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 - September 30, 2012 and December 31, 2011 | ||
Statements of Income - Three and nine months ended September 30, 2012 and 2011 | ||
Statements of Comprehensive Income - Three and nine months ended September 30, 2012 and 2011 | ||
Statements of Capital - Nine months ended September 30, 2012 and 2011 | ||
Statements of Cash Flows - Nine months ended September 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 2. | Unregistered Sales of Equity Securities and Use of Proceeds | |
Item 6. | Exhibits | |
Signatures |
Item 1. | Financial Statements |
September 30, 2012 | December 31, 2011 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 12,728 | $ | 2,033,944 | |||
Interest-bearing deposits | 220 | 119 | |||||
Securities purchased under agreements to resell | 2,200,000 | — | |||||
Federal funds sold | 5,540,000 | 2,270,000 | |||||
Investment securities: | |||||||
Trading securities | 1,904,110 | 2,862,648 | |||||
Available-for-sale securities | — | 4,171,142 | |||||
Held-to-maturity securities (includes $0 and $0 pledged as collateral at September 30, 2012 and December 31, 2011, respectively, that may be repledged) (a) | 13,525,567 | 12,637,373 | |||||
Total investment securities | 15,429,677 | 19,671,163 | |||||
Advances | 36,002,583 | 28,423,774 | |||||
Mortgage loans held for portfolio: | |||||||
Mortgage loans held for portfolio | 7,865,832 | 7,871,019 | |||||
Less: allowance for credit losses on mortgage loans | 17,907 | 20,750 | |||||
Mortgage loans held for portfolio, net | 7,847,925 | 7,850,269 | |||||
Accrued interest receivable | 107,555 | 114,266 | |||||
Premises, software, and equipment, net | 8,828 | 9,193 | |||||
Derivative assets | 9,165 | 4,912 | |||||
Other assets | 12,330 | 18,891 | |||||
TOTAL ASSETS | $ | 67,171,011 | $ | 60,396,531 | |||
LIABILITIES | |||||||
Deposits: | |||||||
Interest bearing | $ | 1,158,046 | $ | 1,067,288 | |||
Non-interest bearing | 16,931 | 16,244 | |||||
Total deposits | 1,174,977 | 1,083,532 | |||||
Consolidated Obligations, net: | |||||||
Discount Notes | 31,534,750 | 26,136,303 | |||||
Bonds (includes $3,253,396 and $4,900,296 at fair value under fair value option at September 30, 2012 and December 31, 2011, respectively) | 29,828,005 | 28,854,544 | |||||
Total Consolidated Obligations, net | 61,362,755 | 54,990,847 | |||||
Mandatorily redeemable capital stock | 219,599 | 274,781 | |||||
Accrued interest payable | 116,179 | 142,212 | |||||
Affordable Housing Program payable | 80,805 | 74,195 | |||||
Derivative liabilities | 135,766 | 105,284 | |||||
Other liabilities | 149,369 | 166,573 | |||||
Total liabilities | 63,239,450 | 56,837,424 | |||||
Commitments and contingencies | |||||||
CAPITAL | |||||||
Capital stock Class B putable ($100 par value); 34,282 and 31,259 shares issued and outstanding at September 30, 2012 and December 31, 2011, respectively | 3,428,174 | 3,125,895 | |||||
Retained earnings: | |||||||
Unrestricted | 466,965 | 432,530 | |||||
Restricted | 45,694 | 11,683 | |||||
Total retained earnings | 512,659 | 444,213 | |||||
Accumulated other comprehensive loss | (9,272 | ) | (11,001 | ) | |||
Total capital | 3,931,561 | 3,559,107 | |||||
TOTAL LIABILITIES AND CAPITAL | $ | 67,171,011 | $ | 60,396,531 |
(a) | Fair values: $13,930,820 and $13,035,503 at September 30, 2012 and December 31, 2011, respectively. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
INTEREST INCOME: | |||||||||||||||
Advances | $ | 59,866 | $ | 54,801 | $ | 177,769 | $ | 173,365 | |||||||
Prepayment fees on Advances, net | 1,861 | 2,579 | 6,938 | 3,809 | |||||||||||
Interest-bearing deposits | 142 | 113 | 434 | 370 | |||||||||||
Securities purchased under agreements to resell | 1,168 | 252 | 2,967 | 1,816 | |||||||||||
Federal funds sold | 2,243 | 946 | 4,565 | 3,949 | |||||||||||
Trading securities | 9,743 | 9,715 | 31,574 | 28,896 | |||||||||||
Available-for-sale securities | 136 | 917 | 2,741 | 6,546 | |||||||||||
Held-to-maturity securities | 74,467 | 84,765 | 222,721 | 298,872 | |||||||||||
Mortgage loans held for portfolio | 81,934 | 76,734 | 239,759 | 253,209 | |||||||||||
Loans to other FHLBanks | 1 | — | 2 | 3 | |||||||||||
Total interest income | 231,561 | 230,822 | 689,470 | 770,835 | |||||||||||
INTEREST EXPENSE: | |||||||||||||||
Consolidated Obligations - Discount Notes | 9,156 | 5,987 | 20,032 | 24,089 | |||||||||||
Consolidated Obligations - Bonds | 136,366 | 177,421 | 443,530 | 554,124 | |||||||||||
Deposits | 105 | 99 | 285 | 508 | |||||||||||
Mandatorily redeemable capital stock | 2,637 | 2,881 | 8,771 | 10,785 | |||||||||||
Other borrowings | — | — | 1 | — | |||||||||||
Total interest expense | 148,264 | 186,388 | 472,619 | 589,506 | |||||||||||
NET INTEREST INCOME | 83,297 | 44,434 | 216,851 | 181,329 | |||||||||||
(Reversal) provision for credit losses | (500 | ) | 2,289 | 910 | 5,967 | ||||||||||
NET INTEREST INCOME AFTER (REVERSAL) PROVISION FOR CREDIT LOSSES | 83,797 | 42,145 | 215,941 | 175,362 | |||||||||||
OTHER NON-INTEREST (LOSS) INCOME: | |||||||||||||||
Net losses on trading securities | (8,831 | ) | (7,637 | ) | (29,049 | ) | (18,231 | ) | |||||||
Net realized gains from sale of held-to-maturity securities | — | 2,830 | 29,292 | 8,849 | |||||||||||
Net (losses) gains on Consolidated Obligation Bonds held under fair value option | (624 | ) | (355 | ) | 1,811 | (893 | ) | ||||||||
Net gains (losses) on derivatives and hedging activities | 3,428 | (3,316 | ) | 10,368 | 1,848 | ||||||||||
Service fees | 368 | 397 | 1,129 | 1,199 | |||||||||||
Other, net | 1,488 | 1,613 | 3,785 | 4,461 | |||||||||||
Total other non-interest (loss) income | (4,171 | ) | (6,468 | ) | 17,336 | (2,767 | ) | ||||||||
OTHER EXPENSE: | |||||||||||||||
Compensation and benefits | 6,884 | 8,157 | 22,833 | 23,718 | |||||||||||
Other operating | 3,624 | 3,909 | 10,544 | 11,208 | |||||||||||
Finance Agency | 1,446 | 1,336 | 4,594 | 3,570 | |||||||||||
Office of Finance | 854 | 874 | 2,526 | 2,643 | |||||||||||
Other | 2,261 | 398 | 2,858 | 1,200 | |||||||||||
Total other expense | 15,069 | 14,674 | 43,355 | 42,339 | |||||||||||
INCOME BEFORE ASSESSMENTS | 64,557 | 21,003 | 189,922 | 130,256 | |||||||||||
Affordable Housing Program | 6,719 | 2,388 | 19,869 | 12,139 | |||||||||||
REFCORP | — | — | — | 19,644 | |||||||||||
Total assessments | 6,719 | 2,388 | 19,869 | 31,783 | |||||||||||
NET INCOME | $ | 57,838 | $ | 18,615 | $ | 170,053 | $ | 98,473 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net income | $ | 57,838 | $ | 18,615 | $ | 170,053 | $ | 98,473 | |||||||
Other comprehensive income adjustments: | |||||||||||||||
Net unrealized (losses) gains on available-for-sale securities | (54 | ) | (264 | ) | 1,014 | (353 | ) | ||||||||
Pension and postretirement benefits | 30 | 246 | 715 | 679 | |||||||||||
Total other comprehensive income adjustments | (24 | ) | (18 | ) | 1,729 | 326 | |||||||||
Total comprehensive income | $ | 57,814 | $ | 18,597 | $ | 171,782 | $ | 98,799 |
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 | 266 | 26,590 | 26,590 | |||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (130 | ) | (12,976 | ) | (12,976 | ) | ||||||||||||||||||
Comprehensive income | 94,750 | 3,723 | 98,473 | 326 | 98,799 | |||||||||||||||||||
Dividends on capital stock: | ||||||||||||||||||||||||
Cash | (100,535 | ) | (100,535 | ) | (100,535 | ) | ||||||||||||||||||
BALANCE, SEPTEMBER 30, 2011 | 31,060 | $ | 3,105,991 | $ | 432,089 | $ | 3,723 | $ | 435,812 | $ | (7,397 | ) | $ | 3,534,406 | ||||||||||
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 | 3,192 | 319,197 | 319,197 | |||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (169 | ) | (16,918 | ) | (16,918 | ) | ||||||||||||||||||
Comprehensive income | 136,042 | 34,011 | 170,053 | 1,729 | 171,782 | |||||||||||||||||||
Dividends on capital stock: | ||||||||||||||||||||||||
Cash | (101,607 | ) | (101,607 | ) | (101,607 | ) | ||||||||||||||||||
BALANCE, SEPTEMBER 30, 2012 | 34,282 | $ | 3,428,174 | $ | 466,965 | $ | 45,694 | $ | 512,659 | $ | (9,272 | ) | $ | 3,931,561 |
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
OPERATING ACTIVITIES: | |||||||
Net income | $ | 170,053 | $ | 98,473 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Depreciation and amortization | 50,611 | 38,656 | |||||
Change in net fair value adjustment on derivative and hedging activities | 70,840 | 121,871 | |||||
Net change in fair value adjustments on trading securities | 29,049 | 18,231 | |||||
Net change in fair value adjustments on Consolidated Obligation Bonds held at fair value | (1,811 | ) | 893 | ||||
Other adjustments | (28,379 | ) | (2,891 | ) | |||
Net change in: | |||||||
Accrued interest receivable | 6,697 | 6,655 | |||||
Other assets | 4,023 | 4,299 | |||||
Accrued interest payable | (26,120 | ) | (35,929 | ) | |||
Other liabilities | 45,788 | 32,429 | |||||
Total adjustments | 150,698 | 184,214 | |||||
Net cash provided by operating activities | 320,751 | 282,687 | |||||
INVESTING ACTIVITIES: | |||||||
Net change in: | |||||||
Interest-bearing deposits | 127,107 | (127,714 | ) | ||||
Securities purchased under agreements to resell | (2,200,000 | ) | 1,050,000 | ||||
Federal funds sold | (3,270,000 | ) | 1,790,000 | ||||
Premises, software, and equipment | (1,303 | ) | (1,108 | ) | |||
Trading securities: | |||||||
Net decrease in short-term | 929,434 | 2,004,674 | |||||
Proceeds from maturities of long-term | 146 | 226 | |||||
Available-for-sale securities: | |||||||
Net decrease in short-term | 4,172,156 | 2,170,126 | |||||
Held-to-maturity securities: | |||||||
Net increase in short-term | (262,290 | ) | (125,937 | ) | |||
Proceeds from maturities of long-term | 2,444,740 | 2,568,875 | |||||
Proceeds from sale of long-term | 507,531 | 231,748 | |||||
Purchases of long-term | (3,624,218 | ) | (2,118,192 | ) | |||
Advances: | |||||||
Proceeds | 600,826,079 | 155,553,336 | |||||
Made | (608,501,418 | ) | (155,728,280 | ) | |||
Mortgage loans held for portfolio: | |||||||
Principal collected | 1,928,752 | 1,238,388 | |||||
Purchases | (1,945,339 | ) | (1,357,523 | ) | |||
Net cash (used in) provided by investing activities | (8,868,623 | ) | 7,148,619 | ||||
The accompanying notes are an integral part of these financial statements. |
(continued from previous page) | |||||||
FEDERAL HOME LOAN BANK OF CINCINNATI | |||||||
STATEMENTS OF CASH FLOWS | |||||||
(In thousands) | |||||||
(Unaudited) | |||||||
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
FINANCING ACTIVITIES: | |||||||
Net increase (decrease) in deposits and pass-through reserves | $ | 114,484 | $ | (163,687 | ) | ||
Net payments on derivative contracts with financing elements | (105,511 | ) | (128,121 | ) | |||
Net proceeds from issuance of Consolidated Obligations: | |||||||
Discount Notes | 184,505,756 | 376,084,644 | |||||
Bonds | 15,461,517 | 13,374,401 | |||||
Payments for maturing and retiring Consolidated Obligations: | |||||||
Discount Notes | (179,112,341 | ) | (377,749,716 | ) | |||
Bonds | (14,482,739 | ) | (16,548,576 | ) | |||
Proceeds from issuance of capital stock | 319,197 | 26,590 | |||||
Payments for redemption of mandatorily redeemable capital stock | (72,100 | ) | (38,784 | ) | |||
Cash dividends paid | (101,607 | ) | (100,535 | ) | |||
Net cash provided by (used in) financing activities | 6,526,656 | (5,243,784 | ) | ||||
Net (decrease) increase in cash and cash equivalents | (2,021,216 | ) | 2,187,522 | ||||
Cash and cash equivalents at beginning of the period | 2,033,944 | 197,623 | |||||
Cash and cash equivalents at end of the period | $ | 12,728 | $ | 2,385,145 | |||
Supplemental Disclosures: | |||||||
Interest paid | $ | 498,099 | $ | 621,901 | |||
AHP payments, net | $ | 13,259 | $ | 24,295 | |||
REFCORP assessments paid | $ | — | $ | 30,646 |
September 30, 2012 | December 31, 2011 | ||||||
Fair Value | Fair Value | ||||||
Non-mortgage-backed securities: | |||||||
U.S. Treasury obligations | $ | — | $ | 331,207 | |||
Government-sponsored enterprises * | 1,902,111 | 2,529,311 | |||||
Total non-mortgage-backed securities | 1,902,111 | 2,860,518 | |||||
Mortgage-backed securities: | |||||||
Other U.S. obligation residential mortgage-backed securities ** | 1,999 | 2,130 | |||||
Total | $ | 1,904,110 | $ | 2,862,648 |
* | Consists of debt securities issued and effectively guaranteed by Federal Home Loan Mortgage Corporation (Freddie Mac) and/or Federal National Mortgage Association (Fannie Mae) which have the support 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. |
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Net losses on trading securities held at period end | $ | (14,924 | ) | $ | (11,883 | ) | |
Net losses on securities matured during the period | (14,125 | ) | (6,348 | ) | |||
Net losses on trading securities | $ | (29,049 | ) | $ | (18,231 | ) |
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. |
December 31, 2011 | |||||||
Year of Maturity | Amortized Cost | Fair Value | |||||
Due in one year or less | $ | 4,172,156 | $ | 4,171,142 |
December 31, 2011 | |||
Amortized cost of available-for-sale securities: | |||
Fixed-rate | $ | 4,172,156 |
September 30, 2012 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding (Losses) | Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Government-sponsored enterprises * | $ | 26,230 | $ | 1 | $ | — | $ | 26,231 | |||||||
TLGP ** | 1,608,362 | 80 | (95 | ) | 1,608,347 | ||||||||||
Total non-mortgage-backed securities | 1,634,592 | 81 | (95 | ) | 1,634,578 | ||||||||||
Mortgage-backed securities: | |||||||||||||||
Other U.S. obligation residential mortgage-backed securities *** | 1,468,555 | 5,929 | — | 1,474,484 | |||||||||||
Government-sponsored enterprise residential mortgage-backed securities **** | 10,422,420 | 399,338 | — | 10,821,758 | |||||||||||
Total mortgage-backed securities | 11,890,975 | 405,267 | — | 12,296,242 | |||||||||||
Total | $ | 13,525,567 | $ | 405,348 | $ | (95 | ) | $ | 13,930,820 | ||||||
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 support 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 support of the U.S. government, although they are not obligations of the U.S. government. |
September 30, 2012 | December 31, 2011 | ||||||
Premiums | $ | 42,475 | $ | 60,080 | |||
Discounts | (21,852 | ) | (18,863 | ) | |||
Net purchased premiums | $ | 20,623 | $ | 41,217 |
September 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 * | $ | 1,041,303 | $ | (95 | ) | $ | — | $ | — | $ | 1,041,303 | $ | (95 | ) | |||||||||
Total | $ | 1,041,303 | $ | (95 | ) | $ | — | $ | — | $ | 1,041,303 | $ | (95 | ) | |||||||||
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 support of the U.S. government, although they are not obligations of the U.S. government. |
September 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 | $ | 1,634,592 | $ | 1,634,578 | $ | 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 | 1,634,592 | 1,634,578 | 1,435,031 | 1,435,167 | |||||||||||
Mortgage-backed securities (2) | 11,890,975 | 12,296,242 | 11,202,342 | 11,600,336 | |||||||||||
Total | $ | 13,525,567 | $ | 13,930,820 | $ | 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. |
September 30, 2012 | December 31, 2011 | ||||||
Amortized cost of non-mortgage-backed securities: | |||||||
Fixed-rate | $ | 1,634,592 | $ | 1,435,031 | |||
Total amortized cost of non-mortgage-backed securities | 1,634,592 | 1,435,031 | |||||
Amortized cost of mortgage-backed securities: | |||||||
Fixed-rate | 8,531,585 | 8,165,857 | |||||
Variable-rate | 3,359,390 | 3,036,485 | |||||
Total amortized cost of mortgage-backed securities | 11,890,975 | 11,202,342 | |||||
Total | $ | 13,525,567 | $ | 12,637,373 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Proceeds from sale of held-to-maturity securities | $ | — | $ | 106,098 | $ | 507,531 | $ | 337,846 | |||||||
Gross gains from sale of held-to-maturity securities | — | 2,830 | 29,292 | 8,849 |
September 30, 2012 | December 31, 2011 | |||||||||||||
Redemption Term | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 11,206,872 | 0.68 | % | $ | 10,351,507 | 2.17 | % | ||||||
Due after 1 year through 2 years | 1,828,028 | 2.14 | 3,590,712 | 1.53 | ||||||||||
Due after 2 years through 3 years | 5,702,954 | 1.01 | 3,140,472 | 1.63 | ||||||||||
Due after 3 years through 4 years | 3,755,940 | 1.89 | 2,083,094 | 1.66 | ||||||||||
Due after 4 years through 5 years | 6,690,622 | 1.28 | 4,280,282 | 2.12 | ||||||||||
Thereafter | 6,332,524 | 1.28 | 4,392,430 | 2.36 | ||||||||||
Total par value | 35,516,940 | 1.16 | 27,838,497 | 2.01 | ||||||||||
Commitment fees | (868 | ) | (996 | ) | ||||||||||
Discount on AHP Advances | (20,403 | ) | (22,955 | ) | ||||||||||
Premiums | 3,863 | 4,126 | ||||||||||||
Discount | (13,702 | ) | (13,485 | ) | ||||||||||
Hedging adjustments | 516,753 | 618,587 | ||||||||||||
Total | $ | 36,002,583 | $ | 28,423,774 |
Year of Contractual Maturity or Next Call Date | September 30, 2012 | December 31, 2011 | |||||
Due in 1 year or less | $ | 19,762,496 | $ | 18,589,350 | |||
Due after 1 year through 2 years | 1,512,985 | 1,833,661 | |||||
Due after 2 years through 3 years | 2,995,804 | 1,648,651 | |||||
Due after 3 years through 4 years | 1,704,910 | 1,087,444 | |||||
Due after 4 years through 5 years | 3,762,946 | 1,854,961 | |||||
Thereafter | 5,777,799 | 2,824,430 | |||||
Total par value | $ | 35,516,940 | $ | 27,838,497 |
Year of Contractual Maturity or Next Put/Convert Date | September 30, 2012 | December 31, 2011 | |||||
Due in 1 year or less | $ | 14,866,522 | $ | 14,267,457 | |||
Due after 1 year through 2 years | 1,654,328 | 3,475,312 | |||||
Due after 2 years through 3 years | 5,172,154 | 2,727,572 | |||||
Due after 3 years through 4 years | 2,736,940 | 1,731,594 | |||||
Due after 4 years through 5 years | 5,751,972 | 3,113,282 | |||||
Thereafter | 5,335,024 | 2,523,280 | |||||
Total par value | $ | 35,516,940 | $ | 27,838,497 |
Par value of Advances | September 30, 2012 | December 31, 2011 | |||||
Fixed-rate (1) | |||||||
Due in one year or less | $ | 8,557,246 | $ | 8,565,327 | |||
Due after one year | 9,407,159 | 9,395,455 | |||||
Total fixed-rate | 17,964,405 | 17,960,782 | |||||
Variable-rate (1) | |||||||
Due in one year or less | 2,260,957 | 1,390,502 | |||||
Due after one year | 15,291,578 | 8,487,213 | |||||
Total variable-rate | 17,552,535 | 9,877,715 | |||||
Total par value | $ | 35,516,940 | $ | 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. |
September 30, 2012 | December 31, 2011 | |||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
JPMorgan Chase Bank, N.A. | $ | 8,500 | 24 | % | U.S. Bank, N.A. | $ | 7,314 | 26 | % | |||||
Fifth Third Bank | 4,982 | 14 | PNC Bank, N.A. (1) | 3,996 | 14 | |||||||||
U.S. Bank, N.A. | 4,494 | 13 | Fifth Third Bank | 2,533 | 9 | |||||||||
PNC Bank, N.A. (1) | 2,994 | 8 | Total | $ | 13,843 | 49 | % | |||||||
Total | $ | 20,970 | 59 | % |
(1) | Former member. |
September 30, 2012 | December 31, 2011 | ||||||
Unpaid principal balance: | |||||||
Fixed rate medium-term single-family mortgages (1) | $ | 1,795,086 | $ | 1,655,696 | |||
Fixed rate long-term single-family mortgages | 5,896,682 | 6,095,880 | |||||
Total unpaid principal balance | 7,691,768 | 7,751,576 | |||||
Premiums | 156,814 | 110,663 | |||||
Discounts | (3,410 | ) | (4,136 | ) | |||
Hedging basis adjustments (2) | 20,660 | 12,916 | |||||
Total mortgage loans held for portfolio | $ | 7,865,832 | $ | 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. |
September 30, 2012 | December 31, 2011 | ||||||
Unpaid principal balance: | |||||||
Conventional loans | $ | 6,627,238 | $ | 6,502,550 | |||
Government-guaranteed/insured loans | 1,064,530 | 1,249,026 | |||||
Total unpaid principal balance | $ | 7,691,768 | $ | 7,751,576 |
September 30, 2012 | December 31, 2011 | |||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
Union Savings Bank | $ | 2,251 | 29 | % | PNC Bank, N.A. (1) | $ | 2,338 | 30 | % | |||||
PNC Bank, N.A. (1) | 1,946 | 25 | Union Savings Bank | 2,068 | 27 | |||||||||
Guardian Savings Bank FSB | 498 | 6 | Guardian Savings Bank FSB | 643 | 8 | |||||||||
Total | $ | 4,695 | 60 | % | Liberty Savings Bank | 419 | 5 | |||||||
Total | $ | 5,468 | 70 | % |
(1) | Former member. |
Three Months Ended September 30, | |||||||
Allowance for credit losses: | 2012 | 2011 | |||||
Balance, beginning of period | $ | 19,498 | $ | 14,800 | |||
Charge-offs | (1,091 | ) | (1,789 | ) | |||
(Reversal) provision for credit losses | (500 | ) | 2,289 | ||||
Balance, end of period | $ | 17,907 | $ | 15,300 | |||
Nine Months Ended September 30, | |||||||
Allowance for credit losses: | 2012 | 2011 | |||||
Balance, beginning of period | $ | 20,750 | $ | 12,100 | |||
Charge-offs | (3,753 | ) | (2,767 | ) | |||
Provision for credit losses | 910 | 5,967 | |||||
Balance, end of period | $ | 17,907 | $ | 15,300 |
Allowance for credit losses, end of period: | September 30, 2012 | December 31, 2011 | |||||
Collectively evaluated for impairment | $ | 17,782 | $ | 20,653 | |||
Individually evaluated for impairment | $ | 125 | $ | 97 | |||
Recorded investment, end of period: | |||||||
Collectively evaluated for impairment | $ | 6,811,672 | $ | 6,633,380 | |||
Individually evaluated for impairment | 4,313 | 2,650 | |||||
Total recorded investment | $ | 6,815,985 | $ | 6,636,030 |
Nine Months Ended | |||
September 30, 2012 | |||
LRA at beginning of year | $ | 68,684 | |
Additions | 32,231 | ||
Claims | (2,336 | ) | |
Scheduled distributions | (1,405 | ) | |
LRA at end of period | $ | 97,174 |
September 30, 2012 | |||||||||||
Conventional Mortgage Purchase Program Loans | Government-Guaranteed or Insured Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 48,580 | $ | 60,956 | $ | 109,536 | |||||
Past due 60-89 days delinquent | 16,741 | 18,375 | 35,116 | ||||||||
Past due 90 days or more delinquent | 82,369 | 35,874 | 118,243 | ||||||||
Total past due | 147,690 | 115,205 | 262,895 | ||||||||
Total current mortgage loans | 6,668,295 | 964,051 | 7,632,346 | ||||||||
Total mortgage loans | $ | 6,815,985 | $ | 1,079,256 | $ | 7,895,241 | |||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | 69,180 | $ | 16,016 | $ | 85,196 | |||||
Serious delinquency rate (2) | 1.21 | % | 3.32 | % | 1.50 | % | |||||
Past due 90 days or more still accruing interest (3) | $ | 82,283 | $ | 35,874 | $ | 118,157 | |||||
Loans on non-accrual status, included above | $ | 2,338 | $ | — | $ | 2,338 | |||||
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: | September 30, 2012 | December 31, 2011 | |||||
Conventional Mortgage Purchase Program Loans | $ | 4,313 | $ | 2,650 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Defaulted troubled debt restructurings: | |||||||||||||||
Conventional Mortgage Purchase Program Loans | $ | — | $ | 273 | $ | — | $ | 273 |
September 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 | $ | 2,061 | $ | 2,031 | $ | — | $ | 951 | $ | 934 | $ | — | |||||||||||
With an allowance | 2,252 | 2,232 | 125 | 1,699 | 1,682 | 97 | |||||||||||||||||
Total | $ | 4,313 | $ | 4,263 | $ | 125 | $ | 2,650 | $ | 2,616 | $ | 97 |
Three Months Ended September 30, | |||||||||||||||
2012 | 2011 | ||||||||||||||
Individually impaired loans: | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||
Conventional Mortgage Purchase Program Loans | $ | 4,319 | $ | 59 | $ | 2,202 | $ | 30 | |||||||
Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | ||||||||||||||
Individually impaired loans: | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||
Conventional Mortgage Purchase Program Loans | $ | 3,673 | $ | 152 | $ | 1,193 | $ | 49 |
▪ | 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 Bond, 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 |
September 30, 2012 | |||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as fair value hedging instruments: | |||||||||||
Interest rate swaps | $ | 10,688,675 | $ | 76,047 | $ | 548,881 | |||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | 3,624,000 | 3,721 | 16,727 | ||||||||
Mortgage delivery commitments | 165,937 | 3,412 | 1 | ||||||||
Total derivatives not designated as hedging instruments | 3,789,937 | 7,133 | 16,728 | ||||||||
Total derivatives before netting and collateral adjustments | $ | 14,478,612 | 83,180 | 565,609 | |||||||
Netting adjustments | (71,315 | ) | (71,315 | ) | |||||||
Cash collateral and related accrued interest | (2,700 | ) | (358,528 | ) | |||||||
Total collateral and netting adjustments (1) | (74,015 | ) | (429,843 | ) | |||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 9,165 | $ | 135,766 | |||||||
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 September 30, | |||||||
2012 | 2011 | ||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||
Interest rate swaps | $ | (1,121 | ) | $ | (571 | ) | |
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | (241 | ) | (5,892 | ) | |||
Forward rate agreements | (496 | ) | (13,209 | ) | |||
Net interest settlements | (397 | ) | 755 | ||||
Mortgage delivery commitments | 5,683 | 15,601 | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | 4,549 | (2,745 | ) | ||||
Net gains (losses) on derivatives and hedging activities | $ | 3,428 | $ | (3,316 | ) | ||
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||
Interest rate swaps | $ | 5,724 | $ | 6,946 | |||
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | 3,480 | (7,235 | ) | ||||
Forward rate agreements | (8,645 | ) | (17,257 | ) | |||
Net interest settlements | (2,421 | ) | 3,276 | ||||
Mortgage delivery commitments | 12,230 | 16,118 | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | 4,644 | (5,098 | ) | ||||
Net gains on derivatives and hedging activities | $ | 10,368 | $ | 1,848 |
Three Months Ended September 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 | $ | 6,931 | $ | (7,285 | ) | $ | (354 | ) | $ | (50,214 | ) | ||||
Consolidated Bonds | 117 | (884 | ) | (767 | ) | 9,347 | |||||||||
Total | $ | 7,048 | $ | (8,169 | ) | $ | (1,121 | ) | $ | (40,867 | ) | ||||
2011 | |||||||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | (59,691 | ) | $ | 58,671 | $ | (1,020 | ) | $ | (91,942 | ) | ||||
Consolidated Bonds | 4,961 | (4,512 | ) | 449 | 12,986 | ||||||||||
Total | $ | (54,730 | ) | $ | 54,159 | $ | (571 | ) | $ | (78,956 | ) | ||||
Nine Months Ended September 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 | $ | 106,351 | $ | (99,761 | ) | $ | 6,590 | $ | (209,459 | ) | |||||
Consolidated Bonds | (507 | ) | (359 | ) | (866 | ) | 27,560 | ||||||||
Total | $ | 105,844 | $ | (100,120 | ) | $ | 5,724 | $ | (181,899 | ) | |||||
2011 | |||||||||||||||
Hedged Item Type: | |||||||||||||||
Advances | $ | 21,667 | $ | (15,000 | ) | $ | 6,667 | $ | (279,399 | ) | |||||
Consolidated Bonds | (5,397 | ) | 5,676 | 279 | 53,165 | ||||||||||
Total | $ | 16,270 | $ | (9,324 | ) | $ | 6,946 | $ | (226,234 | ) |
(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. |
September 30, 2012 | December 31, 2011 | ||||||
Total net exposure at fair value (1) | $ | 11,865 | $ | 7,112 | |||
Cash collateral | 2,700 | 2,200 | |||||
Net positive exposure after cash collateral | $ | 9,165 | $ | 4,912 |
(1) | Includes net accrued interest receivables of (in thousands) $1,602 and $1,060 at September 30, 2012 and December 31, 2011. |
September 30, 2012 | December 31, 2011 | ||||||
Interest bearing: | |||||||
Demand and overnight | $ | 1,006,491 | $ | 952,743 | |||
Term | 128,650 | 90,925 | |||||
Other | 22,905 | 23,620 | |||||
Total interest bearing | 1,158,046 | 1,067,288 | |||||
Non-interest bearing: | |||||||
Other | 16,931 | 16,244 | |||||
Total non-interest bearing | 16,931 | 16,244 | |||||
Total deposits | $ | 1,174,977 | $ | 1,083,532 |
September 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 | $ | 12,976,050 | 1.22 | % | $ | 10,198,600 | 1.52 | % | ||||||
Due after 1 year through 2 years | 5,769,500 | 1.76 | 6,351,450 | 2.08 | ||||||||||
Due after 2 years through 3 years | 2,412,000 | 2.22 | 2,723,500 | 3.01 | ||||||||||
Due after 3 years through 4 years | 2,372,000 | 2.62 | 1,600,000 | 2.81 | ||||||||||
Due after 4 years through 5 years | 1,846,000 | 2.32 | 1,873,000 | 3.36 | ||||||||||
Thereafter | 4,259,000 | 2.93 | 5,861,000 | 3.59 | ||||||||||
Index amortizing notes | 63,659 | 5.08 | 118,397 | 4.99 | ||||||||||
Total par value | 29,698,209 | 1.84 | 28,725,947 | 2.41 | ||||||||||
Premiums | 76,928 | 76,482 | ||||||||||||
Discounts | (17,678 | ) | (19,990 | ) | ||||||||||
Hedging adjustments | 67,150 | 66,809 | ||||||||||||
Fair value option valuation adjustment and accrued interest | 3,396 | 5,296 | ||||||||||||
Total | $ | 29,828,005 | $ | 28,854,544 |
Book Value | Par Value | Weighted Average Interest Rate(1) | ||||||||
September 30, 2012 | $ | 31,534,750 | $ | 31,539,123 | 0.11 | % | ||||
December 31, 2011 | $ | 26,136,303 | $ | 26,137,977 | 0.03 | % |
(1) | Represents an implied rate without consideration of concessions. |
September 30, 2012 | December 31, 2011 | ||||||
Par value of Consolidated Bonds: | |||||||
Non-callable/nonputable | $ | 23,519,209 | $ | 20,981,947 | |||
Callable | 6,179,000 | 7,744,000 | |||||
Total par value | $ | 29,698,209 | $ | 28,725,947 |
Year of Contractual Maturity or Next Call Date | September 30, 2012 | December 31, 2011 | ||||||
Due in 1 year or less | $ | 16,800,050 | $ | 15,855,600 | ||||
Due after 1 year through 2 years | 5,809,500 | 5,703,450 | ||||||
Due after 2 years through 3 years | 1,692,000 | 2,406,500 | ||||||
Due after 3 years through 4 years | 1,842,000 | 1,080,000 | ||||||
Due after 4 years through 5 years | 1,324,000 | 1,403,000 | ||||||
Thereafter | 2,167,000 | 2,159,000 | ||||||
Index amortizing notes | 63,659 | 118,397 | ||||||
Total par value | $ | 29,698,209 | $ | 28,725,947 |
September 30, 2012 | December 31, 2011 | ||||||
Par value of Consolidated Bonds: | |||||||
Fixed-rate | $ | 26,018,209 | $ | 27,285,947 | |||
Variable-rate | 3,680,000 | 1,440,000 | |||||
Total par value | $ | 29,698,209 | $ | 28,725,947 |
Balance at December 31, 2011 | $ | 74,195 | |
Expense (current year additions) | 19,869 | ||
Subsidy uses, net | (13,259 | ) | |
Balance at September 30, 2012 | $ | 80,805 |
September 30, 2012 | December 31, 2011 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 480,881 | $ | 4,160,432 | $ | 387,038 | $ | 3,844,889 | |||||||
Capital-to-assets ratio (regulatory) | 4.00 | % | 6.19 | % | 4.00 | % | 6.37 | % | |||||||
Regulatory capital | $ | 2,686,840 | $ | 4,160,432 | $ | 2,415,861 | $ | 3,844,889 | |||||||
Leverage capital-to-assets ratio (regulatory) | 5.00 | % | 9.29 | % | 5.00 | % | 9.55 | % | |||||||
Leverage capital | $ | 3,358,550 | $ | 6,240,648 | $ | 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 | (55,375 | ) | |
Other redemptions | (16,725 | ) | |
Balance, September 30, 2012 | $ | 219,599 |
Contractual Year of Redemption | September 30, 2012 | December 31, 2011 | ||||||
Due in 1 year or less | $ | 1,760 | $ | 104 | ||||
Due after 1 year through 2 years | 420 | 1,976 | ||||||
Due after 2 years through 3 years | 215,784 | 268,675 | ||||||
Due after 3 years through 4 years | — | 530 | ||||||
Due after 4 years through 5 years | — | 1,800 | ||||||
Past contractual redemption date due to remaining activity(1) | 1,635 | 1,696 | ||||||
Total par value | $ | 219,599 | $ | 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 | (353 | ) | 679 | 326 | |||||||
BALANCE, SEPTEMBER 30, 2011 | $ | (617 | ) | $ | (6,780 | ) | $ | (7,397 | ) | ||
BALANCE, DECEMBER 31, 2011 | $ | (1,014 | ) | $ | (9,987 | ) | $ | (11,001 | ) | ||
Other comprehensive income | 1,014 | 715 | 1,729 | ||||||||
BALANCE, SEPTEMBER 30, 2012 | $ | — | $ | (9,272 | ) | $ | (9,272 | ) |
Three Months Ended September 30, | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Periodic Benefit Cost | |||||||||||||||
Service cost | $ | 156 | $ | 103 | $ | 23 | $ | 13 | |||||||
Interest cost | 215 | 289 | 37 | 50 | |||||||||||
Amortization of unrecognized prior service benefit | — | (1 | ) | — | — | ||||||||||
Amortization of net loss | 27 | 247 | 3 | — | |||||||||||
Net periodic benefit cost | $ | 398 | $ | 638 | $ | 63 | $ | 63 | |||||||
Nine Months Ended September 30, | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Periodic Benefit Cost | |||||||||||||||
Service cost | $ | 434 | $ | 355 | $ | 54 | $ | 40 | |||||||
Interest cost | 722 | 846 | 150 | 148 | |||||||||||
Amortization of unrecognized prior service benefit | — | (1 | ) | — | — | ||||||||||
Amortization of net loss | 698 | 680 | 17 | — | |||||||||||
Net periodic benefit cost | $ | 1,854 | $ | 1,880 | $ | 221 | $ | 188 |
Three Months Ended September 30, | |||||||||||
Traditional Member Finance | Mortgage Purchase Program | Total | |||||||||
2012 | |||||||||||
Net interest income | $ | 52,856 | $ | 30,441 | $ | 83,297 | |||||
Reversal for credit losses | — | (500 | ) | (500 | ) | ||||||
Net interest income after reversal for credit losses | 52,856 | 30,941 | 83,797 | ||||||||
Other (loss) income | (9,359 | ) | 5,188 | (4,171 | ) | ||||||
Other expenses | 13,097 | 1,972 | 15,069 | ||||||||
Income before assessments | 30,400 | 34,157 | 64,557 | ||||||||
Affordable Housing Program | 3,303 | 3,416 | 6,719 | ||||||||
Net income | $ | 27,097 | $ | 30,741 | $ | 57,838 | |||||
Average assets | $ | 59,428,906 | $ | 8,073,916 | $ | 67,502,822 | |||||
Total assets | $ | 59,292,700 | $ | 7,878,311 | $ | 67,171,011 | |||||
2011 | |||||||||||
Net interest income | $ | 35,395 | $ | 9,039 | $ | 44,434 | |||||
Provision for credit losses | — | 2,289 | 2,289 | ||||||||
Net interest income after provision for credit losses | 35,395 | 6,750 | 42,145 | ||||||||
Other (loss) income | (8,860 | ) | 2,392 | (6,468 | ) | ||||||
Other expenses | 12,442 | 2,232 | 14,674 | ||||||||
Income before assessments | 14,093 | 6,910 | 21,003 | ||||||||
Affordable Housing Program | 1,697 | 691 | 2,388 | ||||||||
Net income | $ | 12,396 | $ | 6,219 | $ | 18,615 | |||||
Average assets | $ | 58,762,933 | $ | 7,781,506 | $ | 66,544,439 | |||||
Total assets | $ | 59,014,837 | $ | 7,906,602 | $ | 66,921,439 |
Nine Months Ended September 30, | |||||||||||
Traditional Member Finance | Mortgage Purchase Program | Total | |||||||||
2012 | |||||||||||
Net interest income | $ | 145,427 | $ | 71,424 | $ | 216,851 | |||||
Provision for credit losses | — | 910 | 910 | ||||||||
Net interest income after provision for credit losses | 145,427 | 70,514 | 215,941 | ||||||||
Other income | 13,747 | 3,589 | 17,336 | ||||||||
Other expenses | 37,489 | 5,866 | 43,355 | ||||||||
Income before assessments | 121,685 | 68,237 | 189,922 | ||||||||
Affordable Housing Program | 13,045 | 6,824 | 19,869 | ||||||||
Net income | $ | 108,640 | $ | 61,413 | $ | 170,053 | |||||
Average assets | $ | 57,009,859 | $ | 8,081,309 | $ | 65,091,168 | |||||
Total assets | $ | 59,292,700 | $ | 7,878,311 | $ | 67,171,011 | |||||
2011 | |||||||||||
Net interest income | $ | 126,591 | $ | 54,738 | $ | 181,329 | |||||
Provision for credit losses | — | 5,967 | 5,967 | ||||||||
Net interest income after provision for credit losses | 126,591 | 48,771 | 175,362 | ||||||||
Other loss | (1,633 | ) | (1,134 | ) | (2,767 | ) | |||||
Other expenses | 36,182 | 6,157 | 42,339 | ||||||||
Income before assessments | 88,776 | 41,480 | 130,256 | ||||||||
Affordable Housing Program | 8,618 | 3,521 | 12,139 | ||||||||
REFCORP | 13,378 | 6,266 | 19,644 | ||||||||
Total assessments | 21,996 | 9,787 | 31,783 | ||||||||
Net income | $ | 66,780 | $ | 31,693 | $ | 98,473 | |||||
Average assets | $ | 60,784,407 | $ | 7,663,337 | $ | 68,447,744 | |||||
Total assets | $ | 59,014,837 | $ | 7,906,602 | $ | 66,921,439 |
September 30, 2012 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 12,728 | $ | 12,728 | $ | 12,728 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 220 | 220 | — | 220 | — | — | |||||||||||||||||
Securities purchased under resale agreements | 2,200,000 | 2,200,000 | — | 2,200,000 | — | — | |||||||||||||||||
Federal funds sold | 5,540,000 | 5,540,000 | — | 5,540,000 | — | — | |||||||||||||||||
Trading securities | 1,904,110 | 1,904,110 | — | 1,904,110 | — | — | |||||||||||||||||
Held-to-maturity securities | 13,525,567 | 13,930,820 | — | 13,930,820 | — | — | |||||||||||||||||
Advances | 36,002,583 | 36,217,607 | — | 36,217,607 | — | — | |||||||||||||||||
Mortgage loans held for portfolio, net | 7,847,925 | 8,335,524 | — | 8,335,524 | — | — | |||||||||||||||||
Accrued interest receivable | 107,555 | 107,555 | — | 107,555 | — | — | |||||||||||||||||
Derivative assets | 9,165 | 9,165 | — | 83,180 | — | (74,015 | ) | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | 1,174,977 | 1,174,935 | — | 1,174,935 | — | — | |||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||
Discount Notes | 31,534,750 | 31,535,771 | — | 31,535,771 | — | — | |||||||||||||||||
Bonds (2) | 29,828,005 | 30,603,668 | — | 30,603,668 | — | — | |||||||||||||||||
Mandatorily redeemable capital stock | 219,599 | 219,599 | 219,599 | — | — | — | |||||||||||||||||
Accrued interest payable | 116,179 | 116,179 | — | 116,179 | — | — | |||||||||||||||||
Derivative liabilities | 135,766 | 135,766 | — | 565,609 | — | (429,843 | ) | ||||||||||||||||
Other: | |||||||||||||||||||||||
Standby bond purchase agreements | — | 1,508 | — | 1,508 | — | — |
(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) | Includes (in thousands) $3,253,396 of Consolidated Bonds recorded under the fair value option at September 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 September 30, 2012 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral (1) | |||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
Government-sponsored enterprises debt securities | $ | 1,902,111 | $ | — | $ | 1,902,111 | $ | — | $ | — | |||||||||
Other U.S. obligation residential mortgage-backed securities | 1,999 | — | 1,999 | — | — | ||||||||||||||
Total trading securities | 1,904,110 | — | 1,904,110 | — | — | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate swaps | 5,753 | — | 79,768 | — | (74,015 | ) | |||||||||||||
Mortgage delivery commitments | 3,412 | — | 3,412 | — | — | ||||||||||||||
Total derivative assets | 9,165 | — | 83,180 | — | (74,015 | ) | |||||||||||||
Total assets at fair value | $ | 1,913,275 | $ | — | $ | 1,987,290 | $ | — | $ | (74,015 | ) | ||||||||
Liabilities | |||||||||||||||||||
Consolidated Obligation Bonds (2) | $ | 3,253,396 | $ | — | $ | 3,253,396 | $ | — | $ | — | |||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate swaps | 135,765 | — | 565,608 | — | (429,843 | ) | |||||||||||||
Mortgage delivery commitments | 1 | — | 1 | — | — | ||||||||||||||
Total derivative liabilities | 135,766 | — | 565,609 | — | (429,843 | ) | |||||||||||||
Total liabilities at fair value | $ | 3,389,162 | $ | — | $ | 3,819,005 | $ | — | $ | (429,843 | ) |
(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 September 30, | |||||||
2012 | 2011 | ||||||
Consolidated Bonds | Consolidated Bonds | ||||||
Balance at beginning of period | $ | (4,687,996 | ) | $ | (2,231,866 | ) | |
New transactions elected for fair value option | — | (2,560,000 | ) | ||||
Maturities and terminations | 1,435,000 | 685,000 | |||||
Net losses on instruments held under fair value option | (624 | ) | (355 | ) | |||
Change in accrued interest | 224 | (172 | ) | ||||
Balance at end of period | $ | (3,253,396 | ) | $ | (4,107,393 | ) | |
Nine Months Ended September 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 | ) | (6,356,000 | ) | |||
Maturities and terminations | 4,010,000 | 2,251,000 | |||||
Net gains (losses) on instruments held under fair value option | 1,811 | (893 | ) | ||||
Change in accrued interest | 89 | (1,500 | ) | ||||
Balance at end of period | $ | (3,253,396 | ) | $ | (4,107,393 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Consolidated Bonds | Consolidated Bonds | Consolidated Bonds | Consolidated Bonds | ||||||||||||
Interest expense | $ | (2,264 | ) | $ | (2,460 | ) | $ | (7,463 | ) | $ | (5,768 | ) | |||
Net (losses) gains on changes in fair value under fair value option | (624 | ) | (355 | ) | 1,811 | (893 | ) | ||||||||
Total changes in fair value included in current period earnings | $ | (2,888 | ) | $ | (2,815 | ) | $ | (5,652 | ) | $ | (6,661 | ) |
September 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 | $ | 3,250,000 | $ | 3,253,396 | $ | 3,396 | $ | 4,895,000 | $ | 4,900,296 | $ | 5,296 |
September 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 | $ | 3,787,695 | $ | 183,227 | $ | 3,970,922 | $ | 4,684,850 | $ | 152,933 | $ | 4,837,783 | |||||||||||
Commitments for standby bond purchases | 313,055 | 66,760 | 379,815 | 35,000 | 363,780 | 398,780 | |||||||||||||||||
Commitment to purchase mortgage loans | 165,937 | — | 165,937 | 431,264 | — | 431,264 | |||||||||||||||||
Unsettled Consolidated Bonds, at par (1) (2) | 960,000 | — | 960,000 | 540,000 | — | 540,000 | |||||||||||||||||
Unsettled Consolidated Discount Notes, at par (2) | 375,307 | — | 375,307 | 57,729 | — | 57,729 |
(1) | Of the total unsettled Consolidated Bonds, $0 and $500,000 (in thousands) were hedged with associated interest rate swaps at September 30, 2012 and December 31, 2011, respectively. |
(2) | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Average Daily Balances for the Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Loans to other FHLBanks | $ | 2,427 | $ | 3,833 |
September 30, 2012 | December 31, 2011 | ||||||||||||
Balance | % of Total (1) | Balance | % of Total (1) | ||||||||||
Advances | $ | 915 | 2.6 | % | $ | 883 | 3.2 | % | |||||
Mortgage Purchase Program | 39 | 0.5 | 42 | 0.5 | |||||||||
Mortgage-backed securities | — | — | — | — | |||||||||
Regulatory capital stock | 228 | 6.2 | 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 | ||||||||||||
September 30, 2012 | Balance | % of Total | Principal | Principal Balance | ||||||||||
U.S. Bank, N.A. | $ | 592 | 16 | % | $ | 4,494 | $ | 58 | ||||||
Fifth Third Bank | 401 | 11 | 4,982 | 6 | ||||||||||
JPMorgan Chase Bank, N.A. | 265 | 7 | 8,500 | — | ||||||||||
PNC Bank, N.A. (1) | 191 | 5 | 2,994 | 1,946 | ||||||||||
Total | $ | 1,449 | 39 | % | $ | 20,970 | $ | 2,010 |
(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) | September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | ||||||||||||||
STATEMENT OF CONDITION DATA AT QUARTER END: | |||||||||||||||||||
Total assets | $ | 67,171 | $ | 67,466 | $ | 61,976 | $ | 60,397 | $ | 66,921 | |||||||||
Advances | 36,002 | 35,095 | 27,177 | 28,424 | 30,345 | ||||||||||||||
Mortgage loans held for portfolio | 7,866 | 8,114 | 8,237 | 7,871 | 7,889 | ||||||||||||||
Allowance for credit losses on mortgage loans | 18 | 20 | 21 | 21 | 15 | ||||||||||||||
Investments (1) | 23,170 | 23,359 | 26,419 | 21,941 | 26,054 | ||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||
Discount Notes | 31,535 | 30,539 | 27,076 | 26,136 | 33,339 | ||||||||||||||
Bonds | 29,828 | 31,319 | 29,317 | 28,855 | 27,511 | ||||||||||||||
Total Consolidated Obligations, net | 61,363 | 61,858 | 56,393 | 54,991 | 60,850 | ||||||||||||||
Mandatorily redeemable capital stock | 219 | 265 | 270 | 275 | 331 | ||||||||||||||
Capital: | |||||||||||||||||||
Capital stock - putable | 3,428 | 3,259 | 3,141 | 3,126 | 3,106 | ||||||||||||||
Retained earnings | 513 | 488 | 467 | 444 | 436 | ||||||||||||||
Accumulated other comprehensive loss | (9 | ) | (9 | ) | (10 | ) | (11 | ) | (8 | ) | |||||||||
Total capital | 3,932 | 3,738 | 3,598 | 3,559 | 3,534 | ||||||||||||||
STATEMENT OF INCOME DATA FOR THE QUARTER: | |||||||||||||||||||
Net interest income | $ | 83 | $ | 53 | $ | 81 | $ | 68 | $ | 44 | |||||||||
(Reversal) provision for credit losses | (1 | ) | — | 1 | 7 | 2 | |||||||||||||
Other (loss) income | (4 | ) | 22 | (1 | ) | (2 | ) | (6 | ) | ||||||||||
Other expenses | 15 | 14 | 14 | 14 | 15 | ||||||||||||||
Assessments | 7 | 6 | 7 | 5 | 2 | ||||||||||||||
Net income | $ | 58 | $ | 55 | $ | 58 | $ | 40 | $ | 19 | |||||||||
Dividend payout ratio (2) | 58 | % | 60 | % | 61 | % | 79 | % | 167 | % | |||||||||
Weighted average dividend rate (3) | 4.25 | % | 4.25 | % | 4.50 | % | 4.00 | % | 4.00 | % | |||||||||
Return on average equity | 6.05 | 6.03 | 6.50 | 4.44 | 2.07 | ||||||||||||||
Return on average assets | 0.34 | 0.34 | 0.37 | 0.25 | 0.11 | ||||||||||||||
Net interest margin (4) | 0.49 | 0.33 | 0.52 | 0.42 | 0.27 | ||||||||||||||
Average equity to average assets | 5.64 | 5.61 | 5.68 | 5.57 | 5.36 | ||||||||||||||
Regulatory capital ratio (5) | 6.19 | 5.95 | 6.26 | 6.37 | 5.79 | ||||||||||||||
Operating expense to average assets | 0.062 | 0.068 | 0.076 | 0.065 | 0.072 |
(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 | ||||||||||||||||||||||
September 30, | December 31, | Nine Months Ended September 30, | Year Ended December 31, | ||||||||||||||||||||
(In millions) | 2012 | 2011 | 2011 | 2012 | 2011 | 2011 | |||||||||||||||||
Total Assets | $ | 67,171 | $ | 66,921 | $ | 60,397 | $ | 65,091 | $ | 68,448 | $ | 67,288 | |||||||||||
Mission Asset Activity: | |||||||||||||||||||||||
Advances (principal) | 35,517 | 29,691 | 27,839 | 30,175 | 28,697 | 28,635 | |||||||||||||||||
Mortgage Purchase Program: | |||||||||||||||||||||||
Mortgage loans held for portfolio (principal) | 7,692 | 7,784 | 7,752 | 7,914 | 7,554 | 7,610 | |||||||||||||||||
Mandatory Delivery Contracts (notional) | 166 | 277 | 431 | 299 | 254 | 268 | |||||||||||||||||
Total Mortgage Purchase Program | 7,858 | 8,061 | 8,183 | 8,213 | 7,808 | 7,878 | |||||||||||||||||
Letters of Credit (notional) | 3,971 | 4,531 | 4,838 | 4,231 | 5,413 | 5,219 | |||||||||||||||||
Total Mission Asset Activity | $ | 47,346 | $ | 42,283 | $ | 40,860 | $ | 42,619 | $ | 41,918 | $ | 41,732 |
Three Months Ended September 30, | Nine Months Ended September 30, | Year Ended December 31, | |||||||||||||||||
(Dollars in millions) | 2012 | 2011 | 2012 | 2011 | 2011 | ||||||||||||||
Net income | $ | 58 | $ | 19 | $ | 170 | $ | 98 | $ | 138 | |||||||||
Affordable Housing Program accrual | 7 | 2 | 20 | 12 | 17 | ||||||||||||||
Return on average equity (ROE) | 6.05 | % | 2.07 | % | 6.19 | % | 3.70 | % | 3.89 | % | |||||||||
Return on average assets | 0.34 | 0.11 | 0.35 | 0.19 | 0.21 | ||||||||||||||
Weighted average dividend rate | 4.25 | 4.00 | 4.33 | 4.33 | 4.25 | ||||||||||||||
Average 3-month LIBOR | 0.42 | 0.30 | 0.47 | 0.29 | 0.34 | ||||||||||||||
Average overnight Federal funds effective rate | 0.14 | 0.08 | 0.13 | 0.11 | 0.10 | ||||||||||||||
ROE spread to 3-month LIBOR | 5.63 | 1.77 | 5.72 | 3.41 | 3.55 | ||||||||||||||
Dividend rate spread to 3-month LIBOR | 3.83 | 3.70 | 3.86 | 4.04 | 3.91 | ||||||||||||||
ROE spread to Federal funds effective rate | 5.91 | 1.99 | 6.06 | 3.59 | 3.79 | ||||||||||||||
Dividend rate spread to Federal funds effective rate | 4.11 | 3.92 | 4.20 | 4.22 | 4.15 |
▪ | Net amortization expense of purchase premiums on mortgage assets and of premium/discounts and concession costs on Consolidated Obligations decreased $23 million and $1 million in the three- and nine-month comparisons, respectively, mainly due to lower mortgage amortization. |
▪ | Portfolio funding costs were lower due to management's actions related to asset liability management and market risk exposure particularly in the third quarter of 2012. We continued to call a significant amount of high-cost debt (Consolidated Bonds) before their final maturities and replaced them with new debt at substantially lower rates. In addition, the amount of mortgage assets we funded with short-term debt increased in the third quarter of 2012. |
▪ | We use Discount Notes to fund a substantial amount of LIBOR-indexed assets, most of which reprice at one- or three-month intervals. The average spread between 3-month LIBOR assets (mostly Advances) and short-term Discount Note debt was wider in the last quarter of 2011 and first three quarters of 2012 because of, among other reasons, concerns over the financial turmoil in Europe (one-month spreads were not affected). The amount of such asset-funding relationship that earned this wider spread averaged approximately $4 billion in the first nine months of 2012. |
▪ | Earnings improved in the three-months comparison from a shift in asset composition towards higher-yielding Advances and mortgage assets. |
▪ | Realized gains from the clean-up sales of certain mortgage-backed securities rose $20 million in the nine-month comparison. Each of the securities sold had less than 15 percent of the original acquired principal remaining and were sold under the FHLBank's periodic clean-up process. |
▪ | Changes in the unrealized market values of derivative and hedging activities raised non-interest income by $7 million and $8 million in the three- and nine-months comparisons, respectively. |
▪ | The FHLBank System’s Resolution Funding Corporation (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 restricted retained earnings account under the Joint Capital Enhancement Agreement. This change had a $19 million favorable impact to net income in the nine-month comparison. |
Nine Months Ended September 30, | |||||||||||||||||||||||||||||
Quarter 3 2012 | Quarter 2 2012 | Quarter 1 2012 | 2012 | 2011 | Year 2011 | ||||||||||||||||||||||||
Average | Ending | 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% | 0-0.25% | 0-0.25% | |||||||||||||||||||
Federal funds effective | 0.14 | 0.09 | 0.15 | 0.09 | 0.10 | 0.09 | 0.13 | 0.11 | 0.10 | 0.04 | |||||||||||||||||||
3-month LIBOR | 0.42 | 0.36 | 0.47 | 0.46 | 0.51 | 0.47 | 0.47 | 0.29 | 0.34 | 0.58 | |||||||||||||||||||
2-year LIBOR | 0.44 | 0.37 | 0.59 | 0.55 | 0.59 | 0.57 | 0.54 | 0.73 | 0.72 | 0.72 | |||||||||||||||||||
5-year LIBOR | 0.86 | 0.76 | 1.09 | 0.96 | 1.17 | 1.27 | 1.04 | 1.95 | 1.79 | 1.23 | |||||||||||||||||||
10-year LIBOR | 1.73 | 1.70 | 1.95 | 1.78 | 2.12 | 2.29 | 1.93 | 3.13 | 2.90 | 2.04 | |||||||||||||||||||
2-year U.S. Treasury | 0.25 | 0.23 | 0.28 | 0.30 | 0.28 | 0.33 | 0.27 | 0.50 | 0.44 | 0.24 | |||||||||||||||||||
5-year U.S. Treasury | 0.66 | 0.63 | 0.78 | 0.72 | 0.89 | 1.04 | 0.78 | 1.69 | 1.51 | 0.83 | |||||||||||||||||||
10-year U.S. Treasury | 1.63 | 1.63 | 1.80 | 1.65 | 2.02 | 2.21 | 1.82 | 3.01 | 2.76 | 1.88 | |||||||||||||||||||
15-year mortgage current coupon (1) | 1.34 | 0.82 | 1.77 | 1.63 | 1.92 | 2.04 | 1.68 | 3.01 | 2.83 | 2.05 | |||||||||||||||||||
30-year mortgage current coupon (1) | 2.32 | 1.85 | 2.78 | 2.60 | 2.90 | 3.10 | 2.67 | 3.94 | 3.74 | 2.92 | |||||||||||||||||||
15-year mortgage note rate (2) | 2.84 | 2.73 | 3.04 | 2.94 | 3.19 | 3.23 | 3.02 | 3.81 | 3.68 | 3.24 | |||||||||||||||||||
30-year mortgage note rate (2) | 3.55 | 3.40 | 3.79 | 3.66 | 3.92 | 3.99 | 3.76 | 4.60 | 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) | September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | |||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||
Adjustable/Variable Rate Indexed: | |||||||||||||||||||||||
LIBOR | $ | 17,337 | 49 | % | $ | 13,641 | 39 | % | $ | 9,659 | 36 | % | $ | 9,649 | 35 | % | |||||||
Other | 216 | — | 263 | 1 | 155 | 1 | 229 | 1 | |||||||||||||||
Total | 17,553 | 49 | 13,904 | 40 | 9,814 | 37 | 9,878 | 36 | |||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||
REPO | 6,389 | 18 | 6,126 | 18 | 2,322 | 9 | 3,085 | 11 | |||||||||||||||
Regular Fixed Rate | 5,154 | 15 | 7,983 | 23 | 4,940 | 19 | 5,013 | 18 | |||||||||||||||
Putable (2) | 2,649 | 7 | 2,832 | 8 | 5,992 | 22 | 6,204 | 22 | |||||||||||||||
Convertible (2) | 1,100 | 3 | 1,143 | 3 | 1,174 | 4 | 1,178 | 4 | |||||||||||||||
Amortizing/Mortgage Matched | 2,308 | 7 | 2,315 | 7 | 2,209 | 8 | 2,232 | 8 | |||||||||||||||
Other | 364 | 1 | 299 | 1 | 213 | 1 | 249 | 1 | |||||||||||||||
Total | 17,964 | 51 | 20,698 | 60 | 16,850 | 63 | 17,961 | 64 | |||||||||||||||
Other Advances | — | — | — | — | — | — | — | — | |||||||||||||||
Total Advances Principal | $ | 35,517 | 100 | % | $ | 34,602 | 100 | % | $ | 26,664 | 100 | % | $ | 27,839 | 100 | % | |||||||
Letters of Credit (notional) | $ | 3,971 | $ | 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) | ||||||||||||||||
September 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 | |||||||||||
JPMorgan Chase Bank, N.A. | $ | 8,500 | 24 | % | U.S. Bank, N.A. | $ | 7,314 | 26 | % | |||||||
Fifth Third Bank | 4,982 | 14 | PNC Bank, N.A. (1) | 3,996 | 14 | |||||||||||
U.S. Bank, N.A. | 4,494 | 13 | Fifth Third Bank | 2,533 | 9 | |||||||||||
PNC Bank, N.A. (1) | 2,994 | 8 | Protective Life Insurance Company | 1,000 | 4 | |||||||||||
Protective Life Insurance Company | 1,277 | 4 | Republic Bank & Trust Company | 935 | 4 | |||||||||||
Total of Top 5 | $ | 22,247 | 63 | % | Total of Top 5 | $ | 15,778 | 57 | % |
September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | ||||||||
Average Advances-to-Assets for Members | |||||||||||
Assets less than $1.0 billion (676 members) | 3.20 | % | 3.29 | % | 3.43 | % | 3.69 | % | |||
Assets over $1.0 billion (65 members) | 3.07 | % | 3.04 | % | 2.80 | % | 3.04 | % | |||
All members | 3.19 | % | 3.27 | % | 3.37 | % | 3.63 | % |
(In millions) | MPP Principal | ||
Balance at December 31, 2011 | $ | 7,752 | |
Principal purchases | 1,873 | ||
Principal paydowns | (1,933 | ) | |
Balance at September 30, 2012 | $ | 7,692 |
Nine Months Ended | Year Ended | ||||||||||||||
(In millions) | September 30, 2012 | December 31, 2011 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Liquidity investments | $ | 11,277 | $ | 14,628 | $ | 10,737 | $ | 18,411 | |||||||
Mortgage-backed securities | 11,893 | 11,078 | 11,204 | 11,100 | |||||||||||
Other investments (1) | — | 433 | — | 469 | |||||||||||
Total investments | $ | 23,170 | $ | 26,139 | $ | 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 | 3,632 | ||
Principal paydowns | (2,445 | ) | |
Principal sales | (478 | ) | |
Balance at September 30, 2012 | $ | 11,872 |
Nine Months Ended | Year Ended | ||||||||||||||
(In millions) | September 30, 2012 | December 31, 2011 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Consolidated Discount Notes: | |||||||||||||||
Par | $ | 31,539 | $ | 28,682 | $ | 26,138 | $ | 32,295 | |||||||
Discount | (4 | ) | (4 | ) | (2 | ) | (3 | ) | |||||||
Total Consolidated Discount Notes | 31,535 | 28,678 | 26,136 | 32,292 | |||||||||||
Consolidated Bonds: | |||||||||||||||
Unswapped fixed-rate | 17,564 | 18,360 | 18,882 | 20,123 | |||||||||||
Unswapped adjustable-rate | 3,680 | 2,126 | 1,440 | 681 | |||||||||||
Swapped fixed-rate | 8,454 | 9,773 | 8,404 | 7,904 | |||||||||||
Total par Consolidated Bonds | 29,698 | 30,259 | 28,726 | 28,708 | |||||||||||
Other items (1) | 130 | 128 | 129 | 140 | |||||||||||
Total Consolidated Bonds | 29,828 | 30,387 | 28,855 | 28,848 | |||||||||||
Total Consolidated Obligations (2) | $ | 61,363 | $ | 59,065 | $ | 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) $674,487 and $691,868 at September 30, 2012 and December 31, 2011, respectively. |
GAAP and Regulatory Capital | Nine Months Ended | Year Ended | |||||||||||||
September 30, 2012 | December 31, 2011 | ||||||||||||||
(In millions) | Period End | Average | Period End | Average | |||||||||||
GAAP Capital Stock | $ | 3,428 | $ | 3,194 | $ | 3,126 | $ | 3,109 | |||||||
Mandatorily Redeemable Capital Stock | 219 | 263 | 275 | 327 | |||||||||||
Regulatory Capital Stock | 3,647 | 3,457 | 3,401 | 3,436 | |||||||||||
Retained Earnings | 513 | 487 | 444 | 455 | |||||||||||
Regulatory Capital | $ | 4,160 | $ | 3,944 | $ | 3,845 | $ | 3,891 |
GAAP and Regulatory Capital-to-Assets Ratio | Nine Months Ended | Year Ended | |||||||||
September 30, 2012 | December 31, 2011 | ||||||||||
Period End | Average | Period End | Average | ||||||||
GAAP | 5.85 | % | 5.64 | % | 5.89 | % | 5.29 | % | |||
Regulatory | 6.19 | 6.06 | 6.37 | 5.78 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||
(Dollars in millions) | 2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||
Amount | ROE (a) | Amount | ROE (a) | Amount | ROE (a) | Amount | ROE (a) | ||||||||||||||||||||
Net interest income | $ | 83 | 8.71 | % | $ | 44 | 4.95 | % | $ | 217 | 7.89 | % | $ | 181 | 6.82 | % | |||||||||||
Reversal/(provision) for credit losses | 1 | 0.05 | (2 | ) | (0.26 | ) | (1 | ) | (0.03 | ) | (6 | ) | (0.23 | ) | |||||||||||||
Net interest income after reversal/(provision) for credit losses | 84 | 8.76 | 42 | 4.69 | 216 | 7.86 | 175 | 6.59 | |||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 4 | 0.36 | (3 | ) | (0.37 | ) | 10 | 0.38 | 2 | 0.07 | |||||||||||||||||
Other non-interest (loss) income | (8 | ) | (0.80 | ) | (3 | ) | (0.35 | ) | 7 | 0.25 | (5 | ) | (0.17 | ) | |||||||||||||
Total non-interest (loss) income | (4 | ) | (0.44 | ) | (6 | ) | (0.72 | ) | 17 | 0.63 | (3 | ) | (0.10 | ) | |||||||||||||
Total revenue | 80 | 8.32 | 36 | 3.97 | 233 | 8.49 | 172 | 6.49 | |||||||||||||||||||
Total other expense | (15 | ) | (1.57 | ) | (15 | ) | (1.63 | ) | (43 | ) | (1.58 | ) | (42 | ) | (1.59 | ) | |||||||||||
Assessments | (7 | ) | (0.70 | ) | (2 | ) | (0.27 | ) | (20 | ) | (0.72 | ) | (32 | ) | (1.20 | ) | |||||||||||
Net income | $ | 58 | 6.05 | % | $ | 19 | 2.07 | % | $ | 170 | 6.19 | % | $ | 98 | 3.70 | % |
(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 September 30, | Nine Months Ended September 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 | $ | 79 | 0.47 | % | $ | 61 | 0.37 | % | $ | 217 | 0.45 | % | $ | 181 | 0.36 | % | |||||||
Net (amortization)/accretion (1) (2) | (9 | ) | (0.05 | ) | (32 | ) | (0.19 | ) | (42 | ) | (0.09 | ) | (43 | ) | (0.09 | ) | |||||||
Prepayment fees on Advances, net (2) | 2 | 0.01 | 3 | 0.02 | 7 | 0.02 | 4 | 0.01 | |||||||||||||||
Total net interest rate spread | 72 | 0.43 | 32 | 0.20 | 182 | 0.38 | 142 | 0.28 | |||||||||||||||
Earnings from funding assets with interest-free capital | 11 | 0.06 | 12 | 0.07 | 35 | 0.07 | 39 | 0.08 | |||||||||||||||
Total net interest income/net interest margin (3) | $ | 83 | 0.49 | % | $ | 44 | 0.27 | % | $ | 217 | 0.45 | % | $ | 181 | 0.36 | % |
(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 (reversal)/provision for credit losses as a percentage of average total interest earning assets. |
▪ | an acceleration in actual and projected prepayment speeds in the third quarter of 2011 due to the consistent downward trends in mortgage rates in 2011; |
▪ | a comparatively smaller decline in long-term LIBOR and primary mortgage rates in the third quarter of 2012; and, |
▪ | ongoing enhancements in the second and third quarters of 2012 to our modeling estimates of future mortgage rates and prepayment speeds derived from our market risk and prepayment models. |
▪ | Asset-liability management-Favorable: Management actions related to asset-liability management and market risk exposure improved earnings by lowering our portfolio funding costs, as follows: |
1) | In the last three months of 2011 and the first nine months of 2012, we called $7.7 billion unswapped Bonds (most of which funded mortgage assets) before their final maturities and replaced them with new Consolidated Obligations at substantially lower rates than the Bonds called. By contrast, there were fewer principal paydowns ($6.2 billion) of mortgage assets, which we reinvested in new mortgage assets with lower yields corresponding to the general trend of declining mortgage rates. The called Bonds were on average replaced with new Bonds at lower rates compared to the reduction in yields from reinvesting mortgage asset paydowns into new mortgage assets. |
2) | Market risk exposure to higher interest rates increased in the third quarter of 2012, primarily as a result of our actions to lower the average maturity of remaining long-term Bonds and to fund more mortgage assets with short-term debt by replacing a portion of the called Bonds with short-term Discount Notes. These actions raised earnings because of the upward-sloping Consolidated Obligation yield curve. While the increase in the average amount of short funding in the nine-months comparison was only approximately $150 million, the reduction in average Bond maturity was approximately 0.7 years. |
▪ | Trading securities-Favorable: In the first three 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 $9 million increase in net interest income in the first nine 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. |
▪ | Wider portfolio spreads on LIBOR-indexed assets-Favorable: We normally use short-term Discount Notes to fund a substantial amount of LIBOR-indexed assets, most of which reprice at one- or three-month reset intervals. The average market spread between the 3-month LIBOR assets (mostly Advances) and three-month Discount Note debt was 16 basis points wider in the nine-months comparison (the average spread for one-month reset intervals were the same). The wider spread on 3-month LIBOR assets to Discount Notes was 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. |
(Dollars in millions) | Three Months Ended | Three Months Ended | |||||||||||||||||||
September 30, 2012 | September 30, 2011 | ||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Advances | $ | 33,033 | $ | 62 | 0.74 | % | $ | 30,269 | $ | 57 | 0.75 | % | |||||||||
Mortgage loans held for portfolio (2) | 8,060 | 82 | 4.04 | 7,761 | 77 | 3.92 | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 9,576 | 3 | 0.14 | 6,644 | 1 | 0.07 | |||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 606 | — | 0.16 | 2,514 | 1 | 0.15 | |||||||||||||||
Mortgage-backed securities | 11,608 | 73 | 2.52 | 10,475 | 84 | 3.17 | |||||||||||||||
Other investments (4) | 4,453 | 11 | 0.96 | 8,254 | 11 | 0.52 | |||||||||||||||
Loans to other FHLBanks | 3 | — | 0.12 | — | — | — | |||||||||||||||
Total earning assets | 67,339 | 231 | 1.37 | 65,917 | 231 | 1.39 | |||||||||||||||
Less: allowance for credit losses on mortgage loans | 19 | 15 | |||||||||||||||||||
Other assets | 183 | 642 | |||||||||||||||||||
Total assets | $ | 67,503 | $ | 66,544 | |||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||
Term deposits | $ | 125 | — | 0.22 | $ | 131 | — | 0.22 | |||||||||||||
Other interest bearing deposits (5) | 1,032 | — | 0.01 | 1,023 | — | 0.01 | |||||||||||||||
Short-term borrowings | 30,498 | 9 | 0.12 | 33,243 | 6 | 0.07 | |||||||||||||||
Unswapped fixed-rate Consolidated Bonds | 17,695 | 129 | 2.91 | 20,084 | 173 | 3.43 | |||||||||||||||
Unswapped adjustable-rate Consolidated Bonds | 3,195 | 2 | 0.26 | 1,250 | 1 | 0.15 | |||||||||||||||
Swapped Consolidated Bonds | 10,003 | 5 | 0.20 | 5,890 | 4 | 0.24 | |||||||||||||||
Mandatorily redeemable capital stock | 247 | 3 | 4.26 | 326 | 3 | 3.50 | |||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||
Total interest-bearing liabilities | 62,795 | 148 | 0.94 | 61,947 | 187 | 1.19 | |||||||||||||||
Non-interest bearing deposits | 18 | 14 | |||||||||||||||||||
Other liabilities | 884 | 1,019 | |||||||||||||||||||
Total capital | 3,806 | 3,564 | |||||||||||||||||||
Total liabilities and capital | $ | 67,503 | $ | 66,544 | |||||||||||||||||
Net interest rate spread | 0.43 | % | 0.20 | % | |||||||||||||||||
Net interest income and net interest margin (6) | $ | 83 | 0.49 | % | $ | 44 | 0.27 | % | |||||||||||||
Average interest-earning assets to interest-bearing liabilities | 107.23 | % | 106.41 | % |
(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 (reversal)/provision for credit losses as a percentage of average total interest earning assets. |
(Dollars in millions) | Nine Months Ended | Nine Months Ended | |||||||||||||||||||
September 30, 2012 | September 30, 2011 | ||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Advances | $ | 30,706 | $ | 185 | 0.80 | % | $ | 29,323 | $ | 177 | 0.81 | % | |||||||||
Mortgage loans held for portfolio (2) | 8,068 | 240 | 3.97 | 7,642 | 253 | 4.43 | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 7,563 | 7 | 0.13 | 7,337 | 6 | 0.11 | |||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 2,499 | 3 | 0.16 | 4,354 | 7 | 0.21 | |||||||||||||||
Mortgage-backed securities | 11,078 | 220 | 2.65 | 11,023 | 296 | 3.59 | |||||||||||||||
Other investments (4) | 5,000 | 35 | 0.93 | 8,413 | 32 | 0.51 | |||||||||||||||
Loans to other FHLBanks | 2 | — | 0.11 | 4 | — | 0.10 | |||||||||||||||
Total earning assets | 64,916 | 690 | 1.42 | 68,096 | 771 | 1.51 | |||||||||||||||
Less: allowance for credit losses on mortgage loans | 20 | 14 | |||||||||||||||||||
Other assets | 195 | 366 | |||||||||||||||||||
Total assets | $ | 65,091 | $ | 68,448 | |||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||
Term deposits | $ | 114 | — | 0.22 | $ | 182 | — | 0.24 | |||||||||||||
Other interest bearing deposits (5) | 1,050 | — | 0.01 | 1,080 | — | 0.02 | |||||||||||||||
Short-term borrowings | 28,678 | 20 | 0.09 | 33,252 | 24 | 0.10 | |||||||||||||||
Unswapped fixed-rate Consolidated Bonds | 18,416 | 423 | 3.07 | 20,483 | 540 | 3.52 | |||||||||||||||
Unswapped adjustable-rate Consolidated Bonds | 2,126 | 4 | 0.27 | 452 | 1 | 0.15 | |||||||||||||||
Swapped Consolidated Bonds | 9,845 | 17 | 0.22 | 8,085 | 14 | 0.23 | |||||||||||||||
Mandatorily redeemable capital stock | 263 | 9 | 4.45 | 331 | 11 | 4.35 | |||||||||||||||
Other borrowings | 1 | — | 0.37 | — | — | — | |||||||||||||||
Total interest-bearing liabilities | 60,493 | 473 | 1.04 | 63,865 | 590 | 1.23 | |||||||||||||||
Non-interest bearing deposits | 17 | 13 | |||||||||||||||||||
Other liabilities | 910 | 1,014 | |||||||||||||||||||
Total capital | 3,671 | 3,556 | |||||||||||||||||||
Total liabilities and capital | $ | 65,091 | $ | 68,448 | |||||||||||||||||
Net interest rate spread | 0.38 | % | 0.28 | % | |||||||||||||||||
Net interest income and net interest margin (6) | $ | 217 | 0.45 | % | $ | 181 | 0.36 | % | |||||||||||||
Average interest-earning assets to interest-bearing liabilities | 107.31 | % | 106.62 | % |
(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 (reversal)/provision for credit losses as a percentage of average total interest earning assets. |
(In millions) | Three Months Ended September 30, 2012 over 2011 | Nine Months Ended September 30, 2012 over 2011 | |||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||
Advances | $ | 5 | $ | — | $ | 5 | $ | 8 | $ | — | $ | 8 | |||||||||||
Mortgage loans held for portfolio | 3 | 2 | 5 | 14 | (27 | ) | (13 | ) | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 1 | 1 | 2 | — | 1 | 1 | |||||||||||||||||
Interest-bearing deposits in banks | (1 | ) | — | (1 | ) | (3 | ) | (1 | ) | (4 | ) | ||||||||||||
Mortgage-backed securities | 8 | (19 | ) | (11 | ) | 2 | (78 | ) | (76 | ) | |||||||||||||
Other investments | (6 | ) | 6 | — | (16 | ) | 19 | 3 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||
Total | 10 | (10 | ) | — | 5 | (86 | ) | (81 | ) | ||||||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||
Term deposits | — | — | — | — | — | — | |||||||||||||||||
Other interest-bearing deposits | — | — | — | — | — | — | |||||||||||||||||
Short-term borrowings | (1 | ) | 4 | 3 | (3 | ) | (1 | ) | (4 | ) | |||||||||||||
Unswapped fixed-rate Consolidated Bonds | (19 | ) | (25 | ) | (44 | ) | (52 | ) | (65 | ) | (117 | ) | |||||||||||
Unswapped adjustable-rate Consolidated Bonds | 1 | — | 1 | 3 | — | 3 | |||||||||||||||||
Swapped Consolidated Bonds | 2 | (1 | ) | 1 | 3 | — | 3 | ||||||||||||||||
Mandatorily redeemable capital stock | (1 | ) | 1 | — | (2 | ) | — | (2 | ) | ||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total | (18 | ) | (21 | ) | (39 | ) | (51 | ) | (66 | ) | (117 | ) | |||||||||||
Increase (decrease) in net interest income | $ | 28 | $ | 11 | $ | 39 | $ | 56 | $ | (20 | ) | $ | 36 |
(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 September 30, | Nine Months Ended September 30, | ||||||||||||||
(In millions) | 2012 | 2011 | 2012 | 2011 | |||||||||||
Advances: | |||||||||||||||
Amortization/accretion of hedging activities in net interest income | $ | (1 | ) | $ | (1 | ) | $ | (2 | ) | $ | (2 | ) | |||
Net interest settlements included in net interest income | (49 | ) | (91 | ) | (207 | ) | (278 | ) | |||||||
Mortgage loans: | |||||||||||||||
Amortization of derivative fair value adjustments in net interest income | — | — | (3 | ) | 1 | ||||||||||
Consolidated Obligation Bonds: | |||||||||||||||
Net interest settlements included in net interest income | 9 | 13 | 27 | 53 | |||||||||||
Decrease to net interest income | $ | (41 | ) | $ | (79 | ) | $ | (185 | ) | $ | (226 | ) |
(Dollars in millions) | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Other Income | |||||||||||||||
Net gains on held-to-maturity securities | $ | — | $ | 3 | $ | 29 | $ | 9 | |||||||
Net gains (losses) on derivatives and hedging activities | 4 | (3 | ) | 10 | 2 | ||||||||||
Other non-interest loss, net | (8 | ) | (6 | ) | (22 | ) | (14 | ) | |||||||
Total other (loss) income | $ | (4 | ) | $ | (6 | ) | $ | 17 | $ | (3 | ) | ||||
Other Expense | |||||||||||||||
Compensation and benefits | $ | 7 | $ | 8 | $ | 23 | $ | 24 | |||||||
Other operating expense | 4 | 4 | 10 | 11 | |||||||||||
Finance Agency | 1 | 1 | 5 | 3 | |||||||||||
Office of Finance | 1 | 1 | 2 | 3 | |||||||||||
Other | 2 | 1 | 3 | 1 | |||||||||||
Total other expense | $ | 15 | $ | 15 | $ | 43 | $ | 42 | |||||||
Average total assets | $ | 67,503 | $ | 66,544 | $ | 65,091 | $ | 68,448 | |||||||
Average regulatory capital | 4,062 | 3,898 | 3,944 | 3,894 | |||||||||||
Total other expense to average total assets (1) | 0.09 | % | 0.09 | % | 0.09 | % | 0.08 | % | |||||||
Total other expense to average regulatory capital (1) | 1.48 | 1.49 | 1.47 | 1.45 |
(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 September 30, | Nine Months Ended September 30, | |||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net gains (losses) on derivatives and hedging activities | |||||||||||||||
Advances: | |||||||||||||||
(Losses) gains on fair value hedges | $ | — | $ | (1 | ) | $ | 7 | $ | 7 | ||||||
Losses on derivatives not receiving hedge accounting | (2 | ) | (5 | ) | (5 | ) | (8 | ) | |||||||
Mortgage loans: | |||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 5 | 2 | 3 | (1 | ) | ||||||||||
Consolidated Obligation Bonds: | |||||||||||||||
(Losses) gains on fair value hedges | (1 | ) | 1 | (1 | ) | — | |||||||||
Gains on derivatives not receiving hedge accounting | 2 | — | 6 | 4 | |||||||||||
Total net gains (losses) on derivatives and hedging activities | 4 | (3 | ) | 10 | 2 | ||||||||||
Net (losses) gains on financial instruments held at fair value (1) | (1 | ) | (1 | ) | 2 | (1 | ) | ||||||||
Total net effect of derivatives and hedging activities | $ | 3 | $ | (4 | ) | $ | 12 | $ | 1 |
(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 September 30, 2012 | |||||||||||
Net interest income after reversal for credit losses | $ | 53 | $ | 31 | $ | 84 | |||||
Net income | $ | 27 | $ | 31 | $ | 58 | |||||
Average assets | $ | 59,429 | $ | 8,074 | $ | 67,503 | |||||
Assumed average capital allocation | $ | 3,351 | $ | 455 | $ | 3,806 | |||||
Return on Average Assets (1) | 0.18 | % | 1.51 | % | 0.34 | % | |||||
Return on Average Equity (1) | 3.22 | % | 26.86 | % | 6.05 | % | |||||
Three Months Ended September 30, 2011 | |||||||||||
Net interest income after provision for credit losses | $ | 35 | $ | 7 | $ | 42 | |||||
Net income | $ | 13 | $ | 6 | $ | 19 | |||||
Average assets | $ | 58,763 | $ | 7,781 | $ | 66,544 | |||||
Assumed average capital allocation | $ | 3,150 | $ | 414 | $ | 3,564 | |||||
Return on Average Assets (1) | 0.08 | % | 0.32 | % | 0.11 | % | |||||
Return on Average Equity (1) | 1.56 | % | 5.95 | % | 2.07 | % |
(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 | ||||||||
Nine Months Ended September 30, 2012 | |||||||||||
Net interest income after provision for credit losses | $ | 145 | $ | 71 | $ | 216 | |||||
Net income | $ | 109 | $ | 61 | $ | 170 | |||||
Average assets | $ | 57,010 | $ | 8,081 | $ | 65,091 | |||||
Assumed average capital allocation | $ | 3,215 | $ | 456 | $ | 3,671 | |||||
Return on Average Assets (1) | 0.25 | % | 1.02 | % | 0.35 | % | |||||
Return on Average Equity (1) | 4.51 | % | 18.00 | % | 6.19 | % | |||||
Nine Months Ended September 30, 2011 | |||||||||||
Net interest income after provision for credit losses | $ | 126 | $ | 49 | $ | 175 | |||||
Net income | $ | 67 | $ | 31 | $ | 98 | |||||
Average assets | $ | 60,785 | $ | 7,663 | $ | 68,448 | |||||
Assumed average capital allocation | $ | 3,158 | $ | 398 | $ | 3,556 | |||||
Return on Average Assets (1) | 0.15 | % | 0.55 | % | 0.19 | % | |||||
Return on Average Equity (1) | 2.83 | % | 10.65 | % | 3.70 | % |
(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. |
▪ | a substantial decrease in net amortization of mortgage-backed securities, in part due to our actions to significantly reduce our premium balance in the last two years by purchasing new securities at lower prices; |
▪ | our actions on asset-liability management and market risk exposure; |
▪ | Advance growth; |
▪ | larger unrealized gains on derivatives; and |
▪ | a wider average spread between 3-month LIBOR-indexed assets and Discount Notes. |
▪ | the ending of the REFCORP obligation; |
▪ | gains on sales of mortgage-backed securities; |
▪ | a substantial decrease in net amortization of mortgage-backed securities, for the same reason as noted in the three-months comparison; |
▪ | our actions related to asset-liability management and market risk exposure; |
▪ | larger unrealized gains on derivative; and |
▪ | a wider average spread between 3-month LIBOR assets and Discount Notes. |
▪ | a substantial decrease in net amortization, which was at an elevated level in the third quarter of 2011 and at a relatively normal trend level in the third quarter of 2012; and |
▪ | our actions related to asset-liability management and market risk exposure. |
▪ | the ending of the REFCORP obligation; and |
▪ | our actions related to asset-liability management and market risk exposure. |
(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 | $ | 4,137 | $ | 4,139 | $ | 4,164 | $ | 4,236 | $ | 4,290 | $ | 4,156 | $ | 3,922 | |||||||||||||
% Change from Flat Case | (2.3 | )% | (2.3 | )% | (1.7 | )% | — | 1.3 | % | (1.9 | )% | (7.4 | )% | ||||||||||||||
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 | |||||||||||||||||||||||||||
September 30, 2012 | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,452 | $ | 4,456 | $ | 4,476 | $ | 4,516 | $ | 4,503 | $ | 4,308 | $ | 4,038 | |||||||||||||
% Change from Flat Case | (1.4 | )% | (1.3 | )% | (0.9 | )% | — | (0.3 | )% | (4.6 | )% | (10.6 | )% | ||||||||||||||
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 | 1.5 | 0.8 | (0.2 | ) | (2.6 | ) | 1.4 | 4.8 | 6.6 | |||||||||||
2011 Full Year | (0.2 | ) | (0.8 | ) | (1.4 | ) | (1.1 | ) | 3.2 | 5.3 | 6.0 | |||||||||
Month-End Results | ||||||||||||||||||||
September 30, 2012 | 2.1 | 1.3 | 0.5 | (1.3 | ) | 2.8 | 5.7 | 7.1 | ||||||||||||
December 31, 2011 | 0.5 | (0.3 | ) | (1.2 | ) | (3.8 | ) | 0.5 | 3.7 | 5.5 |
September 30, 2012 | December 31, 2011 | ||||
Market Value of Equity to Par Value of Regulatory Capital Stock | 124 | % | 120 | % | |
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock of 200 bps | 123 | 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 | (13.4 | )% | (12.0 | )% | (8.1 | )% | — | 6.4 | % | (2.1 | )% | (18.7 | )% | ||||||
2011 Full Year | (20.1 | )% | (15.8 | )% | (9.2 | )% | — | (1.0 | )% | (14.6 | )% | (32.1 | )% | ||||||
Month-End Results | |||||||||||||||||||
September 30, 2012 | (9.4 | )% | (8.2 | )% | (5.1 | )% | — | 1.0 | % | (10.1 | )% | (26.6 | )% | ||||||
December 31, 2011 | (17.1 | )% | (15.2 | )% | (10.3 | )% | — | 10.3 | % | 4.2 | % | (10.6 | )% |
(In millions) | September 30, 2012 | December 31, 2011 | September 30, 2011 | ||||||||
Hedged Item/Hedging Instrument | |||||||||||
Advances: | |||||||||||
Interest rate swap | $ | 5,858 | $ | 9,849 | $ | 10,014 | |||||
Mortgage Loans: | |||||||||||
Forward settlement agreement | — | 375 | 140 | ||||||||
Consolidated Obligations Bonds: | |||||||||||
Interest rate swap | 8,455 | 8,904 | 6,689 | ||||||||
Stand-Alone Derivatives: | |||||||||||
Mandatory Delivery Contracts | 166 | 431 | 277 | ||||||||
Total notional amount | $ | 14,479 | $ | 19,559 | $ | 17,120 |
▪ | 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. |
September 30, 2012 | December 31, 2011 | ||||||||||||
Collateral Amount | Percent of Total | Collateral Amount | Percent of Total | ||||||||||
($ Billions) | Pledged Collateral | ($ Billions) | Pledged Collateral | ||||||||||
Single family loans | $ | 106.5 | 61 | % | $ | 97.0 | 62 | % | |||||
Home equity loans/lines of credit | 24.6 | 14 | 26.2 | 17 | |||||||||
Commercial real estate | 17.1 | 10 | 17.1 | 11 | |||||||||
Bond securities | 14.2 | 8 | 13.5 | 8 | |||||||||
Multi-family loans | 13.0 | 7 | 2.6 | 2 | |||||||||
Farm real estate | 0.5 | (a) | 0.4 | (a) | |||||||||
Total | $ | 175.9 | 100 | % | $ | 156.8 | 100 | % |
(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 | 48-63% |
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 | 91-96% |
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 | 57-83% |
Home equity loans/lines of credit | 53-69% |
Commercial real estate loans | 53-67% |
(Dollars in billions) | ||||||||||||||||
September 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 | 479 | $ | 66.7 | 1-3 | 420 | $ | 57.0 | |||||||||
4 | 121 | 46.4 | 4 | 181 | 41.0 | |||||||||||
5 | 82 | 5.6 | 5 | 72 | 2.0 | |||||||||||
6 | 29 | 0.5 | 6 | 34 | 0.7 | |||||||||||
7 | 40 | 1.2 | 7 | 46 | 1.8 | |||||||||||
Total | 751 | $ | 120.4 | 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; |
▪ | charge-offs totaling only $3.8 million year-to-date and $9.2 million program-to-date through September 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) | September 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 | September 30, 2012 | December 31, 2011 | Loan-to-Value | September 30, 2012 | December 31, 2011 | |||||||||
<= 60% | 21 | % | 21 | % | <= 60% | 28 | % | 26 | % | |||||
> 60% to 70% | 18 | 18 | > 60% to 70% | 21 | 17 | |||||||||
> 70% to 80% | 51 | 52 | > 70% to 80% | 29 | 29 | |||||||||
> 80% to 90% | 6 | 6 | > 80% to 90% | 12 | 14 | |||||||||
> 90% | 4 | 3 | > 90% to 100% | 5 | 6 | |||||||||
> 100% | 5 | 8 | ||||||||||||
Weighted Average | 70 | % | 70 | % | Weighted Average | 69 | % | 72 | % |
Conventional Loan Delinquencies | |||||||
(Dollars in millions) | September 30, 2012 | December 31, 2011 | |||||
Early stage delinquencies - unpaid principal balance (1) | $ | 64 | $ | 82 | |||
Serious delinquencies - unpaid principal balance (2) | 82 | 91 | |||||
Early stage delinquency rate (3) | 1.0 | % | 1.3 | % | |||
Serious delinquency rate (4) | 1.2 | 1.4 | |||||
National average serious delinquency rate (5) | 3.9 | 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 September 30, 2012 rate is based on June 30, 2012 data. |
(In millions) | September 30, 2012 | December 31, 2011 | |||||
Estimated incurred credit losses, before credit enhancements | $ | (55 | ) | $ | (64 | ) | |
Estimated amounts deemed recoverable by: | |||||||
Primary mortgage insurance | 4 | 5 | |||||
Supplemental mortgage insurance | 24 | 30 | |||||
Lender Risk Account | 9 | 8 | |||||
Allowance for credit losses, after credit enhancements | $ | (18 | ) | $ | (21 | ) |
(In millions) | September 30, 2012 | ||||||||||||||
Long-Term Rating | |||||||||||||||
AAA | AA | A | Total | ||||||||||||
Unsecured Liquidity Investments | |||||||||||||||
Federal funds sold | $ | — | $ | 2,740 | $ | 2,800 | $ | 5,540 | |||||||
Total unsecured liquidity investments | — | 2,740 | 2,800 | 5,540 | |||||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||||||
Securities purchased under agreements to resell | — | 2,200 | — | 2,200 | |||||||||||
Government-sponsored enterprises (1) | — | 1,928 | — | 1,928 | |||||||||||
TLGP (2) | — | 1,609 | — | 1,609 | |||||||||||
Total guaranteed/secured liquidity investments | — | 5,737 | — | 5,737 | |||||||||||
Total liquidity investments | $ | — | $ | 8,477 | $ | 2,800 | $ | 11,277 |
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 support 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) | September 30, 2012 | |||||||||||||
Counterparty Rating (1) | ||||||||||||||
Domicile of Counterparty | Sovereign Rating (1) | AA | A | Total | ||||||||||
Domestic | AA+ | $ | 130 | $ | 670 | $ | 800 | |||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||
Canada | AAA | 765 | 730 | 1,495 | ||||||||||
Sweden | AAA | 565 | 365 | 930 | ||||||||||
Finland | AAA | 565 | — | 565 | ||||||||||
Netherlands | AAA | 565 | — | 565 | ||||||||||
Norway | AAA | — | 365 | 365 | ||||||||||
Germany | AAA | — | 335 | 335 | ||||||||||
United Kingdom | AAA | — | 335 | 335 | ||||||||||
Australia | AAA | 150 | — | 150 | ||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 2,610 | 2,130 | 4,740 | |||||||||||
Total unsecured investment credit exposure | $ | 2,740 | $ | 2,800 | $ | 5,540 |
(1) | Represents the lowest long-term credit ratings provided by Standard & Poor's, Moody's, and/or Fitch Advisory Services. |
(In millions) | |||||||||||||||
Credit Rating (1) | Total Notional | Gross Credit Exposure | Cash Collateral Held | Credit Exposure Net of Cash Collateral Held | |||||||||||
Aaa/AAA | $ | — | $ | — | $ | — | $ | — | |||||||
Aa/AA | 1,386 | 5 | — | 5 | |||||||||||
A | 8,728 | 4 | (3 | ) | 1 | ||||||||||
Baa/BBB | 4,199 | — | — | — | |||||||||||
Member institutions (2) | 166 | 3 | — | 3 | |||||||||||
Total | $ | 14,479 | $ | 12 | $ | (3 | ) | $ | 9 |
(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) | ||||||||||||||||||
September 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 | $ | 3,050 | $ | — | Barclays Bank PLC | A | $ | 3,596 | $ | — | |||||||
Citigroup Financial Products Inc. | Baa/BBB | 2,122 | — | BNP Paribas | A | 2,830 | — | |||||||||||
Morgan Stanley Capital Services | Baa/BBB | 2,077 | — | Deutsche Bank AG | A | 2,116 | — | |||||||||||
All others (11 counterparties) | A to Aa/AA | 7,064 | 6 | Royal Bank of Scotland PLC | A | 1,981 | — | |||||||||||
Total | $ | 14,313 | $ | 6 | All others (9 counterparties) | A to Aa/AA | 8,230 | 3 | ||||||||||
Total | $ | 18,753 | $ | 3 |
Contingency Liquidity Requirement (in millions) | September 30, 2012 | December 31, 2011 | |||||
Total Contingency Liquidity Reserves (1) | $ | 25,175 | $ | 23,599 | |||
Total Requirement (2) | (14,493 | ) | (6,669 | ) | |||
Excess Contingency Liquidity Available | $ | 10,682 | $ | 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) | September 30, 2012 | December 31, 2011 | |||||
Total Eligible Deposit Reserves | $ | 42,253 | $ | 33,733 | |||
Total Member Deposits | (1,158 | ) | (1,067 | ) | |||
Excess Deposit Reserves | $ | 41,095 | $ | 32,666 |
(In millions) | < 1 year | 1<3 years | 3<5 years | > 5 years | Total | ||||||||||||||
Contractual Obligations | |||||||||||||||||||
Long-term debt (Consolidated Bonds) - par (1) | $ | 12,980 | $ | 8,238 | $ | 4,221 | $ | 4,259 | $ | 29,698 | |||||||||
Operating leases (include premises and equipment) | 1 | 2 | — | — | 3 | ||||||||||||||
Mandatorily redeemable capital stock | 3 | 216 | — | — | 219 | ||||||||||||||
Commitments to fund mortgage loans | 166 | — | — | — | 166 | ||||||||||||||
Pension and other postretirement benefit obligations | 2 | 4 | 4 | 19 | 29 | ||||||||||||||
Total Contractual Obligations | $ | 13,152 | $ | 8,460 | $ | 4,225 | $ | 4,278 | $ | 30,115 |
(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) | |||||||||||||||||||
Standby Letters of Credit | $ | 3,788 | $ | 82 | $ | 39 | $ | 62 | $ | 3,971 | |||||||||
Standby bond purchase agreements | 313 | 67 | — | — | 380 | ||||||||||||||
Consolidated Obligations traded, not yet settled | 375 | — | 75 | 885 | 1,335 | ||||||||||||||
Total off-balance sheet items | $ | 4,476 | $ | 149 | $ | 114 | $ | 947 | $ | 5,686 |
(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 | ||
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. |
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) |
November 9, 2012 |
/s/ Donald R. Able |
Donald R. Able |
Executive Vice President - Chief Operating Officer (principal financial officer) |
November 9, 2012 |
Consolidated Obligations (Tables)
|
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Sep. 30, 2012
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt [Table Text Block] | 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] | 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 |
Sep. 30, 2012
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Dec. 31, 2011
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Collateralized Mortgage Backed Securities [Member]
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Schedule of Held-to-maturity Securities [Line Items] | ||
Held To Maturity Securities, Premiums | $ 42,475 | $ 60,080 |
Held-to-maturity Securities, Discounts | (21,852) | (18,863) |
Held-to-maturity Securities, Premiums (Discounts), Net | $ 20,623 | $ 41,217 |
Transactions with Stockholders (Tables)
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Sep. 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 |
Sep. 30, 2012
loans
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Dec. 31, 2011
loans
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Sep. 30, 2011
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Allowance for Credit Losses [Abstract] | |||
Financing Receivable, Modifications, Number of Contracts | 21 | 13 | |
Financing Receivable, Modifications, Subsequent Default, Recorded Investment During Quarter | $ 0 | $ 273 | |
Financing Receivable, Modifications, Subsequent Default, Recorded Investment During Year | $ 0 | $ 273 |
Consolidated Obligations (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||||||||
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Sep. 30, 2012
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Sep. 30, 2011
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Sep. 30, 2012
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Sep. 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 | $ 29,828,005 | $ 29,828,005 | $ 28,854,544 | |||||||
Discount Notes | 31,534,750 | 31,534,750 | 26,136,303 | |||||||
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to Adjustable Rate | 32.00% | 32.00% | 33.00% | |||||||
Unamortized Concessions Included in Other Assets | 9,170 | 9,170 | 11,707 | |||||||
Amortization of Concessions Included in Consolidated Obligations Interest Expense During Period | 7,916 | 6,195 | 18,149 | 12,520 | ||||||
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 | 12,976,050 | 12,976,050 | 10,198,600 | |||||||
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.22% | 1.22% | 1.52% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two | 5,769,500 | 5,769,500 | 6,351,450 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.76% | 1.76% | 2.08% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three | 2,412,000 | 2,412,000 | 2,723,500 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.22% | 2.22% | 3.01% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four | 2,372,000 | 2,372,000 | 1,600,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.62% | 2.62% | 2.81% | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five | 1,846,000 | 1,846,000 | 1,873,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.32% | 2.32% | 3.36% | |||||||
Long-term Debt, Maturities, Repayments of Principal after Year Five | 4,259,000 | 4,259,000 | 5,861,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.93% | 2.93% | 3.59% | |||||||
Index amortizing notes | 63,659 | 63,659 | 118,397 | |||||||
Index amortizing notes, Weighted average interest rate | 5.08% | 5.08% | 4.99% | |||||||
Debt, Gross | 29,698,209 | 29,698,209 | 28,725,947 | |||||||
Long-term Debt, Weighted Average Interest Rate | 1.84% | 1.84% | 2.41% | |||||||
Debt Instrument, Unamortized Premium | 76,928 | 76,928 | 76,482 | |||||||
Debt Instrument, Unamortized Discount | (17,678) | (17,678) | (19,990) | |||||||
Debt Valuation Adjustment for Hedging Activities | 67,150 | 67,150 | 66,809 | |||||||
Fair value option valuation adjustment and accrued interest | 3,396 | 3,396 | 5,296 | |||||||
Unsecured Debt | 29,828,005 | 29,828,005 | 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 | 23,519,209 | 23,519,209 | 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 | 6,179,000 | 6,179,000 | 7,744,000 | |||||||
Earlier of Contractual Maturity or Next Call Date [Member] | Consolidated Obligation Bonds [Member]
|
||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Maturities, Repayments of Principal in Twelve Months | 16,800,050 | 16,800,050 | 15,855,600 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Two | 5,809,500 | 5,809,500 | 5,703,450 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Three | 1,692,000 | 1,692,000 | 2,406,500 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Four | 1,842,000 | 1,842,000 | 1,080,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal in Year Five | 1,324,000 | 1,324,000 | 1,403,000 | |||||||
Long-term Debt, Maturities, Repayments of Principal after Year Five | 2,167,000 | 2,167,000 | 2,159,000 | |||||||
Index amortizing notes | 63,659 | 63,659 | 118,397 | |||||||
Discount Notes [Member]
|
||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Discount Notes | 31,534,750 | 31,534,750 | 26,136,303 | |||||||
Debt Instrument, Face Amount | 31,539,123 | 31,539,123 | 26,137,977 | |||||||
Short-term Debt, Weighted Average Interest Rate | 0.11% | [1] | 0.11% | [1] | 0.03% | [1] | ||||
Fixed-rate [Member] | Consolidated Obligation Bonds [Member]
|
||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Gross | 26,018,209 | 26,018,209 | 27,285,947 | |||||||
Variable-rate [Member] | Consolidated Obligation Bonds [Member]
|
||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||
Debt, Gross | $ 3,680,000 | $ 3,680,000 | $ 1,440,000 | |||||||
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Commitments and Contingencies (Tables)
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Sep. 30, 2012
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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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9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 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)
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Affordable Housing Program (AHP) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|
Affordable Housing Program [Roll Forward] | ||||
AHP Obligation, Beginning Balance | $ 74,195 | |||
AHP, Expense (Current Year Additions) | 6,719 | 2,388 | 19,869 | 12,139 |
AHP, Subsidy Uses, Net | (13,259) | (24,295) | ||
AHP Obligation, Ending Balance | $ 80,805 | $ 80,805 |
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
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Derivatives, Fair Value [Line Items] | ||||||
Notional Amount of Other Derivatives Not Designated as Hedging Instruments | $ 3,789,937 | $ 5,885,264 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 7,133 | 2,497 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 16,728 | 20,831 | ||||
Notional Amount of Derivatives | 14,478,612 | 19,559,239 | ||||
Derivative Asset, Fair Value, Gross Asset | 83,180 | 80,300 | ||||
Derivative Liability, Fair Value, Gross Liability | 565,609 | 686,734 | ||||
Derivative assets | 9,165 | 4,912 | ||||
Derivative liabilities | 135,766 | 105,284 | ||||
Interest Rate Swap [Member]
|
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Derivatives, Fair Value [Line Items] | ||||||
Notional Amount of Fair Value Hedge Instruments | 10,688,675 | 13,673,975 | ||||
Derivative Instruments in Hedges, Assets, at Fair Value | 76,047 | 77,803 | ||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 548,881 | 665,903 | ||||
Notional Amount of Other Derivatives Not Designated as Hedging Instruments | 3,624,000 | 5,079,000 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 3,721 | 216 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 16,727 | 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 | 375,000 | |||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 0 | |||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 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 | 165,937 | 431,264 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Asset, at Fair Value | 3,412 | 2,281 | ||||
Derivative Instruments Not Designated as Hedging Instruments, Liability, at Fair Value | 1 | 79 | ||||
Netting Adjustment By Counterparty [Member]
|
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Derivatives, Fair Value [Line Items] | ||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (71,315) | (73,188) | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (71,315) | (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 | (2,700) | (2,200) | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (358,528) | (508,262) | ||||
Netting and Collateral [Member]
|
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Derivatives, Fair Value [Line Items] | ||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (74,015) | [1] | (75,388) | [1] | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ (429,843) | [1] | $ (581,450) | [1] | ||
|
Fair Value Disclosures Fair Value Option (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|
Fair Value, Option, Quantitative Disclosures [Roll Forward] | ||||
Net losses on instruments held under the fair value option | $ (624) | $ (355) | $ 1,811 | $ (893) |
Consolidated Obligation Bonds [Member]
|
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Fair Value, Option, Quantitative Disclosures [Roll Forward] | ||||
Liabilities, Beginning of period | (4,687,996) | (2,231,866) | (4,900,296) | 0 |
New transactions elected for fair value option | 0 | (2,560,000) | (2,365,000) | (6,356,000) |
Maturities and terminations | 1,435,000 | 685,000 | 4,010,000 | 2,251,000 |
Net losses on instruments held under the fair value option | (624) | (355) | 1,811 | (893) |
Change in accrued interest | 224 | (172) | 89 | (1,500) |
Liabilities, End of period | $ (3,253,396) | $ (4,107,393) | $ (3,253,396) | $ (4,107,393) |
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 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 | $ 13,525,567 | [1] | $ 12,637,373 | [1] | ||||
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 | 1,634,592 | [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 | 11,890,975 | [1],[2] | 11,202,342 | [1],[2] | ||||
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 | 1,634,592 | 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 | 8,531,585 | 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 | $ 3,359,390 | $ 3,036,485 | ||||||
|
Derivatives and Hedging Activities Credit Risk Exposure (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
||||
---|---|---|---|---|---|---|
Derivative [Line Items] | ||||||
Total net exposure at fair value | $ 11,865 | [1] | $ 7,112 | [1] | ||
Net positive exposure after cash collateral | 9,165 | 4,912 | ||||
Accrued interest receivable | 107,555 | 114,266 | ||||
Credit Risk Contract [Member]
|
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Derivative [Line Items] | ||||||
Accrued interest receivable | 1,602 | 1,060 | ||||
Cash Collateral And Related Accrued Interest [Member]
|
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Derivative [Line Items] | ||||||
Cash Collateral | $ 2,700 | $ 2,200 | ||||
|
Segment Information (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
Dec. 31, 2011
|
|
Segment Reporting Information [Line Items] | |||||
Net interest income | $ 83,297 | $ 44,434 | $ 216,851 | $ 181,329 | |
Reversal of Loan Losses Expensed | (500) | ||||
Provision for credit losses | 2,289 | 910 | 5,967 | ||
Net interest income after provision for credit losses | 83,797 | 42,145 | 215,941 | 175,362 | |
Other income | (4,171) | (6,468) | 17,336 | (2,767) | |
Other expenses | 15,069 | 14,674 | 43,355 | 42,339 | |
Income before assessments | 64,557 | 21,003 | 189,922 | 130,256 | |
Affordable Housing Program | 6,719 | 2,388 | 19,869 | 12,139 | |
REFCORP | 0 | 0 | 0 | 19,644 | |
Total assessments | 6,719 | 2,388 | 19,869 | 31,783 | |
Net income | 57,838 | 18,615 | 170,053 | 98,473 | |
Average assets | 67,502,822 | 66,544,439 | 65,091,168 | 68,447,744 | |
Total assets | 67,171,011 | 66,921,439 | 67,171,011 | 66,921,439 | 60,396,531 |
Traditional Member Finance [Member]
|
|||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 52,856 | 35,395 | 145,427 | 126,591 | |
Reversal of Loan Losses Expensed | 0 | ||||
Provision for credit losses | 0 | 0 | 0 | ||
Net interest income after provision for credit losses | 52,856 | 35,395 | 145,427 | 126,591 | |
Other income | (9,359) | (8,860) | 13,747 | (1,633) | |
Other expenses | 13,097 | 12,442 | 37,489 | 36,182 | |
Income before assessments | 30,400 | 14,093 | 121,685 | 88,776 | |
Affordable Housing Program | 3,303 | 1,697 | 13,045 | 8,618 | |
REFCORP | 13,378 | ||||
Total assessments | 21,996 | ||||
Net income | 27,097 | 12,396 | 108,640 | 66,780 | |
Average assets | 59,428,906 | 58,762,933 | 57,009,859 | 60,784,407 | |
Total assets | 59,292,700 | 59,014,837 | 59,292,700 | 59,014,837 | |
Mortgage Purchase Program [Member]
|
|||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 30,441 | 9,039 | 71,424 | 54,738 | |
Reversal of Loan Losses Expensed | (500) | ||||
Provision for credit losses | 2,289 | 910 | 5,967 | ||
Net interest income after provision for credit losses | 30,941 | 6,750 | 70,514 | 48,771 | |
Other income | 5,188 | 2,392 | 3,589 | (1,134) | |
Other expenses | 1,972 | 2,232 | 5,866 | 6,157 | |
Income before assessments | 34,157 | 6,910 | 68,237 | 41,480 | |
Affordable Housing Program | 3,416 | 691 | 6,824 | 3,521 | |
REFCORP | 6,266 | ||||
Total assessments | 9,787 | ||||
Net income | 30,741 | 6,219 | 61,413 | 31,693 | |
Average assets | 8,073,916 | 7,781,506 | 8,081,309 | 7,663,337 | |
Total assets | $ 7,878,311 | $ 7,906,602 | $ 7,878,311 | $ 7,906,602 |
Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $)
In Thousands, unless otherwise specified |
9 Months Ended |
---|---|
Sep. 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 | (55,375) |
Redemption, or other reduction, of mandatorily redeemable capital stock: Other redemptions | (16,725) |
Balance at end of period | $ 219,599 |
Fair Value Disclosures Fair Value Summary (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
||||||||
---|---|---|---|---|---|---|---|---|---|---|
Assets | ||||||||||
Derivative assets | $ 9,165 | $ 4,912 | ||||||||
Liabilities | ||||||||||
Mandatorily redeemable capital stock | 219,599 | 274,781 | ||||||||
Carrying Value
|
||||||||||
Assets | ||||||||||
Cash and Due from Banks | 12,728 | 2,033,944 | ||||||||
Interest-bearing deposits | 220 | 119 | ||||||||
Securities purchased under resale agreements | 2,200,000 | 0 | ||||||||
Federal funds sold | 5,540,000 | 2,270,000 | ||||||||
Trading securities | 1,904,110 | 2,862,648 | ||||||||
Available-for-sale securities | 4,171,142 | |||||||||
Held-to-maturity securities | 13,525,567 | 12,637,373 | ||||||||
Advances | 36,002,583 | 28,423,774 | ||||||||
Mortgage loans held for portfolio, net | 7,847,925 | 7,850,269 | ||||||||
Accrued interest receivable | 107,555 | 114,266 | ||||||||
Derivative assets | 9,165 | 4,912 | ||||||||
Liabilities | ||||||||||
Deposits | 1,174,977 | 1,083,532 | ||||||||
Mandatorily redeemable capital stock | 219,599 | 274,781 | ||||||||
Accrued Interest Payable, Fair Value Disclosure | 116,179 | 142,212 | ||||||||
Derivative liabilities | 135,766 | 105,284 | ||||||||
Fair Value
|
||||||||||
Assets | ||||||||||
Cash and Due from Banks | 12,728 | 2,033,944 | ||||||||
Interest-bearing deposits | 220 | 119 | ||||||||
Securities purchased under resale agreements | 2,200,000 | 0 | ||||||||
Federal funds sold | 5,540,000 | 2,270,000 | ||||||||
Trading securities | 1,904,110 | 2,862,648 | ||||||||
Available-for-sale securities | 4,171,142 | |||||||||
Held-to-maturity securities | 13,930,820 | 13,035,503 | ||||||||
Advances | 36,217,607 | 28,699,758 | ||||||||
Mortgage loans held for portfolio, net | 8,335,524 | 8,342,709 | ||||||||
Accrued interest receivable | 107,555 | 114,266 | ||||||||
Derivative assets | 9,165 | 4,912 | ||||||||
Liabilities | ||||||||||
Deposits | 1,174,935 | 1,083,312 | ||||||||
Mandatorily redeemable capital stock | 219,599 | 274,781 | ||||||||
Accrued Interest Payable, Fair Value Disclosure | 116,179 | 142,212 | ||||||||
Derivative liabilities | 135,766 | 105,284 | ||||||||
Consolidated Obligation Bonds [Member] | Portion at Fair Value, Fair Value Disclosure [Member]
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Bonds | 3,253,396 | 4,900,296 | ||||||||
Consolidated Obligation Bonds [Member] | Carrying Value
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Bonds | 29,828,005 | [1] | 28,854,544 | [2] | ||||||
Consolidated Obligation Bonds [Member] | Fair Value
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Bonds | 30,603,668 | [1] | 29,774,780 | [2] | ||||||
Fair Value, Inputs, Level 1 [Member]
|
||||||||||
Assets | ||||||||||
Cash and Due from Banks | 12,728 | |||||||||
Interest-bearing deposits | 0 | |||||||||
Securities purchased under resale agreements | 0 | |||||||||
Federal funds sold | 0 | |||||||||
Trading 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 | 219,599 | |||||||||
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 | [1] | ||||||||
Fair Value, Inputs, Level 2 [Member]
|
||||||||||
Assets | ||||||||||
Cash and Due from Banks | 0 | |||||||||
Interest-bearing deposits | 220 | |||||||||
Securities purchased under resale agreements | 2,200,000 | |||||||||
Federal funds sold | 5,540,000 | |||||||||
Trading securities | 1,904,110 | |||||||||
Held-to-maturity securities | 13,930,820 | |||||||||
Advances | 36,217,607 | |||||||||
Mortgage loans held for portfolio, net | 8,335,524 | |||||||||
Accrued interest receivable | 107,555 | |||||||||
Derivative assets | 83,180 | |||||||||
Liabilities | ||||||||||
Deposits | 1,174,935 | |||||||||
Mandatorily redeemable capital stock | 0 | |||||||||
Accrued Interest Payable, Fair Value Disclosure | 116,179 | |||||||||
Derivative liabilities | 565,609 | |||||||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member]
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Bonds | 30,603,668 | [1] | ||||||||
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 | |||||||||
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 | [1] | ||||||||
Netting and Collateral [Member]
|
||||||||||
Assets | ||||||||||
Cash and Due from Banks | 0 | [3] | ||||||||
Interest-bearing deposits | 0 | [3] | ||||||||
Securities purchased under resale agreements | 0 | [3] | ||||||||
Federal funds sold | 0 | [3] | ||||||||
Trading securities | 0 | [3] | ||||||||
Held-to-maturity securities | 0 | [3] | ||||||||
Advances | 0 | [3] | ||||||||
Mortgage loans held for portfolio, net | 0 | [3] | ||||||||
Accrued interest receivable | 0 | [3] | ||||||||
Derivative assets | (74,015) | [3] | ||||||||
Liabilities | ||||||||||
Deposits | 0 | [3] | ||||||||
Mandatorily redeemable capital stock | 0 | [3] | ||||||||
Accrued Interest Payable, Fair Value Disclosure | 0 | [3] | ||||||||
Derivative liabilities | (429,843) | [3] | ||||||||
Netting and Collateral [Member] | Consolidated Obligation Bonds [Member]
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Bonds | 0 | [1],[3] | ||||||||
Discount Notes [Member] | Carrying Value
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Discount Notes | 31,534,750 | 26,136,303 | ||||||||
Discount Notes [Member] | Fair Value
|
||||||||||
Liabilities | ||||||||||
Consolidated Obligations, Discount Notes | 31,535,771 | 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 | 31,535,771 | |||||||||
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 | [3] | ||||||||
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 | 1,508 | 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 | 1,508 | |||||||||
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 | [3] | ||||||||
|
Deposits Deposits (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
Dec. 31, 2011
|
|
Deposits [Abstract] | |||||
Interest bearing, demand and overnight | $ 1,006,491 | $ 1,006,491 | $ 952,743 | ||
Interest bearing, term | 128,650 | 128,650 | 90,925 | ||
Interest bearing, other | 22,905 | 22,905 | 23,620 | ||
Total interest-bearing | 1,158,046 | 1,158,046 | 1,067,288 | ||
Non-interest bearing, other | 16,931 | 16,931 | 16,244 | ||
Total non-interest bearing | 16,931 | 16,931 | 16,244 | ||
Total deposits | 1,174,977 | 1,174,977 | 1,083,532 | ||
Weighted Average Rate Interest Bearing Deposits | 0.04% | 0.03% | 0.03% | 0.05% | |
Time Deposits, $100,000 or More | $ 128,575 | $ 128,575 | $ 90,850 |
Allowance for Credit Losses Individually Evaluated Impaired Loans (Details) (Residential, Prime, Financing Receivable [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
Dec. 31, 2011
|
|
Residential, Prime, Financing Receivable [Member]
|
|||||
Financing Receivable, Impaired [Line Items] | |||||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | $ 2,061 | $ 2,061 | $ 951 | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 2,031 | 2,031 | 934 | ||
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 2,252 | 2,252 | 1,699 | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 2,232 | 2,232 | 1,682 | ||
Impaired Financing Receivable, Related Allowance | 125 | 125 | 97 | ||
Impaired Financing Receivable, Recorded Investment | 4,313 | 4,313 | 2,650 | ||
Impaired Financing Receivable, Unpaid Principal Balance | 4,263 | 4,263 | 2,616 | ||
Impaired Financing Receivable, Average Recorded Investment | 4,319 | 2,202 | 3,673 | 1,193 | |
Impaired Financing Receivable, Interest Income, Accrual Method | $ 59 | $ 30 | $ 152 | $ 49 |
Segment Information
|
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 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)
|
Trading Securities (Trading Securities by Major Type) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
||||||
---|---|---|---|---|---|---|---|---|
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||||
Trading securities | $ 1,904,110 | $ 2,862,648 | ||||||
US Treasury Securities [Member]
|
||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||||
Trading securities | 0 | 331,207 | ||||||
US Government-sponsored Enterprises Debt Securities [Member]
|
||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||||
Trading securities | 1,902,111 | [1] | 2,529,311 | [1] | ||||
Trading Securities Other Than Mortgage Backed Securities [Member]
|
||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||||
Trading securities | 1,902,111 | 2,860,518 | ||||||
Government National Mortgage Association Certificates and Obligations (GNMA) [Member]
|
||||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||||
Trading securities | $ 1,999 | [2] | $ 2,130 | [2] | ||||
|
Accumulated Other Comprehensive (Loss) Income (Tables)
|
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 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)
|
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | $ 7,048 | $ (54,730) | $ 105,844 | $ 16,270 | ||||||
Gain (Loss) on Hedged Item | (8,169) | 54,159 | (100,120) | (9,324) | ||||||
Net Fair Value Hedge Ineffectiveness | (1,121) | (571) | 5,724 | 6,946 | ||||||
Effect of Derivatives on Net Interest Income | (40,867) | [1] | (78,956) | [1] | (181,899) | [1] | (226,234) | [1] | ||
Advances [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | 6,931 | (59,691) | 106,351 | 21,667 | ||||||
Gain (Loss) on Hedged Item | (7,285) | 58,671 | (99,761) | (15,000) | ||||||
Net Fair Value Hedge Ineffectiveness | (354) | (1,020) | 6,590 | 6,667 | ||||||
Effect of Derivatives on Net Interest Income | (50,214) | [1] | (91,942) | [1] | (209,459) | [1] | (279,399) | [1] | ||
Consolidated Obligation Bonds [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | 117 | 4,961 | (507) | (5,397) | ||||||
Gain (Loss) on Hedged Item | (884) | (4,512) | (359) | 5,676 | ||||||
Net Fair Value Hedge Ineffectiveness | (767) | 449 | (866) | 279 | ||||||
Effect of Derivatives on Net Interest Income | $ 9,347 | [1] | $ 12,986 | [1] | $ 27,560 | [1] | $ 53,165 | [1] | ||
|
Derivatives and Hedging Activities (Tables)
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Sep. 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 (Losses) 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)
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Available-for-Sale Securities (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
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Dec. 31, 2011
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Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | $ 4,172,156 | ||||
Available-for-sale Securities, Gross Unrealized Gains | 6 | ||||
Available-for-sale Securities, Gross Unrealized Losses | (1,020) | ||||
Available-for-sale Securities, Debt Securities | 0 | 4,171,142 | |||
Available-for-sale Securities, Debt Maturities, within One Year, Amortized Cost Basis | 4,172,156 | ||||
Available-for-sale Securities, Debt Maturities, within One Year, Fair Value | 4,171,142 | ||||
Fixed-rate [Member]
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Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 4,172,156 | ||||
Certificates of Deposit [Member]
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Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 3,954,999 | ||||
Available-for-sale Securities, Gross Unrealized Gains | 6 | ||||
Available-for-sale Securities, Gross Unrealized Losses | (988) | ||||
Available-for-sale Securities, Debt Securities | 3,954,017 | ||||
Other non-mortgage-backed securities
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Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 217,157 | [1] | |||
Available-for-sale Securities, Gross Unrealized Gains | 0 | [1] | |||
Available-for-sale Securities, Gross Unrealized Losses | (32) | [1] | |||
Available-for-sale Securities, Debt Securities | $ 217,125 | [1] | |||
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Allowance for Credit Losses (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | |||
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Sep. 30, 2012
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Sep. 30, 2011
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Sep. 30, 2012
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Sep. 30, 2011
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Dec. 31, 2011
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Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total recorded investment | $ 7,895,241 | $ 7,895,241 | $ 7,902,224 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of period | 19,498 | 14,800 | 20,750 | 12,100 | |
Charge-offs | (1,091) | (1,789) | (3,753) | (2,767) | |
Reversal of Loan Losses Expensed | (500) | ||||
Provision for credit losses | 2,289 | 910 | 5,967 | ||
Balance, end of period | 17,907 | 15,300 | 17,907 | 15,300 | |
Conventional Loan [Member]
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Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for Credit Losses, Collectively Evaluated for Impairment | 17,782 | 17,782 | 20,653 | ||
Allowance for Credit Losses, Individually Evaluated for Impairment | 125 | 125 | 97 | ||
Recorded Investment, Collectively Evaluated for Impairment | 6,811,672 | 6,811,672 | 6,633,380 | ||
Recorded Investment, Individually Evaluated for Impairment | 4,313 | 4,313 | 2,650 | ||
Total recorded investment | $ 6,815,985 | $ 6,815,985 | $ 6,636,030 |
Advances (Year of Contractual Maturity or Next Call Date) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
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Dec. 31, 2011
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Advances [Abstract] | ||
Due in 1 year or less | $ 19,762,496 | $ 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 | 1,512,985 | 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 | 2,995,804 | 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 | 1,704,910 | 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 | 3,762,946 | 1,854,961 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Due After Five Years of Balance Sheet Date | 5,777,799 | 2,824,430 |
Federal Home Loan Bank Advances At Par Value | $ 35,516,940 | $ 27,838,497 |
Transactions with Other FHLBanks (Tables) (Other FHLBanks [Member])
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9 Months Ended | ||||||||||||||||||||||||||||||||||||||||
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Sep. 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)
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Basis of Presentation
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9 Months Ended |
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Sep. 30, 2012
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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 nine months ended September 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 |
Sep. 30, 2012
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Dec. 31, 2011
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Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due within One Year of Balance Sheet Date | $ 14,866,522 | $ 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 | 1,654,328 | 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 | 5,172,154 | 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 | 2,736,940 | 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 | 5,751,972 | 3,113,282 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due After Five Years of Balance Sheet Date | 5,335,024 | 2,523,280 |
Federal Home Loan Bank Advances At Par Value | $ 35,516,940 | $ 27,838,497 |