,017 | 104,442 | 148,254 | 214,107 | |||||||||||
Mortgage loans held for portfolio | 69,228 | 85,300 | 157,825 | 176,475 | |||||||||||
Loans to other FHLBanks | — | 2 | 1 | 3 | |||||||||||
Total interest income | 211,456 | 262,961 | 457,909 | 540,013 | |||||||||||
INTEREST EXPENSE: | |||||||||||||||
Consolidated Obligations - Discount Notes | 6,949 | 6,437 | 10,876 | 18,102 | |||||||||||
Consolidated Obligations - Bonds | 149,328 | 186,159 | 307,164 | 376,703 | |||||||||||
Deposits | 94 | 133 | 180 | 409 | |||||||||||
Mandatorily redeemable capital stock | 2,658 | 3,690 | 6,134 | 7,904 | |||||||||||
Other borrowings | — | — | 1 | — | |||||||||||
Total interest expense | 159,029 | 196,419 | 324,355 | 403,118 | |||||||||||
NET INTEREST INCOME | 52,427 | 66,542 | 133,554 | 136,895 | |||||||||||
Provision for credit losses | — | 1,119 | 1,410 | 3,678 | |||||||||||
NET INTEREST INCOME AFTER PROVISION FOR CREDIT LOSSES | 52,427 | 65,423 | 132,144 | 133,217 | |||||||||||
OTHER NON-INTEREST INCOME (LOSS): | |||||||||||||||
Net losses on trading securities | (11,338 | ) | (7,278 | ) | (20,218 | ) | (10,594 | ) | |||||||
Net realized gains from sale of held-to-maturity securities | 29,292 | 6,019 | 29,292 | 6,019 | |||||||||||
Net (losses) gains on Consolidated Obligation Bonds held under fair value option | (186 | ) | (427 | ) | 2,435 | (538 | ) | ||||||||
Net gains on derivatives and hedging activities | 3,186 | 98 | 6,940 | 5,164 | |||||||||||
Service fees | 385 | 396 | 761 | 802 | |||||||||||
Other, net | 835 | 1,038 | 2,297 | 2,848 | |||||||||||
Total other non-interest income (loss) | 22,174 | (154 | ) | 21,507 | 3,701 | ||||||||||
OTHER EXPENSE: | |||||||||||||||
Compensation and benefits | 7,558 | 7,508 | 15,949 | 15,561 | |||||||||||
Other operating | 3,383 | 3,502 | 6,920 | 7,299 | |||||||||||
Finance Agency | 1,444 | 1,336 | 3,148 | 2,234 | |||||||||||
Office of Finance | 856 | 768 | 1,672 | 1,769 | |||||||||||
Other | 484 | 420 | 597 | 802 | |||||||||||
Total other expense | 13,725 | 13,534 | 28,286 | 27,665 | |||||||||||
INCOME BEFORE ASSESSMENTS | 60,876 | 51,735 | 125,365 | 109,253 | |||||||||||
Affordable Housing Program | 6,354 | 4,626 | 13,150 | 9,751 | |||||||||||
REFCORP | — | 9,165 | — | 19,644 | |||||||||||
Total assessments | 6,354 | 13,791 | 13,150 | 29,395 | |||||||||||
NET INCOME | $ | 54,522 | $ | 37,944 | $ | 112,215 | $ | 79,858 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net income | $ | 54,522 | $ | 37,944 | $ | 112,215 | $ | 79,858 | |||||||
Other comprehensive income adjustments: | |||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | 10 | (51 | ) | 1,068 | (89 | ) | |||||||||
Pension and postretirement benefits | 343 | 217 | 685 | 433 | |||||||||||
Total other comprehensive income adjustments | 353 | 166 | 1,753 | 344 | |||||||||||
Total comprehensive income | $ | 54,875 | $ | 38,110 | $ | 113,968 | $ | 80,202 |
Capital Stock Class B - Putable | Retained Earnings | |||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Accumulated Other Comprehensive Loss | Total Capital | ||||||||||||||||||
BALANCE, DECEMBER 31, 2010 | 30,924 | $ | 3,092,377 | $ | 437,874 | $ | — | $ | 437,874 | $ | (7,723 | ) | $ | 3,522,528 | ||||||||||
Proceeds from sale of capital stock | 207 | 20,698 | 20,698 | |||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | — | (12 | ) | (12 | ) | |||||||||||||||||||
Comprehensive income | 79,858 | — | 79,858 | 344 | 80,202 | |||||||||||||||||||
Dividends on capital stock: | ||||||||||||||||||||||||
Cash | (69,518 | ) | (69,518 | ) | (69,518 | ) | ||||||||||||||||||
BALANCE, JUNE 30, 2011 | 31,131 | $ | 3,113,063 | $ | 448,214 | $ | — | $ | 448,214 | $ | (7,379 | ) | $ | 3,553,898 | ||||||||||
BALANCE, DECEMBER 31, 2011 | 31,259 | $ | 3,125,895 | $ | 432,530 | $ | 11,683 | $ | 444,213 | $ | (11,001 | ) | $ | 3,559,107 | ||||||||||
Proceeds from sale of capital stock | 1,497 | 149,726 | 149,726 | |||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (169 | ) | (16,918 | ) | (16,918 | ) | ||||||||||||||||||
Comprehensive income | 89,772 | 22,443 | 112,215 | 1,753 | 113,968 | |||||||||||||||||||
Dividends on capital stock: | ||||||||||||||||||||||||
Cash | (68,253 | ) | (68,253 | ) | (68,253 | ) | ||||||||||||||||||
BALANCE, JUNE 30, 2012 | 32,587 | $ | 3,258,703 | $ | 454,049 | $ | 34,126 | $ | 488,175 | $ | (9,248 | ) | $ | 3,737,630 |
Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
OPERATING ACTIVITIES: | |||||||
Net income | $ | 112,215 | $ | 79,858 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Depreciation and amortization | 38,192 | 7,067 | |||||
Change in net fair value adjustment on derivative and hedging activities | 64,394 | 80,481 | |||||
Net change in fair value adjustments on trading securities | 20,218 | 10,594 | |||||
Net change in fair value adjustments on Consolidated Obligation Bonds held at fair value | (2,435 | ) | 538 | ||||
Other adjustments | (27,876 | ) | (2,350 | ) | |||
Net change in: | |||||||
Accrued interest receivable | 6,495 | 7,849 | |||||
Other assets | 2,497 | 3,373 | |||||
Accrued interest payable | (18,265 | ) | (17,549 | ) | |||
Other liabilities | 24,769 | (3,673 | ) | ||||
Total adjustments | 107,989 | 86,330 | |||||
Net cash provided by operating activities | 220,204 | 166,188 | |||||
INVESTING ACTIVITIES: | |||||||
Net change in: | |||||||
Interest-bearing deposits | 109,321 | 37,864 | |||||
Securities purchased under agreements to resell | (3,200,000 | ) | 1,250,000 | ||||
Federal funds sold | (1,440,000 | ) | 3,120,000 | ||||
Premises, software, and equipment | (731 | ) | (851 | ) | |||
Trading securities: | |||||||
Net increase in short-term | (87,759 | ) | (707,959 | ) | |||
Proceeds from maturities of long-term | 100 | 157 | |||||
Available-for-sale securities: | |||||||
Net decrease in short-term | 3,372,157 | 1,950,065 | |||||
Held-to-maturity securities: | |||||||
Net increase in short-term | (461,688 | ) | (1,096,664 | ) | |||
Proceeds from maturities of long-term | 1,646,060 | 1,742,772 | |||||
Proceeds from sale of long-term | 507,531 | 231,748 | |||||
Purchases of long-term | (1,816,045 | ) | (1,126,906 | ) | |||
Advances: | |||||||
Proceeds | 387,176,107 | 113,345,178 | |||||
Made | (393,937,633 | ) | (112,407,844 | ) | |||
Mortgage loans held for portfolio: | |||||||
Principal collected | 1,238,201 | 855,095 | |||||
Purchases | (1,499,639 | ) | (642,698 | ) | |||
Net cash (used in) provided by investing activities | (8,394,018 | ) | 6,549,957 |
Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
FINANCING ACTIVITIES: | |||||||
Net increase (decrease) in deposits and pass-through reserves | $ | 79,243 | $ | (228,561 | ) | ||
Net payments on derivative contracts with financing elements | (85,708 | ) | (84,591 | ) | |||
Net proceeds from issuance of Consolidated Obligations: | |||||||
Discount Notes | 125,661,201 | 326,110,807 | |||||
Bonds | 10,039,223 | 8,453,290 | |||||
Payments for maturing and retiring Consolidated Obligations: | |||||||
Discount Notes | (121,260,639 | ) | (328,198,046 | ) | |||
Bonds | (7,568,185 | ) | (11,082,717 | ) | |||
Proceeds from issuance of capital stock | 149,726 | 20,698 | |||||
Payments for redemption of mandatorily redeemable capital stock | (27,004 | ) | (33,016 | ) | |||
Cash dividends paid | (68,253 | ) | (69,518 | ) | |||
Net cash provided by (used in) financing activities | 6,919,604 | (5,111,654 | ) | ||||
Net (decrease) increase in cash and cash equivalents | (1,254,210 | ) | 1,604,491 | ||||
Cash and cash equivalents at beginning of the period | 2,033,944 | 197,623 | |||||
Cash and cash equivalents at end of the period | $ | 779,734 | $ | 1,802,114 | |||
Supplemental Disclosures: | |||||||
Interest paid | $ | 344,096 | $ | 425,063 | |||
AHP payments, net | $ | 7,552 | $ | 16,038 | |||
REFCORP assessments paid | $ | — | $ | 21,481 |
June 30, 2012 | December 31, 2011 | ||||||
Fair Value | Fair Value | ||||||
Non-mortgage-backed securities: | |||||||
U.S. Treasury obligations | $ | 300,852 | $ | 331,207 | |||
Government-sponsored enterprises * | 2,627,295 | 2,529,311 | |||||
Total non-mortgage-backed securities | 2,928,147 | 2,860,518 | |||||
Mortgage-backed securities: | |||||||
Other U.S. obligation residential mortgage-backed securities ** | 2,033 | 2,130 | |||||
Total | $ | 2,930,180 | $ | 2,862,648 |
* | Consists of debt securities issued and effectively guaranteed by Federal Home Loan Mortgage Corporation (Freddie Mac) or Federal National Mortgage Association (Fannie Mae) which have the backing of the U.S. government, although they are not obligations of the U.S. government. | |
** | Consists of Government National Mortgage Association (Ginnie Mae) mortgage-backed securities. |
Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Net losses on trading securities held at period end | $ | (18,164 | ) | $ | (6,708 | ) | |
Net losses on securities matured during the period | (2,054 | ) | (3,886 | ) | |||
Net losses on trading securities | $ | (20,218 | ) | $ | (10,594 | ) |
June 30, 2012 | |||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized (Losses) | Fair Value | ||||||||||||
Certificates of deposit | $ | 799,999 | $ | 54 | $ | — | $ | 800,053 | |||||||
Total | $ | 799,999 | $ | 54 | $ | — | $ | 800,053 | |||||||
December 31, 2011 | |||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized (Losses) | Fair Value | ||||||||||||
Certificates of deposit | $ | 3,954,999 | $ | 6 | $ | (988 | ) | $ | 3,954,017 | ||||||
Other * | 217,157 | — | (32 | ) | 217,125 | ||||||||||
Total | $ | 4,172,156 | $ | 6 | $ | (1,020 | ) | $ | 4,171,142 |
* | Consists of debt securities issued by International Bank for Reconstruction and Development. |
June 30, 2012 | December 31, 2011 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in one year or less | $ | 799,999 | $ | 800,053 | $ | 4,172,156 | $ | 4,171,142 |
June 30, 2012 | December 31, 2011 | ||||||
Amortized cost of available-for-sale securities: | |||||||
Fixed-rate | $ | 799,999 | $ | 4,172,156 |
June 30, 2012 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding (Losses) | Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Government-sponsored enterprises * | $ | 25,906 | $ | — | $ | — | $ | 25,906 | |||||||
TLGP ** | 1,810,388 | 138 | (378 | ) | 1,810,148 | ||||||||||
Total non-mortgage-backed securities | 1,836,294 | 138 | (378 | ) | 1,836,054 | ||||||||||
Mortgage-backed securities: | |||||||||||||||
Other U.S. obligation residential mortgage-backed securities *** | 1,420,608 | 1,588 | (290 | ) | 1,421,906 | ||||||||||
Government-sponsored enterprise residential mortgage-backed securities **** | 9,462,022 | 360,030 | (91 | ) | 9,821,961 | ||||||||||
Total mortgage-backed securities | 10,882,630 | 361,618 | (381 | ) | 11,243,867 | ||||||||||
Total | $ | 12,718,924 | $ | 361,756 | $ | (759 | ) | $ | 13,079,921 | ||||||
December 31, 2011 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding (Losses) | Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Government-sponsored enterprises * | $ | 23,900 | $ | 1 | $ | — | $ | 23,901 | |||||||
TLGP ** | 1,411,131 | 458 | (323 | ) | 1,411,266 | ||||||||||
Total non-mortgage-backed securities | 1,435,031 | 459 | (323 | ) | 1,435,167 | ||||||||||
Mortgage-backed securities: | |||||||||||||||
Other U.S. obligation residential mortgage-backed securities *** | 1,500,781 | 1,799 | (3,071 | ) | 1,499,509 | ||||||||||
Government-sponsored enterprise residential mortgage-backed securities **** | 9,684,628 | 401,754 | (2,678 | ) | 10,083,704 | ||||||||||
Private-label residential mortgage-backed securities | 16,933 | 190 | — | 17,123 | |||||||||||
Total mortgage-backed securities | 11,202,342 | 403,743 | (5,749 | ) | 11,600,336 | ||||||||||
Total | $ | 12,637,373 | $ | 404,202 | $ | (6,072 | ) | $ | 13,035,503 |
(1) | Carrying value equals amortized cost. |
* | Consists of debt securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government. |
** | Represents corporate debentures issued or guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the Temporary Liquidity Guarantee Program (TLGP). |
*** | Consists of mortgage-backed securities issued or guaranteed by the National Credit Union Administration (NCUA) and the U.S. government. |
**** | Consists of mortgage-backed securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government. |
June 30, 2012 | December 31, 2011 | ||||||
Premiums | $ | 44,347 | $ | 60,080 | |||
Discounts | (18,434 | ) | (18,863 | ) | |||
Net purchased premiums | $ | 25,913 | $ | 41,217 |
June 30, 2012 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized (Losses) | Fair Value | Gross Unrealized (Losses) | Fair Value | Gross Unrealized (Losses) | ||||||||||||||||||
Non-mortgage-backed securities: | |||||||||||||||||||||||
TLGP * | $ | 1,346,425 | $ | (378 | ) | $ | — | $ | — | $ | 1,346,425 | $ | (378 | ) | |||||||||
Total non-mortgage-backed securities | 1,346,425 | (378 | ) | — | — | 1,346,425 | (378 | ) | |||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||
Other U.S. obligation residential mortgage-backed securities ** | 250,945 | (290 | ) | — | — | 250,945 | (290 | ) | |||||||||||||||
Government-sponsored enterprise residential mortgage-backed securities *** | 116,999 | (91 | ) | — | — | 116,999 | (91 | ) | |||||||||||||||
Total mortgage-backed securities | 367,944 | (381 | ) | — | — | 367,944 | (381 | ) | |||||||||||||||
Total | $ | 1,714,369 | $ | (759 | ) | $ | — | $ | — | $ | 1,714,369 | $ | (759 | ) | |||||||||
December 31, 2011 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized (Losses) | Fair Value | Gross Unrealized (Losses) | Fair Value | Gross Unrealized (Losses) | ||||||||||||||||||
Non-mortgage-backed securities: | |||||||||||||||||||||||
TLGP * | $ | 830,369 | $ | (323 | ) | $ | — | $ | — | $ | 830,369 | $ | (323 | ) | |||||||||
Total non-mortgage-backed securities | 830,369 | (323 | ) | — | — | 830,369 | (323 | ) | |||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||
Other U.S. obligation residential mortgage-backed securities ** | 967,312 | (3,071 | ) | — | — | 967,312 | (3,071 | ) | |||||||||||||||
Government-sponsored enterprise residential mortgage-backed securities *** | 1,283,456 | (2,678 | ) | — | — | 1,283,456 | (2,678 | ) | |||||||||||||||
Total mortgage-backed securities | 2,250,768 | (5,749 | ) | — | — | 2,250,768 | (5,749 | ) | |||||||||||||||
Total | $ | 3,081,137 | $ | (6,072 | ) | $ | — | $ | — | $ | 3,081,137 | $ | (6,072 | ) |
* | Represents corporate debentures issued or guaranteed by the FDIC under the TLGP. |
** | Consists of mortgage-backed securities issued or guaranteed by the NCUA and the U.S. government. |
*** | Consists of mortgage-backed securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government. |
June 30, 2012 | December 31, 2011 | ||||||||||||||
Year of Maturity | Amortized Cost (1) | Fair Value | Amortized Cost (1) | Fair Value | |||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Due in 1 year or less | $ | 1,836,294 | $ | 1,836,054 | $ | 1,435,031 | $ | 1,435,167 | |||||||
Due after 1 year through 5 years | — | — | — | — | |||||||||||
Due after 5 years through 10 years | — | — | — | — | |||||||||||
Due after 10 years | — | — | — | — | |||||||||||
Total non-mortgage-backed securities | 1,836,294 | 1,836,054 | 1,435,031 | 1,435,167 | |||||||||||
Mortgage-backed securities (2) | 10,882,630 | 11,243,867 | 11,202,342 | 11,600,336 | |||||||||||
Total | $ | 12,718,924 | $ | 13,079,921 | $ | 12,637,373 | $ | 13,035,503 |
(1) | Carrying value equals amortized cost. |
(2) | Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
June 30, 2012 | December 31, 2011 | ||||||
Amortized cost of non-mortgage-backed securities: | |||||||
Fixed-rate | $ | 1,836,294 | $ | 1,435,031 | |||
Total amortized cost of non-mortgage-backed securities | 1,836,294 | 1,435,031 | |||||
Amortized cost of mortgage-backed securities: | |||||||
Fixed-rate | 7,529,557 | 8,165,857 | |||||
Variable-rate | 3,353,073 | 3,036,485 | |||||
Total amortized cost of mortgage-backed securities | 10,882,630 | 11,202,342 | |||||
Total | $ | 12,718,924 | $ | 12,637,373 |
Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Proceeds from sale of held-to-maturity securities | $ | 507,531 | $ | 231,748 | |||
Gross gains from sale of held-to-maturity securities | 29,292 | 6,019 |
June 30, 2012 | December 31, 2011 | |||||||||||||
Redemption Term | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 15,059,564 | 1.45 | % | $ | 10,351,507 | 2.17 | % | ||||||
Due after 1 year through 2 years | 1,776,518 | 2.52 | 3,590,712 | 1.53 | ||||||||||
Due after 2 years through 3 years | 5,443,443 | 1.11 | 3,140,472 | 1.63 | ||||||||||
Due after 3 years through 4 years | 3,805,045 | 1.97 | 2,083,094 | 1.66 | ||||||||||
Due after 4 years through 5 years | 5,216,059 | 1.29 | 4,280,282 | 2.12 | ||||||||||
Thereafter | 3,301,339 | 2.42 | 4,392,430 | 2.36 | ||||||||||
Total par value | 34,601,968 | 1.58 | 27,838,497 | 2.01 | ||||||||||
Commitment fees | (966 | ) | (996 | ) | ||||||||||
Discount on AHP Advances | (21,324 | ) | (22,955 | ) | ||||||||||
Premiums | 3,951 | 4,126 | ||||||||||||
Discount | (13,406 | ) | (13,485 | ) | ||||||||||
Hedging adjustments | 524,781 | 618,587 | ||||||||||||
Total | $ | 35,095,004 | $ | 28,423,774 |
Year of Contractual Maturity or Next Call Date | June 30, 2012 | December 31, 2011 | |||||
Due in 1 year or less | $ | 23,399,932 | $ | 18,589,350 | |||
Due after 1 year through 2 years | 1,805,797 | 1,833,661 | |||||
Due after 2 years through 3 years | 2,788,027 | 1,648,651 | |||||
Due after 3 years through 4 years | 1,784,894 | 1,087,444 | |||||
Due after 4 years through 5 years | 2,318,104 | 1,854,961 | |||||
Thereafter | 2,505,214 | 2,824,430 | |||||
Total par value | $ | 34,601,968 | $ | 27,838,497 |
Year of Contractual Maturity or Next Put/Convert Date | June 30, 2012 | December 31, 2011 | |||||
Due in 1 year or less | $ | 18,793,614 | $ | 14,267,457 | |||
Due after 1 year through 2 years | 1,606,918 | 3,475,312 | |||||
Due after 2 years through 3 years | 4,875,143 | 2,727,572 | |||||
Due after 3 years through 4 years | 2,761,045 | 1,731,594 | |||||
Due after 4 years through 5 years | 4,639,509 | 3,113,282 | |||||
Thereafter | 1,925,739 | 2,523,280 | |||||
Total par value | $ | 34,601,968 | $ | 27,838,497 |
Par value of Advances | June 30, 2012 | December 31, 2011 | |||||
Fixed-rate (1) | |||||||
Due in one year or less | $ | 11,356,611 | $ | 8,565,327 | |||
Due after one year | 9,341,811 | 9,395,455 | |||||
Total fixed-rate | 20,698,422 | 17,960,782 | |||||
Variable-rate (1) | |||||||
Due in one year or less | 3,304,223 | 1,390,502 | |||||
Due after one year | 10,599,323 | 8,487,213 | |||||
Total variable-rate | 13,903,546 | 9,877,715 | |||||
Total par value | $ | 34,601,968 | $ | 27,838,497 |
(1) | Payment terms based on current interest rate terms, which would reflect any option exercises or rate conversions subsequent to the related Advance issuance. |
June 30, 2012 | December 31, 2011 | |||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
U.S. Bank, N.A. | $ | 7,314 | 21 | % | U.S. Bank, N.A. | $ | 7,314 | 26 | % | |||||
Fifth Third Bank | 4,158 | 12 | PNC Bank, N.A. (1) | 3,996 | 14 | |||||||||
JPMorgan Chase Bank, N.A. | 4,000 | 12 | Fifth Third Bank | 2,533 | 9 | |||||||||
PNC Bank, N.A. (1) | 3,994 | 12 | Total | $ | 13,843 | 49 | % | |||||||
Total | $ | 19,466 | 57 | % |
(1) | Former member. |
June 30, 2012 | December 31, 2011 | ||||||
Unpaid principal balance: | |||||||
Fixed rate medium-term single-family mortgages (1) | $ | 1,922,480 | $ | 1,655,696 | |||
Fixed rate long-term single-family mortgages | 6,032,483 | 6,095,880 | |||||
Total unpaid principal balance | 7,954,963 | 7,751,576 | |||||
Premiums | 144,553 | 110,663 | |||||
Discounts | (3,290 | ) | (4,136 | ) | |||
Hedging basis adjustments (2) | 17,195 | 12,916 | |||||
Total mortgage loans held for portfolio | $ | 8,113,421 | $ | 7,871,019 |
(1) | Medium-term is defined as a term of 15 years or less. |
(2) | Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. |
June 30, 2012 | December 31, 2011 | ||||||
Unpaid principal balance: | |||||||
Conventional loans | $ | 6,819,950 | $ | 6,502,550 | |||
Government-guaranteed/insured loans | 1,135,013 | 1,249,026 | |||||
Total unpaid principal balance | $ | 7,954,963 | $ | 7,751,576 |
June 30, 2012 | December 31, 2011 | |||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
Union Savings Bank | $ | 2,425 | 30 | % | PNC Bank, N.A. (1) | $ | 2,338 | 30 | % | |||||
PNC Bank, N.A. (1) | 2,074 | 26 | Union Savings Bank | 2,068 | 27 | |||||||||
Guardian Savings Bank FSB | 574 | 7 | Guardian Savings Bank FSB | 643 | 8 | |||||||||
Liberty Savings Bank | 375 | 5 | Liberty Savings Bank | 419 | 5 | |||||||||
Total | $ | 5,448 | 68 | % | Total | $ | 5,468 | 70 | % |
(1) | Former member. |
Three Months Ended June 30, | |||||||
Allowance for credit losses: | 2012 | 2011 | |||||
Balance, beginning of period | $ | 21,000 | $ | 14,200 | |||
Charge-offs | (1,502 | ) | (519 | ) | |||
Provision for credit losses | — | 1,119 | |||||
Balance, end of period | $ | 19,498 | $ | 14,800 | |||
Six Months Ended June 30, | |||||||
Allowance for credit losses: | 2012 | 2011 | |||||
Balance, beginning of period | $ | 20,750 | $ | 12,100 | |||
Charge-offs | (2,662 | ) | (978 | ) | |||
Provision for credit losses | 1,410 | 3,678 | |||||
Balance, end of period | $ | 19,498 | $ | 14,800 |
Allowance for credit losses, end of period: | June 30, 2012 | December 31, 2011 | |||||
Collectively evaluated for impairment | $ | 19,366 | $ | 20,653 | |||
Individually evaluated for impairment | $ | 132 | $ | 97 | |||
Recorded investment, end of period: | |||||||
Collectively evaluated for impairment | $ | 6,989,983 | $ | 6,633,380 | |||
Individually evaluated for impairment | 4,011 | 2,650 | |||||
Total recorded investment | $ | 6,993,994 | $ | 6,636,030 |
Six Months Ended | |||
June 30, 2012 | |||
LRA at beginning of year | $ | 68,684 | |
Additions | 24,980 | ||
Claims | (1,694 | ) | |
Scheduled distributions | (1,033 | ) | |
LRA at end of period | $ | 90,937 |
June 30, 2012 | |||||||||||
Conventional Mortgage Purchase Program Loans | Government-Guaranteed or Insured Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 51,117 | $ | 69,656 | $ | 120,773 | |||||
Past due 60-89 days delinquent | 15,783 | 17,359 | 33,142 | ||||||||
Past due 90 days or more delinquent | 87,868 | 39,788 | 127,656 | ||||||||
Total past due | 154,768 | 126,803 | 281,571 | ||||||||
Total current mortgage loans | 6,839,226 | 1,023,392 | 7,862,618 | ||||||||
Total mortgage loans | $ | 6,993,994 | $ | 1,150,195 | $ | 8,144,189 | |||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | 76,978 | $ | 21,536 | $ | 98,514 | |||||
Serious delinquency rate (2) | 1.27 | % | 3.47 | % | 1.58 | % | |||||
Past due 90 days or more still accruing interest (3) | $ | 87,266 | $ | 39,788 | $ | 127,054 | |||||
Loans on non-accrual status, included above | $ | 2,511 | $ | — | $ | 2,511 | |||||
December 31, 2011 | |||||||||||
Conventional Mortgage Purchase Program Loans | Government-Guaranteed or Insured Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 58,559 | $ | 80,457 | $ | 139,016 | |||||
Past due 60-89 days delinquent | 25,861 | 26,893 | 52,754 | ||||||||
Past due 90 days or more delinquent | 90,835 | 55,720 | 146,555 | ||||||||
Total past due | 175,255 | 163,070 | 338,325 | ||||||||
Total current mortgage loans | 6,460,775 | 1,103,124 | 7,563,899 | ||||||||
Total mortgage loans | $ | 6,636,030 | $ | 1,266,194 | $ | 7,902,224 | |||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | 76,471 | $ | 27,154 | $ | 103,625 | |||||
Serious delinquency rate (2) | 1.38 | % | 4.41 | % | 1.87 | % | |||||
Past due 90 days or more still accruing interest (3) | $ | 90,835 | $ | 55,720 | $ | 146,555 | |||||
Loans on non-accrual status, included above | $ | 1,699 | $ | — | $ | 1,699 |
(1) | Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. |
(2) | Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class recorded investment amount. |
(3) | Each conventional loan past due 90 days or more is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. |
Troubled debt restructurings: | June 30, 2012 | December 31, 2011 | |||||
Conventional Mortgage Purchase Program Loans | $ | 4,011 | $ | 2,650 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Defaulted troubled debt restructurings: | |||||||||||||||
Conventional Mortgage Purchase Program Loans | $ | — | $ | — | $ | 848 | $ | — |
June 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Conventional Mortgage Purchase Program loans: | Recorded Investment | Unpaid Principal Balance | Related Allowance | Recorded Investment | Unpaid Principal Balance | Related Allowance | |||||||||||||||||
With no related allowance | $ | 1,798 | $ | 1,777 | $ | — | $ | 951 | $ | 934 | $ | — | |||||||||||
With an allowance | 2,213 | 2,189 | 132 | 1,699 | 1,682 | 97 | |||||||||||||||||
Total | $ | 4,011 | $ | 3,966 | $ | 132 | $ | 2,650 | $ | 2,616 | $ | 97 |
Three Months Ended June 30, | |||||||||||||||
2012 | 2011 | ||||||||||||||
Individually impaired loans: | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||
Conventional Mortgage Purchase Program Loans | $ | 3,600 | $ | 50 | $ | — | $ | — | |||||||
Six Months Ended June 30, | |||||||||||||||
2012 | 2011 | ||||||||||||||
Individually impaired loans: | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||
Conventional Mortgage Purchase Program Loans | $ | 3,243 | $ | 90 | $ | — | $ | — |
▪ | reduce the interest rate sensitivity and repricing gaps of assets and liabilities; |
▪ | manage embedded options in assets and liabilities; |
▪ | reduce funding costs by combining a derivative with a Consolidated Obligation, as the cost of a combined funding structure can be lower than the cost of a comparable Consolidated Obligation Bond; |
▪ | preserve a favorable interest rate spread between the yield of an asset (e.g., an Advance) and the cost of the related liability (e.g., the Consolidated Obligation Bond used to fund the Advance); without the use of derivatives, this interest rate spread could be reduced or eliminated when a change in the interest rate on the Advance does not match a change in the interest rate on the Bond; and |
▪ | protect the value of existing asset or liability positions. |
▪ | Consolidated Obligations |
▪ | Advances |
▪ | Firm Commitments |
June 30, 2012 | |||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as fair value hedging instruments: | |||||||||||
Interest rate swaps | $ | 14,880,175 | $ | 75,493 | $ | 562,430 | |||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | 4,859,000 | 2,273 | 15,462 | ||||||||
Forward rate agreements | 90,000 | — | 1,651 | ||||||||
Mortgage delivery commitments | 235,782 | 1,967 | 119 | ||||||||
Total derivatives not designated as hedging instruments | 5,184,782 | 4,240 | 17,232 | ||||||||
Total derivatives before netting and collateral adjustments | $ | 20,064,957 | 79,733 | 579,662 | |||||||
Netting adjustments | (70,698 | ) | (70,698 | ) | |||||||
Cash collateral and related accrued interest | (2,200 | ) | (376,340 | ) | |||||||
Total collateral and netting adjustments (1) | (72,898 | ) | (447,038 | ) | |||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 6,835 | $ | 132,624 | |||||||
December 31, 2011 | |||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as fair value hedging instruments: | |||||||||||
Interest rate swaps | $ | 13,673,975 | $ | 77,803 | $ | 665,903 | |||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | 5,079,000 | 216 | 17,609 | ||||||||
Forward rate agreements | 375,000 | — | 3,143 | ||||||||
Mortgage delivery commitments | 431,264 | 2,281 | 79 | ||||||||
Total derivatives not designated as hedging instruments | 5,885,264 | 2,497 | 20,831 | ||||||||
Total derivatives before netting and collateral adjustments | $ | 19,559,239 | 80,300 | 686,734 | |||||||
Netting adjustments | (73,188 | ) | (73,188 | ) | |||||||
Cash collateral and related accrued interest | (2,200 | ) | (508,262 | ) | |||||||
Total collateral and netting adjustments (1) | (75,388 | ) | (581,450 | ) | |||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 4,912 | $ | 105,284 |
(1) | Amounts represent the effects of legally enforceable master netting agreements that allow the FHLBank to settle positive and negative positions and of cash collateral held or placed with the same counterparties. |
Three Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||
Interest rate swaps | $ | 3,391 | $ | 1,671 | |||
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | (865 | ) | (2,282 | ) | |||
Forward rate agreements | (5,100 | ) | (5,077 | ) | |||
Net interest settlements | (801 | ) | 940 | ||||
Mortgage delivery commitments | 6,561 | 4,846 | |||||
Total net (losses) related to derivatives not designated as hedging instruments | (205 | ) | (1,573 | ) | |||
Net gains on derivatives and hedging activities | $ | 3,186 | $ | 98 | |||
Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||
Interest rate swaps | $ | 6,845 | $ | 7,517 | |||
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | 3,721 | (1,343 | ) | ||||
Forward rate agreements | (8,149 | ) | (4,048 | ) | |||
Net interest settlements | (2,024 | ) | 2,521 | ||||
Mortgage delivery commitments | 6,547 | 517 | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | 95 | (2,353 | ) | ||||
Net gains on derivatives and hedging activities | $ | 6,940 | $ | 5,164 |
Three Months Ended June 30, | |||||||||||||||
2012 | Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income(1) | |||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 22,918 | $ | (19,760 | ) | $ | 3,158 | $ | (78,140 | ) | |||||
Consolidated Bonds | (1,903 | ) | 2,136 | 233 | 9,332 | ||||||||||
Total | $ | 21,015 | $ | (17,624 | ) | $ | 3,391 | $ | (68,808 | ) | |||||
2011 | |||||||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | (21,673 | ) | $ | 23,769 | $ | 2,096 | $ | (93,209 | ) | |||||
Consolidated Bonds | 4,548 | (4,973 | ) | (425 | ) | 18,801 | |||||||||
Total | $ | (17,125 | ) | $ | 18,796 | $ | 1,671 | $ | (74,408 | ) | |||||
Six Months Ended June 30, | |||||||||||||||
2012 | Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income(1) | |||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 99,420 | $ | (92,476 | ) | $ | 6,944 | $ | (159,245 | ) | |||||
Consolidated Bonds | (624 | ) | 525 | (99 | ) | 18,213 | |||||||||
Total | $ | 98,796 | $ | (91,951 | ) | $ | 6,845 | $ | (141,032 | ) | |||||
2011 | |||||||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 81,358 | $ | (73,671 | ) | $ | 7,687 | $ | (187,457 | ) | |||||
Consolidated Bonds | (10,358 | ) | 10,188 | (170 | ) | 40,179 | |||||||||
Total | $ | 71,000 | $ | (63,483 | ) | $ | 7,517 | $ | (147,278 | ) |
(1) | The net interest on derivatives in fair value hedge relationships is included in the interest income/expense line item of the respective hedged item. |
June 30, 2012 | December 31, 2011 | ||||||
Total net exposure at fair value (1) | $ | 9,035 | $ | 7,112 | |||
Cash collateral | 2,200 | 2,200 | |||||
Net positive exposure after cash collateral | $ | 6,835 | $ | 4,912 |
(1) | Includes net accrued interest receivables of (in thousands) $1,644 and $1,060 at June 30, 2012 and December 31, 2011. |
June 30, 2012 | December 31, 2011 | ||||||
Interest bearing: | |||||||
Demand and overnight | $ | 979,875 | $ | 952,743 | |||
Term | 121,850 | 90,925 | |||||
Other | 21,999 | 23,620 | |||||
Total interest bearing | 1,123,724 | 1,067,288 | |||||
Non-interest bearing: | |||||||
Other | 16,513 | 16,244 | |||||
Total non-interest bearing | 16,513 | 16,244 | |||||
Total deposits | $ | 1,140,237 | $ | 1,083,532 |
June 30, 2012 | December 31, 2011 | |||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 14,059,050 | 1.28 | % | $ | 10,198,600 | 1.52 | % | ||||||
Due after 1 year through 2 years | 5,625,000 | 1.89 | 6,351,450 | 2.08 | ||||||||||
Due after 2 years through 3 years | 2,933,500 | 2.55 | 2,723,500 | 3.01 | ||||||||||
Due after 3 years through 4 years | 1,752,000 | 2.64 | 1,600,000 | 2.81 | ||||||||||
Due after 4 years through 5 years | 1,991,000 | 2.86 | 1,873,000 | 3.36 | ||||||||||
Thereafter | 4,749,000 | 3.18 | 5,861,000 | 3.59 | ||||||||||
Index amortizing notes | 83,212 | 5.05 | 118,397 | 4.99 | ||||||||||
Total par value | 31,192,762 | 1.99 | 28,725,947 | 2.41 | ||||||||||
Premiums | 75,835 | 76,482 | ||||||||||||
Discounts | (18,666 | ) | (19,990 | ) | ||||||||||
Hedging adjustments | 66,283 | 66,809 | ||||||||||||
Fair value option valuation adjustment and accrued interest | 2,996 | 5,296 | ||||||||||||
Total | $ | 31,319,210 | $ | 28,854,544 |
Book Value | Par Value | Weighted Average Interest Rate(1) | ||||||||
June 30, 2012 | $ | 30,538,715 | $ | 30,541,740 | 0.08 | % | ||||
December 31, 2011 | $ | 26,136,303 | $ | 26,137,977 | 0.03 | % |
(1) | Represents an implied rate without consideration of concessions. |
June 30, 2012 | December 31, 2011 | ||||||
Par value of Consolidated Bonds: | |||||||
Non-callable/nonputable | $ | 23,190,762 | $ | 20,981,947 | |||
Callable | 8,002,000 | 7,744,000 | |||||
Total par value | $ | 31,192,762 | $ | 28,725,947 |
Year of Contractual Maturity or Next Call Date | June 30, 2012 | December 31, 2011 | ||||||
Due in 1 year or less | $ | 17,981,050 | $ | 15,855,600 | ||||
Due after 1 year through 2 years | 5,915,000 | 5,703,450 | ||||||
Due after 2 years through 3 years | 2,338,500 | 2,406,500 | ||||||
Due after 3 years through 4 years | 1,317,000 | 1,080,000 | ||||||
Due after 4 years through 5 years | 1,521,000 | 1,403,000 | ||||||
Thereafter | 2,037,000 | 2,159,000 | ||||||
Index amortizing notes | 83,212 | 118,397 | ||||||
Total par value | $ | 31,192,762 | $ | 28,725,947 |
June 30, 2012 | December 31, 2011 | ||||||
Par value of Consolidated Bonds: | |||||||
Fixed-rate | $ | 29,152,762 | $ | 27,285,947 | |||
Variable-rate | 2,040,000 | 1,440,000 | |||||
Total par value | $ | 31,192,762 | $ | 28,725,947 |
Balance at December 31, 2011 | $ | 74,195 | |
Expense (current year additions) | 13,150 | ||
Subsidy uses, net | (7,552 | ) | |
Balance at June 30, 2012 | $ | 79,793 |
June 30, 2012 | December 31, 2011 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 387,923 | $ | 4,011,573 | $ | 387,038 | $ | 3,844,889 | |||||||
Capital-to-assets ratio (regulatory) | 4.00 | % | 5.95 | % | 4.00 | % | 6.37 | % | |||||||
Regulatory capital | $ | 2,698,647 | $ | 4,011,573 | $ | 2,415,861 | $ | 3,844,889 | |||||||
Leverage capital-to-assets ratio (regulatory) | 5.00 | % | 8.92 | % | 5.00 | % | 9.55 | % | |||||||
Leverage capital | $ | 3,373,309 | $ | 6,017,360 | $ | 3,019,827 | $ | 5,767,334 |
Balance, December 31, 2011 | $ | 274,781 | |
Capital stock subject to mandatory redemption reclassified from equity: | |||
Withdrawals | 193 | ||
Other redemptions | 16,725 | ||
Redemption (or other reduction) of mandatorily redeemable capital stock: | |||
Withdrawals | (10,279 | ) | |
Other redemptions | (16,725 | ) | |
Balance, June 30, 2012 | $ | 264,695 |
Contractual Year of Redemption | June 30, 2012 | December 31, 2011 | ||||||
Due in 1 year or less | $ | 1,292 | $ | 104 | ||||
Due after 1 year through 2 years | 754 | 1,976 | ||||||
Due after 2 years through 3 years | 260,755 | 268,675 | ||||||
Due after 3 years through 4 years | — | 530 | ||||||
Due after 4 years through 5 years | 192 | 1,800 | ||||||
Past contractual redemption date due to remaining activity(1) | 1,702 | 1,696 | ||||||
Total par value | $ | 264,695 | $ | 274,781 |
(1) | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Net unrealized (losses) gains on available-for-sale securities | Pension and postretirement benefits | Total accumulated other comprehensive (loss) income | |||||||||
BALANCE, DECEMBER 31, 2010 | $ | (264 | ) | $ | (7,459 | ) | $ | (7,723 | ) | ||
Other comprehensive (loss) income | (89 | ) | 433 | 344 | |||||||
BALANCE, JUNE 30, 2011 | $ | (353 | ) | $ | (7,026 | ) | $ | (7,379 | ) | ||
BALANCE, DECEMBER 31, 2011 | $ | (1,014 | ) | $ | (9,987 | ) | $ | (11,001 | ) | ||
Other comprehensive income | 1,068 | 685 | 1,753 | ||||||||
BALANCE, JUNE 30, 2012 | $ | 54 | $ | (9,302 | ) | $ | (9,248 | ) |
Three Months Ended June 30, | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Periodic Benefit Cost | |||||||||||||||
Service cost | $ | 139 | $ | 126 | $ | 16 | $ | 14 | |||||||
Interest cost | 254 | 278 | 56 | 51 | |||||||||||
Amortization of net loss | 335 | 217 | 8 | — | |||||||||||
Net periodic benefit cost | $ | 728 | $ | 621 | $ | 80 | $ | 65 | |||||||
Six Months Ended June 30, | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Periodic Benefit Cost | |||||||||||||||
Service cost | $ | 278 | $ | 252 | $ | 31 | $ | 27 | |||||||
Interest cost | 507 | 557 | 113 | 98 | |||||||||||
Amortization of net loss | 671 | 433 | 14 | — | |||||||||||
Net periodic benefit cost | $ | 1,456 | $ | 1,242 | $ | 158 | $ | 125 |
Three Months Ended June 30, | |||||||||||
Traditional Member Finance | Mortgage Purchase Program | Total | |||||||||
2012 | |||||||||||
Net interest income | $ | 40,888 | $ | 11,539 | $ | 52,427 | |||||
Provision for credit losses | — | — | — | ||||||||
Net interest income after provision for credit losses | 40,888 | 11,539 | 52,427 | ||||||||
Other income | 20,712 | 1,462 | 22,174 | ||||||||
Other expenses | 11,844 | 1,881 | 13,725 | ||||||||
Income before assessments | 49,756 | 11,120 | 60,876 | ||||||||
Affordable Housing Program | 5,242 | 1,112 | 6,354 | ||||||||
Net income | $ | 44,514 | $ | 10,008 | $ | 54,522 | |||||
Average assets | $ | 56,726,411 | $ | 8,171,355 | $ | 64,897,766 | |||||
Total assets | $ | 59,340,435 | $ | 8,125,740 | $ | 67,466,175 | |||||
2011 | |||||||||||
Net interest income | $ | 47,174 | $ | 19,368 | $ | 66,542 | |||||
Provision for credit losses | — | 1,119 | 1,119 | ||||||||
Net interest income after provision for credit losses | 47,174 | 18,249 | 65,423 | ||||||||
Other income (loss) | 74 | (228 | ) | (154 | ) | ||||||
Other expenses | 11,607 | 1,927 | 13,534 | ||||||||
Income before assessments | 35,641 | 16,094 | 51,735 | ||||||||
Affordable Housing Program | 3,304 | 1,322 | 4,626 | ||||||||
REFCORP | 6,293 | 2,872 | 9,165 | ||||||||
Total assessments | 9,597 | 4,194 | 13,791 | ||||||||
Net income | $ | 26,044 | $ | 11,900 | $ | 37,944 | |||||
Average assets | $ | 60,530,524 | $ | 7,569,665 | $ | 68,100,189 | |||||
Total assets | $ | 59,038,943 | $ | 7,578,961 | $ | 66,617,904 |
Six Months Ended June 30, | |||||||||||
Traditional Member Finance | Mortgage Purchase Program | Total | |||||||||
2012 | |||||||||||
Net interest income | $ | 92,571 | $ | 40,983 | $ | 133,554 | |||||
Provision for credit losses | — | 1,410 | 1,410 | ||||||||
Net interest income after provision for credit losses | 92,571 | 39,573 | 132,144 | ||||||||
Other income (loss) | 23,106 | (1,599 | ) | 21,507 | |||||||
Other expenses | 24,392 | 3,894 | 28,286 | ||||||||
Income before assessments | 91,285 | 34,080 | 125,365 | ||||||||
Affordable Housing Program | 9,742 | 3,408 | 13,150 | ||||||||
Net income | $ | 81,543 | $ | 30,672 | $ | 112,215 | |||||
Average assets | $ | 55,787,044 | $ | 8,085,047 | $ | 63,872,091 | |||||
Total assets | $ | 59,340,435 | $ | 8,125,740 | $ | 67,466,175 | |||||
2011 | |||||||||||
Net interest income | $ | 91,196 | $ | 45,699 | $ | 136,895 | |||||
Provision for credit losses | — | 3,678 | 3,678 | ||||||||
Net interest income after provision for credit losses | 91,196 | 42,021 | 133,217 | ||||||||
Other income (loss) | 7,227 | (3,526 | ) | 3,701 | |||||||
Other expenses | 23,740 | 3,925 | 27,665 | ||||||||
Income before assessments | 74,683 | 34,570 | 109,253 | ||||||||
Affordable Housing Program | 6,921 | 2,830 | 9,751 | ||||||||
REFCORP | 13,378 | 6,266 | 19,644 | ||||||||
Total assessments | 20,299 | 9,096 | 29,395 | ||||||||
Net income | $ | 54,384 | $ | 25,474 | $ | 79,858 | |||||
Average assets | $ | 61,811,897 | $ | 7,603,273 | $ | 69,415,170 | |||||
Total assets | $ | 59,038,943 | $ | 7,578,961 | $ | 66,617,904 |
June 30, 2012 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 779,734 | $ | 779,734 | $ | 779,734 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 207 | 207 | — | 207 | — | — | |||||||||||||||||
Securities purchased under resale agreements | 3,200,000 | 3,200,000 | — | 3,200,000 | — | — | |||||||||||||||||
Federal funds sold | 3,710,000 | 3,710,000 | — | 3,710,000 | — | — | |||||||||||||||||
Trading securities | 2,930,180 | 2,930,180 | — | 2,930,180 | — | — | |||||||||||||||||
Available-for-sale securities | 800,053 | 800,053 | — | 800,053 | — | — | |||||||||||||||||
Held-to-maturity securities | 12,718,924 | 13,079,921 | — | 13,079,921 | — | — | |||||||||||||||||
Advances | 35,095,004 | 35,294,905 | — | 35,294,905 | — | — | |||||||||||||||||
Mortgage loans held for portfolio, net | 8,093,923 | 8,529,827 | — | 8,529,827 | — | — | |||||||||||||||||
Accrued interest receivable | 107,746 | 107,746 | — | 107,746 | — | — | |||||||||||||||||
Derivative assets | 6,835 | 6,835 | — | 79,733 | — | (72,898 | ) | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | 1,140,237 | 1,140,079 | — | 1,140,079 | — | — | |||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||
Discount Notes | 30,538,715 | 30,538,814 | — | 30,538,814 | — | — | |||||||||||||||||
Bonds (1) | 31,319,210 | 32,120,817 | — | 32,120,817 | — | — | |||||||||||||||||
Mandatorily redeemable capital stock | 264,695 | 264,695 | 264,695 | — | — | — | |||||||||||||||||
Accrued interest payable | 123,813 | 123,813 | — | 123,813 | — | — | |||||||||||||||||
Derivative liabilities | 132,624 | 132,624 | — | 579,662 | — | (447,038 | ) | ||||||||||||||||
Other: | |||||||||||||||||||||||
Standby bond purchase agreements | — | 1,367 | — | 1,367 | — | — |
(1) | Includes (in thousands) $4,687,996 of Consolidated Bonds recorded under the fair value option at June 30, 2012. |
December 31, 2011 | |||||||
Financial Instruments | Carrying Value | Fair Value | |||||
Assets: | |||||||
Cash and due from banks | $ | 2,033,944 | $ | 2,033,944 | |||
Interest-bearing deposits | 119 | 119 | |||||
Securities purchased under resale agreements | — | — | |||||
Federal funds sold | 2,270,000 | 2,270,000 | |||||
Trading securities | 2,862,648 | 2,862,648 | |||||
Available-for-sale securities | 4,171,142 | 4,171,142 | |||||
Held-to-maturity securities | 12,637,373 | 13,035,503 | |||||
Advances | 28,423,774 | 28,699,758 | |||||
Mortgage loans held for portfolio, net | 7,850,269 | 8,342,709 | |||||
Accrued interest receivable | 114,266 | 114,266 | |||||
Derivative assets | 4,912 | 4,912 | |||||
Liabilities: | |||||||
Deposits | 1,083,532 | 1,083,312 | |||||
Consolidated Obligations: | |||||||
Discount Notes | 26,136,303 | 26,137,014 | |||||
Bonds (1) | 28,854,544 | 29,774,780 | |||||
Mandatorily redeemable capital stock | 274,781 | 274,781 | |||||
Accrued interest payable | 142,212 | 142,212 | |||||
Derivative liabilities | 105,284 | 105,284 | |||||
Other: | |||||||
Standby bond purchase agreements | — | 1,595 |
(1) | Includes (in thousands) $4,900,296 of Consolidated Bonds recorded under the fair value option at December 31, 2011. |
▪ | Treasury Curve: U.S. Treasury obligations; and |
▪ | U.S. Government Agency Fair Value Curve: Government-sponsored enterprises. |
▪ | the Mortgage Purchase Program's credit enhancements; and |
▪ | marketing adjustments that reflect the FHLBank's cooperative business model and preferences for particular kinds of loans and mortgage note rates. |
▪ | LIBOR Swap Curve; and |
▪ | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. |
▪ | Market-based prices by coupon class and expected term until settlement. |
▪ | TBA price. Market-based prices of TBAs by coupon class and expected term until settlement, adjusted to reflect the contractual terms of the mortgage delivery commitments, similar to the mortgage loans held for portfolio process. The adjustments to the market prices are market observable, or can be corroborated with observable market data. |
▪ | The discount rates used, which are estimated current market yields, as indicated by the Office of Finance, for bonds with similar current terms. |
▪ | LIBOR Swap Curve; |
▪ | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options; and |
▪ | Spread adjustment. Represents an adjustment to the curve. |
Fair Value Measurements at June 30, 2012 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral (1) | |||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury obligations | $ | 300,852 | $ | — | $ | 300,852 | $ | — | $ | — | |||||||||
Government-sponsored enterprises debt securities | 2,627,295 | — | 2,627,295 | — | — | ||||||||||||||
Other U.S. obligation residential mortgage-backed securities | 2,033 | — | 2,033 | — | — | ||||||||||||||
Total trading securities | 2,930,180 | — | 2,930,180 | — | — | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Certificates of deposit | 800,053 | — | 800,053 | — | — | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate swaps | 4,868 | — | 77,766 | — | (72,898 | ) | |||||||||||||
Mortgage delivery commitments | 1,967 | — | 1,967 | — | — | ||||||||||||||
Total derivative assets | 6,835 | — | 79,733 | — | (72,898 | ) | |||||||||||||
Total assets at fair value | $ | 3,737,068 | $ | — | $ | 3,809,966 | $ | — | $ | (72,898 | ) | ||||||||
Liabilities | |||||||||||||||||||
Consolidated Obligation Bonds (2) | $ | 4,687,996 | $ | — | $ | 4,687,996 | $ | — | $ | — | |||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate swaps | 130,854 | — | 577,892 | — | (447,038 | ) | |||||||||||||
Forward rate agreement | 1,651 | — | 1,651 | — | — | ||||||||||||||
Mortgage delivery commitments | 119 | — | 119 | — | — | ||||||||||||||
Total derivative liabilities | 132,624 | — | 579,662 | — | (447,038 | ) | |||||||||||||
Total liabilities at fair value | $ | 4,820,620 | $ | — | $ | 5,267,658 | $ | — | $ | (447,038 | ) |
(1) | Amounts represent the effects of legally enforceable master netting agreements that allow the FHLBank to settle positive and negative positions and of cash collateral held or placed with the same counterparties. |
(2) | Represents Consolidated Obligation Bonds recorded under the fair value option. |
Fair Value Measurements at December 31, 2011 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral (1) | |||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury obligations | $ | 331,207 | $ | — | $ | 331,207 | $ | — | $ | — | |||||||||
Government-sponsored enterprises debt securities | 2,529,311 | — | 2,529,311 | — | — | ||||||||||||||
Other U.S. obligation residential mortgage-backed securities | 2,130 | — | 2,130 | — | — | ||||||||||||||
Total trading securities | 2,862,648 | — | 2,862,648 | — | — | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Certificates of deposit | 3,954,017 | — | 3,954,017 | — | — | ||||||||||||||
Other non-mortgage-backed securities | 217,125 | — | 217,125 | — | — | ||||||||||||||
Total available-for-sale securities | 4,171,142 | — | 4,171,142 | — | — | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate swaps | 2,631 | — | 78,019 | — | (75,388 | ) | |||||||||||||
Mortgage delivery commitments | 2,281 | — | 2,281 | — | — | ||||||||||||||
Total derivative assets | 4,912 | — | 80,300 | — | (75,388 | ) | |||||||||||||
Total assets at fair value | $ | 7,038,702 | $ | — | $ | 7,114,090 | $ | — | $ | (75,388 | ) | ||||||||
Liabilities | |||||||||||||||||||
Consolidated Obligation Bonds (2) | $ | 4,900,296 | $ | — | $ | 4,900,296 | $ | — | $ | — | |||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate swaps | 102,062 | — | 683,512 | — | (581,450 | ) | |||||||||||||
Forward rate agreements | 3,143 | — | 3,143 | — | — | ||||||||||||||
Mortgage delivery commitments | 79 | — | 79 | — | — | ||||||||||||||
Total derivative liabilities | 105,284 | — | 686,734 | — | (581,450 | ) | |||||||||||||
Total liabilities at fair value | $ | 5,005,580 | $ | — | $ | 5,587,030 | $ | — | $ | (581,450 | ) |
(1) | Amounts represent the effects of legally enforceable master netting agreements that allow the FHLBank to settle positive and negative positions and of cash collateral held or placed with the same counterparties. |
(2) | Represents Consolidated Obligation Bonds recorded under the fair value option. |
Three Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Consolidated Bonds | Consolidated Bonds | ||||||
Balance at beginning of period | $ | (4,202,540 | ) | $ | (1,131,591 | ) | |
New transactions elected for fair value option | (1,250,000 | ) | (1,665,000 | ) | |||
Maturities and terminations | 765,000 | 566,000 | |||||
Net losses on instruments held under fair value option | (186 | ) | (427 | ) | |||
Change in accrued interest | (270 | ) | (848 | ) | |||
Balance at end of period | $ | (4,687,996 | ) | $ | (2,231,866 | ) | |
Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Consolidated Bonds | Consolidated Bonds | ||||||
Balance at beginning of period | $ | (4,900,296 | ) | $ | — | ||
New transactions elected for fair value option | (2,365,000 | ) | (3,796,000 | ) | |||
Maturities and terminations | 2,575,000 | 1,566,000 | |||||
Net gains (losses) on instruments held under fair value option | 2,435 | (538 | ) | ||||
Change in accrued interest | (135 | ) | (1,328 | ) | |||
Balance at end of period | $ | (4,687,996 | ) | $ | (2,231,866 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Consolidated Bonds | Consolidated Bonds | Consolidated Bonds | Consolidated Bonds | ||||||||||||
Interest expense | $ | (2,308 | ) | $ | (1,578 | ) | $ | (5,199 | ) | $ | (3,308 | ) | |||
Net (losses) gains on changes in fair value under fair value option | (186 | ) | (427 | ) | 2,435 | (538 | ) | ||||||||
Total changes in fair value included in current period earnings | $ | (2,494 | ) | $ | (2,005 | ) | $ | (2,764 | ) | $ | (3,846 | ) |
June 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Aggregate Unpaid Principal Balance | Aggregate Fair Value | Fair Value Over/(Under) Aggregate Unpaid Principal Balance | Aggregate Unpaid Principal Balance | Aggregate Fair Value | Fair Value Over/(Under) Aggregate Unpaid Principal Balance | ||||||||||||||||||
Consolidated Bonds | $ | 4,685,000 | $ | 4,687,996 | $ | 2,996 | $ | 4,895,000 | $ | 4,900,296 | $ | 5,296 |
June 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Notional Amount | Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | |||||||||||||||||
Standby Letters of Credit outstanding | $ | 3,822,847 | $ | 174,318 | $ | 3,997,165 | $ | 4,684,850 | $ | 152,933 | $ | 4,837,783 | |||||||||||
Commitments for standby bond purchases | 246,720 | 142,780 | 389,500 | 35,000 | 363,780 | 398,780 | |||||||||||||||||
Commitments to fund additional Advances | 8,000 | — | 8,000 | — | — | — | |||||||||||||||||
Commitment to purchase mortgage loans | 235,782 | — | 235,782 | 431,264 | — | 431,264 | |||||||||||||||||
Unsettled Consolidated Bonds, at par (1) (2) | 655,000 | — | 655,000 | 540,000 | — | 540,000 | |||||||||||||||||
Unsettled Consolidated Discount Notes, at par (2) | 395,667 | — | 395,667 | 57,729 | — | 57,729 |
(1) | Of the total unsettled Consolidated Bonds, $500,000 (in thousands) were hedged with associated interest rate swaps at December 31, 2011. |
(2) | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Average Daily Balances for the Six Months Ended June 30, | |||||||
2012 | 2011 | ||||||
Loans to other FHLBanks | $ | 2,005 | $ | 5,644 |
June 30, 2012 | December 31, 2011 | ||||||||||||
Balance | % of Total (1) | Balance | % of Total (1) | ||||||||||
Advances | $ | 832 | 2.4 | % | $ | 883 | 3.2 | % | |||||
Mortgage Purchase Program | 36 | 0.5 | 42 | 0.5 | |||||||||
Mortgage-backed securities | — | — | — | — | |||||||||
Regulatory capital stock | 225 | 6.4 | 173 | 5.1 | |||||||||
Derivatives | — | — | — | — |
(1) | Percentage of total principal (Advances), unpaid principal balance (Mortgage Purchase Program), principal balance (mortgage-backed securities), regulatory capital stock, and notional balances (derivatives). |
Mortgage Purchase | ||||||||||||||
Regulatory Capital Stock | Advance | Program Unpaid | ||||||||||||
June 30, 2012 | Balance | % of Total | Principal | Principal Balance | ||||||||||
U.S. Bank, N.A. | $ | 592 | 17 | % | $ | 7,314 | $ | 61 | ||||||
Fifth Third Bank | 401 | 11 | 4,158 | 6 | ||||||||||
PNC Bank, N.A. (1) | 235 | 7 | 3,994 | 2,074 | ||||||||||
KeyBank, N.A. | 179 | 5 | 210 | — | ||||||||||
Total | $ | 1,407 | 40 | % | $ | 15,676 | $ | 2,141 |
(1) | Former member. |
Mortgage Purchase | ||||||||||||||
Regulatory Capital Stock | Advance | Program Unpaid | ||||||||||||
December 31, 2011 | Balance | % of Total | Principal | Principal Balance | ||||||||||
U.S. Bank, N.A. | $ | 591 | 17 | % | $ | 7,314 | $ | 67 | ||||||
Fifth Third Bank | 401 | 12 | 2,533 | 7 | ||||||||||
PNC Bank, N.A. (1) | 243 | 7 | 3,996 | 2,338 | ||||||||||
KeyBank, N.A. | 179 | 5 | 220 | — | ||||||||||
Total | $ | 1,414 | 41 | % | $ | 14,063 | $ | 2,412 |
(1) | Former member. |
▪ | the effects of economic, financial, credit, market, and member conditions on our financial condition and results of operations, including changes in economic growth, general liquidity conditions, inflation and deflation, interest rates, interest rate spreads, interest rate volatility, mortgage originations, prepayment activity, housing prices, asset delinquencies, and members' mergers and consolidations, deposit flows, liquidity needs, and loan demand; |
▪ | political events, including legislative, regulatory, federal government, judicial or other developments that could affect us, our members, our counterparties, other FHLBanks and other government-sponsored enterprises (GSEs), and/or investors in the Federal Home Loan Bank System's (FHLBank System) debt securities, which are called Consolidated Obligations or Obligations; |
▪ | competitive forces, including those related to other sources of funding available to members, to purchases of mortgage loans, and to our issuance of Consolidated Obligations; |
▪ | the financial results and actions of other FHLBanks that could affect our ability, in relation to the FHLBank System's joint and several liability for Consolidated Obligations, to access the capital markets on favorable terms or preserve our profitability, or could alter the regulations and legislation to which we are subject; |
▪ | changes in ratings assigned to FHLBank System Obligations or our FHLBank that could raise our funding cost; |
▪ | changes in investor demand for Obligations; |
▪ | the volatility of market prices, interest rates, credit quality, and other indices that could affect the value of investments and collateral we hold as security for member obligations and/or for counterparty obligations; |
▪ | the ability to attract and retain skilled management and other key employees; |
▪ | the ability to develop and support technology and information systems that effectively manage the risks we face; |
▪ | the ability to successfully manage new products and services; and |
▪ | the risk of loss arising from litigation filed against us or one or more other FHLBanks. |
(Dollars in millions) | June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | June 30, 2011 | ||||||||||||||
STATEMENT OF CONDITION DATA AT QUARTER END: | |||||||||||||||||||
Total assets | $ | 67,466 | $ | 61,976 | $ | 60,397 | $ | 66,921 | $ | 66,618 | |||||||||
Advances | 35,095 | 27,177 | 28,424 | 30,345 | 29,173 | ||||||||||||||
Mortgage loans held for portfolio | 8,114 | 8,237 | 7,871 | 7,889 | 7,561 | ||||||||||||||
Allowance for credit losses on mortgage loans | 20 | 21 | 21 | 15 | 15 | ||||||||||||||
Investments (1) | 23,359 | 26,419 | 21,941 | 26,054 | 27,940 | ||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||
Discount Notes | 30,539 | 27,076 | 26,136 | 33,339 | 32,916 | ||||||||||||||
Bonds | 31,319 | 29,317 | 28,855 | 27,511 | 28,052 | ||||||||||||||
Total Consolidated Obligations, net | 61,858 | 56,393 | 54,991 | 60,850 | 60,968 | ||||||||||||||
Mandatorily redeemable capital stock | 265 | 270 | 275 | 331 | 324 | ||||||||||||||
Capital: | |||||||||||||||||||
Capital stock - putable | 3,259 | 3,141 | 3,126 | 3,106 | 3,113 | ||||||||||||||
Retained earnings | 488 | 467 | 444 | 436 | 448 | ||||||||||||||
Accumulated other comprehensive loss | (9 | ) | (10 | ) | (11 | ) | (8 | ) | (7 | ) | |||||||||
Total capital | 3,738 | 3,598 | 3,559 | 3,534 | 3,554 | ||||||||||||||
STATEMENT OF INCOME DATA FOR THE QUARTER: | |||||||||||||||||||
Net interest income | $ | 53 | $ | 81 | $ | 68 | $ | 44 | $ | 66 | |||||||||
Provision for credit losses | — | 1 | 7 | 2 | 1 | ||||||||||||||
Other income (loss) | 22 | (1 | ) | (2 | ) | (6 | ) | — | |||||||||||
Other expenses | 14 | 14 | 14 | 15 | 13 | ||||||||||||||
Assessments | 6 | 7 | 5 | 2 | 14 | ||||||||||||||
Net income | $ | 55 | $ | 58 | $ | 40 | $ | 19 | $ | 38 | |||||||||
Dividend payout ratio (2) | 60 | % | 61 | % | 79 | % | 167 | % | 91 | % | |||||||||
Weighted average dividend rate (3) | 4.25 | % | 4.50 | % | 4.00 | % | 4.00 | % | 4.50 | % | |||||||||
Return on average equity | 6.03 | 6.50 | 4.44 | 2.07 | 4.28 | ||||||||||||||
Return on average assets | 0.34 | 0.37 | 0.25 | 0.11 | 0.22 | ||||||||||||||
Net interest margin (4) | 0.33 | 0.52 | 0.42 | 0.27 | 0.39 | ||||||||||||||
Average equity to average assets | 5.61 | 5.68 | 5.57 | 5.36 | 5.23 | ||||||||||||||
Regulatory capital ratio (5) | 5.95 | 6.26 | 6.37 | 5.79 | 5.83 | ||||||||||||||
Operating expense to average assets | 0.068 | 0.076 | 0.065 | 0.072 | 0.065 |
(1) | Investments include interest bearing deposits in banks, securities purchased under agreements to resell, Federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities. |
(2) | Dividend payout ratio is dividends declared in the period as a percentage of net income. |
(3) | Weighted average dividend rates are dividends paid in stock and cash divided by the average number of shares of capital stock eligible for dividends. |
(4) | Net interest margin is net interest income before provision for credit losses as a percentage of average earning assets. |
(5) | Regulatory capital ratio is period-end regulatory capital (capital stock, mandatorily redeemable capital stock and retained earnings) as a percentage of period-end total assets. |
Ending Balances | Average Balances | ||||||||||||||||||||||
June 30, | December 31, | Six Months Ended June 30, | Year Ended December 31, | ||||||||||||||||||||
(In millions) | 2012 | 2011 | 2011 | 2012 | 2011 | 2011 | |||||||||||||||||
Total Assets | $ | 67,466 | $ | 66,618 | $ | 60,397 | $ | 63,872 | $ | 69,415 | $ | 67,288 | |||||||||||
Mission Asset Activity: | |||||||||||||||||||||||
Advances (principal) | 34,602 | 28,578 | 27,839 | 28,983 | 28,223 | 28,635 | |||||||||||||||||
Mortgage Purchase Program: | |||||||||||||||||||||||
Mortgage loans held for portfolio (principal) | 7,955 | 7,473 | 7,752 | 7,925 | 7,499 | 7,610 | |||||||||||||||||
Mandatory Delivery Contracts (notional) | 236 | 361 | 431 | 366 | 205 | 268 | |||||||||||||||||
Total Mortgage Purchase Program | 8,191 | 7,834 | 8,183 | 8,291 | 7,704 | 7,878 | |||||||||||||||||
Letters of Credit (notional) | 3,997 | 5,302 | 4,838 | 4,321 | 5,801 | 5,219 | |||||||||||||||||
Total Mission Asset Activity | $ | 46,790 | $ | 41,714 | $ | 40,860 | $ | 41,595 | $ | 41,728 | $ | 41,732 |
Three Months Ended June 30, | Six Months Ended June 30, | Year Ended December 31, | |||||||||||||||||
(Dollars in millions) | 2012 | 2011 | 2012 | 2011 | 2011 | ||||||||||||||
Net income | $ | 55 | $ | 38 | $ | 112 | $ | 80 | $ | 138 | |||||||||
Affordable Housing Program accrual | 6 | 5 | 13 | 10 | 17 | ||||||||||||||
Return on average equity (ROE) | 6.03 | % | 4.28 | % | 6.26 | % | 4.53 | % | 3.89 | % | |||||||||
Return on average assets | 0.34 | 0.22 | 0.35 | 0.23 | 0.21 | ||||||||||||||
Weighted average dividend rate | 4.25 | 4.50 | 4.38 | 4.50 | 4.25 | ||||||||||||||
Average 3-month LIBOR | 0.47 | 0.26 | 0.49 | 0.29 | 0.34 | ||||||||||||||
Average overnight Federal funds effective rate | 0.15 | 0.09 | 0.13 | 0.12 | 0.10 | ||||||||||||||
ROE spread to 3-month LIBOR | 5.56 | 4.02 | 5.77 | 4.24 | 3.55 | ||||||||||||||
Dividend rate spread to 3-month LIBOR | 3.78 | 4.24 | 3.89 | 4.21 | 3.91 | ||||||||||||||
ROE spread to Federal funds effective rate | 5.88 | 4.19 | 6.13 | 4.41 | 3.79 | ||||||||||||||
Dividend rate spread to Federal funds effective rate | 4.10 | 4.41 | 4.25 | 4.38 | 4.15 |
▪ | An increase in realized gains ($23 million in both the three- and six-month comparisons) from the sales of certain mortgage-backed securities. Each of the securities sold had less than 15 percent of the original acquired principal remaining and were sold under our periodic clean-up process. |
▪ | The FHLBank System’s REFCORP obligation was satisfied at the end of the second quarter of 2011. REFCORP, which had been recorded as a reduction to net income, was replaced with an allocation of 20 percent of net income to a separate |
▪ | We called a significant amount of high-cost Consolidated Bonds before their final maturities throughout 2011 and the first two quarters of 2012 and replaced them with new Consolidated Obligations at substantially lower rates. The resulting savings in interest expense exceeded the decrease in interest income from paydowns of high-yielding mortgage loans, which were reinvested into new mortgage assets also at lower yields. |
▪ | Average spreads between LIBOR-indexed assets (mostly Advances) and short-term Discount Note debt were wider in the last quarter of 2011 and first two quarters of 2012 because of, among other reasons, concerns over the ongoing economic and financial conditions in Europe which has increased the rates at which financial institutions are willing to lend to one another as indicated by LIBOR. We use Discount Notes to fund a large amount of LIBOR-indexed assets. |
Six Months Ended June 30, | |||||||||||||||||||||||
Quarter 2 2012 | Quarter 1 2012 | 2012 | 2011 | Year 2011 | |||||||||||||||||||
Average | Ending | Average | Ending | Average | Average | Average | Ending | ||||||||||||||||
Federal funds target | 0-0.25% | 0-0.25% | 0-0.25% | 0-0.25% | 0-0.25% | 0-0.25% | 0-0.25% | 0-0.25% | |||||||||||||||
Federal funds effective | 0.15 | 0.09 | 0.10 | 0.09 | 0.13 | 0.12 | 0.10 | 0.04 | |||||||||||||||
3-month LIBOR | 0.47 | 0.46 | 0.51 | 0.47 | 0.49 | 0.29 | 0.34 | 0.58 | |||||||||||||||
2-year LIBOR | 0.59 | 0.55 | 0.59 | 0.57 | 0.59 | 0.82 | 0.72 | 0.72 | |||||||||||||||
5-year LIBOR | 1.09 | 0.96 | 1.17 | 1.27 | 1.13 | 2.20 | 1.79 | 1.23 | |||||||||||||||
10-year LIBOR | 1.95 | 1.78 | 2.12 | 2.29 | 2.03 | 3.41 | 2.90 | 2.04 | |||||||||||||||
2-year U.S. Treasury | 0.28 | 0.30 | 0.28 | 0.33 | 0.28 | 0.61 | 0.44 | 0.24 | |||||||||||||||
5-year U.S. Treasury | 0.78 | 0.72 | 0.89 | 1.04 | 0.83 | 1.97 | 1.51 | 0.83 | |||||||||||||||
10-year U.S. Treasury | 1.80 | 1.65 | 2.02 | 2.21 | 1.91 | 3.31 | 2.76 | 1.88 | |||||||||||||||
15-year mortgage current coupon (1) | 1.77 | 1.63 | 1.92 | 2.04 | 1.85 | 3.30 | 2.83 | 2.05 | |||||||||||||||
30-year mortgage current coupon (1) | 2.78 | 2.60 | 2.90 | 3.10 | 2.84 | 4.16 | 3.74 | 2.92 | |||||||||||||||
15-year mortgage note rate (2) | 3.04 | 2.94 | 3.19 | 3.23 | 3.12 | 3.98 | 3.68 | 3.24 | |||||||||||||||
30-year mortgage note rate (2) | 3.79 | 3.66 | 3.92 | 3.99 | 3.86 | 4.75 | 4.45 | 3.95 |
(1) | Simple average of current coupon rates of Fannie Mae and Freddie Mac par mortgage-backed security indications. |
(2) | Simple weekly average of 125 national lenders' mortgage rates for prime borrowers having a 20 percent down payment as surveyed and published by Freddie Mac. |
▪ | Reductions in market interest rates raise ROE compared to market rates to the extent we fund a portion of long-term assets with shorter-term debt. |
▪ | The lower intermediate- and long-term rates have provided us the opportunity to retire many Consolidated Bonds before their final maturities and replace them with lower cost Obligations, at a pace exceeding mortgage paydowns. |
▪ | Earnings generated from funding assets with interest-free capital have not decreased as much as the reduction in overall interest rates because long-term assets do not reprice immediately to the lower rates. |
(Dollars in millions) | June 30, 2012 | March 31, 2012 | December 31, 2011 | ||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||
Adjustable/Variable Rate Indexed: | |||||||||||||||||
LIBOR | $ | 13,641 | 39 | % | $ | 9,659 | 36 | % | $ | 9,649 | 35 | % | |||||
Other | 263 | 1 | 155 | 1 | 229 | 1 | |||||||||||
Total | 13,904 | 40 | 9,814 | 37 | 9,878 | 36 | |||||||||||
Fixed-Rate: | |||||||||||||||||
REPO | 6,126 | 18 | 2,322 | 9 | 3,085 | 11 | |||||||||||
Regular Fixed Rate | 7,983 | 23 | 4,940 | 19 | 5,013 | 18 | |||||||||||
Putable (2) | 2,832 | 8 | 5,992 | 22 | 6,204 | 22 | |||||||||||
Convertible (2) | 1,143 | 3 | 1,174 | 4 | 1,178 | 4 | |||||||||||
Amortizing/Mortgage Matched | 2,315 | 7 | 2,209 | 8 | 2,232 | 8 | |||||||||||
Other | 299 | 1 | 213 | 1 | 249 | 1 | |||||||||||
Total | 20,698 | 60 | 16,850 | 63 | 17,961 | 64 | |||||||||||
Other Advances | — | — | — | — | — | — | |||||||||||
Total Advances Principal | $ | 34,602 | 100 | % | $ | 26,664 | 100 | % | $ | 27,839 | 100 | % | |||||
Letters of Credit (notional) | $ | 3,997 | $ | 4,218 | $ | 4,838 |
(1) | As a percentage of total Advances principal. |
(2) | Excludes Putable/Convertible Advances where the related put/conversion options have expired. Such Advances are classified based on their current terms. |
(Dollars in millions) | ||||||||||||||||
June 30, 2012 | December 31, 2011 | |||||||||||||||
Name | Par Value of Advances | Percent of Total Par Value of Advances | Name | Par Value of Advances | Percent of Total Par Value of Advances | |||||||||||
U.S. Bank, N.A. | $ | 7,314 | 21 | % | U.S. Bank, N.A. | $ | 7,314 | 26 | % | |||||||
Fifth Third Bank | 4,158 | 12 | PNC Bank, N.A. (1) | 3,996 | 14 | |||||||||||
JPMorgan Chase Bank, N.A. | 4,000 | 12 | Fifth Third Bank | 2,533 | 9 | |||||||||||
PNC Bank, N.A. (1) | 3,994 | 12 | Protective Life Insurance Company | 1,000 | 4 | |||||||||||
Protective Life Insurance Company | 1,152 | 3 | Republic Bank & Trust Company | 935 | 4 | |||||||||||
Total of Top 5 | $ | 20,618 | 60 | % | Total of Top 5 | $ | 15,778 | 57 | % |
June 30, 2012 | March 31, 2012 | December 31, 2011 | ||||||
Average Advances-to-Assets for Members | ||||||||
Assets less than $1.0 billion (679 members) | 3.29 | % | 3.43 | % | 3.69 | % | ||
Assets over $1.0 billion (66 members) | 3.04 | % | 2.80 | % | 3.04 | % | ||
All members | 3.27 | % | 3.37 | % | 3.63 | % |
(In millions) | Mortgage Purchase Program Principal | ||
Balance at December 31, 2011 | $ | 7,752 | |
Principal purchases | 1,444 | ||
Principal paydowns | (1,241 | ) | |
Balance at June 30, 2012 | $ | 7,955 |
Six Months Ended | Year Ended | ||||||||||||||
(In millions) | June 30, 2012 | December 31, 2011 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Liquidity investments | $ | 12,475 | $ | 14,820 | $ | 10,737 | $ | 18,411 | |||||||
Mortgage-backed securities | 10,884 | 10,811 | 11,204 | 11,100 | |||||||||||
Other investments (1) | — | 456 | — | 469 | |||||||||||
Total investments | $ | 23,359 | $ | 26,087 | $ | 21,941 | $ | 29,980 |
(1) | The average balance includes the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(In millions) | Mortgage-backed Securities Principal | ||
Balance at December 31, 2011 | $ | 11,163 | |
Principal purchases | 1,819 | ||
Principal paydowns | (1,646 | ) | |
Principal sales | (478 | ) | |
Balance at June 30, 2012 | $ | 10,858 |
Six Months Ended | Year Ended | ||||||||||||||
(In millions) | June 30, 2012 | December 31, 2011 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Consolidated Discount Notes: | |||||||||||||||
Par | $ | 30,542 | $ | 27,761 | $ | 26,138 | $ | 32,295 | |||||||
Discount | (3 | ) | (3 | ) | (2 | ) | (3 | ) | |||||||
Total Consolidated Discount Notes | 30,539 | 27,758 | 26,136 | 32,292 | |||||||||||
Consolidated Bonds: | |||||||||||||||
Unswapped fixed-rate | 18,588 | 18,725 | 18,882 | 20,123 | |||||||||||
Unswapped adjustable-rate | 2,040 | 1,586 | 1,440 | 681 | |||||||||||
Swapped fixed-rate | 10,565 | 9,693 | 8,404 | 7,904 | |||||||||||
Total par Consolidated Bonds | 31,193 | 30,004 | 28,726 | 28,708 | |||||||||||
Other items (1) | 126 | 128 | 129 | 140 | |||||||||||
Total Consolidated Bonds | 31,319 | 30,132 | 28,855 | 28,848 | |||||||||||
Total Consolidated Obligations (2) | $ | 61,858 | $ | 57,890 | $ | 54,991 | $ | 61,140 |
(1) | Includes unamortized premiums/discounts, fair value option valuation adjustments, hedging and other basis adjustments. |
(2) | The 12 FHLBanks have joint and several liability for the par amount of all of the Consolidated Obligations issued on their behalves. The par amount of the outstanding Consolidated Obligations of all 12 FHLBanks was (in millions) $685,195 and $691,868 at June 30, 2012 and December 31, 2011, respectively. |
GAAP and Regulatory Capital | Six Months Ended | Year Ended | |||||||||||||
June 30, 2012 | December 31, 2011 | ||||||||||||||
(In millions) | Period End | Average | Period End | Average | |||||||||||
GAAP Capital Stock | $ | 3,259 | $ | 3,138 | $ | 3,126 | $ | 3,109 | |||||||
Mandatorily Redeemable Capital Stock | 265 | 271 | 275 | 327 | |||||||||||
Regulatory Capital Stock | 3,524 | 3,409 | 3,401 | 3,436 | |||||||||||
Retained Earnings | 488 | 476 | 444 | 455 | |||||||||||
Regulatory Capital | $ | 4,012 | $ | 3,885 | $ | 3,845 | $ | 3,891 |
GAAP and Regulatory Capital-to-Assets Ratio | Six Months Ended | Year Ended | |||||||||
June 30, 2012 | December 31, 2011 | ||||||||||
Period End | Average | Period End | Average | ||||||||
GAAP | 5.54 | % | 5.64 | % | 5.89 | % | 5.29 | % | |||
Regulatory | 5.95 | 6.08 | 6.37 | 5.78 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||
(Dollars in millions) | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||
Amount | ROE (a) | Amount | ROE (a) | Amount | ROE (a) | Amount | ROE (a) | ||||||||||||||||||||
Net interest income | $ | 53 | 5.80 | % | $ | 66 | 7.50 | % | $ | 133 | 7.45 | % | $ | 137 | 7.77 | % | |||||||||||
Provision for credit losses | — | — | (1 | ) | (0.13 | ) | (1 | ) | (0.08 | ) | (4 | ) | (0.21 | ) | |||||||||||||
Net interest income after provision for credit losses | 53 | 5.80 | 65 | 7.37 | 132 | 7.37 | 133 | 7.56 | |||||||||||||||||||
Net gains on derivatives and hedging activities | 3 | 0.35 | — | 0.01 | 7 | 0.39 | 5 | 0.29 | |||||||||||||||||||
Other non-interest income (loss) | 19 | 2.10 | — | (0.03 | ) | 14 | 0.81 | (1 | ) | (0.08 | ) | ||||||||||||||||
Total non-interest income | 22 | 2.45 | — | (0.02 | ) | 21 | 1.20 | 4 | 0.21 | ||||||||||||||||||
Total revenue | 75 | 8.25 | 65 | 7.35 | 153 | 8.57 | 137 | 7.77 | |||||||||||||||||||
Total other expense | (14 | ) | (1.52 | ) | (13 | ) | (1.52 | ) | (28 | ) | (1.58 | ) | (28 | ) | (1.57 | ) | |||||||||||
Assessments | (6 | ) | (0.70 | ) | (14 | ) | (1.55 | ) | (13 | ) | (0.73 | ) | (29 | ) | (1.67 | ) | |||||||||||
Net income | $ | 55 | 6.03 | % | $ | 38 | 4.28 | % | $ | 112 | 6.26 | % | $ | 80 | 4.53 | % |
(a) | The ROE amounts have been computed using dollars in thousands. Accordingly, recalculations based upon the disclosed amounts (millions) in this table may produce nominally different results. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
(Dollars in millions) | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||
Amount | Pct of Earning Assets | Amount | Pct of Earning Assets | Amount | Pct of Earning Assets | Amount | Pct of Earning Assets | ||||||||||||||||
Components of net interest rate spread: | |||||||||||||||||||||||
Other components of net interest rate spread | $ | 68 | 0.42 | % | $ | 61 | 0.36 | % | $ | 138 | 0.44 | % | $ | 120 | 0.35 | % | |||||||
Net (amortization)/accretion (1) (2) | (29 | ) | (0.17 | ) | (9 | ) | (0.05 | ) | (34 | ) | (0.11 | ) | (11 | ) | (0.03 | ) | |||||||
Prepayment fees on Advances, net (2) | 2 | 0.01 | 1 | — | 5 | 0.02 | 1 | — | |||||||||||||||
Total net interest rate spread | 41 | 0.26 | 53 | 0.31 | 109 | 0.35 | 110 | 0.32 | |||||||||||||||
Earnings from funding assets with interest-free capital | 12 | 0.07 | 13 | 0.08 | 24 | 0.07 | 27 | 0.08 | |||||||||||||||
Total net interest income/net interest margin (3) | $ | 53 | 0.33 | % | $ | 66 | 0.39 | % | $ | 133 | 0.42 | % | $ | 137 | 0.40 | % |
(1) | Includes (amortization)/accretion of premiums/discounts on mortgage assets and Consolidated Obligations and deferred transaction costs (concession fees) for Consolidated Obligations. |
(2) | These components of net interest rate spread have been segregated here to display their relative impact. |
(3) | Net interest margin is net interest income before provision for credit losses as a percentage of average total interest earning assets. |
▪ | Re-issuing called Consolidated Bonds at lower debt costs-Favorable: In the last six months of 2011 and the first six months of 2012, we called $6.4 billion unswapped Bonds before their final maturities and replaced them with new Consolidated Obligations at substantially lower rates than the Bonds called. Most of the Bonds called funded mortgage assets. By contrast, there were fewer principal paydowns ($5.9 billion) of mortgage assets, which we reinvested in new mortgage assets with lower yields corresponding to the general trend of declining mortgage rates. In addition, on average, the called Bonds were replaced at lower rates compared to the reduction in yields from reinvesting mortgage asset paydowns into new mortgage assets. We estimate this component increased net interest income by approximately $10-12 million. |
▪ | Wider portfolio spreads on LIBOR-indexed assets-Favorable: We normally use short-term Discount Notes to fund a substantial amount of LIBOR-indexed assets. The current amount of such funding is approximately $15 billion. In the first six months of 2012, the average portfolio spread between LIBOR and Discount Notes was between five and 30 basis points wider than in the same period of 2011 (depending on the interest reset period). The wider spreads were due primarily to concerns over the ongoing economic and financial conditions in Europe, which raised the rates at which financial institutions are willing to lend to one another as indicated by LIBOR. We estimate this component increased interest income by approximately $5 million. |
▪ | Trading securities-Favorable: In the first two quarters of 2012, we held a portion of our investment portfolio in short-term trading securities (including instruments of the U.S. Treasury and government-sponsored enterprises) in order to enhance asset liquidity and manage counterparty credit risk. Many of the trading securities were purchased with above-market coupon rates, which resulted in an estimated $8 million increase in net interest income in the first six months of 2012 compared to the same period of 2011. However, this was offset by earnings reductions in other non-interest income (specifically, net unrealized market value losses on trading securities), with the resulting combined earnings from the trading securities reflecting at-market rates. See “Non-Interest Income and Non-Interest Expense” below for a discussion of the net losses on trading securities. |
▪ | Lower overall market risk exposure-Unfavorable: Average market risk exposure was lower in the first six months of 2012 than in the same period of 2011. A primary indicator of the reduction in market risk exposure was the amount of longer-term mortgage assets funded with shorter-term Consolidated Obligations. Because of the steep yield curve, the reduced market risk exposure decreased earnings, by an estimate of $5 million. |
(Dollars in millions) | Three Months Ended | Three Months Ended | |||||||||||||||||||
June 30, 2012 | June 30, 2011 | ||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Advances | $ | 30,686 | $ | 60 | 0.78 | % | $ | 28,531 | $ | 59 | 0.82 | % | |||||||||
Mortgage loans held for portfolio (2) | 8,158 | 69 | 3.41 | 7,549 | 85 | 4.53 | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 7,024 | 3 | 0.15 | 7,132 | 2 | 0.08 | |||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 2,782 | 1 | 0.17 | 4,682 | 2 | 0.20 | |||||||||||||||
Mortgage-backed securities | 10,459 | 66 | 2.53 | 11,204 | 103 | 3.69 | |||||||||||||||
Other investments (4) | 5,616 | 13 | 0.94 | 8,772 | 12 | 0.55 | |||||||||||||||
Loans to other FHLBanks | 1 | — | — | 8 | — | 0.10 | |||||||||||||||
Total earning assets | 64,726 | 212 | 1.32 | 67,878 | 263 | 1.55 | |||||||||||||||
Less: allowance for credit losses on mortgage loans | 21 | 14 | |||||||||||||||||||
Other assets | 193 | 236 | |||||||||||||||||||
Total assets | $ | 64,898 | $ | 68,100 | |||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||
Term deposits | $ | 119 | — | 0.22 | $ | 175 | — | 0.20 | |||||||||||||
Other interest bearing deposits (5) | 1,051 | — | 0.01 | 1,040 | — | 0.02 | |||||||||||||||
Short-term borrowings | 28,211 | 7 | 0.10 | 32,835 | 6 | 0.08 | |||||||||||||||
Unswapped fixed-rate Consolidated Bonds | 18,892 | 143 | 3.04 | 20,591 | 182 | 3.54 | |||||||||||||||
Unswapped adjustable-rate Consolidated Bonds | 1,731 | 1 | 0.26 | 93 | — | 0.14 | |||||||||||||||
Swapped Consolidated Bonds | 10,080 | 5 | 0.21 | 8,467 | 5 | 0.21 | |||||||||||||||
Mandatorily redeemable capital stock | 267 | 3 | 3.99 | 329 | 4 | 4.50 | |||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||
Total interest-bearing liabilities | 60,351 | 159 | 1.06 | 63,530 | 197 | 1.24 | |||||||||||||||
Non-interest bearing deposits | 18 | 13 | |||||||||||||||||||
Other liabilities | 890 | 997 | |||||||||||||||||||
Total capital | 3,639 | 3,560 | |||||||||||||||||||
Total liabilities and capital | $ | 64,898 | $ | 68,100 | |||||||||||||||||
Net interest rate spread | 0.26 | % | 0.31 | % | |||||||||||||||||
Net interest income and net interest margin (6) | $ | 53 | 0.33 | % | $ | 66 | 0.39 | % | |||||||||||||
Average interest-earning assets to interest-bearing liabilities | 107.25 | % | 106.84 | % |
(1 | ) | Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(2 | ) | Non-accrual loans are included in average balances used to determine average rate. |
(3 | ) | Includes certificates of deposit and bank notes that are classified as available-for-sale securities. |
(4 | ) | Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities. |
(5 | ) | The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(6 | ) | Net interest margin is net interest income before provision for credit losses as a percentage of average total interest earning assets. |
(Dollars in millions) | Six Months Ended | Six Months Ended | |||||||||||||||||||
June 30, 2012 | June 30, 2011 | ||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Advances | $ | 29,530 | $ | 123 | 0.84 | % | $ | 28,842 | $ | 120 | 0.84 | % | |||||||||
Mortgage loans held for portfolio (2) | 8,072 | 158 | 3.93 | 7,582 | 176 | 4.69 | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 6,545 | 4 | 0.13 | 7,689 | 5 | 0.12 | |||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 3,456 | 3 | 0.17 | 5,290 | 6 | 0.22 | |||||||||||||||
Mortgage-backed securities | 10,811 | 146 | 2.72 | 11,301 | 212 | 3.78 | |||||||||||||||
Other investments (4) | 5,275 | 24 | 0.92 | 8,494 | 21 | 0.51 | |||||||||||||||
Loans to other FHLBanks | 2 | — | 0.10 | 6 | — | 0.11 | |||||||||||||||
Total earning assets | 63,691 | 458 | 1.45 | 69,204 | 540 | 1.57 | |||||||||||||||
Less: allowance for credit losses on mortgage loans | 21 | 14 | |||||||||||||||||||
Other assets | 202 | 225 | |||||||||||||||||||
Total assets | $ | 63,872 | $ | 69,415 | |||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||
Term deposits | $ | 108 | — | 0.23 | $ | 208 | — | 0.24 | |||||||||||||
Other interest bearing deposits (5) | 1,059 | — | 0.01 | 1,108 | — | 0.03 | |||||||||||||||
Short-term borrowings | 27,758 | 11 | 0.08 | 33,257 | 18 | 0.11 | |||||||||||||||
Unswapped fixed-rate Consolidated Bonds | 18,781 | 294 | 3.14 | 20,685 | 367 | 3.57 | |||||||||||||||
Unswapped adjustable-rate Consolidated Bonds | 1,586 | 2 | 0.28 | 47 | — | 0.14 | |||||||||||||||
Swapped Consolidated Bonds | 9,765 | 12 | 0.24 | 9,201 | 10 | 0.22 | |||||||||||||||
Mandatorily redeemable capital stock | 271 | 6 | 4.54 | 334 | 8 | 4.78 | |||||||||||||||
Other borrowings | 1 | — | 0.37 | — | — | — | |||||||||||||||
Total interest-bearing liabilities | 59,329 | 325 | 1.10 | 64,840 | 403 | 1.25 | |||||||||||||||
Non-interest bearing deposits | 17 | 13 | |||||||||||||||||||
Other liabilities | 923 | 1,011 | |||||||||||||||||||
Total capital | 3,603 | 3,551 | |||||||||||||||||||
Total liabilities and capital | $ | 63,872 | $ | 69,415 | |||||||||||||||||
Net interest rate spread | 0.35 | % | 0.32 | % | |||||||||||||||||
Net interest income and net interest margin (6) | $ | 133 | 0.42 | % | $ | 137 | 0.40 | % | |||||||||||||
Average interest-earning assets to interest-bearing liabilities | 107.35 | % | 106.73 | % |
(1 | ) | Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(2 | ) | Non-accrual loans are included in average balances used to determine average rate. |
(3 | ) | Includes certificates of deposit and bank notes that are classified as available-for-sale securities. |
(4 | ) | Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities. |
(5 | ) | The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(6 | ) | Net interest margin is net interest income before provision for credit losses as a percentage of average total interest earning assets. |
▪ | The change in net amortization was greater in the three-month period. |
▪ | The amount of principal runoff of high-yielding mortgages was larger in the three-month period. |
▪ | The LIBOR to Discount Note spread began to revert down towards historical levels in the second quarter. |
▪ | Average Advance rates were lower, and declined more, in the second quarter. |
▪ | Advance prepayment fees rose less in the three-months comparison period. |
(In millions) | Three Months Ended June 30, 2012 over 2011 | Six Months Ended June 30, 2012 over 2011 | |||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||
Advances | $ | 4 | $ | (3 | ) | $ | 1 | $ | 3 | $ | — | $ | 3 | ||||||||||
Mortgage loans held for portfolio | 7 | (23 | ) | (16 | ) | 11 | (29 | ) | (18 | ) | |||||||||||||
Federal funds sold and securities purchased under resale agreements | — | 1 | 1 | (1 | ) | — | (1 | ) | |||||||||||||||
Interest-bearing deposits in banks | (1 | ) | — | (1 | ) | (2 | ) | (1 | ) | (3 | ) | ||||||||||||
Mortgage-backed securities | (6 | ) | (31 | ) | (37 | ) | (9 | ) | (57 | ) | (66 | ) | |||||||||||
Other investments | (5 | ) | 6 | 1 | (10 | ) | 13 | 3 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||
Total | (1 | ) | (50 | ) | (51 | ) | (8 | ) | (74 | ) | (82 | ) | |||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||
Term deposits | — | — | — | — | — | — | |||||||||||||||||
Other interest-bearing deposits | — | — | — | — | — | — | |||||||||||||||||
Short-term borrowings | (1 | ) | 2 | 1 | (3 | ) | (4 | ) | (7 | ) | |||||||||||||
Unswapped fixed-rate Consolidated Bonds | (14 | ) | (25 | ) | (39 | ) | (32 | ) | (41 | ) | (73 | ) | |||||||||||
Unswapped adjustable-rate Consolidated Bonds | 1 | — | 1 | 2 | — | 2 | |||||||||||||||||
Swapped Consolidated Bonds | — | — | — | 1 | 1 | 2 | |||||||||||||||||
Mandatorily redeemable capital stock | — | (1 | ) | (1 | ) | (1 | ) | (1 | ) | (2 | ) | ||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total | (14 | ) | (24 | ) | (38 | ) | (33 | ) | (45 | ) | (78 | ) | |||||||||||
Increase (decrease) in net interest income | $ | 13 | $ | (26 | ) | $ | (13 | ) | $ | 25 | $ | (29 | ) | $ | (4 | ) |
(1) | Volume changes are calculated as the change in volume multiplied by the prior year rate. |
(2) | Rate changes are calculated as the change in rate multiplied by the prior year average balance. |
(3) | Changes that are not identifiable as either volume-related or rate-related, but rather are equally attributable to both volume and rate changes, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
(In millions) | 2012 | 2011 | 2012 | 2011 | |||||||||||
Advances: | |||||||||||||||
Amortization/accretion of hedging activities in net interest income | $ | (1 | ) | $ | — | $ | (1 | ) | $ | (1 | ) | ||||
Net interest settlements included in net interest income | (77 | ) | (93 | ) | (158 | ) | (186 | ) | |||||||
Mortgage loans: | |||||||||||||||
Amortization of derivative fair value adjustments in net interest income | (2 | ) | — | (3 | ) | — | |||||||||
Consolidated Obligation Bonds: | |||||||||||||||
Net interest settlements included in net interest income | 9 | 19 | 18 | 40 | |||||||||||
Decrease to net interest income | $ | (71 | ) | $ | (74 | ) | $ | (144 | ) | $ | (147 | ) |
(Dollars in millions) | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Other Income | |||||||||||||||
Net gains on held-to-maturity securities | $ | 29 | $ | 6 | $ | 29 | $ | 6 | |||||||
Net gains on derivatives and hedging activities | 3 | — | 7 | 5 | |||||||||||
Other non-interest loss, net | (10 | ) | (6 | ) | (15 | ) | (7 | ) | |||||||
Total other income | $ | 22 | $ | — | $ | 21 | $ | 4 | |||||||
Other Expense | |||||||||||||||
Compensation and benefits | $ | 8 | $ | 8 | $ | 16 | $ | 16 | |||||||
Other operating expense | 3 | 3 | 7 | 7 | |||||||||||
Finance Agency | 1 | 1 | 3 | 2 | |||||||||||
Office of Finance | 1 | 1 | 2 | 2 | |||||||||||
Other | 1 | — | — | 1 | |||||||||||
Total other expense | $ | 14 | $ | 13 | $ | 28 | $ | 28 | |||||||
Average total assets | $ | 64,898 | $ | 68,100 | $ | 63,872 | $ | 69,415 | |||||||
Average regulatory capital | 3,916 | 3,896 | 3,885 | 3,892 | |||||||||||
Total other expense to average total assets (1) | 0.09 | % | 0.08 | % | 0.09 | % | 0.08 | % | |||||||
Total other expense to average regulatory capital (1) | 1.41 | 1.39 | 1.46 | 1.43 |
(1) | Amounts used to calculate percentages are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(In millions) | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net gains on derivatives and hedging activities | |||||||||||||||
Advances: | |||||||||||||||
Gains on fair value hedges | $ | 3 | $ | 2 | $ | 7 | $ | 8 | |||||||
Losses on derivatives not receiving hedge accounting | (2 | ) | (3 | ) | (2 | ) | (3 | ) | |||||||
Mortgage loans: | |||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1 | — | (2 | ) | (4 | ) | |||||||||
Consolidated Obligation Bonds: | |||||||||||||||
Gains on derivatives not receiving hedge accounting | 1 | 1 | 4 | 4 | |||||||||||
Total net gains on derivatives and hedging activities | 3 | — | 7 | 5 | |||||||||||
Net gains on financial instruments held at fair value (1) | — | — | 2 | — | |||||||||||
Total net effect of derivatives and hedging activities | $ | 3 | $ | — | $ | 9 | $ | 5 |
(1) | Includes only those gains or losses on financial instruments held at fair value that have an economic derivative "assigned." |
(Dollars in millions) | Traditional Member Finance | Mortgage Purchase Program | Total | ||||||||
Three Months Ended June 30, 2012 | |||||||||||
Net interest income after provision for credit losses | $ | 41 | $ | 12 | $ | 53 | |||||
Net income | $ | 45 | $ | 10 | $ | 55 | |||||
Average assets | $ | 56,727 | $ | 8,171 | $ | 64,898 | |||||
Assumed average capital allocation | $ | 3,181 | $ | 458 | $ | 3,639 | |||||
Return on Average Assets (1) | 0.32 | % | 0.49 | % | 0.34 | % | |||||
Return on Average Equity (1) | 5.63 | % | 8.80 | % | 6.03 | % | |||||
Three Months Ended June 30, 2011 | |||||||||||
Net interest income after provision for credit losses | $ | 47 | $ | 18 | $ | 65 | |||||
Net income | $ | 26 | $ | 12 | $ | 38 | |||||
Average assets | $ | 60,530 | $ | 7,570 | $ | 68,100 | |||||
Assumed average capital allocation | $ | 3,164 | $ | 396 | $ | 3,560 | |||||
Return on Average Assets (1) | 0.17 | % | 0.63 | % | 0.22 | % | |||||
Return on Average Equity (1) | 3.30 | % | 12.06 | % | 4.28 | % |
(1) | Amounts used to calculate returns are based on numbers in thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(Dollars in millions) | Traditional Member Finance | Mortgage Purchase Program | Total | ||||||||
Six Months Ended June 30, 2012 | |||||||||||
Net interest income after provision for credit losses | $ | 92 | $ | 40 | $ | 132 | |||||
Net income | $ | 81 | $ | 31 | $ | 112 | |||||
Average assets | $ | 55,787 | $ | 8,085 | $ | 63,872 | |||||
Assumed average capital allocation | $ | 3,147 | $ | 456 | $ | 3,603 | |||||
Return on Average Assets (1) | 0.29 | % | 0.76 | % | 0.35 | % | |||||
Return on Average Equity (1) | 5.21 | % | 13.53 | % | 6.26 | % | |||||
Six Months Ended June 30, 2011 | |||||||||||
Net interest income after provision for credit losses | $ | 91 | $ | 42 | $ | 133 | |||||
Net income | $ | 54 | $ | 26 | $ | 80 | |||||
Average assets | $ | 61,812 | $ | 7,603 | $ | 69,415 | |||||
Assumed average capital allocation | $ | 3,162 | $ | 389 | $ | 3,551 | |||||
Return on Average Assets (1) | 0.18 | % | 0.68 | % | 0.23 | % | |||||
Return on Average Equity (1) | 3.47 | % | 13.20 | % | 4.53 | % |
(1) | Amounts used to calculate returns are based on numbers in thousands. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(Dollars in millions) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||
2012 Year-to-Date | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,044 | $ | 4,046 | $ | 4,073 | $ | 4,156 | $ | 4,241 | $ | 4,138 | $ | 3,930 | |||||||||||||
% Change from Flat Case | (2.7 | )% | (2.6 | )% | (2.0 | )% | — | 2.0 | % | (0.4 | )% | (5.4 | )% | ||||||||||||||
2011 Full Year | |||||||||||||||||||||||||||
Market Value of Equity | $ | 3,944 | $ | 3,972 | $ | 4,026 | $ | 4,108 | $ | 4,075 | $ | 3,904 | $ | 3,692 | |||||||||||||
% Change from Flat Case | (4.0 | )% | (3.3 | )% | (2.0 | )% | — | (0.8 | )% | (5.0 | )% | (10.1 | )% | ||||||||||||||
Month-End Results | |||||||||||||||||||||||||||
June 30, 2012 | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,140 | $ | 4,143 | $ | 4,169 | $ | 4,225 | $ | 4,278 | $ | 4,151 | $ | 3,920 | |||||||||||||
% Change from Flat Case | (2.0 | )% | (1.9 | )% | (1.3 | )% | — | 1.3 | % | (1.8 | )% | (7.2 | )% | ||||||||||||||
December 31, 2011 | |||||||||||||||||||||||||||
Market Value of Equity | $ | 3,958 | $ | 3,964 | $ | 3,996 | $ | 4,090 | $ | 4,191 | $ | 4,102 | $ | 3,915 | |||||||||||||
% Change from Flat Case | (3.2 | )% | (3.1 | )% | (2.3 | )% | — | 2.5 | % | 0.3 | % | (4.3 | )% |
(In years) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||
Average Results | ||||||||||||||||||||
2012 Year-to-Date | 1.4 | 0.7 | (0.4 | ) | (3.2 | ) | 0.7 | 4.2 | 6.0 | |||||||||||
2011 Full Year | (0.2 | ) | (0.8 | ) | (1.4 | ) | (1.1 | ) | 3.2 | 5.3 | 6.0 | |||||||||
Month-End Results | ||||||||||||||||||||
June 30, 2012 | 1.5 | 1.0 | — | (1.8 | ) | 1.2 | 4.7 | 6.5 | ||||||||||||
December 31, 2011 | 0.5 | (0.3 | ) | (1.2 | ) | (3.8 | ) | 0.5 | 3.7 | 5.5 |
June 30, 2012 | December 31, 2011 | ||||
Market Value of Equity to Par Value of Regulatory Capital Stock | 120 | % | 120 | % | |
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock of 200 bps | 118 | 118 | |||
Market Value of Capital to Par Value of Regulatory Capital Stock - Up Shock of 200 bps | 118 | 121 |
Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||
Average Results | |||||||||||||||||||
2012 Year-to-Date | (15.6 | )% | (14.0 | )% | (9.6 | )% | — | 9.7 | % | 3.5 | % | (11.9 | )% | ||||||
2011 Full Year | (20.1 | )% | (15.8 | )% | (9.2 | )% | — | (1.0 | )% | (14.6 | )% | (32.1 | )% | ||||||
Month-End Results | |||||||||||||||||||
June 30, 2012 | (11.5 | )% | (10.4 | )% | (6.6 | )% | — | 5.9 | % | (1.8 | )% | (17.6 | )% | ||||||
December 31, 2011 | (17.1 | )% | (15.2 | )% | (10.3 | )% | — | 10.3 | % | 4.2 | % | (10.6 | )% |
▪ | a conservative approach to collateralizing credit services that results in significant over-collateralization; |
▪ | close monitoring of members' financial conditions and repayment capacities; |
▪ | a risk-focused process for reviewing and verifying the quality, documentation, and administration of pledged loan collateral; |
▪ | significant upward adjustments on collateral margins assigned to almost all of the subprime and nontraditional mortgages pledged as collateral; and |
▪ | a history of never experiencing a credit loss or delinquency on any Advance. |
June 30, 2012 | December 31, 2011 | ||||||||||||
Percent of Total | Collateral Amount | Percent of Total | Collateral Amount | ||||||||||
Pledged Collateral | ($ Billions) | Pledged Collateral | ($ Billions) | ||||||||||
Single family loans | 61 | % | $ | 102.4 | 62 | % | $ | 97.0 | |||||
Home equity loans/lines of credit | 15 | 25.1 | 17 | 26.2 | |||||||||
Commercial real estate | 10 | 17.4 | 11 | 17.1 | |||||||||
Bond securities | 8 | 13.2 | 8 | 13.5 | |||||||||
Multi-family loans | 6 | 9.2 | 2 | 2.6 | |||||||||
Farm real estate | (a) | 0.5 | (a) | 0.4 | |||||||||
Total | 100 | % | $ | 167.8 | 100 | % | $ | 156.8 |
(a) | Less than one percent of total pledged collateral. |
Lending Values Applied to Collateral | |
Blanket Status | |
1-4 family loans | 67-83% |
Multi-family loans | 41-53% |
Home equity loans/lines of credit | 37-63% |
Commercial real estate loans | 44-56% |
Farm real estate loans | 51-69% |
Listing Status/Physical Delivery | |
Cash/U.S. Government/U.S. Treasury/U.S. agency securities | 93-100% |
U.S. agency MBS/CMOs | 90-96% |
Private-label MBS/CMOs | 65-87% |
Commercial mortgage-backed securities | 48-83% |
Small Business Administration certificates | 91% |
1-4 family loans | 70-83% |
Multi-family loans | 49-63% |
Home equity loans/lines of credit | 53-69% |
Commercial real estate loans | 53-67% |
(Dollars in billions) | ||||||||||||||||
June 30, 2012 | December 31, 2011 | |||||||||||||||
All Members and Borrowing Nonmembers | All Members and Borrowing Nonmembers | |||||||||||||||
Collateral-Based | Collateral-Based | |||||||||||||||
Credit | Borrowing | Credit | Borrowing | |||||||||||||
Rating | Number | Capacity | Rating | Number | Capacity | |||||||||||
1-3 | 457 | $ | 63.4 | 1-3 | 420 | $ | 57.0 | |||||||||
4 | 141 | 43.8 | 4 | 181 | 41.0 | |||||||||||
5 | 82 | 2.7 | 5 | 72 | 2.0 | |||||||||||
6 | 35 | 1.1 | 6 | 34 | 0.7 | |||||||||||
7 | 42 | 1.4 | 7 | 46 | 1.8 | |||||||||||
Total | 757 | $ | 112.4 | Total | 753 | $ | 102.5 |
▪ | various credit enhancements for conventional loans, which are designed to protect us against credit losses; |
▪ | conservative underwriting and loan characteristics consistent with favorable expected credit performance; |
▪ | a relatively moderate overall amount of delinquencies and defaults experienced when compared to national averages; |
▪ | only $2.7 million of year-to-date and $8.1 million of program-to-date charge-offs through June 30, 2012; and |
▪ | in addition to the program-to-date charge-offs, financial analysis suggesting that future credit losses will not harm capital adequacy and will not significantly affect profitability except under the most extreme and unlikely credit conditions. |
FICO® Score (1) | June 30, 2012 | December 31, 2011 | ||||
< 620 | — | % | — | % | ||
620 to < 660 | 3 | 4 | ||||
660 to < 700 | 9 | 10 | ||||
700 to < 740 | 18 | 18 | ||||
>= 740 | 70 | 68 | ||||
Weighted Average | 757 | 754 |
(1) | Represents the original FICO® score. |
Based on Estimated Origination Value | Based On Estimated Current Value | |||||||||||||
Loan-to-Value | June 30, 2012 | December 31, 2011 | Loan-to-Value | June 30, 2012 | December 31, 2011 | |||||||||
<= 60% | 21 | % | 21 | % | <= 60% | 26 | % | 26 | % | |||||
> 60% to 70% | 19 | 18 | > 60% to 70% | 19 | 17 | |||||||||
> 70% to 80% | 51 | 52 | > 70% to 80% | 33 | 29 | |||||||||
> 80% to 90% | 6 | 6 | > 80% to 90% | 11 | 14 | |||||||||
> 90% | 3 | 3 | > 90% to 100% | 5 | 6 | |||||||||
> 100% | 6 | 8 | ||||||||||||
Weighted Average | 70 | % | 70 | % | Weighted Average | 70 | % | 72 | % |
Conventional Loan Delinquencies | |||||||
(Dollars in millions) | June 30, 2012 | December 31, 2011 | |||||
Early stage delinquencies - unpaid principal balance (1) | $ | 65 | $ | 82 | |||
Serious delinquencies - unpaid principal balance (2) | 88 | 91 | |||||
Early stage delinquency rate (3) | 1.0 | % | 1.3 | % | |||
Serious delinquency rate (4) | 1.3 | 1.4 | |||||
National average serious delinquency rate (5) | 4.0 | 4.1 |
(1) | Includes conventional loans 30 to 89 days delinquent and not in foreclosure. |
(2) | Includes conventional loans that are 90 days or more past due or where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. |
(3) | Early stage delinquencies expressed as a percentage of the total conventional loan portfolio. |
(4) | Serious delinquencies expressed as a percentage of the total conventional loan portfolio. |
(5) | National average number of fixed-rate prime conventional loans that are 90 days or more past due or in the process of foreclosure is based on the most recent national delinquency data available. The June 30, 2012 rate is based on March 31, 2012 data. |
(In millions) | June 30, 2012 | December 31, 2011 | |||||
Estimated incurred credit losses, before credit enhancements | $ | (62 | ) | $ | (64 | ) | |
Estimated amounts to be covered by: | |||||||
Primary mortgage insurance | 5 | 5 | |||||
Supplemental mortgage insurance | 28 | 30 | |||||
Lender Risk Account | 9 | 8 | |||||
Allowance for credit losses, after credit enhancements | $ | (20 | ) | $ | (21 | ) |
(In millions) | June 30, 2012 | ||||||||||||||
Long-Term Rating | |||||||||||||||
AAA | AA | A | Total | ||||||||||||
Unsecured Liquidity Investments | |||||||||||||||
Federal funds sold | $ | — | $ | 2,410 | $ | 1,300 | $ | 3,710 | |||||||
Certificates of deposit | — | 400 | 400 | 800 | |||||||||||
Total unsecured liquidity investments | — | 2,810 | 1,700 | 4,510 | |||||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||||||
Securities purchased under agreements to resell | — | 3,200 | — | 3,200 | |||||||||||
U.S. Treasury obligations | — | 301 | — | 301 | |||||||||||
Government-sponsored enterprises (1) | — | 2,653 | — | 2,653 | |||||||||||
TLGP (2) | — | 1,811 | — | 1,811 | |||||||||||
Total guaranteed/secured liquidity investments | — | 7,965 | — | 7,965 | |||||||||||
Total liquidity investments | $ | — | $ | 10,775 | $ | 1,700 | $ | 12,475 |
December 31, 2011 | |||||||||||||||
Long-Term Rating | |||||||||||||||
AAA | AA | A | Total | ||||||||||||
Unsecured Liquidity Investments | |||||||||||||||
Federal funds sold | $ | — | $ | 540 | $ | 1,730 | $ | 2,270 | |||||||
Certificates of deposit | — | 2,329 | 1,625 | 3,954 | |||||||||||
Other (3) | 217 | — | — | 217 | |||||||||||
Total unsecured liquidity investments | 217 | 2,869 | 3,355 | 6,441 | |||||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||||||
U.S. Treasury obligations | — | 331 | — | 331 | |||||||||||
Government-sponsored enterprises (1) | — | 2,554 | — | 2,554 | |||||||||||
TLGP (2) | — | 1,411 | — | 1,411 | |||||||||||
Total guaranteed/secured liquidity investments | — | 4,296 | — | 4,296 | |||||||||||
Total liquidity investments | $ | 217 | $ | 7,165 | $ | 3,355 | $ | 10,737 |
(1) | Consists of securities that are issued and effectively guaranteed by Fannie Mae and/or Freddie Mac, which have the backing of the U.S. government, although they are not obligations of the U.S. government. |
(2) | Represents corporate debentures issued or guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the Temporary Liquidity Guarantee Program (TLGP). |
(3) | Consists of debt securities issued by International Bank for Reconstruction and Development. |
(In millions) | June 30, 2012 | |||||||||||||
Counterparty Rating (1) | ||||||||||||||
Domicile of Counterparty | Sovereign Rating (1) | AA | A | Total | ||||||||||
Domestic | AA+ | $ | 775 | $ | 1,350 | $ | 2,125 | |||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||
Canada | AAA | 795 | — | 795 | ||||||||||
Finland | AAA | 545 | — | 545 | ||||||||||
Netherlands | AAA | 545 | — | 545 | ||||||||||
Austria | AA+ | — | 350 | 350 | ||||||||||
Australia | AAA | 150 | — | 150 | ||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 2,035 | 350 | 2,385 | |||||||||||
Total unsecured investment credit exposure | $ | 2,810 | $ | 1,700 | $ | 4,510 |
(1) | Represents the lowest long-term credit ratings provided by Standard & Poor's, Moody's, and/or Fitch Advisory Services. |
(In millions) | June 30, 2012 | |||||||||||||||
Domicile of Counterparty | Overnight | Due 2 days through 30 days | Due 31 days through 90 days | Total | ||||||||||||
Domestic | $ | 1,725 | $ | 125 | $ | 275 | $ | 2,125 | ||||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||||
Canada | 545 | 250 | — | 795 | ||||||||||||
Finland | 545 | — | — | 545 | ||||||||||||
Netherlands | 545 | — | — | 545 | ||||||||||||
Austria | 350 | — | — | 350 | ||||||||||||
Australia | — | 150 | — | 150 | ||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 1,985 | 400 | — | 2,385 | ||||||||||||
Total unsecured investment credit exposure | $ | 3,710 | $ | 525 | $ | 275 | $ | 4,510 |
(In millions) | |||||||||||||||
Credit Rating (1) | Total Notional | Gross Credit Exposure | Cash Collateral Held | Credit Exposure Net of Cash Collateral Held | |||||||||||
Aaa/AAA | $ | — | $ | — | $ | — | $ | — | |||||||
Aa/AA | 1,585 | 4 | — | 4 | |||||||||||
A | 13,871 | 3 | (2 | ) | 1 | ||||||||||
Baa/BBB | 4,373 | — | — | — | |||||||||||
Member institutions (2) | 236 | 2 | — | 2 | |||||||||||
Total | $ | 20,065 | $ | 9 | $ | (2 | ) | $ | 7 |
(1) | Each category includes the related plus (+) and minus (-) ratings (i.e., “A” includes “A+” and “A-” ratings). |
(2) | Represents Mandatory Delivery Contracts. |
(In millions) | ||||||||||||||||||
June 30, 2012 | December 31, 2011 | |||||||||||||||||
Counterparty | Credit Rating Category | Notional Principal | Net Unsecured Exposure | Counterparty | Credit Rating Category | Notional Principal | Net Unsecured Exposure | |||||||||||
BNP Paribas | A | $ | 3,771 | $ | — | Barclays Bank PLC | A | $ | 3,596 | $ | — | |||||||
Barclays Bank PLC | A | 3,552 | — | BNP Paribas | A | 2,830 | — | |||||||||||
Citigroup Financial Products Inc. | Baa/BBB | 2,254 | — | Deutsche Bank AG | A | 2,116 | — | |||||||||||
Morgan Stanley Capital Services | Baa/BBB | 2,119 | — | Royal Bank of Scotland PLC | A | 1,981 | — | |||||||||||
All others (10 counterparties) | A to Aa/AA | 8,043 | 5 | All others (9 counterparties) | A to Aa/AA | 8,230 | 3 | |||||||||||
Total | $ | 19,739 | $ | 5 | Total | $ | 18,753 | $ | 3 |
Contingency Liquidity Requirement (in millions) | June 30, 2012 | December 31, 2011 | |||||
Total Contingency Liquidity Reserves (1) | $ | 26,513 | $ | 23,599 | |||
Total Requirement (2) | (16,360 | ) | (6,669 | ) | |||
Excess Contingency Liquidity Available | $ | 10,153 | $ | 16,930 |
(1) | Includes, among others, cash, overnight Federal funds, overnight deposits, self-liquidating term Federal funds, 95 percent of the market value of available-for-sale negotiable securities, and 75 percent of the market value of certain held-to-maturity obligations, including obligations of the United States, U.S. government agency obligations and mortgage-backed securities. |
(2) | Includes maturing net liabilities in the next seven business days, assets traded not yet settled, Advance commitments outstanding, Advances maturing in the next seven business days, and a three percent hypothetical increase in Advances. |
Deposit Reserve Requirement (in millions) | June 30, 2012 | December 31, 2011 | |||||
Total Eligible Deposit Reserves | $ | 41,434 | $ | 33,733 | |||
Total Member Deposits | (1,124 | ) | (1,067 | ) | |||
Excess Deposit Reserves | $ | 40,310 | $ | 32,666 |
(In millions) | < 1 year | 1<3 years | 3<5 years | > 5 years | Total | ||||||||||||||
Contractual Obligations | |||||||||||||||||||
Long-term debt (Consolidated Bonds) - par (1) | $ | 14,075 | $ | 8,588 | $ | 3,781 | $ | 4,749 | $ | 31,193 | |||||||||
Operating leases (include premises and equipment) | 1 | 2 | — | — | 3 | ||||||||||||||
Mandatorily redeemable capital stock | 3 | 262 | — | — | 265 | ||||||||||||||
Commitments to fund mortgage loans | 236 | — | — | — | 236 | ||||||||||||||
Pension and other postretirement benefit obligations | 2 | 4 | 4 | 20 | 30 | ||||||||||||||
Total Contractual Obligations | $ | 14,317 | $ | 8,856 | $ | 3,785 | $ | 4,769 | $ | 31,727 |
(1) | Does not include Discount Notes and contractual interest payments related to Consolidated Bonds. Total is based on contractual maturities; the actual timing of payments could be affected by factors affecting redemptions. |
(In millions) | < 1 year | 1<3 years | 3<5 years | > 5 years | Total | ||||||||||||||
Off-balance sheet items (1) | |||||||||||||||||||
Commitments to fund additional Advances | $ | 8 | $ | — | $ | — | $ | — | $ | 8 | |||||||||
Standby Letters of Credit | 3,823 | 78 | 42 | 54 | 3,997 | ||||||||||||||
Standby bond purchase agreements | 247 | 143 | — | — | 390 | ||||||||||||||
Consolidated Obligations traded, not yet settled | 396 | — | 40 | 615 | 1,051 | ||||||||||||||
Total off-balance sheet items | $ | 4,474 | $ | 221 | $ | 82 | $ | 669 | $ | 5,446 |
(1) | Represents notional amount of off-balance sheet obligations. |
Item 3. | Quantitative and Qualitative Disclosures About Market Risk. |
Item 4. | Controls and Procedures. |
Item 1A. | Risk Factors. |
Item 6. | Exhibits. |
(a) | Exhibits. |
By: | /s/ Andrew S. Howell | |
Andrew S. Howell | ||
President and Chief Executive Officer (principal executive officer) | ||
By: | /s/ Donald R. Able | |
Donald R. Able | ||
Executive Vice President - Chief Operating Officer (principal financial officer) |
Exhibit Number (1) | Description of exhibit | Document filed or furnished, as indicated below | ||
10.1 | Incentive Compensation Plan | Filed Herewith | ||
10.2 | Transitional Executive Long-Term Incentive Plan | Filed Herewith | ||
31.1 | Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer | Filed Herewith | ||
31.2 | Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer | Filed Herewith | ||
32 | Section 1350 Certifications | Furnished Herewith | ||
101.INS | XBRL Instance Document | Furnished Herewith | ||
101.SCH | XBRL Taxonomy Extension Schema Document | Furnished Herewith | ||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | Furnished Herewith | ||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | Furnished Herewith | ||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | Furnished Herewith | ||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | Furnished Herewith | ||
(1) | Numbers coincide with Item 601 of Regulation S-K. |
Table of Contents | |||
Page | |||
Overview | 1 | ||
1. | Plan Objectives | 1 | |
2. | Definitions | 1 | |
3. | Eligibility | 4 | |
4. | Incentive Award Opportunity | 5 | |
5. | Performance Mix | 6 | |
6. | Performance Measures | 6 | |
7. | Award Determination | 7 | |
8. | Preconditions to Award | 8 | |
9. | Vesting of Awards, Timing of Benefit Payments | 9 | |
10. | Plan Communication | 11 | |
11. | Administrative Control | 11 | |
12. | Miscellaneous Conditions | 12 | |
Appendices | 16 | ||
Appendix A: Plan Participants | 17 | ||
Appendix B: Award Opportunity and Performance Mix | 18 | ||
Appendix C: Performance Measures | 19 | ||
Appendix D: Performance Measures for Chief Risk Officer and ERM | 20 |
1. | Plan Objectives |
1.1 | The purpose of the Federal Home Loan Bank of Cincinnati's Incentive Compensation Plan is to achieve the following: |
1.1.1 | Promote awareness and achievement of the Bank's annual and long-term profitability and business goals; |
1.1.2 | Link performance and compensation to specific Bankwide and individual performance measures; |
1.1.3 | Provide a competitive reward structure for officers and other employees; |
1.1.4 | Provide a vehicle for closer Board involvement and communication with management regarding Bank strategic plans; and |
1.1.5 | Promote loyalty and dedication to the Bank and its objectives. |
2. | Definitions |
2.1 | When used in the Incentive Compensation Plan, the following words and phrases shall have the following meaning: |
2.1.1 | Annual Incentive Award means the award based upon the results of a single Plan year, the Eligibility Level, Performance Mix, and other factors detailed in this Plan. |
2.1.2 | Audit Committee means the Audit Committee of the Board. |
2.1.3 | Bank means the Federal Home Loan Bank of Cincinnati. |
2.1.4 | Board means the Bank's Board of Directors. |
2.1.5 | Chief Risk Officer means the Bank’s Chief Risk Officer. |
2.1.6 | Deferred Incentive Award means the portion of the Annual Incentive Award Opportunity which is mandatorily deferred for the applicable Deferral Period and which is subject to change based on the Bank’s performance over the Deferral Period. |
2.1.7 | Deferral Period means the three-year period over which a portion of the Annual Incentive Award for a Participant in Level I, II, III, or IV is mandatorily deferred and over which Bank performance is measured to determine the amount of the Final Award for that Participant. |
2.1.8 | Disability means a Participant who (i) is unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than 12 months, or (ii) is, by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than 12 months, receiving income replacement benefits for a period of not less than three months under an accident and health plan covering employees of the Bank. All determinations as to the date and extent of disability shall be made upon the basis of such evidence, including independent medical reports and data, as the Personnel Committee deems necessary and desirable. All determinations of the Personnel Committee shall be final and binding. |
2.1.9 | Enterprise Risk Management (“ERM”) means the Bank’s Enterprise Risk Management Department. |
2.1.10 | Extraordinary Events may include changes in business strategy, impact of severe economic fluctuations, significant growth or consolidation of the membership base or other factors that impact the Bank or the Federal Home Loan Bank system. |
2.1.11 | Final Award means the amount ultimately paid to a Participant under the Plan. With respect to Participants in Levels V, VI, and VII, each year the Final Award will be composed solely of that immediately preceding year’s Annual Incentive Award. With respect to Participants in Levels I, II, III, and IV, the Final Award for each year will be composed of a combination of that immediately preceding year’s Annual Incentive Award and the Deferred incentive Award. |
2.1.12 | Incentive Award Opportunity means the award that may be earned at various levels (Threshold, Target and Outstanding) based on the Plan year results, the Eligibility Level, and Performance Mix and other factors detailed in this Plan. |
2.1.13 | Internal Audit Department means the Bank’s Internal Audit Department. |
2.1.14 | Participant means a person who, at the discretion of the Board, is eligible to take part in the Plan for a designated Plan year and/or Deferral Period, and whose position is included in one of the levels defined within this Plan or who has been separately named as a Participant for that Plan year by the President, with the concurrence of the Personnel Committee. |
2.1.15 | Performance Measure means each performance factor that is taken into consideration under the Plan in determining the value of the Final Award. |
2.1.16 | Performance Mix means the weighting of Performance Measures taken into consideration under the Plan in determining the value of the Final Award. |
2.1.17 | Performance Period means the period of time over which Bank performance is measured. In the case of a Participant in Level V, VI, or VII, this is the Plan year. In the case of any Participant in Level I, II, III, or IV, this is the Plan year and the Deferral Period. |
2.1.18 | Personnel Committee or Committee means the Personnel Committee of the Board. |
2.1.19 | Plan means this Incentive Compensation Plan. |
2.1.20 | Plan Administrator means the Board or its designee(s). |
2.1.21 | Plan Year means the calendar year, January 1 through December 31, over which both Bank and Participant performance is measured. |
2.1.22 | President means the President of the Bank. |
2.1.23 | Retire, Retires, or Retirement mean a Participant’s Separation from Service after the Participant has (i) been employed with the Bank for at least five (5) years and (ii) reached at least age 62. |
2.1.24 | Senior Officer means an officer with a rank of Senior Vice President or above. |
2.1.25 | Separation from Service or Separates from Service means, generally, a termination of employment with the Bank. Except in the case of a Participant on a bona fide leave of absence as provided below, a Participant is deemed to have incurred a Separation from Service if the Bank and the Participant reasonably anticipate that the level of services to be performed by the Participant after a certain date will be reduced to 20% or less of the average services rendered by the Participant during the immediately preceding 36-month period (or the total period of employment, if less than 36 months), disregarding periods during which the Participant was on a bona fide leave of absence. A Participant who is absent from work due to military leave, sick leave, or other bona fide leave of absence shall incur a Separation from Service on the first date immediately following the later of (i) the six-month anniversary of the commencement of the leave or (ii) the expiration of the Participant’s right, if any, to reemployment under statute or contract. For purposes of determining whether a Separation from Service has occurred, the Bank means, with respect to employees it employs, the Bank and each corporation, trade or business that, together with the Bank, is treated as a single employer under Code Section 414(b) or (c), except that common ownership of at least 50% shall be determinative. The Personnel Committee will determine, in accordance with Code Section 409A, whether a Separation from Service has occurred. |
2.1.26 | Target Award Opportunity means the award that may be earned during a Performance Period for achieving target performance levels under each Performance Measure. |
3. | Eligibility |
3.1 | Eligibility shall normally be limited to all Employees who: |
• | occupy positions with an employment status of scheduled full time or scheduled part time as of December 31st of the Plan year; and |
• | are not in a probationary period due to poor performance or disciplinary action or have received an overall rating below 3.5 at the time of payment of the Final Award. |
3.2 | Employees of the Bank who are hired into an eligible position by August 31st of the Plan year shall be eligible for participation in the Plan in accord with Section 3.1, and shall receive a prorated incentive award. |
3.3 | Employees of the Bank who are hired into an eligible position on or after September 1st of the Plan year will only be eligible to participate for that Plan year if specifically nominated by the President and shall receive a prorated incentive award. |
3.4 | The Chief Risk Officer and other ERM officers and staff will participate in the Plan but their award opportunities will be weighted 75 percent on the Bank-wide program and 25 percent on ERM-specific goals. |
3.5 | Due to its unique role for the Bank and reporting relationship to the Board, the Internal Audit Department will not be included as eligible positions under the Plan, but will be eligible for a similar plan administered by the Audit Committee. |
3.6 | There will be seven levels of participation, with participation in the cash and deferral features of the Plan as follows: |
Applicable Feature | |||
Annual Cash Payment | Mandatory Deferral | ||
Level I: | President | Yes | Yes |
Level II: | Executive Vice Presidents | Yes | Yes |
Level III: | Senior Vice Presidents | Yes | Yes |
Level IV: | Vice Presidents | Yes | Yes |
Level V: | Other Officers | Yes | No |
Level VI: | Other Exempt Employees | Yes | No |
Level VII: | Other Non-exempt Employees | Yes | No |
4. | Incentive Award Opportunity |
4.1 | Each Plan year, the Bank will provide an award opportunity to Participants. The award opportunity shall be a percentage of each Participant's compensation. Certain executive positions have a greater and more direct impact than others on the annual success of the Bank; therefore, these differences are recognized by |
4.2 | Compensation for Levels I through V is defined as the applicable Participants’ base salary including any salary adjustments made during the Plan year. |
4.3 | Compensation for levels VI and VII is defined as the sum of the applicable Participant’s base pay including any salary adjustments made during, as well as shift differential and overtime paid through the Plan year. |
4.4 | In addition to the incentive award described above, the President may also approve an additional discretionary incentive award (the “President’s Award”) for employees in Levels VI and VII. Based upon the recommendation of a Senior Officer, an employee in Level VI or VII may be nominated for a President’s Award in order to recognize extraordinary individual performance or to address competitive compensation practices within the Bank’s labor market. Generally, the President’s Award will not exceed an additional ten percent (10%) incentive opportunity for the Participant based on compensation as defined in section 4.3. |
5. | Performance Mix |
5.1 | Participants will earn their incentive award by achieving a combination of Bankwide objectives and individual goals. |
5.2 | A Level I, II, III, VI, or VII Participant will earn an incentive award based solely on the achievement of Bankwide objectives. |
5.3 | The incentive award of a Level IV or V Participant will be weighted between Bankwide objectives and individual goals and will vary by Participant level. The more control and influence a Participant has on Bankwide goals, the greater the Participant's weighting on Bank goals will be. Likewise, the less control and influence a Participant has on Bankwide goals, the greater the weighting on that Participant's individual goals. See Appendix B – Incentive Award Opportunity and Performance Mix for current Plan year weightings. |
6. | Performance Measures |
6.1 | Bankwide and individual performance measures will be established with respect to each Plan year. Three achievement levels will be set for each Bankwide and, where applicable, individual measure, and include: |
Threshold | The minimum achievement level accepted for the Performance Measure. |
Target | The planned achievement level for the Performance Measure. |
Outstanding | The achievement level for the Performance Measure which substantially exceeds the planned level of achievement. |
6.2 | Bankwide measures will be established by the Personnel Committee with Board approval. See Appendix C - Annual Bank Performance Measures and Bank Performance Measures for the Long-Term Deferred Component. |
6.3 | Participants in Levels IV and V typically will have three to five major individual goals established that reflect the priorities of the Participant for the Plan year. Each goal will be weighted to reflect its relative importance, with a minimum weight of 10 percent per goal. In order to be eligible to receive an incentive award based on his or her individual performance, a Level IV or V Participant must submit his or her individual goals in writing to their Senior Officer and the President may approve or modify those goals. |
6.4 | All individual performance goals are to remain in effect for the entire Plan year, however, after the Plan year commences, at the sole discretion of the Personnel Committee with Board approval, the Personnel Committee may revise Bank Performance Measures and/or the President may also revise individual performance goals for the Plan year. |
7. | Award Determination |
7.1 | The method of determining the Annual Incentive Award will be according to the following sequence: |
7.1.1 | Define the dollar value of the Target Award Opportunity for the Participant. |
7.1.2 | Determine the amount of the Target Award Opportunity that is attributable to Bank performance and to individual performance. |
7.1.3 | After the Plan year ends, evaluate actual Bank performance against the Bankwide Performance Measures stated in Appendix C. Assess Bank performance as it relates to the threshold, target and outstanding awards, interpolating between the threshold, target, and outstanding awards as necessary. |
7.1.4 | Using the award opportunity table described in Appendix B, determine the Bank incentive award by relating the level of actual Bank performance derived in 7.1.3 to the award opportunity for the Participant's level. Interpolate between the threshold, target, and outstanding awards as necessary. |
7.1.5 | After the Plan year ends, where applicable, evaluate actual individual Participant performance against the individual performance goals. Assess performance as it relates to the threshold, target, and outstanding performance measures. |
7.1.6 | Using the award opportunity table in Appendix B, determine the individual incentive award by relating the level of actual individual performance derived in 7.1.5 to the award opportunity for the Participant's Level. Interpolate between the threshold, target and outstanding awards as necessary. |
7.1.7 | Sum the Bank and individual awards to determine a total award for each Participant. The President with Personnel Committee approval may recommend the Board adjust the award of a Participant or one or more Levels of Participants. The Personnel Committee may recommend the Board adjust the award of the President. |
7.1.8 | Determine whether the Participant is eligible to receive an incentive award for the Plan year and applicable Deferral Period by applying the rules of Sections 8 and 9 below. |
8. | Preconditions to Award |
8.1 | Participant performance reviews should coincide with the Bank’s annual performance review period. The individual ICP goals of Level IV and V Participants are reviewed in January of each year. In general, certain preconditions must be satisfied before an incentive award may be made to a Participant: |
8.1.1 | The Bank must achieve one or more of the threshold measures of performance as defined in Appendix C; |
8.1.2 | The President must determine and the Personnel Committee must concur that Bank performance is consistent with bestowing achievement awards; and |
8.1.3 | The Participant's immediate supervisor and the President must determine that the individual's overall performance meets their expectations. The President's performance (Level I) will be appraised by the Personnel Committee. All other Participants will be appraised by the President and/or the Participant's immediate supervisor. |
8.2 | Generally, should any individual Participant's performance meet these expectations but the Bank fail to achieve one or more of its threshold performance measures no Final Award will be made to any Participant |
8.3 | In the event the Bank does not achieve threshold performance levels, the President may recommend, with the concurrence of the Personnel Committee, an incentive award for extraordinary individual performance. Additionally or alternatively, at the Personnel Committee’s sole discretion, an incentive award may be recommended for Bank performance below threshold subject to final approval by the Board of Directors. |
8.4 | The Level I, II, III, and IV Participants shall not receive a Final Award under this Plan if during the most recent examination of the Bank by the Federal Housing Finance Agency (“FHFA”), the Bank received the lowest Composite Rating (as defined in the FHLBank Rating System) indicating the Bank has been found to be operating in an unacceptable manner, exhibits serious deficiencies in corporate governance, risk management or financial condition and performance, or in substantial noncompliance with laws, FHFA regulations or supervisory guidance. Any awards to Levels V, VI and VII under these conditions are at the sole discretion of the Committee. |
8.5 | Furthermore, subject to the discretion of the Committee, the incentive award calculated may be reduced (but not to a number that is less than zero), for all Participants or for an individual Participant, as applicable, if, any of the following occur such that if it had occurred prior to the payment of the award, it would have negatively impacted the goal results and/or been determined that it should have reduced the associated payout calculation: |
8.5.1 | Operational errors or omissions resulting in material revisions to: the financial results, information submitted to FHFA or payout calculation, or other data used to determine the award; |
8.5.2 | Submission of significant information to the Securities and Exchange Commission, Office of Finance and/or FHFA materially beyond any deadline or applicable grace period, other than late submissions that are caused by acts of God or other events beyond the reasonable control of the Participants; or |
8.5.3 | Failure by the Bank to make sufficient progress, as determined by the Committee, in the timely remediation of examination and other supervisory findings and matters requiring attention. |
9. | Vesting of Awards, Timing of Benefit Payments |
9.1 | Except as provided in Sections 9.2, 9.3, or 9.4 below, a Participant must be employed by the Bank both on the last day of the Performance Period |
9.2 | Any Participant on an approved bona fide leave of absence on the date the Board authorizes the payment of the Final Award applicable to that Participant shall be paid his or her Final Award according to the normal payment schedule. |
9.3 | Except as provided in Section 9.3.1, 9.3.2, or 9.4 below, in the event a Participant voluntarily or involuntarily terminates employment during the Performance Period, no Final Award will be made to the Participant. |
9.3.1 | A Participant who dies or becomes Disabled during the Performance Period may receive a Final Award which is prorated for the applicable period, but only if the President nominates and the Board approves such action. In any such case, all Deferral Period payments will be made at the target level. Any Participant who becomes eligible for a prorated Final Award pursuant to this Section will be paid such Final Award, , as soon as practicable following his or her death or Disability but in all events, no later than 2½ months following the close of the calendar year in which the death or Disability occurred. |
9.3.2 | A Participant who Retires during the Performance Period may receive a Final Award prorated for the applicable period. Any incentive award payments made pursuant to this Section will continue to be earned and evaluated according to the otherwise applicable criteria and shall be paid according to the normal payment schedule. |
9.4 | If a Participant ceases employment during the Performance Period or after the Performance Period but before the Board approves the Final Award for that Performance Period, the President may nominate and the Board may approve the Participant to receive a Final Award. In any such case, the Participant’s Final Award shall be paid according to the normal payment schedule. |
9.5 | Each Final Award shall be paid no later than 2½ months following the close of the calendar year in which the applicable Performance Period ends. This means that any Annual Incentive Award (because it is not subject to mandatory deferral) shall be paid no later than 2½ months following the close of the calendar year to which it relates; and any Deferred Incentive Award will be paid no later than 2½ months following the close of the calendar year in which the mandatory three-year Deferral Period ends. |
9.6 | All Final Awards will be paid out in cash and will be subject to applicable payroll tax withholdings. |
9.7 | No Final Award shall be considered as compensation under any employee benefit plan of the Bank. |
10. | Plan Communication |
10.1 | The Plan administrator will communicate with Participants regarding the Plan according to the following schedule: |
First quarter of the Plan year | Communicate Bankwide and individual goals for Plan year. | |
Quarterly | Interim assessments of progress toward achieving Bank and individual goals. | |
End of Plan year | Final assessment of Bank and individual performance. |
11. | Administrative Control |
11.1 | The Board has ultimate authority over the Plan, however, the Board may delegate any and all of its authority regarding the administration and amendment of the Plan to a committee or individual designee. Notwithstanding the foregoing, the Board reserves unto itself the authority to terminate the Plan. |
11.2 | The Bank's Director of Human Resources will assist, as requested, the President and the Committee in the administration of the particular provisions of the Plan delegated and specified throughout the Plan as the duties of the Committee and/or the President. |
11.3 | In addition to the authority expressly provided in the Plan, the Board or its designee shall have such authority in its sole discretion to control and manage the operation and administration of the Plan and shall have all authority necessary to accomplish these purposes, including, but not limited to, the authority to interpret the terms of the Plan, and to decide questions regarding the Plan and the eligibility of any person to participate in the Plan and to receive benefits under the Plan. The Board’s determinations and interpretations regarding the Plan (or those of the Board’s designee) shall be final, binding, and conclusive. |
11.4 | The Board has the right to revise, modify, or terminate the Plan in whole or in part at any time or for any reason, and the right to modify any recommended incentive award amount (including the determination of a greater or lesser award, or no award), without the consent of any Participant. Any payment under the Plan may be impacted by |
Extraordinary Events, a failure to meet certain minimum financial performance or control requirements, and is subject to the claw back provisions described in Section 12.1. In the case of Plan termination, unless otherwise agreed by the Board, all Annual Incentive Awards and Deferred Incentive Awards hereunder which have not yet been paid are cancelled and forfeited. |
12. | Miscellaneous Conditions |
12.1 | Any undue incentives paid to an Officer of the Bank based on achievement of financial or operational goals within this Plan that subsequently are deemed to be inaccurate, misstated or misleading shall be recoverable from the officer by the Bank. Inaccurate, misstated and/or misleading achievement of financial or operational goals includes, but is not limited to, overstated revenue, income, capital, return measures and/or understated credit risk, market risk, operational risk or expenses. Furthermore, the value of any benefits delivered or accrued related to the undue incentive (the amount of the incentive over and above what should have been paid barring inaccurate, misstated and/or misleading achievement of financial or operational goals) shall be reduced and/or recovered by the Bank to the fullest extent possible. |
12.2 | Notwithstanding any Plan provision to the contrary, mere participation in the Plan will not entitle a Participant to an award. |
12.3 | The right of the Bank to discipline or discharge a Participant shall not be affected by reason of any provision of this Plan. The designation of an employee as a Participant in the Plan does not guarantee employment. Nothing in this Plan shall be deemed (i) to give any employee or Participant any legal or equitable rights against the Bank, except as expressly provided herein or provided by law; or (ii) to create a contract of employment with any employee or Participant, to obligate the Bank to continue the service of any employee or Participant, or to affect or modify any employee's or Participant's term of employment in any way. |
12.4 | No employee has a guaranteed right to any award under this Plan, and any attempt by an employee to sell, transfer, assign, pledge, or otherwise encumber any anticipated award shall be void, and the Bank shall not be liable in any manner for or subject to the debts, contracts, liabilities, engagements or torts of any person who might anticipate an award under this program. |
12.5 | This Plan shall at all times be entirely unfunded and no provision shall at any time be made with respect to segregating assets of the Bank for payment of any award under this program. If the Bank in its sole and absolute discretion chooses to maintain one or more trusts for the purpose |
12.5.1 | the Bank may set aside in such trust such amount as it deems, in its sole and absolute discretion, necessary to assist it in meeting its obligations to Participants and beneficiaries hereunder; |
12.5.2 | any amount so set aside shall remain subject to the claims of the Bank’s general creditors; and |
12.5.3 | no such trust nor the assets held therein shall be located outside of the United States of America. |
12.6 | The Plan shall be construed, regulated and administered in accordance with the laws of the state of Ohio, unless otherwise preempted by the laws of the United States. |
12.7 | If any provision of the Plan is held invalid or unenforceable, its invalidity or unenforceability shall not affect any other provision of the Plan, and the Plan shall be construed and enforced as if such provision had not been included herein. |
12.8 | If a Participant dies before receiving his or her award, any amounts determined to be paid under this Plan shall be paid to the Participant’s surviving spouse, if any, or if none, to the Participant’s estate. The Bank's determination as to the identity of the proper payee of any amount under this Plan shall be binding and conclusive and payment in accordance with such determination shall constitute a complete discharge of all obligations on account of such amount. |
12.9 | Claims and Appeals Procedures. A Participant (such Participant being referred to below as a “Claimant”) may deliver to the Personnel Committee a written claim for a determination with respect to any claim under this Plan. If such a claim relates to the contents of a notice received by the Claimant, the claim must be made within sixty (60) days after such notice was received by the Claimant. The claim must state with particularity the determination desired by the Claimant. |
12.10 | Deadline to File Legal Action and Venue. Any legal actions, suits or proceedings pertaining to this Plan shall be brought in the courts of Hamilton County, Ohio (whether federal or state) and the Participant, by submission of his or her individual goals hereunder to the President (or in the case of the President, to the Board or Committee), on his or her behalf and on behalf of his or her beneficiaries, persons claiming to be a beneficiary or any other persons who claim to derive a benefit under this Plan by reference to the Participant hereby irrevocably submits to the exclusive jurisdiction of said courts. The Participant on his or her behalf and on behalf of his or her beneficiaries, persons claiming to be a beneficiary or any other persons who claim to derive a benefit under this Plan by reference to the Participant hereby waives, to the fullest extent permitted by law, any objections he or she, his or her beneficiaries or any such persons may now or hereafter have to the laying of venue in any suit, action or proceeding hereunder in any court, as well as any right he or she, his or her beneficiaries or any such persons may now or hereafter have to remove any such suit, action or proceeding once commenced to another court in any jurisdiction on the grounds of forum non conveniens or otherwise. |
12.11 | Any agreements or representations, oral or otherwise, express or implied, with respect to the subject matter of this Plan which are not contained herein will have no effect or enforceability. |
12.12 | This Plan and the awards hereunder are exempt from the Employee Retirement Income Security Act of 1973, as amended, on account of the Bank being a governmental entity. This Plan and the awards hereunder are intended to comply with or be exempt from Section 409A of the Internal Revenue Code of 1986, as amended, and the regulations promulgated thereunder. Additionally, this Plan and the awards hereunder are intended to comply with the requirements of FHFA regulations and supervisory guidance. |
Level | Title | |
I | President & CEO | |
II | Executive Vice Presidents | |
III | Senior Vice Presidents | |
IV | Vice Presidents | |
V | Other Officers | |
VI | Professional Staff (exempt) | |
VII | Administrative Staff (non-exempt) |
Level | Threshold | Target | Outstanding | Deferral |
I | 50.0% | 75.0% | 100.0% | 50.0% |
II | 40.0% | 60.0% | 80.0% | 50.0% |
III | 30.0% | 50.0% | 70.0% | 50.0% |
IV | 20.0% | 40.0% | 60.0% | 35.0% |
V | 7.5% | 16.0% | 25.0% | NA |
VI | 2.5% | 6.0% | 10.0% | NA |
VII | 1.0% | 3.0% | 5.0% | NA |
Level | Bank | Individual |
I | 100% | 0% |
II | 100% | 0% |
III | 100% | 0% |
IV | 75% | 25% |
V | 60% | 40% |
VI | 100% | 0% |
VII | 100% | 0% |
Level | Threshold | Target | Outstanding |
I-IV | 75.0% | 100.0% | 125.0% |
1 | Earned incentive awards that fall between any of the designated achievement levels (i.e., threshold, target, and outstanding) will be interpolated. |
2 | See Section 3 with regards to the further weighting that applies to the ERM Department. |
3 | The amount deferred from the Plan year represents the Target level of performance for the Deferral Period. |
Threshold | Target | Outstanding | |||||
I. | Member Asset Activity: Aggregate Incentive Weight – 25% | ||||||
a) | Average Advances Incentive Weight: 7.5%* | $22.0B | $23.0B | $25.0B | |||
b) | Average Advances Balances for Members with Assets ≤ $1.0B Incentive Weight: 7.5% | $5.25B | $5.60B | $6.00B | |||
c) | MPP New Mandatory Delivery Commitments Incentive Weight: 10%* | $450M | $650M | $850M | |||
*Certain exclusions apply. | |||||||
II. | Franchise Value Promotion: Aggregate Incentive Weight – 25% | ||||||
a) | Advance Product Users Incentive Weight: 5% | 380 | 400 | 425 | |||
b) | MPP Sellers Incentive Weight: 5% | 70 | 74 | 80 | |||
c) | AHP Competitive Program Disbursement and Deobligation Rate Incentive Weight: 5% | 39% | 43% | 50% | |||
d) | Community Outreach Events Incentive Weight: 5% | 58 | 68 | 82 | |||
e) | Membership Approvals Incentive Weight: 5% | 6 | 8 | 12 | |||
III. | Stockholder Risk/Return: Aggregate Incentive Weight – 50% | ||||||
a) | Market Value of Equity Volatility** Incentive Weight: 25% | <14% | <10% | 8% or less | |||
b) | Profitability-Projected average 3 month LIBOR rate Incentive Weight: 25% | 220 bps | 275 bps | 340 bps | |||
**Measured as the difference between up 200 bps and down 100 bps rate shocks. | |||||||
2012 | Performance Measures for Chief Risk Officer and |
Weight of Goal: | 100% |
Threshold: | 6 items implemented |
Target: | 9 items implemented |
Outstanding: | 14 items implemented |
1) | implement management development initiatives |
2) | enhance identification, assessment, monitoring, and reporting of risks |
3) | complete compliance program including OMWI and Fraud |
4) | further develop and apply model governance program |
5) | obtain approval for an operational risk policy |
6) | produce 2 additional meaningful ERM program items |
7) | improve 6 areas of automations, controls, and data management of ERM Department processes |
8) | further develop analysis and monitoring of Advances credit risk |
9) | further develop analysis and monitoring of unsecured credit risk |
10) | further develop analysis and monitoring of MPP credit risk |
11) | complete migration of all derivatives modeling to PolyPort |
12) | analyze, participate in, and communicate three meaningful market risk management issues |
13) | produce three meaningful enhancements in market or credit risk modeling |
14) | expand benchmarking/backtesting of market risk, prepay, and default models |
TABLE OF CONTENTS | ||
Page | ||
1.0 | Plan Objectives | 1 |
2.0 | Definitions | 1 |
3.0 | Eligibility | 3 |
4.0 | Target Award Opportunity | 3 |
5.0 | Performance Measures | 3 |
6.0 | Final Award Determination | 4 |
7.0 | Administrative Control | 5 |
8.0 | Miscellaneous Conditions | 5 |
Appendix – 2012 – 2014 Performance Period | 9 | |
Performance Period | 10 | |
Target Award Opportunity | 10 | |
Initial Value of Performance Unit | 10 | |
Participants | 10 | |
Performance Measures & Final Value of Performance Unit | 11 | |
Detailed Goals & Performance Measures | 11 |
1.0 | Plan Objectives |
1.1 | The purpose of the Federal Home Loan Bank of Cincinnati Executive Long-Term Incentive Plan (the “Plan”) is to achieve five objectives: |
1.1.1 | Promote the achievement of the Bank's long-term profitability and business goals; |
1.1.2 | Link executive compensation to specific long-term performance measures; |
1.1.3 | Provide a competitive reward structure for senior officers and other key employees; |
1.1.4 | Provide a vehicle for closer Board involvement and communication with management regarding the Bank’s long-term strategic plans; and |
1.1.5 | Promote loyalty and dedication to the Bank and its objectives. |
1.2 | The Plan is a cash-based, long-term incentive plan which establishes individual Target Award Opportunities related to achievement of Bank performance over certain three-year Performance Periods. |
1.3 | The Participants, the Target Award Opportunity, Performance Measures, value of a Performance Unit at the beginning and end of a Performance Period, and other relevant information are set forth in the attached Appendices. |
2.0 | Definitions |
2.1 | When used in this Plan, the words and phrases below shall have the following meanings: |
2.1.2 | Target Award Opportunity means the award that may be earned during a Performance Period for achieving target performance levels under each Performance Measure; |
2.1.4 | Disabled means a Participant who (i) is unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than 12 months, or (ii) is, by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than 12 months, receiving income replacement benefits for a period of not less than three months under an accident and health plan covering employees of the Bank. |
2.1.5 | Extraordinary Occurrences means those events that, in the opinion and discretion of the Board, are outside the significant influence of the Participants or the Bank and are likely to have a significant unanticipated effect, whether positive or negative, on the Bank’s operating and/or financial results, including, without limit, movement in interest rates, changes in financial strategies, or policies or significant change in Bank membership. |
2.1.6 | Final Award means the amount ultimately paid to a Participant under the Plan for a Performance Period. |
2.1.7 | Performance Measure means each performance factor that is taken into consideration under the Plan in determining the value of the Final Award. |
2.1.8 | Participant means an employee who participates in the Plan pursuant to Section 3.1. |
2.1.9 | Performance Period means a certain three-year period over which Bank performance is measured. |
2.1.10 | Performance Unit means a unit, the value of which shall be determined in accordance with the applicable Appendix. |
2.1.11 | Personnel Committee or Committee means the Personnel Committee of the Board. |
2.1.13 | Plan Award means an amount that is provisionally determined at the end of the Performance Period subject to adjustment as provided in Section 6. |
3.0 | Eligibility |
3.1 | A Bank employee who is nominated by the President and approved by the Board may participate in the Plan. |
3.2 | Eligibility shall generally be limited to officers (i) whose functional responsibilities encompass the establishment of strategic direction and tactical action plans for the Bank, and (ii) who have received at least satisfactory rankings on annual performance reviews over a Performance Period. Other employees may also be eligible to participate as defined by competitive compensation practices within the Bank's labor market. |
3.3 | Due to its unique role for the Bank and reporting relationship to the Board, the Director of Internal Audit will not be included as an eligible position under the Plan, but will be eligible for a similar plan administered by the Audit Committee of the Board. |
4.0 | Target Award Opportunity |
4.1 | At the beginning of each Performance Period, the Bank will provide a Target Award Opportunity to Participants. The Target Award Opportunity is equal to a percentage of each Participant's annual base salary at the beginning of the Performance Period as described in the applicable Appendix. Certain executive positions have a greater and more direct impact than others on the annual success of the Bank; therefore, these differences are recognized by varying award opportunities for each Participant level. |
4.2 | Each Participant in a Performance Period shall be granted a number of Performance Units for that Performance Period determined by dividing the Target Award Opportunity by the value of a Performance Unit at the beginning of a Performance Period as described in the applicable Appendix. |
4.3 | There will be four levels of award opportunities: |
Level I: | President |
Level II: | Executive Vice Presidents |
Level III: | Senior Vice Presidents |
Level IV: | Vice Presidents |
5.0 | Performance Measures |
5.1 | Three achievement levels will be established for each Performance Measure: |
Threshold | The minimum achievement level accepted for the Performance Measure. |
Target | The planned achievement level for the Performance Measure. |
Maximum | The achievement level for the Performance Measure that substantially exceeds the planned level of achievement. |
5.2 | At the beginning of each Performance Period, Performance Measures for a Performance Period and Performance Units and their initial values will be established by the Personnel Committee with Board approval. |
5.3 | When establishing Performance Measures, the Threshold level should reflect a 90 percent success rate; the Target level should reflect a 75 to 80 percent success rate; and the Maximum level should reflect a 10 to 15 percent success rate. |
6.0 | Final Award Determination |
6.1 | Plan Awards will be based on the achievement level for each of the three-year Performance Measures. However, if the Bank fails to achieve the Threshold level for a Performance Measure,no award will be payable for that specific Performance Measure. |
6.2 | A Participant’s Plan Award for a Performance Period equals the number of his or her Performance Units for that Performance Period multiplied by the value of a Performance Unit at the end of the Performance Period as determined in accordance with the applicable Appendix. |
6.3 | In the event that a Federal Housing Finance Agency (FHFA) examination assigned to the Bank the lowest Composite Rating (as defined in the FHLBank Rating System) indicating the Bank has been found to be operating in an unacceptable manner, exhibits serious deficiencies in corporate governance, risk management or financial condition and performance, or in substantial noncompliance with laws, FHFA regulation or supervisory guidance in a Participant’s area of responsibility, the Participant will not be eligible for an award under the Plan for the Performance Period in which the lowest Composite Rating existed. |
6.4 | Promptly after a Performance Period, Plan Awards for the Performance Period shall be determined by the Board in its sole discretion based upon the Plan Award determined pursuant to Section 6.2. |
6.5 | President’s Award. In addition to the Plan Award, in determining a Participant’s Final Award, the Executive Vice President, Senior Vice Presidents, Vice Presidents and other employees (e.g., new hires and highly valued existing employees) may be nominated by the President for a discretionary allocation of Performance Units, to be approved by the Board, to recognize extraordinary performance and/or to address competitive compensation practices within the Bank’s labor market (the “President’s Award”). |
6.6 | The value of a Performance Unit under the President’s Award will be equal to the value of a Performance Unit under the Target Award Opportunity. |
6.7 | For a Performance Period, the total value of Performance Units granted under the President’s Award shall not exceed ten (10) percent of the total Performance Units granted under the Target Award Opportunity. |
6.8 | The Board may also authorize the President to receive a discretionary allocation of Performance Units to recognize extraordinary performance and/or to address competitive compensation practices within the Bank’s labor market. Any discretionary allocation of Performance Units granted to the President under this section will not exceed ten (10) percent of the total Performance Units granted to the President under the Target Award Opportunity. |
6.9 | A Participant’s Final Award will consist of his or her Plan Award plus any additional discretionary award granted under Section 6.5 or 6.8. |
7.0 | Administrative Control |
7.1 | The Bank's Director of Human Resources will assist, as requested, the President and the Committee in the administration of the Plan, however, the Board will have the ultimate authority over the Plan. |
7.2 | In addition to the authority expressly provided in the Plan, the Board shall have such authority in its sole discretion to control and manage the operation and administration of the Plan and shall have all authority necessary to accomplish these purposes, including, but not limited to, the authority to interpret the terms of the Plan, and to decide questions regarding the Plan and the eligibility of any person to participate in the Plan and to receive benefits under the Plan. The Board’s determinations and interpretations regarding the Plan shall be final, binding, and conclusive. |
8.0 | Miscellaneous Conditions |
8.1 | Except as provided in Section 8.4, Participants must be employed by the Bank on the last day of the Performance Period in order to become eligible to receive a Final Award. A Participant will not become vested in an award under this Plan until the date the Board authorizes the payment of the Participant’s Final Award. |
8.2 | In the event a Participant voluntarily or involuntarily terminates employment during the Performance Period, no award will be made to the Participant, except as provided in Section 8.4 below. |
8.3 | Employees of the Bank who are hired, transferred, or promoted into an eligible position during a Performance Period may be nominated for participation in the Plan in accordance with Section 3.1, and receive a prorated Target Award Opportunity. |
8.4 | A Participant who retires, dies or becomes disabled during the Performance Period may receive a prorated Plan Award, but only if the President nominates and the Board approves such action. For purposes of this Section, the term |
8.5 | The amount of any prorated award will be determined by dividing the number of months the Participant was employed by the Bank during the Performance Period by 36 and multiplying such quotient by the Plan Award. |
8.6 | If a Participant ceases employment after the Performance Period but before the Board approves the Final Award for that Performance Period, the President may nominate and the Board may approve the Participant to receive an award. However, if the President fails to make such a recommendation or the Board fails to approve such action, the Participant will not be entitled to an award. |
8.7 | Notwithstanding any Plan provision to the contrary, mere participation in the Plan will not entitle a Participant to an award. |
8.8 | The designation of an employee as a Participant in the Plan does not guarantee employment. Nothing in this Plan shall be deemed (i) to give any employee or Participant any legal or equitable rights against the Bank, except as expressly provided herein or provided by law; or (ii) to create a contract of employment with any employee or Participant, to obligate the Bank to continue the service of any employee or Participant, or to affect or modify any employee's or Participant's term of employment in any way. |
8.9 | The right of the Bank to discipline or discharge a Participant shall not be affected by reason of any provision of this Plan. |
8.10 | All Final Awards will be paid out in cash and will be subject to applicable payroll tax withholdings. |
8.11 | No Final Award received by a Participant shall be considered as compensation under any employee benefit plan of the Bank, except as otherwise determined by the Bank. |
8.12 | Final awards will be paid no later than 2 ½ months following the calendar year which the Participant became vested in the Final Award. |
8.13 | The Board has the right to revise, modify, or terminate the Plan in whole or in part at any time or for any reason, and the right to modify any recommended award amount (including the determination of a greater or lesser award, or no award), for any reason, without the consent of any Participant. Any payments under the Plan may be impacted by extraordinary events, a failure to meet certain minimum financial performance or control requirements and may be subject to a claw back provision. |
8.14 | Since no employee has a guaranteed right to any award under this Plan, any attempt by an employee to sell, transfer, assign, pledge, or otherwise encumber any anticipated award shall be void, and the Bank shall not be liable in any manner for or subject to the debts, contracts, liabilities, engagements or torts of any person who might anticipate an award under this program. |
8.15 | This Plan shall at all times be entirely unfunded and no provision shall at any time be made with respect to segregating assets of the Bank for payment of any award under this program. |
8.16 | The Plan shall be construed, regulated and administered in accordance with the laws of the state of Ohio, unless otherwise preempted by the laws of the United States. |
8.17 | If any provision of the Plan is held invalid or unenforceable, its invalidity or unenforceability shall not affect any other provision of the Plan, and the Plan shall be construed and enforced as if such provision had not been included herein. |
8.18 | If a Participant dies before receiving his or her award, any amounts determined to be paid under this Plan shall be paid to the Participant’s surviving spouse, if any, or if none, to the Participant’s estate. The Bank's determination as to the identity of the proper payee of any amount under this Plan shall be binding and conclusive and payment in accordance with such determination shall constitute a complete discharge of all obligations on account of such amount. |
8.19 | Claims and Appeals Procedures. A Participant (such Participant being referred to below as a “Claimant”) may deliver to the Personnel Committee a written claim for a determination with respect to any claim as to which the Personnel Committee has jurisdiction under this Plan. If such a claim relates to the contents of a notice received by the Claimant, the claim must be made within sixty (60) days after such notice was received by the Claimant. The claim must state with particularity the determination desired by the Claimant. |
8.20 | Any agreements or representations, oral or otherwise, express or implied, with respect to the subject matter of this Plan which are not contained herein will have no effect or enforceability. |
Level | |
I | 30% |
II | 25% |
III | 20% |
IV | 15% |
Level | Title |
I | President & CEO |
II | Executive Vice Presidents |
III | Senior Vice Presidents |
IV | Vice Presidents |
1. | After the Performance Period ends, evaluate actual Bank performance against the Performance Measures stated below. |
Threshold | Target | Maximum | |||||||
Operating Efficiency | 3rd Quartile | 2nd Quartile | 1st Quartile | ||||||
Dollar Value at Hurdles | $ | 50 | $ | 100 | $ | 150 | |||
Weight | 0.30 | 0.30 | 0.30 | ||||||
Operating Efficiency Value | $ | 15 | $ | 30 | $ | 45 | |||
Risk Adjusted Profitability | 3rd Quartile | 2nd Quartile | 1st Quartile | ||||||
Dollar Value at Hurdles | $ | 50 | $ | 100 | $ | 150 | |||
Weight | 0.30 | 0.30 | 0.30 | ||||||
Risk Adjusted Profitability Value | $ | 15 | $ | 30 | $ | 45 | |||
Market Capitalization Ratio | 95% | 100% | 110% | ||||||
Dollar Value at Hurdles | $ | 50 | $ | 100 | $ | 150 | |||
Weight | 0.30 | 0.30 | 0.30 | ||||||
Market Capitalization Ratio | $ | 15 | $ | 30 | $ | 45 | |||
Market Penetration | 4.25 | % | 4.50 | % | 5.00 | % | |||
Dollar Value at Hurdles | $ | 50 | $ | 100 | $ | 150 | |||
Weight | 0.10 | 0.10 | 0.10 | ||||||
Market Penetration Value | $ | 5 | $ | 10 | $ | 15 | |||
Total Value | $ | 50 | $ | 100 | $ | 150 |
Performance Measures | Threshold | Target | Maximum |
OPERATING EFFICIENCY - Incentive Weight: 25% Ranking of Operating Efficiency Ratio in comparison to other FHLBanks | 8th | 4th | 1st |
RISK ADJUSTED PROFITABILITY - Incentive Weight: 25% Ranking of Risk Adjusted Profitability in comparison to other FHLBanks | 8th | 4th | 1st |
MARKET CAPITALIZATION RATIO - Incentive Weight: 25% Ratio of Market Value of Equity (MVE) to Par Value of Regulatory Capital stock | 95% | 100% | 110% |
MARKET PENETRATION - Incentive Weight: 10% Ratio of Member Advances to Member Assets in comparison to other FHLBanks | 3.50% | 3.70% | 4.00% |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Cincinnati; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of the financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
/s/ Andrew S. Howell |
Andrew S. Howell |
President and Chief Executive Officer (principal executive officer) |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Cincinnati; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of the financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
/s/ Donald R. Able |
Donald R. Able |
Executive Vice President - Chief Operating Officer (principal financial officer) |
(1) | The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and result of operations of the FHLBank. |
/s/ Andrew S. Howell |
Andrew S. Howell |
President and Chief Executive Officer (principal executive officer) |
August 9, 2012 |
/s/ Donald R. Able |
Donald R. Able |
Executive Vice President - Chief Operating Officer (principal financial officer) |
August 9, 2012 |
Consolidated Obligations (Tables)
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Jun. 30, 2012
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt [Table Text Block] | Table 12.1 - Consolidated Bonds Outstanding by Contractual Maturity (dollars in thousands)
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Schedule of Short-term Debt [Table Text Block] | Consolidated Discount Notes Outstanding (dollars in thousands)
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Schedule Of Consolidated Obligation Bonds By Call Feature [Table Text Block] | Table 12.3 - Consolidated Bonds Outstanding by Features (in thousands)
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Schedule Of Maturities of Consolidated Obligation Bonds By Contractual Or Next Call Date [Table Text Block] | Consolidated Bonds Outstanding by Contractual Maturity or Next Call Date (in thousands)
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Schedule Of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | Consolidated Bonds by Interest-rate Payment Type (in thousands)
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Held-to-Maturity Securities (Net Premuims) (Details) (Collateralized Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Collateralized Mortgage Backed Securities [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held To Maturity Securities, Premiums | $ 44,347 | $ 60,080 |
Held-to-maturity Securities, Discounts | (18,434) | (18,863) |
Held-to-maturity Securities, Premiums (Discounts), Net | $ 25,913 | $ 41,217 |
Transactions with Stockholders (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
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Schedule of Other Transactions [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Transactions with Members and Former Members [Table Text Block] | Capital Stock, Advances, and Mortgage Purchase Program Principal Balances to Members and Former Members (dollars in millions)
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Director [Member]
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Schedule of Other Transactions [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Transactions with Directors' Financial Institutions (dollars in millions)
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Allowance for Credit Losses Troubled Debt Restructuring (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2012
loans
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Jun. 30, 2011
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Jun. 30, 2012
loans
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Jun. 30, 2011
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Dec. 31, 2011
loans
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Allowance for Credit Losses [Abstract] | |||||
Financing Receivable, Modifications, Number of Contracts | 20 | 20 | 13 | ||
Financing Receivable, Modifications, Subsequent Default, Recorded Investment | $ 0 | $ 0 | $ 848 | $ 0 |
Consolidated Obligations (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
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Jun. 30, 2011
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Jun. 30, 2012
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Jun. 30, 2011
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Dec. 31, 2011
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Unsecured Debt | $ 31,319,210 | $ 31,319,210 | $ 28,854,544 | |||||||
Discount Notes | 30,538,715 | 30,538,715 | 26,136,303 | |||||||
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to Adjustable Rate | 36.00% | 36.00% | 33.00% | |||||||
Unamortized Concessions Included in Other Assets | 10,107 | 10,107 | 11,707 | |||||||
Amortization of Concessions Included in Consolidated Obligations Interest Expense During Period | 4,908 | 3,650 | 10,233 | 6,325 | ||||||
Consolidated Obligation Bonds [Member]
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Maturities, Repayments of Principal in Twelve Months | 14,059,050 | 14,059,050 | 10,198,600 | |||||||
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.28% | 1.28% | 1.52% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two | 5,625,000 | 5,625,000 | 6,351,450 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.89% | 1.89% | 2.08% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three | 2,933,500 | 2,933,500 | 2,723,500 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.55% | 2.55% | 3.01% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four | 1,752,000 | 1,752,000 | 1,600,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.64% | 2.64% | 2.81% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five | 1,991,000 | 1,991,000 | 1,873,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.86% | 2.86% | 3.36% | |||||||
Long-term Debt, Maturities, Repayments of Principal after Year Five | 4,749,000 | 4,749,000 | 5,861,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 3.18% | 3.18% | 3.59% | |||||||
Index amortizing notes | 83,212 | 83,212 | 118,397 | |||||||
Index amortizing notes, Weighted average interest rate | 5.05% | 5.05% | 4.99% | |||||||
Debt, Gross | 31,192,762 | 31,192,762 | 28,725,947 | |||||||
Long-term Debt, Weighted Average Interest Rate | 1.99% | 1.99% | 2.41% | |||||||
Debt Instrument, Unamortized Premium | 75,835 | 75,835 | 76,482 | |||||||
Debt Instrument, Unamortized Discount | (18,666) | (18,666) | (19,990) | |||||||
Debt Valuation Adjustment for Hedging Activities | 66,283 | 66,283 | 66,809 | |||||||
Fair value option valuation adjustment and accrued interest | 2,996 | 2,996 | 5,296 | |||||||
Unsecured Debt | 31,319,210 | 31,319,210 | 28,854,544 | |||||||
Non Callable [Member] | Consolidated Obligation Bonds [Member]
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Gross | 23,190,762 | 23,190,762 | 20,981,947 | |||||||
Callable [Member] | Consolidated Obligation Bonds [Member]
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Gross | 8,002,000 | 8,002,000 | 7,744,000 | |||||||
Earlier of Contractual Maturity or Next Call Date [Member] | Consolidated Obligation Bonds [Member]
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||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Maturities, Repayments of Principal in Twelve Months | 17,981,050 | 17,981,050 | 15,855,600 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two | 5,915,000 | 5,915,000 | 5,703,450 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three | 2,338,500 | 2,338,500 | 2,406,500 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four | 1,317,000 | 1,317,000 | 1,080,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five | 1,521,000 | 1,521,000 | 1,403,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal after Year Five | 2,037,000 | 2,037,000 | 2,159,000 | |||||||
Index amortizing notes | 83,212 | 83,212 | 118,397 | |||||||
Discount Notes [Member]
|
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Discount Notes | 30,538,715 | 30,538,715 | 26,136,303 | |||||||
Debt Instrument, Face Amount | 30,541,740 | 30,541,740 | 26,137,977 | |||||||
Short-term Debt, Weighted Average Interest Rate | 0.08% | [1] | 0.08% | [1] | 0.03% | [1] | ||||
Fixed-rate [Member] | Consolidated Obligation Bonds [Member]
|
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Gross | 29,152,762 | 29,152,762 | 27,285,947 | |||||||
Variable-rate [Member] | Consolidated Obligation Bonds [Member]
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Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Gross | $ 2,040,000 | $ 2,040,000 | $ 1,440,000 | |||||||
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Commitments and Contingencies (Tables)
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments [Table Text Block] | Off-Balance Sheet Commitments (in thousands)
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Held-to-Maturity Securities (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
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Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-maturity Securities [Table Text Block] | Held-to-Maturity Securities by Major Security Types (in thousands)
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Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member]
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Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Premiums (Discounts) Included in Amortized Cost of Securities [Table Text Block] | Net Purchased Premiums Included in the Amortized Cost of Mortgage-backed Securities Classified as Held-to-Maturity (in thousands)
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Schedule of Unrealized Loss on Investments [Table Text Block] | Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands)
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Investments Classified by Contractual Maturity Date [Table Text Block] | Held-to-Maturity Securities by Contractual Maturity (in thousands)
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Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands)
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Realized Gain (Loss) on Investments [Table Text Block] | Proceeds and Gross Gains from Sale of Held-to-Maturity Securities (in thousands)
|
Affordable Housing Program (AHP) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
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Affordable Housing Program [Roll Forward] | ||||
AHP Obligation, Beginning Balance | $ 74,195 | |||
AHP, Expense (Current Year Additions) | 6,354 | 4,626 | 13,150 | 9,751 |
AHP, Subsidy Uses, Net | (7,552) | (16,038) | ||
AHP Obligation, Ending Balance | $ 79,793 | $ 79,793 |
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
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Derivatives, Fair Value [Line Items] | ||||||
Notional Amount of Other Derivatives Not Designated as Hedging Instruments | $ 5,184,782 | $ 5,885,264 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 4,240 | 2,497 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 17,232 | 20,831 | ||||
Notional Amount of Derivatives | 20,064,957 | 19,559,239 | ||||
Derivative Asset, Fair Value, Gross Asset | 79,733 | 80,300 | ||||
Derivative Liability, Fair Value, Gross Liability | 579,662 | 686,734 | ||||
Derivative assets | 6,835 | 4,912 | ||||
Derivative liabilities | 132,624 | 105,284 | ||||
Interest Rate Swap [Member]
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Derivatives, Fair Value [Line Items] | ||||||
Notional Amount of Fair Value Hedge Instruments | 14,880,175 | 13,673,975 | ||||
Derivative Instruments in Hedges, Assets, at Fair Value | 75,493 | 77,803 | ||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 562,430 | 665,903 | ||||
Notional Amount of Other Derivatives Not Designated as Hedging Instruments | 4,859,000 | 5,079,000 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 2,273 | 216 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 15,462 | 17,609 | ||||
Forward Rate Agreements [Member]
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Derivatives, Fair Value [Line Items] | ||||||
Notional Amount of Other Derivatives Not Designated as Hedging Instruments | 90,000 | 375,000 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 0 | 0 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 1,651 | 3,143 | ||||
Mortgage Delivery Commitments [Member]
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Derivatives, Fair Value [Line Items] | ||||||
Notional Amount of Other Derivatives Not Designated as Hedging Instruments | 235,782 | 431,264 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 1,967 | 2,281 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 119 | 79 | ||||
Netting Adjustment By Counterparty [Member]
|
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Derivatives, Fair Value [Line Items] | ||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (70,698) | (73,188) | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (70,698) | (73,188) | ||||
Cash Collateral And Related Accrued Interest [Member]
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Derivatives, Fair Value [Line Items] | ||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (2,200) | (2,200) | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (376,340) | (508,262) | ||||
Netting and Collateral [Member]
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Derivatives, Fair Value [Line Items] | ||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (72,898) | [1] | (75,388) | [1] | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (447,038) | [1] | (581,450) | [1] | ||
Derivative assets | $ (72,898) | |||||
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Fair Value Disclosures Fair Value Option (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
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Fair Value, Option, Quantitative Disclosures [Roll Forward] | ||||
Net losses on instruments held under the fair value option | $ (186) | $ (427) | $ 2,435 | $ (538) |
Consolidated Obligation Bonds [Member]
|
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Fair Value, Option, Quantitative Disclosures [Roll Forward] | ||||
Liabilities, Beginning of period | (4,202,540) | (1,131,591) | (4,900,296) | 0 |
New transactions elected for fair value option | (1,250,000) | (1,665,000) | (2,365,000) | (3,796,000) |
Maturities and terminations | 765,000 | 566,000 | 2,575,000 | 1,566,000 |
Net losses on instruments held under the fair value option | (186) | (427) | 2,435 | (538) |
Change in accrued interest | (270) | (848) | (135) | (1,328) |
Liabilities, End of period | $ (4,687,996) | $ (2,231,866) | $ (4,687,996) | $ (2,231,866) |
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 12,718,924 | [1],[2] | $ 12,637,373 | [1],[2] | ||||||
Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
|
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 1,836,294 | [1] | 1,435,031 | [1] | ||||||
Collateralized Mortgage Backed Securities [Member]
|
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 10,882,630 | [1],[2],[3] | 11,202,342 | [1],[2],[3] | ||||||
Fixed-rate [Member] | Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
|
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 1,836,294 | 1,435,031 | ||||||||
Fixed-rate [Member] | Collateralized Mortgage Backed Securities [Member]
|
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 7,529,557 | 8,165,857 | ||||||||
Variable-rate [Member] | Collateralized Mortgage Backed Securities [Member]
|
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 3,353,073 | $ 3,036,485 | ||||||||
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Derivatives and Hedging Activities Credit Risk Exposure (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
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---|---|---|---|---|---|---|
Derivative [Line Items] | ||||||
Total net exposure at fair value | $ 9,035 | [1] | $ 7,112 | [1] | ||
Net positive exposure after cash collateral | 6,835 | 4,912 | ||||
Accrued interest receivable | 107,746 | 114,266 | ||||
Credit Risk Contract [Member]
|
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Derivative [Line Items] | ||||||
Accrued interest receivable | 1,644 | 1,060 | ||||
Cash Collateral And Related Accrued Interest [Member]
|
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Derivative [Line Items] | ||||||
Cash Collateral | $ 2,200 | $ 2,200 | ||||
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Segment Information (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
Dec. 31, 2011
|
|
Segment Reporting Information [Line Items] | |||||
Net interest income | $ 52,427 | $ 66,542 | $ 133,554 | $ 136,895 | |
Provision for credit losses | 0 | 1,119 | 1,410 | 3,678 | |
Net interest income after provision for credit losses | 52,427 | 65,423 | 132,144 | 133,217 | |
Other income | 22,174 | (154) | 21,507 | 3,701 | |
Other expenses | 13,725 | 13,534 | 28,286 | 27,665 | |
Income before assessments | 60,876 | 51,735 | 125,365 | 109,253 | |
Affordable Housing Program | 6,354 | 4,626 | 13,150 | 9,751 | |
REFCORP | 0 | 9,165 | 0 | 19,644 | |
Total assessments | 6,354 | 13,791 | 13,150 | 29,395 | |
Net income | 54,522 | 37,944 | 112,215 | 79,858 | |
Average assets | 64,897,766 | 68,100,189 | 63,872,091 | 69,415,170 | |
Total assets | 67,466,175 | 66,617,904 | 67,466,175 | 66,617,904 | 60,396,531 |
Traditional Member Finance [Member]
|
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Segment Reporting Information [Line Items] | |||||
Net interest income | 40,888 | 47,174 | 92,571 | 91,196 | |
Provision for credit losses | 0 | 0 | 0 | 0 | |
Net interest income after provision for credit losses | 40,888 | 47,174 | 92,571 | 91,196 | |
Other income | 20,712 | 74 | 23,106 | 7,227 | |
Other expenses | 11,844 | 11,607 | 24,392 | 23,740 | |
Income before assessments | 49,756 | 35,641 | 91,285 | 74,683 | |
Affordable Housing Program | 5,242 | 3,304 | 9,742 | 6,921 | |
REFCORP | 6,293 | 13,378 | |||
Total assessments | 9,597 | 20,299 | |||
Net income | 44,514 | 26,044 | 81,543 | 54,384 | |
Average assets | 56,726,411 | 60,530,524 | 55,787,044 | 61,811,897 | |
Total assets | 59,340,435 | 59,038,943 | 59,340,435 | 59,038,943 | |
Mortgage Purchase Program [Member]
|
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Segment Reporting Information [Line Items] | |||||
Net interest income | 11,539 | 19,368 | 40,983 | 45,699 | |
Provision for credit losses | 0 | 1,119 | 1,410 | 3,678 | |
Net interest income after provision for credit losses | 11,539 | 18,249 | 39,573 | 42,021 | |
Other income | 1,462 | (228) | (1,599) | (3,526) | |
Other expenses | 1,881 | 1,927 | 3,894 | 3,925 | |
Income before assessments | 11,120 | 16,094 | 34,080 | 34,570 | |
Affordable Housing Program | 1,112 | 1,322 | 3,408 | 2,830 | |
REFCORP | 2,872 | 6,266 | |||
Total assessments | 4,194 | 9,096 | |||
Net income | 10,008 | 11,900 | 30,672 | 25,474 | |
Average assets | 8,171,355 | 7,569,665 | 8,085,047 | 7,603,273 | |
Total assets | $ 8,125,740 | $ 7,578,961 | $ 8,125,740 | $ 7,578,961 |
Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended |
---|---|
Jun. 30, 2012
|
|
Mandatorily Redeemable Capital Stock [Roll Forward] | |
Balance at beginning period | $ 274,781 |
Capital stock subject to mandatory redemption reclassified from equity: Withdrawals | 193 |
Capital stock subject to mandatory redemption reclassified from equity: Other redemptions | 16,725 |
Redemption, or other reduction, of mandatorily redeemable capital stock: Withdrawals | 10,279 |
Redemption, or other reduction, of mandatorily redeemable capital stock: Other redemptions | 16,725 |
Balance at end of period | $ 264,695 |
Fair Value Disclosures Fair Value Summary (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Assets | ||
Derivative assets | $ 6,835 | $ 4,912 |
Liabilities | ||
Mandatorily redeemable capital stock | 264,695 | 274,781 |
Carrying Value
|
||
Assets | ||
Cash and Due from Banks | 779,734 | 2,033,944 |
Interest-bearing deposits | 207 | 119 |
Securities purchased under resale agreements | 3,200,000 | 0 |
Federal funds sold | 3,710,000 | 2,270,000 |
Trading securities | 2,930,180 | 2,862,648 |
Available-for-sale securities | 800,053 | 4,171,142 |
Held-to-maturity securities | 12,718,924 | 12,637,373 |
Advances | 35,095,004 | 28,423,774 |
Mortgage loans held for portfolio, net | 8,093,923 | 7,850,269 |
Accrued interest receivable | 107,746 | 114,266 |
Derivative assets | 6,835 | 4,912 |
Liabilities | ||
Deposits | 1,140,237 | 1,083,532 |
Mandatorily redeemable capital stock | 264,695 | 274,781 |
Accrued Interest Payable, Fair Value Disclosure | 123,813 | 142,212 |
Derivative liabilities | 132,624 | 105,284 |
Fair Value
|
||
Assets | ||
Cash and Due from Banks | 779,734 | 2,033,944 |
Interest-bearing deposits | 207 | 119 |
Securities purchased under resale agreements | 3,200,000 | 0 |
Federal funds sold | 3,710,000 | 2,270,000 |
Trading securities | 2,930,180 | 2,862,648 |
Available-for-sale securities | 800,053 | 4,171,142 |
Held-to-maturity securities | 13,079,921 | 13,035,503 |
Advances | 35,294,905 | 28,699,758 |
Mortgage loans held for portfolio, net | 8,529,827 | 8,342,709 |
Accrued interest receivable | 107,746 | 114,266 |
Derivative assets | 6,835 | 4,912 |
Liabilities | ||
Deposits | 1,140,079 | 1,083,312 |
Mandatorily redeemable capital stock | 264,695 | 274,781 |
Accrued Interest Payable, Fair Value Disclosure | 123,813 | 142,212 |
Derivative liabilities | 132,624 | 105,284 |
Consolidated Obligation Bonds [Member] | Portion at Fair Value, Fair Value Disclosure [Member]
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 4,687,996 | 4,900,296 |
Consolidated Obligation Bonds [Member] | Carrying Value
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 31,319,210 | 28,854,544 |
Consolidated Obligation Bonds [Member] | Fair Value
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 32,120,817 | 29,774,780 |
Fair Value, Inputs, Level 1 [Member]
|
||
Assets | ||
Cash and Due from Banks | 779,734 | |
Interest-bearing deposits | 0 | |
Securities purchased under resale agreements | 0 | |
Federal funds sold | 0 | |
Trading securities | 0 | |
Available-for-sale securities | 0 | |
Held-to-maturity securities | 0 | |
Advances | 0 | |
Mortgage loans held for portfolio, net | 0 | |
Accrued interest receivable | 0 | |
Derivative assets | 0 | |
Liabilities | ||
Deposits | 0 | |
Mandatorily redeemable capital stock | 264,695 | |
Accrued Interest Payable, Fair Value Disclosure | 0 | |
Derivative liabilities | 0 | |
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member]
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 0 | |
Fair Value, Inputs, Level 2 [Member]
|
||
Assets | ||
Cash and Due from Banks | 0 | |
Interest-bearing deposits | 207 | |
Securities purchased under resale agreements | 3,200,000 | |
Federal funds sold | 3,710,000 | |
Trading securities | 2,930,180 | |
Available-for-sale securities | 800,053 | |
Held-to-maturity securities | 13,079,921 | |
Advances | 35,294,905 | |
Mortgage loans held for portfolio, net | 8,529,827 | |
Accrued interest receivable | 107,746 | |
Derivative assets | 79,733 | |
Liabilities | ||
Deposits | 1,140,079 | |
Mandatorily redeemable capital stock | 0 | |
Accrued Interest Payable, Fair Value Disclosure | 123,813 | |
Derivative liabilities | 579,662 | |
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member]
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 32,120,817 | |
Fair Value, Inputs, Level 3 [Member]
|
||
Assets | ||
Cash and Due from Banks | 0 | |
Interest-bearing deposits | 0 | |
Securities purchased under resale agreements | 0 | |
Federal funds sold | 0 | |
Trading securities | 0 | |
Available-for-sale securities | 0 | |
Held-to-maturity securities | 0 | |
Advances | 0 | |
Mortgage loans held for portfolio, net | 0 | |
Accrued interest receivable | 0 | |
Derivative assets | 0 | |
Liabilities | ||
Deposits | 0 | |
Mandatorily redeemable capital stock | 0 | |
Accrued Interest Payable, Fair Value Disclosure | 0 | |
Derivative liabilities | 0 | |
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member]
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 0 | |
Netting and Collateral [Member]
|
||
Assets | ||
Cash and Due from Banks | 0 | |
Interest-bearing deposits | 0 | |
Securities purchased under resale agreements | 0 | |
Federal funds sold | 0 | |
Trading securities | 0 | |
Available-for-sale securities | 0 | |
Held-to-maturity securities | 0 | |
Advances | 0 | |
Mortgage loans held for portfolio, net | 0 | |
Accrued interest receivable | 0 | |
Derivative assets | (72,898) | |
Liabilities | ||
Deposits | 0 | |
Mandatorily redeemable capital stock | 0 | |
Accrued Interest Payable, Fair Value Disclosure | 0 | |
Derivative liabilities | (447,038) | |
Netting and Collateral [Member] | Consolidated Obligation Bonds [Member]
|
||
Liabilities | ||
Consolidated Obligations, Bonds | 0 | |
Discount Notes [Member] | Carrying Value
|
||
Liabilities | ||
Consolidated Obligations, Discount Notes | 30,538,715 | 26,136,303 |
Discount Notes [Member] | Fair Value
|
||
Liabilities | ||
Consolidated Obligations, Discount Notes | 30,538,814 | 26,137,014 |
Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member]
|
||
Liabilities | ||
Consolidated Obligations, Discount Notes | 0 | |
Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member]
|
||
Liabilities | ||
Consolidated Obligations, Discount Notes | 30,538,814 | |
Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member]
|
||
Liabilities | ||
Consolidated Obligations, Discount Notes | 0 | |
Discount Notes [Member] | Netting and Collateral [Member]
|
||
Liabilities | ||
Consolidated Obligations, Discount Notes | 0 | |
Commitments for Standby Bond Purchases [Member] | Carrying Value
|
||
Other [Abstract] | ||
Standby bond purchase agreements | 0 | 0 |
Commitments for Standby Bond Purchases [Member] | Fair Value
|
||
Other [Abstract] | ||
Standby bond purchase agreements | 1,367 | 1,595 |
Commitments for Standby Bond Purchases [Member] | Fair Value, Inputs, Level 1 [Member]
|
||
Other [Abstract] | ||
Standby bond purchase agreements | 0 | |
Commitments for Standby Bond Purchases [Member] | Fair Value, Inputs, Level 2 [Member]
|
||
Other [Abstract] | ||
Standby bond purchase agreements | 1,367 | |
Commitments for Standby Bond Purchases [Member] | Fair Value, Inputs, Level 3 [Member]
|
||
Other [Abstract] | ||
Standby bond purchase agreements | 0 | |
Commitments for Standby Bond Purchases [Member] | Netting and Collateral [Member]
|
||
Other [Abstract] | ||
Standby bond purchase agreements | $ 0 |
Deposits Deposits (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
Dec. 31, 2011
|
|
Deposits [Abstract] | |||||
Interest bearing, demand and overnight | $ 979,875 | $ 979,875 | $ 952,743 | ||
Interest bearing, term | 121,850 | 121,850 | 90,925 | ||
Interest bearing, other | 21,999 | 21,999 | 23,620 | ||
Total interest-bearing | 1,123,724 | 1,123,724 | 1,067,288 | ||
Non-interest bearing, other | 16,513 | 16,513 | 16,244 | ||
Total non-interest bearing | 16,513 | 16,513 | 16,244 | ||
Total deposits | 1,140,237 | 1,140,237 | 1,083,532 | ||
Weighted Average Rate Interest Bearing Deposits | 0.03% | 0.04% | 0.03% | 0.06% | |
Time Deposits, $100,000 or More | $ 121,775 | $ 121,775 | $ 90,850 |
Allowance for Credit Losses Individually Evaluated Impaired Loans (Details) (MPP Loans [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
Dec. 31, 2011
|
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MPP Loans [Member]
|
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Financing Receivable, Impaired [Line Items] | |||||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | $ 1,798 | $ 1,798 | $ 951 | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 1,777 | 1,777 | 934 | ||
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 2,213 | 2,213 | 1,699 | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 2,189 | 2,189 | 1,682 | ||
Impaired Financing Receivable, Related Allowance | 132 | 132 | 97 | ||
Impaired Financing Receivable, Recorded Investment | 4,011 | 4,011 | 2,650 | ||
Impaired Financing Receivable, Unpaid Principal Balance | 3,966 | 3,966 | 2,616 | ||
Impaired Financing Receivable, Average Recorded Investment | 3,600 | 0 | 3,243 | 0 | |
Impaired Financing Receivable, Interest Income, Accrual Method | $ 50 | $ 0 | $ 90 | $ 0 |
Segment Information
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Information [Text Block] | Segment Information The FHLBank has identified two primary operating segments based on its method of internal reporting: Traditional Member Finance and the Mortgage Purchase Program. These segments reflect the FHLBank's two primary Mission Asset Activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways the FHLBank provides services to member stockholders. Table 17.1 - Financial Performance by Operating Segment (in thousands)
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Trading Securities (Trading Securities by Major Type) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 2,930,180 | $ 2,862,648 |
US Treasury Securities [Member]
|
||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 300,852 | 331,207 |
US Government-sponsored Enterprises Debt Securities [Member]
|
||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 2,627,295 | 2,529,311 |
Trading Securities Other Than Mortgage Backed Securities [Member]
|
||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 2,928,147 | 2,860,518 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member]
|
||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 2,033 | $ 2,130 |
Accumulated Other Comprehensive (Loss) Income (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
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Accumulated Other Comprehensive Income (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated Other Comprehensive (Loss) Income (in thousands)
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Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
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Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | $ 21,015 | $ (17,125) | $ 98,796 | $ 71,000 | ||||||
Gain (Loss) on Hedged Item | (17,624) | 18,796 | (91,951) | (63,483) | ||||||
Net Fair Value Hedge Ineffectiveness | 3,391 | 1,671 | 6,845 | 7,517 | ||||||
Effect of Derivatives on Net Interest Income | (68,808) | [1] | (74,408) | [1] | (141,032) | [1] | (147,278) | |||
Advances [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | 22,918 | (21,673) | 99,420 | 81,358 | ||||||
Gain (Loss) on Hedged Item | (19,760) | 23,769 | (92,476) | (73,671) | ||||||
Net Fair Value Hedge Ineffectiveness | 3,158 | 2,096 | 6,944 | 7,687 | ||||||
Effect of Derivatives on Net Interest Income | (78,140) | [1] | (93,209) | [1] | (159,245) | [1] | (187,457) | [1] | ||
Consolidated Obligation Bonds [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | (1,903) | 4,548 | (624) | (10,358) | ||||||
Gain (Loss) on Hedged Item | 2,136 | (4,973) | 525 | 10,188 | ||||||
Net Fair Value Hedge Ineffectiveness | 233 | (425) | (99) | (170) | ||||||
Effect of Derivatives on Net Interest Income | $ 9,332 | [1] | $ 18,801 | [1] | $ 18,213 | [1] | $ 40,179 | [1] | ||
|
Derivatives and Hedging Activities (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Fair Value of Derivative Instruments (in thousands)
|
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Net Gains on Derivatives and Hedging Activities (in thousands)
|
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Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Effect of Fair Value Hedge Related Derivative Instruments (in thousands)
|
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Schedule of Credit Risk Exposure on Derivative Instruments [Table Text Block] | Credit Risk Exposure (in thousands)
|
Available-for-Sale Securities (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | $ 799,999 | $ 4,172,156 |
Available-for-sale Securities, Gross Unrealized Gains | 54 | 6 |
Available-for-sale Securities, Gross Unrealized Losses | 0 | (1,020) |
Available-for-sale Securities, Debt Securities | 800,053 | 4,171,142 |
Available-for-sale Securities, Debt Maturities, within One Year, Amortized Cost Basis | 799,999 | 4,172,156 |
Available-for-sale Securities, Debt Maturities, within One Year, Fair Value | 800,053 | 4,171,142 |
Fixed-rate [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | 799,999 | 4,172,156 |
Certificates of Deposit [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | 799,999 | 3,954,999 |
Available-for-sale Securities, Gross Unrealized Gains | 54 | 6 |
Available-for-sale Securities, Gross Unrealized Losses | 0 | (988) |
Available-for-sale Securities, Debt Securities | 800,053 | 3,954,017 |
Other non-mortgage-backed securities
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | 217,157 | |
Available-for-sale Securities, Gross Unrealized Gains | 0 | |
Available-for-sale Securities, Gross Unrealized Losses | (32) | |
Available-for-sale Securities, Debt Securities | $ 217,125 |
Allowance for Credit Losses (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
Dec. 31, 2011
|
|
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total recorded investment | $ 8,144,189 | $ 8,144,189 | $ 7,902,224 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of period | 21,000 | 14,200 | 20,750 | 12,100 | |
Charge-offs | (1,502) | (519) | (2,662) | (978) | |
Provision for credit losses | 0 | 1,119 | 1,410 | 3,678 | |
Balance, end of period | 19,498 | 14,800 | 19,498 | 14,800 | |
Conventional Loan [Member]
|
|||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for Credit Losses, Collectively Evaluated for Impairment | 19,366 | 19,366 | 20,653 | ||
Allowance for Credit Losses, Individually Evaluated for Impairment | 132 | 132 | 97 | ||
Recorded Investment, Collectively Evaluated for Impairment | 6,989,983 | 6,989,983 | 6,633,380 | ||
Recorded Investment, Individually Evaluated for Impairment | 4,011 | 4,011 | 2,650 | ||
Total recorded investment | $ 6,993,994 | $ 6,993,994 | $ 6,636,030 |
Advances (Year of Contractual Maturityor Next Call Date) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Advances [Abstract] | ||
Due in 1 year or less | $ 23,399,932 | $ 18,589,350 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Due From One To Two Years of Balance Sheet Date | 1,805,797 | 1,833,661 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Due From Two To Three Years of Balance Sheet Date | 2,788,027 | 1,648,651 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Due From Three To Four Years of Balance Sheet Date | 1,784,894 | 1,087,444 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Due From Four To Five Years of Balance Sheet Date | 2,318,104 | 1,854,961 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Due After Five Years of Balance Sheet Date | 2,505,214 | 2,824,430 |
Federal Home Loan Bank Advances At Par Value | $ 34,601,968 | $ 27,838,497 |
Transactions with Other FHLBanks (Tables) (Other FHLBanks [Member])
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
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Other FHLBanks [Member]
|
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Schedule of Other Transactions [Line Items] | |||||||||||||||||||||||||||||||||||||||||
Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Lending Between the FHLBank and Other FHLBanks (in thousands)
|
Basis of Presentation
|
6 Months Ended |
---|---|
Jun. 30, 2012
|
|
Basis of Presentation [Abstract] | |
Basis of Presentation [Text Block] | Basis of Presentation The accompanying interim financial statements of the FHLBank have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make assumptions and estimates. These assumptions and estimates affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. The interim financial statements presented are unaudited, but they include all adjustments (consisting of only normal recurring adjustments) which are, in the opinion of management, necessary for a fair statement of the financial condition, results of operations, and cash flows for such periods. These financial statements do not include all disclosures associated with annual financial statements and accordingly should be read in conjunction with the audited financial statements and notes included in the FHLBank's annual report on Form 10-K for the year ended December 31, 2011 filed with the Securities and Exchange Commission (SEC). Results for the three and six months ended June 30, 2012 are not necessarily indicative of operating results for the full year. The FHLBank has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements. |
Advances (Advances by Year of Contractual Maturity or Next Put/Convert Date for Putable/Convertible Advances) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due within One Year of Balance Sheet Date | $ 18,793,614 | $ 14,267,457 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From One To Two Years of Balance Sheet Date | 1,606,918 | 3,475,312 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Two To Three Years of Balance Sheet Date | 4,875,143 | 2,727,572 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Three To Four Years of Balance Sheet Date | 2,761,045 | 1,731,594 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Four To Five Years of Balance Sheet Date | 4,639,509 | 3,113,282 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due After Five Years of Balance Sheet Date | 1,925,739 | 2,523,280 |
Federal Home Loan Bank Advances At Par Value | $ 34,601,968 | $ 27,838,497 |