Federally Chartered Corporation | 25-6001324 | |
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | |
601 Grant Street Pittsburgh, PA 15219 (Address of principal executive offices) | 15219 (Zip Code) |
o Large accelerated filer | o Accelerated filer | |
x Non-accelerated filer | o Smaller reporting company |
Part I - FINANCIAL INFORMATION | ||
Item 1: Financial Statements (unaudited) | ||
Notes to Financial Statements (unaudited) | ||
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations | ||
Risk Management | ||
Item 3: Quantitative and Qualitative Disclosures about Market Risk | ||
Item 4: Controls and Procedures | ||
Part II - OTHER INFORMATION | ||
Item 1: Legal Proceedings | ||
Item 1A: Risk Factors | ||
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds | ||
Item 3: Defaults upon Senior Securities | ||
Item 4: Mine Safety Disclosures | ||
Item 5: Other Information | ||
Item 6: Exhibits | ||
Signature |
2nd Quarter 2013 Average | 1st Quarter 2013 Average | 2nd Quarter 2012 Average | Year-to-Date 2013 Average | Year-to-Date 2012 Average | ||||||
Federal funds effective rate | 0.12% | 0.14% | 0.15% | 0.13% | 0.13% | |||||
3-month LIBOR | 0.28% | 0.29% | 0.47% | 0.28% | 0.49% | |||||
2-year U.S. Treasury | 0.26% | 0.26% | 0.28% | 0.26% | 0.28% | |||||
5-year U.S. Treasury | 0.90% | 0.81% | 0.78% | 0.86% | 0.84% | |||||
10-year U.S. Treasury | 1.97% | 1.93% | 1.81% | 1.95% | 1.91% | |||||
15-year mortgage current coupon (1) | 1.86% | 1.84% | 1.77% | 1.85% | 1.85% | |||||
30-year mortgage current coupon (1) | 2.77% | 2.57% | 2.79% | 2.67% | 2.84% |
Three months ended | |||||||||||||||||||
June 30, | March 31, | December 31, | September 30, | June 30, | |||||||||||||||
(in millions, except per share data) | 2013 | 2013 | 2012 | 2012 | 2012 | ||||||||||||||
Net interest income | $ | 42.1 | $ | 45.4 | $ | 67.7 | $ | 50.0 | $ | 49.9 | |||||||||
Provision (benefit) for credit losses | (1.2) | (0.1 | ) | 0.4 | (0.1 | ) | — | ||||||||||||
Other noninterest income (loss): | |||||||||||||||||||
Net OTTI losses, credit portion (1) | — | (0.4 | ) | (0.4 | ) | (0.2 | ) | (3.6 | ) | ||||||||||
Net gains (losses) on derivatives and hedging activities | 7.1 | 1.6 | 8.1 | 3.5 | (4.9 | ) | |||||||||||||
Other, net | 3.9 | 2.5 | 2.1 | 1.1 | 1.8 | ||||||||||||||
Total other noninterest income (loss) | 11.0 | 3.7 | 9.8 | 4.4 | (6.7 | ) | |||||||||||||
Other expense | 18.6 | 17.4 | 19.6 | 17.8 | 17.4 | ||||||||||||||
Income before assessments | 35.7 | 31.8 | 57.5 | 36.7 | 25.8 | ||||||||||||||
Affordable Housing Program (AHP) assessment (2) | 3.7 | 3.2 | 5.8 | 3.7 | 2.6 | ||||||||||||||
Net income | $ | 32.0 | $ | 28.6 | $ | 51.7 | $ | 33.0 | $ | 23.2 | |||||||||
Earnings per share (3) | $ | 1.14 | $ | 1.03 | $ | 1.83 | $ | 1.08 | $ | 0.76 |
Dividends (4) | $ | 2.0 | $ | 2.2 | $ | 3.4 | $ | 0.7 | $ | 0.8 | ||||||||||
Dividend payout ratio | 6.20 | % | 7.69 | % | 6.53 | % | 2.32 | % | 3.40 | % | ||||||||||
Return on average equity | 3.65 | % | 3.39 | % | 6.05 | % | 3.74 | % | 2.70 | % | ||||||||||
Return on average assets | 0.21 | % | 0.20 | % | 0.35 | % | 0.22 | % | 0.16 | % | ||||||||||
Net interest margin (5) | 0.28 | % | 0.31 | % | 0.46 | % | 0.33 | % | 0.36 | % | ||||||||||
Regulatory capital ratio (6) | 6.23 | % | 6.30 | % | 5.89 | % | 6.30 | % | 6.77 | % | ||||||||||
Total capital ratio (at period-end) (7) | 5.89 | % | 5.81 | % | 5.31 | % | 6.04 | % | 6.26 | % | ||||||||||
Total average equity to average assets | 5.81 | % | 5.77 | % | 5.73 | % | 5.82 | % | 6.09 | % |
Six months ended | ||||||
(in millions, except per share data) | June 30, 2013 | June 30, 2012 | ||||
Net interest income | $ | 87.5 | $ | 92.1 | ||
Provision (benefit) for credit losses | (1.3 | ) | 0.1 | |||
Other noninterest income (loss): | ||||||
Net OTTI losses, credit portion (1) | (0.4 | ) | (10.8 | ) | ||
Net gains (losses) on derivatives and hedging activities | 8.7 | (0.9 | ) | |||
Other, net | 6.4 | 4.6 | ||||
Total other noninterest income (loss) | 14.7 | (7.1 | ) | |||
Other expense | 36.0 | 34.9 | ||||
Income before assessments | 67.5 | 50.0 | ||||
AHP assessment (2) | 6.9 | 5.0 | ||||
Net income | $ | 60.6 | $ | 45.0 | ||
Earnings per share (3) | $ | 2.17 | $ | 1.44 | ||
Dividends (4) | $ | 4.2 | $ | 1.7 | ||
Dividend payout ratio | 6.91 | % | 3.64 | % | ||
Return on average equity | 3.52 | % | 2.61 | % | ||
Return on average assets | 0.20 | % | 0.16 | % | ||
Net interest margin (5) | 0.30 | % | 0.34 | % | ||
Regulatory capital ratio (6) | 6.23 | % | 6.77 | % | ||
Total capital ratio (at period-end) (7) | 5.89 | % | 6.26 | % | ||
Total average equity to average assets | 5.79 | % | 6.29 | % |
June 30, | March 31, | December 31, | September 30, | June 30, | ||||||||||||||||
(in millions) | 2013 | 2013 | 2012 | 2012 | 2012 | |||||||||||||||
Cash and due from banks | $ | 933.1 | $ | 545.7 | $ | 1,350.6 | $ | 246.7 | $ | 287.2 | ||||||||||
Investments (1) | 15,686.2 | 15,955.5 | 19,057.3 | 18,372.2 | 18,313.7 | |||||||||||||||
Advances | 40,569.6 | 39,994.0 | 40,497.8 | 37,738.6 | 33,617.2 | |||||||||||||||
Mortgage loans held for portfolio, net (2) | 3,387.5 | 3,482.8 | 3,532.5 | 3,579.1 | 3,620.9 | |||||||||||||||
Total assets | 60,753.3 | 60,136.6 | 64,616.3 | 60,140.5 | 56,052.2 | |||||||||||||||
Consolidated obligations, net: | ||||||||||||||||||||
Discount notes | 17,702.8 | 18,300.6 | 24,148.5 | 20,888.3 | 16,262.7 | |||||||||||||||
Bonds | 37,949.1 | 36,496.6 | 35,135.6 | 33,665.5 | 34,381.2 | |||||||||||||||
Total consolidated obligations, net (3) | 55,651.9 | 54,797.2 | 59,284.1 | 54,553.8 | 50,643.9 | |||||||||||||||
Deposits | 821.2 | 1,022.8 | 999.9 | 1,054.9 | 1,102.7 | |||||||||||||||
Mandatorily redeemable capital stock | 257.0 | 368.8 | 431.6 | 188.1 | 207.7 | |||||||||||||||
AHP payable | 29.2 | 26.2 | 24.5 | 19.4 | 16.9 | |||||||||||||||
Total liabilities | 57,177.4 | 56,640.1 | 61,187.3 | 56,509.4 | 52,542.3 | |||||||||||||||
Capital stock - putable | 2,913.3 | 2,832.0 | 2,816.0 | 3,091.7 | 3,109.8 | |||||||||||||||
Unrestricted retained earnings | 573.1 | 549.5 | 528.8 | 490.8 | 465.1 | |||||||||||||||
Restricted retained earnings | 42.7 | 36.2 | 30.5 | 20.2 | 13.6 | |||||||||||||||
AOCI | 46.8 | 78.8 | 53.7 | 28.4 | (78.6 | ) | ||||||||||||||
Total capital | 3,575.9 | 3,496.5 | 3,429.0 | 3,631.1 | 3,509.9 |
Three months ended June 30, | ||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | ||||||||||||||||
Assets: | ||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell (1) | $ | 5,877.3 | $ | 1.4 | 0.10 | $ | 4,824.6 | $ | 1.7 | 0.15 | ||||||||||||
Interest-bearing deposits (2) | 483.5 | 0.2 | 0.12 | 512.6 | 0.2 | 0.16 | ||||||||||||||||
Investment securities (3) | 11,337.9 | 53.9 | 1.91 | 14,156.7 | 67.9 | 1.93 | ||||||||||||||||
Advances (4) | 38,764.2 | 56.9 | 0.59 | 32,936.5 | 72.8 | 0.89 | ||||||||||||||||
Mortgage loans held for portfolio (5) | 3,456.1 | 35.6 | 4.13 | 3,687.0 | 42.5 | 4.64 | ||||||||||||||||
Total interest-earning assets | 59,919.0 | 148.0 | 0.99 | 56,117.4 | 185.1 | 1.33 | ||||||||||||||||
Allowance for credit losses | (15.8 | ) | (17.0 | ) | ||||||||||||||||||
Other assets (6) | 691.4 | 642.6 | ||||||||||||||||||||
Total assets | $ | 60,594.6 | $ | 56,743.0 | ||||||||||||||||||
Liabilities and capital: | ||||||||||||||||||||||
Deposits (2) | $ | 840.7 | $ | 0.1 | 0.04 | $ | 1,160.3 | $ | 0.2 | 0.05 | ||||||||||||
Consolidated obligation discount notes | 17,358.4 | 4.6 | 0.10 | 15,126.9 | 4.1 | 0.11 | ||||||||||||||||
Consolidated obligation bonds (7) | 37,590.6 | 100.5 | 1.07 | 35,433.6 | 130.8 | 1.49 | ||||||||||||||||
Other borrowings | 297.7 | 0.7 | 0.99 | 216.1 | 0.1 | 0.12 | ||||||||||||||||
Total interest-bearing liabilities | 56,087.4 | 105.9 | 0.76 | 51,936.9 | 135.2 | 1.05 | ||||||||||||||||
Other liabilities | 986.5 | 1,351.4 | ||||||||||||||||||||
Total capital | 3,520.7 | 3,454.7 | ||||||||||||||||||||
Total liabilities and capital | $ | 60,594.6 | $ | 56,743.0 | ||||||||||||||||||
Net interest spread | 0.23 | 0.28 | ||||||||||||||||||||
Impact of noninterest-bearing funds | 0.05 | 0.08 | ||||||||||||||||||||
Net interest income/net interest margin | $ | 42.1 | 0.28 | $ | 49.9 | 0.36 |
Six months ended June 30, | ||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | ||||||||||||||||
Assets: | ||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell (1) | $ | 6,204.7 | $ | 3.4 | 0.11 | $ | 4,354.5 | $ | 2.7 | 0.13 | ||||||||||||
Interest-bearing deposits (2) | 412.7 | 0.3 | 0.13 | 527.4 | 0.3 | 0.13 | ||||||||||||||||
Investment securities (3) | 11,588.3 | 109.8 | 1.91 | 14,238.4 | 137.1 | 1.94 | ||||||||||||||||
Advances (4) | 37,578.4 | 114.4 | 0.61 | 31,761.2 | 143.0 | 0.91 | ||||||||||||||||
Mortgage loans held for portfolio (5) | 3,493.0 | 73.2 | 4.23 | 3,749.1 | 87.5 | 4.69 | ||||||||||||||||
Total interest-earning assets | 59,277.1 | 301.1 | 1.03 | 54,630.6 | 370.6 | 1.36 | ||||||||||||||||
Allowance for credit losses | (16.1 | ) | (17.1 | ) | ||||||||||||||||||
Other assets (6) | 688.2 | 598.8 | ||||||||||||||||||||
Total assets | $ | 59,949.2 | $ | 55,212.3 | ||||||||||||||||||
Liabilities and capital: | ||||||||||||||||||||||
Deposits (2) | $ | 927.5 | $ | 0.2 | 0.05 | $ | 1,164.1 | $ | 0.3 | 0.05 | ||||||||||||
Consolidated obligation discount notes | 17,469.5 | 9.8 | 0.11 | 13,829.6 | 5.9 | 0.09 | ||||||||||||||||
Consolidated obligation bonds (7) | 36,738.7 | 202.6 | 1.11 | 35,146.0 | 272.1 | 1.56 | ||||||||||||||||
Other borrowings | 353.8 | 1.0 | 0.59 | 211.0 | 0.2 | 0.13 | ||||||||||||||||
Total interest-bearing liabilities | 55,489.5 | 213.6 | 0.78 | 50,350.7 | 278.5 | 1.11 | ||||||||||||||||
Other liabilities | 988.6 | 1,390.3 | ||||||||||||||||||||
Total capital | 3,471.1 | 3,471.3 | ||||||||||||||||||||
Total liabilities and capital | $ | 59,949.2 | $ | 55,212.3 | ||||||||||||||||||
Net interest spread | 0.25 | 0.25 | ||||||||||||||||||||
Impact of noninterest-bearing funds | 0.05 | 0.09 | ||||||||||||||||||||
Net interest income/net interest margin | $ | 87.5 | 0.30 | $ | 92.1 | 0.34 |
Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume | ||||||||||||||||||||||||
2013 compared to 2012 | ||||||||||||||||||||||||
Three Months Ended June 30 | Six Months Ended June 30 | |||||||||||||||||||||||
(in millions) | Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||||||
Federal funds sold | $ | 0.4 | $ | (0.7 | ) | $ | (0.3 | ) | $ | 1.0 | $ | (0.3 | ) | $ | 0.7 | |||||||||
Interest-bearing deposits | 0.1 | (0.1 | ) | — | — | — | — | |||||||||||||||||
Investment securities | (13.3 | ) | (0.7 | ) | (14.0 | ) | (25.5 | ) | (1.8 | ) | (27.3 | ) | ||||||||||||
Advances | 11.6 | (27.5 | ) | (15.9 | ) | 22.7 | (51.3 | ) | (28.6 | ) | ||||||||||||||
Mortgage loans held for portfolio | (2.5 | ) | (4.4 | ) | (6.9 | ) | (6.0 | ) | (8.3 | ) | (14.3 | ) | ||||||||||||
Total interest-earning assets | $ | (3.7 | ) | $ | (33.4 | ) | $ | (37.1 | ) | $ | (7.8 | ) | $ | (61.7 | ) | $ | (69.5 | ) | ||||||
Interest-bearing deposits | $ | — | $ | (0.1 | ) | $ | (0.1 | ) | $ | (0.1 | ) | $ | — | $ | (0.1 | ) | ||||||||
Consolidated obligation discount notes | 0.6 | (0.1 | ) | 0.5 | 1.8 | 2.1 | 3.9 | |||||||||||||||||
Consolidated obligation bonds | 7.9 | (38.2 | ) | (30.3 | ) | 11.1 | (80.6 | ) | (69.5 | ) | ||||||||||||||
Other borrowings | — | 0.6 | 0.6 | 0.1 | 0.7 | 0.8 | ||||||||||||||||||
Total interest-bearing liabilities | $ | 8.5 | $ | (37.8 | ) | $ | (29.3 | ) | $ | 12.9 | $ | (77.8 | ) | $ | (64.9 | ) | ||||||||
Total increase (decrease) in net interest income | $ | (12.2 | ) | $ | 4.4 | $ | (7.8 | ) | $ | (20.7 | ) | $ | 16.1 | $ | (4.6 | ) |
(in millions) | Three months ended June 30, | Six months ended June 30, | ||||||||||||||
Product | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Repo/Mid-Term Repo | $ | 11,676.8 | $ | 11,157.5 | $ | 12,299.1 | $ | 10,230.7 | ||||||||
Core (Term) | 24,010.1 | 17,055.9 | 22,108.6 | 16,580.6 | ||||||||||||
Convertible Select | 2,336.8 | 3,527.6 | 2,401.5 | 3,706.9 | ||||||||||||
Total par value | $ | 38,023.7 | $ | 31,741.0 | $ | 36,809.2 | $ | 30,518.2 |
Three Months Ended June 30, 2013 (dollars in millions) | Average Balance | Interest Inc./ Exp. with Derivatives | Avg. Yield/ Rate (%) | Interest Inc./ Exp. without Derivatives | Avg. Yield/ Rate (%) | Impact of Derivatives(1) | Incr./ (Decr.) (%) | ||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Advances | $ | 38,764.2 | $ | 56.9 | 0.59 | $ | 123.5 | 1.28 | $ | (66.6 | ) | (0.69 | ) | ||||||||||||
Mortgage loans held for portfolio | 3,456.1 | 35.6 | 4.13 | 36.7 | 4.26 | (1.1 | ) | (0.13 | ) | ||||||||||||||||
All other interest-earning assets | 17,698.7 | 55.5 | 1.26 | 55.5 | 1.26 | — | — | ||||||||||||||||||
Total interest-earning assets | $ | 59,919.0 | $ | 148.0 | 0.99 | $ | 215.7 | 1.44 | $ | (67.7 | ) | (0.45 | ) | ||||||||||||
Liabilities: | |||||||||||||||||||||||||
Consolidated obligation bonds | $ | 37,590.6 | $ | 100.5 | 1.07 | $ | 163.8 | 1.75 | $ | (63.3 | ) | (0.68 | ) | ||||||||||||
All other interest-bearing liabilities | 18,496.8 | 5.4 | 0.12 | 5.4 | 0.12 | — | — | ||||||||||||||||||
Total interest-bearing liabilities | $ | 56,087.4 | $ | 105.9 | 0.76 | $ | 169.2 | 1.21 | $ | (63.3 | ) | (0.45 | ) | ||||||||||||
Net interest income/net interest spread | $ | 42.1 | 0.23 | $ | 46.5 | 0.23 | $ | (4.4 | ) | — |
Three Months Ended June 30, 2012 (dollars in millions) | Average Balance | Interest Inc./ Exp. with Derivatives | Avg. Yield/ Rate (%) | Interest Inc./ Exp. without Derivatives | Avg. Yield/ Rate (%) | Impact of Derivatives(1) | Incr./ (Decr.) (%) | |||||||||||||||||
Assets: | ||||||||||||||||||||||||
Advances | $ | 32,936.5 | $ | 72.8 | 0.89 | $ | 178.0 | 2.17 | $ | (105.2 | ) | (1.28 | ) | |||||||||||
Mortgage loans held for portfolio | 3,687.0 | 42.5 | 4.64 | 43.5 | 4.75 | (1.0 | ) | (0.11 | ) | |||||||||||||||
All other interest-earning assets | 19,493.9 | 69.8 | 1.44 | 69.8 | 1.44 | — | — | |||||||||||||||||
Total interest-earning assets | $ | 56,117.4 | $ | 185.1 | 1.33 | $ | 291.3 | 2.09 | $ | (106.2 | ) | (0.76 | ) | |||||||||||
Liabilities: | ||||||||||||||||||||||||
Consolidated obligation bonds | $ | 35,433.6 | $ | 130.8 | 1.49 | $ | 186.9 | 2.12 | $ | (56.1 | ) | (0.63 | ) | |||||||||||
All other interest-bearing liabilities | 16,503.3 | 4.4 | 0.11 | 4.4 | 0.11 | — | — | |||||||||||||||||
Total interest-bearing liabilities | $ | 51,936.9 | $ | 135.2 | 1.05 | $ | 191.3 | 1.48 | $ | (56.1 | ) | (0.43 | ) | |||||||||||
Net interest income/net interest spread | $ | 49.9 | 0.28 | $ | 100.0 | 0.61 | $ | (50.1 | ) | (0.33 | ) |
Six Months Ended June 30, 2013 (dollars in millions) | Average Balance | Interest Inc./ Exp. with Derivatives | Avg. Yield/ Rate (%) | Interest Inc./ Exp. without Derivatives | Avg. Yield/ Rate (%) | Impact of Derivatives(1) | Incr./ (Decr.) (%) | ||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Advances | $ | 37,578.4 | $ | 114.4 | 0.61 | $ | 245.4 | 1.32 | $ | (131.0 | ) | (0.71 | ) | ||||||||||||
Mortgage loans held for portfolio | 3,493.0 | 73.2 | 4.23 | 75.3 | 4.35 | (2.1 | ) | (0.12 | ) | ||||||||||||||||
All other interest-earning assets | 18,205.7 | 113.5 | 1.26 | 113.5 | 1.26 | — | — | ||||||||||||||||||
Total interest-earning assets | $ | 59,277.1 | $ | 301.1 | 1.03 | $ | 434.2 | 1.48 | $ | (133.1 | ) | (0.45 | ) | ||||||||||||
Liabilities: | |||||||||||||||||||||||||
Consolidated obligation bonds | $ | 36,738.7 | $ | 202.6 | 1.11 | $ | 324.2 | 1.78 | $ | (121.6 | ) | (0.67 | ) | ||||||||||||
All other interest-bearing liabilities | 18,750.8 | 11.0 | 0.12 | 11.0 | 0.12 | — | — | ||||||||||||||||||
Total interest-bearing liabilities | $ | 55,489.5 | $ | 213.6 | 0.78 | $ | 335.2 | 1.22 | $ | (121.6 | ) | (0.44 | ) | ||||||||||||
Net interest income/net interest spread | $ | 87.5 | 0.25 | $ | 99.0 | 0.26 | $ | (11.5 | ) | (0.01 | ) |
Six Months Ended June 30, 2012 (dollars in millions) | Average Balance | Interest Inc./ Exp. with Derivatives | Avg. Yield/ Rate (%) | Interest Inc./ Exp. without Derivatives | Avg. Yield/ Rate (%) | Impact of Derivatives(1) | Incr./ (Decr.) (%) | ||||||||||||||||||
Assets: | |||||||||||||||||||||||||
Advances | $ | 31,761.2 | $ | 143.0 | 0.91 | $ | 358.9 | 2.27 | $ | (215.9 | ) | (1.36 | ) | ||||||||||||
Mortgage loans held for portfolio | 3,749.1 | 87.5 | 4.69 | 89.3 | 4.79 | (1.8 | ) | (0.10 | ) | ||||||||||||||||
All other interest-earning assets | 19,120.3 | 140.1 | 1.47 | 140.1 | 1.47 | — | — | ||||||||||||||||||
Total interest-earning assets | $ | 54,630.6 | $ | 370.6 | 1.36 | $ | 588.3 | 2.16 | $ | (217.7 | ) | (0.80 | ) | ||||||||||||
Liabilities: | |||||||||||||||||||||||||
Consolidated obligation bonds | $ | 35,146.0 | $ | 272.1 | 1.56 | $ | 374.3 | 2.14 | $ | (102.2 | ) | (0.58 | ) | ||||||||||||
All other interest-bearing liabilities | 15,204.7 | 6.4 | 0.08 | 6.4 | 0.08 | — | — | ||||||||||||||||||
Total interest-bearing liabilities | $ | 50,350.7 | $ | 278.5 | 1.11 | $ | 380.7 | 1.52 | $ | (102.2 | ) | (0.41 | ) | ||||||||||||
Net interest income/net interest spread | $ | 92.1 | 0.25 | $ | 207.6 | 0.64 | $ | (115.5 | ) | (0.39 | ) |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2013 | 2012 | 2013 | 2012 | |||||||||
Total OTTI losses | $ | — | $ | (1.1 | ) | $ | — | $ | (2.2 | ) | |||
OTTI losses reclassified (from) AOCI | — | (2.5 | ) | (0.4 | ) | (8.6 | ) | ||||||
Net OTTI losses, credit portion | — | (3.6 | ) | (0.4 | ) | (10.8 | ) | ||||||
Net gains (losses) on trading securities | 0.1 | (0.3 | ) | 0.3 | 0.1 | ||||||||
Net gains (losses) on derivatives and hedging activities | 7.1 | (4.9 | ) | 8.7 | (0.9 | ) | |||||||
Other, net | 3.8 | 2.1 | 6.1 | 4.5 | |||||||||
Total other noninterest income (loss) | $ | 11.0 | $ | (6.7 | ) | $ | 14.7 | $ | (7.1 | ) |
Three months ended June 30, 2013 | ||||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | |||||||||||||||
Net interest income: | ||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (2.5 | ) | $ | — | $ | (1.1 | ) | $ | 8.2 | $ | 4.6 | ||||||||
Net interest settlements included in net interest income (2) | (64.1 | ) | — | — | 55.1 | (9.0 | ) | |||||||||||||
Total net interest income | $ | (66.6 | ) | $ | — | $ | (1.1 | ) | $ | 63.3 | $ | (4.4 | ) | |||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 2.8 | $ | 0.1 | $ | — | $ | (0.9 | ) | $ | 2.0 | |||||||||
Gains (losses) on derivatives not receiving hedge accounting | 4.4 | 16.0 | 8.4 | (23.7 | ) | 5.1 | ||||||||||||||
Total net gains (losses) on derivatives and hedging activities(3) | $ | 7.2 | $ | 16.1 | $ | 8.4 | $ | (24.6 | ) | $ | 7.1 | |||||||||
Total net effect of derivatives and hedging activities | $ | (59.4 | ) | $ | 16.1 | $ | 7.3 | $ | 38.7 | $ | 2.7 |
Three months ended June 30, 2012 | |||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||||||
Net interest income: | |||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (8.6 | ) | $ | — | $ | (1.0 | ) | $ | 9.4 | $ | (0.2 | ) | ||||||
Net interest settlements included in net interest income (2) | (96.6 | ) | — | — | 46.7 | (49.9 | ) | ||||||||||||
Total net interest income | $ | (105.2 | ) | $ | — | $ | (1.0 | ) | $ | 56.1 | $ | (50.1 | ) | ||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||
Gains (losses) on fair value hedges | $ | (1.2 | ) | $ | — | $ | — | $ | 0.4 | $ | (0.8 | ) | |||||||
Gains (losses) on derivatives not receiving hedge accounting | 0.1 | (3.6 | ) | (0.7 | ) | 0.1 | (4.1 | ) | |||||||||||
Total net gains (losses) on derivatives and hedging activities | $ | (1.1 | ) | $ | (3.6 | ) | $ | (0.7 | ) | $ | 0.5 | $ | (4.9 | ) | |||||
Total net effect of derivatives and hedging activities | $ | (106.3 | ) | $ | (3.6 | ) | $ | (1.7 | ) | $ | 56.6 | $ | (55.0 | ) |
Six months ended June 30, 2013 | |||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||||||
Net interest income: | |||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (5.0 | ) | $ | — | $ | (2.1 | ) | $ | 16.5 | $ | 9.4 | |||||||
Net interest settlements included in net interest income (2) | (126.0 | ) | — | — | 105.1 | (20.9 | ) | ||||||||||||
Total net interest income | $ | (131.0 | ) | $ | — | $ | (2.1 | ) | $ | 121.6 | $ | (11.5 | ) | ||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||
Gains on fair value hedges | $ | 0.3 | $ | 0.1 | $ | — | $ | 0.5 | $ | 0.9 | |||||||||
Gains (losses) on derivatives not receiving hedge accounting | 4.4 | 16.3 | 12.5 | (25.4 | ) | 7.8 | |||||||||||||
Total net gains (losses) on derivatives and hedging activities(3) | $ | 4.7 | $ | 16.4 | $ | 12.5 | $ | (24.9 | ) | $ | 8.7 | ||||||||
Total net effect of derivatives and hedging activities | $ | (126.3 | ) | $ | 16.4 | $ | 10.4 | $ | 96.7 | $ | (2.8 | ) |
Six months ended June 30, 2012 | ||||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Total | |||||||||||||||
Net interest income: | ||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (19.7 | ) | $ | — | $ | (1.8 | ) | $ | 15.9 | $ | (5.6 | ) | |||||||
Net interest settlements included in net interest income (2) | (196.2 | ) | — | — | 86.3 | (109.9 | ) | |||||||||||||
Total net interest income | $ | (215.9 | ) | $ | — | $ | (1.8 | ) | $ | 102.2 | $ | (115.5 | ) | |||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||
Gains on fair value hedges | $ | 0.7 | $ | — | $ | — | $ | 1.2 | $ | 1.9 | ||||||||||
Gains (losses) on derivatives not receiving hedge accounting | (0.6 | ) | (3.7 | ) | 0.4 | 1.1 | (2.8 | ) | ||||||||||||
Total net gains (losses) on derivatives and hedging activities | $ | 0.1 | $ | (3.7 | ) | $ | 0.4 | $ | 2.3 | $ | (0.9 | ) | ||||||||
Total net effect of derivatives and hedging activities | $ | (215.8 | ) | $ | (3.7 | ) | $ | (1.4 | ) | $ | 104.5 | $ | (116.4 | ) |
June 30, | December 31, | |||||
in millions | 2013 | 2012 | ||||
Adjustable/variable-rate indexed: | ||||||
Repo/Mid-Term Repo | $ | 2,225.0 | $ | 1,005.0 | ||
Core (Term) | 9,275.5 | 7,020.5 | ||||
Returnables | — | 400.0 | ||||
Total adjustable/variable-rate indexed | $ | 11,500.5 | $ | 8,425.5 | ||
Fixed rate: | ||||||
Repo/Mid-Term Repo | $ | 10,121.2 | $ | 15,712.3 | ||
Core (Term) | 6,767.7 | 6,665.8 | ||||
Returnables | 9,000.0 | 6,000.0 | ||||
Total fixed rate | $ | 25,888.9 | $ | 28,378.1 | ||
Convertible | $ | 2,287.5 | $ | 2,575.5 | ||
Amortizing/mortgage-matched: | ||||||
Core (Term) | $ | 263.3 | $ | 291.7 | ||
Total par balance | $ | 39,940.2 | $ | 39,670.8 |
June 30, | December 31, | |||||
Member Asset Size | 2013 | 2012 | ||||
Less than $100 million | 20 | 26 | ||||
Between $100 million and $500 million | 105 | 111 | ||||
Between $500 million and $1 billion | 46 | 47 | ||||
Between $1 billion and $5 billion | 26 | 28 | ||||
Greater than $5 billion | 18 | 14 | ||||
Total borrowing members during the year | 215 | 226 | ||||
Total membership | 294 | 294 | ||||
Percentage of members borrowing during the period | 73.1 | % | 76.9 | % | ||
Total borrowing members with outstanding loan balances at period-end | 176 | 178 | ||||
Percentage of members borrowing at period-end | 59.9 | % | 60.5 | % |
June 30, | December 31, | |||||||
(in millions) | 2013 | 2012 | ||||||
Advances(1) | $ | 40,569.6 | $ | 40,497.8 | ||||
Mortgage loans held for portfolio, net(2) | 3,387.5 | 3,532.5 | ||||||
Nonaccrual mortgage loans(3) | 62.7 | 72.5 | ||||||
Mortgage loans 90 days or more delinquent and still accruing interest(4) | 7.3 | 7.2 | ||||||
BOB loans, net | 11.7 | 12.8 | ||||||
Nonaccrual BOB loans | 0.4 | 0.6 |
MPF CE structure June 30, 2013 | ACL June 30, 2013 | ||||||||||||||
(in millions) | FLA | Available CE | Estimate of Credit loss | Reduction to the ACL due to CE | ACL | ||||||||||
MPF Original | $ | 2.5 | $ | 123.8 | $ | 2.9 | $ | (2.1 | ) | $ | 0.8 | ||||
MPF Plus | 24.8 | 44.7 | 25.1 | (13.7 | ) | 11.4 |
MPF CE structure December 31, 2012 | ACL December 31, 2012 | ||||||||||||||
(in millions) | FLA | Available CE | Estimate of Credit loss | Reduction to the ACL due to CE | ACL | ||||||||||
MPF Original | $ | 2.6 | $ | 109.4 | $ | 4.1 | $ | (2.9 | ) | $ | 1.2 | ||||
MPF Plus | 27.4 | 46.2 | 27.8 | (14.8 | ) | 13.0 |
Carrying Value | ||||||||
(in millions) | June 30, 2013 | December 31, 2012 | ||||||
Trading securities: | ||||||||
U.S. Treasury bills | $ | — | $ | 350.0 | ||||
Mutual funds | 3.9 | 3.6 | ||||||
Total trading securities | $ | 3.9 | $ | 353.6 | ||||
AFS securities: | ||||||||
Mutual funds | $ | 2.0 | $ | 2.0 | ||||
Other U.S. obligations | 19.6 | 21.0 | ||||||
GSE securities | 1,893.3 | 1,169.3 | ||||||
State or local agency obligations | 13.5 | 11.1 | ||||||
MBS: | ||||||||
Other U.S. obligations residential MBS | 421.5 | 310.7 | ||||||
GSE residential MBS | 3,088.5 | 2,992.8 | ||||||
Private label residential MBS | 1,276.9 | 1,410.5 | ||||||
Private label home equity line of credit (HELOCs) | 15.3 | 14.8 | ||||||
Total AFS securities | $ | 6,730.6 | $ | 5,932.2 | ||||
HTM securities: | ||||||||
Certificates of deposit | $ | 400.0 | $ | 400.0 | ||||
GSE securities | 18.8 | 24.8 | ||||||
State or local agency obligations | 249.0 | 254.8 | ||||||
MBS: | ||||||||
Other U.S. obligations residential MBS | 1,648.0 | 1,922.6 | ||||||
GSE residential MBS | 1,595.5 | 1,842.2 | ||||||
Private label residential MBS | 1,034.4 | 1,208.5 | ||||||
HELOCs | 10.9 | 12.1 | ||||||
Total HTM securities | $ | 4,956.6 | $ | 5,665.0 | ||||
Total investment securities | $ | 11,691.1 | $ | 11,950.8 |
(dollars in millions) | Due in 1 year or less | Due after 1 year through 5 years | Due after 5 years through 10 years | Due after 10 years | Carrying Value | |||||||||||||||
Trading securities: | ||||||||||||||||||||
Mutual funds | $ | 3.9 | $ | — | $ | — | $ | — | $ | 3.9 | ||||||||||
Total trading securities | $ | 3.9 | $ | — | $ | — | $ | — | $ | 3.9 | ||||||||||
Yield on trading securities | n/a | n/a | n/a | n/a | n/a | |||||||||||||||
AFS securities: | ||||||||||||||||||||
Mutual funds | $ | 2.0 | $ | — | $ | — | $ | — | $ | 2.0 | ||||||||||
Other U.S. obligations | — | — | 19.6 | — | 19.6 | |||||||||||||||
GSE securities | 400.2 | 1,371.0 | 112.8 | 9.3 | 1,893.3 | |||||||||||||||
State or local agency obligations | — | — | 0.4 | 13.1 | 13.5 | |||||||||||||||
MBS: | ||||||||||||||||||||
Other U.S. obligations residential MBS | — | — | — | 421.5 | 421.5 | |||||||||||||||
GSE residential MBS | — | 129.9 | 710.4 | 2,248.2 | 3,088.5 | |||||||||||||||
Private label residential MBS | — | — | — | 1,276.9 | 1,276.9 | |||||||||||||||
HELOCs | — | — | — | 15.3 | 15.3 | |||||||||||||||
Total AFS securities | $ | 402.2 | $ | 1,500.9 | $ | 843.2 | $ | 3,984.3 | $ | 6,730.6 | ||||||||||
Yield on AFS Securities | 0.16 | 0.60 | 2.26 | 2.52 | 1.94 | |||||||||||||||
HTM securities: | ||||||||||||||||||||
Certificates of deposit | $ | 400.0 | $ | — | $ | — | $ | — | $ | 400.0 | ||||||||||
GSE securities | — | 18.8 | — | — | 18.8 | |||||||||||||||
State or local agency obligations | 0.1 | — | 28.7 | 220.2 | 249.0 | |||||||||||||||
MBS: | ||||||||||||||||||||
Other U.S. obligations residential MBS | — | — | 359.6 | 1,288.4 | 1,648.0 | |||||||||||||||
GSE residential MBS | — | 120.2 | 787.8 | 687.5 | 1,595.5 | |||||||||||||||
Private label residential MBS | — | 43.5 | 3.2 | 987.7 | 1,034.4 | |||||||||||||||
HELOCs | — | — | — | 10.9 | 10.9 | |||||||||||||||
Total HTM securities | $ | 400.1 | $ | 182.5 | $ | 1,179.3 | $ | 3,194.7 | $ | 4,956.6 | ||||||||||
Yield on HTM securities | 0.16 | 3.86 | 2.48 | 1.88 | 1.95 | |||||||||||||||
Total investment securities | $ | 806.2 | $ | 1,683.4 | $ | 2,022.5 | $ | 7,179.0 | $ | 11,691.1 | ||||||||||
Yield on investment securities | 0.16 | 0.95 | 2.39 | 2.24 | 1.94 | |||||||||||||||
Securities purchased under agreements to resell | 200.0 | — | — | — | 200.0 | |||||||||||||||
Interest-bearing deposits | 5.1 | — | — | — | 5.1 | |||||||||||||||
Federal funds sold | 3,790.0 | — | — | — | 3,790.0 | |||||||||||||||
Total investments | $ | 4,801.3 | $ | 1,683.4 | $ | 2,022.5 | $ | 7,179.0 | $ | 15,686.2 |
(in millions) | Total Book Value | Total Fair Value | ||||||
Freddie Mac | $ | 3,376.8 | $ | 3,415.1 | ||||
Fannie Mae | 2,396.7 | 2,415.1 | ||||||
Ginnie Mae | 1,709.9 | 1,719.8 | ||||||
Federal Farm Credit Banks | 822.6 | 822.6 | ||||||
J.P. Morgan Mortgage Trust | 411.2 | 411.4 | ||||||
National Credit Union Administration | 359.6 | 360.9 | ||||||
Total | $ | 9,076.8 | $ | 9,144.9 |
June 30, | December 31, | |||||||
(in millions) | 2013 | 2012 | ||||||
Permanent capital: | ||||||||
Capital stock (1) | $ | 3,170.3 | $ | 3,247.6 | ||||
Retained earnings | 615.8 | 559.3 | ||||||
Total permanent capital | $ | 3,786.1 | $ | 3,806.9 | ||||
RBC requirement: | ||||||||
Credit risk capital | $ | 637.1 | $ | 678.6 | ||||
Market risk capital | 162.2 | 113.6 | ||||||
Operations risk capital | 239.8 | 237.7 | ||||||
Total RBC requirement | $ | 1,039.1 | $ | 1,029.9 | ||||
Excess permanent capital over RBC requirement | $ | 2,747.0 | $ | 2,777.0 | ||||
Note: | ||||||||
(1) Capital stock includes mandatorily redeemable capital stock. |
June 30, | December 31, | |||||||
(dollars in millions) | 2013 | 2012 | ||||||
Regulatory Capital Ratio | ||||||||
Minimum capital (4.0% of total assets) | $ | 2,430.1 | $ | 2,584.7 | ||||
Regulatory capital | 3,786.1 | 3,806.9 | ||||||
Total assets | 60,753.3 | 64,616.3 | ||||||
Regulatory capital ratio (regulatory capital as a percentage of total assets) | 6.2 | % | 5.9 | % | ||||
Leverage Ratio | ||||||||
Minimum leverage capital (5.0% of total assets) | $ | 3,037.7 | $ | 3,230.8 | ||||
Leverage capital (permanent capital multiplied by a 1.5 weighting factor) | 5,679.1 | 5,710.2 | ||||||
Leverage ratio (leverage capital as a percentage of total assets) | 9.3 | % | 8.8 | % |
June 30, | December 31, | |||||||
(dollars in millions) | 2013 | 2012 | ||||||
Commercial banks | $ | 1,860.9 | $ | 1,702.5 | ||||
Thrifts | 911.2 | 991.9 | ||||||
Credit unions | 47.2 | 44.3 | ||||||
Insurance companies | 94.0 | 77.3 | ||||||
Total GAAP capital stock | 2,913.3 | 2,816.0 | ||||||
Mandatorily redeemable capital stock | 257.0 | 431.6 | ||||||
Total capital stock | $ | 3,170.3 | $ | 3,247.6 |
June 30, | December 31, | |||||
2013 | 2012 | |||||
Commercial banks | 179 | 181 | ||||
Thrifts | 78 | 78 | ||||
Credit unions | 30 | 28 | ||||
Insurance companies | 7 | 7 | ||||
Total | 294 | 294 |
• | A first stage identifying those nonbank financial companies that have $50 billion or more of total consolidated assets and exceed any one of five threshold indicators of interconnectedness or susceptibility to material financial distress, including whether a company has $20 billion or more in total debt outstanding; |
• | A second stage involving a robust analysis of the potential threat that the subject nonbank financial company could pose to U.S. financial stability based on additional quantitative and qualitative factors that are both industry and company specific; and |
• | A third stage analyzing the subject nonbank financial company using information collected directly from it. The final rule provides that, in making its determinations, the Oversight Council will consider as one factor whether the nonbank financial company is subject to oversight by a primary financial regulatory agency (for the FHLBanks, the Finance Agency). A nonbank financial company that the Oversight Council proposes to designate for additional supervision (for example, periodic stress testing) and prudential standards (such as heightened liquidity or capital requirements) under this rule has the opportunity to contest the designation. If an FHLBank is designated by the Oversight Council for supervision by the Federal Reserve and subject to additional Federal Reserve prudential |
• | as determined in accordance with applicable accounting standards, (i) the consolidated annual gross financial revenues of the company in either of its two most recently completed fiscal years represent 85% or more of the company's consolidated annual gross revenues in that fiscal year, or (ii) the company's consolidated total financial assets as of the end of either of its two most recently completed fiscal years represent 85% or more of the company's consolidated total assets as of the end that fiscal year; or |
• | based on all the facts and circumstances, it is determined by the Oversight Council, with respect to the definition of a “nonbank financial company,” or the Federal Reserve Board, with respect to the definition of a “significant nonbank financial company,” that (i) the consolidated annual gross financial revenues of the company represent 85 % or more of the company's consolidated annual gross revenues, or (ii) the consolidated total financial assets of the company represent 85% or more of the company's consolidated total assets. |
• | a new common equity tier 1 minimum capital requirement, a higher minimum tier 1 capital requirement and an additional capital conservation buffer; |
• | revised methodologies for calculation of risk-weighted assets to enhance risk sensitivity; and |
• | a supplementary leverage ratio for financial institutions subject to the “advanced approaches” risk-based capital rules. |
(in years) | Base Case | Up 100 basis points | Up 200 basis points | |||
Alternate duration of equity: | ||||||
June 30, 2013 | 1.9 | 1.7 | 2.1 | |||
December 31, 2012 | 1.1 | 0.6 | 1.3 | |||
Actual duration of equity: | ||||||
June 30, 2013 | 3.0 | 2.8 | 3.2 | |||
December 31, 2012 | 2.5 | 1.8 | 2.6 |
EDS (1) Yield Curve Shifts (expressed in basis points) | |||||||||||||||||
Down 100 bps Longer Term Rate Shock | 100 bps Steeper | Forward Rates | 100 bps Flatter | Up 200 bps Parallel Shock | |||||||||||||
EDS | Volatility | EDS | Volatility | EDS | EDS | Volatility | EDS | Volatility | |||||||||
Year 1 Return Volatility | |||||||||||||||||
June 30, 2013 | 363 | (54) | 437 | 20 | 417 | 432 | 15 | 410 | (7) | ||||||||
December 31, 2012 (2) | 346 | 13 | 357 | 24 | 333 | 443 | 110 | 547 | 214 | ||||||||
Year 2 Return Volatility | |||||||||||||||||
June 30, 2013 | 442 | (39) | 515 | 34 | 481 | 465 | (16) | 437 | (44) | ||||||||
December 31, 2012 | 472 | 13 | 479 | 20 | 459 | 483 | 24 | 539 | 80 |
June 30, 2013 | |||||
(dollars in millions) | TCE | % of Total | |||
Sovereign Bank, N.A, DE (1) | $ | 10,757.9 | 21.9 | % | |
Chase Bank USA, N.A., DE | 9,976.3 | 20.3 | % | ||
PNC Bank, National Association, DE (2) | 7,080.6 | 14.4 | % | ||
TD Bank, National Association, DE | 6,976.1 | 14.2 | % | ||
Susquehanna Bank, PA | 1,581.1 | 3.2 | % | ||
Ally Bank, UT (3) | 1,500.2 | 3.1 | % | ||
Fulton Bank, N.A., PA | 978.6 | 2.0 | % | ||
United Bank, WV | 917.0 | 1.9 | % | ||
Northwest Savings Bank, PA | 731.8 | 1.5 | % | ||
Wilmington Savings Fund Society FSB, DE | 663.9 | 1.4 | % | ||
$ | 41,163.5 | 83.9 | % | ||
Other borrowers | 7,902.1 | 16.1 | % | ||
Total TCE outstanding | $ | 49,065.6 | 100.0 | % |
June 30, 2013 | |||||
(dollars in millions) | Advance Balance | % of Total | |||
Sovereign Bank, N.A., DE (1) | $ | 10,515.0 | 26.3 | % | |
Chase Bank USA, N.A., DE | 9,975.0 | 25.0 | % | ||
PNC Bank, National Association, DE (2) | 7,000.1 | 17.5 | % | ||
Ally Bank, UT (3) | 1,500.0 | 3.8 | % | ||
Susquehanna Bank, PA | 1,156.2 | 2.9 | % | ||
Fulton Bank, N.A., PA | 898.3 | 2.2 | % | ||
Northwest Savings Bank, PA | 725.5 | 1.8 | % | ||
Wilmington Savings Fund Society FSB, DE | 663.8 | 1.7 | % | ||
Customers Bank, PA | 505.0 | 1.3 | % | ||
Genworth Life Insurance Company, DE | 492.9 | 1.2 | % | ||
$ | 33,431.8 | 83.7 | % | ||
Other borrowers | 6,508.4 | 16.3 | % | ||
Total advances | $ | 39,940.2 | 100.0 | % |
(dollars in millions) | June 30, 2013 | December 31, 2012 | ||||
Letters of credit: | ||||||
Public unit deposit | $ | 8,265.4 | $ | 7,489.8 | ||
Tax exempt bonds | 82.3 | 84.0 | ||||
Other | 51.1 | 62.4 | ||||
Total | $ | 8,398.8 | $ | 7,636.2 | ||
Expiration terms: | ||||||
One year or less | $ | 7,535.2 | $ | 6,900.6 | ||
After one year through five years | 863.6 | 735.6 | ||||
Total | $ | 8,398.8 | $ | 7,636.2 |
(dollars in millions) All members | June 30, 2013 | December 31, 2012 | ||||||||
Amount | Percentage | Amount | Percentage | |||||||
One-to-four single family residential mortgage loans | $ | 66,443.7 | 45.5 | % | $ | 58,905.5 | 44.5 | % | ||
High quality investment securities(1) | 2,840.6 | 1.9 | 3,032.3 | 2.3 | ||||||
ORERC(2)/CFI(3) eligible collateral | 67,450.9 | 46.1 | 61,579.6 | 46.5 | ||||||
Multi-family residential mortgage loans | 9,468.7 | 6.5 | 8,901.4 | 6.7 | ||||||
Total eligible collateral value | $ | 146,203.9 | 100.0 | % | $ | 132,418.8 | 100.0 | % | ||
Total TCE | $ | 49,065.6 | $ | 48,115.9 | ||||||
Collateralization ratio (eligible collateral value to TCE outstanding) | 298.0 | % | 275.2 | % |
June 30, 2013 | ||||||||||||||||||||
(dollars in millions) | Blanket Lien | Listing | Delivery | Total | ||||||||||||||||
Amount | % | Amount | % | Amount | % | Amount | % | |||||||||||||
One-to-four single family residential mortgage loans | $ | 49,878.3 | 40.6 | % | $ | 10,951.1 | 90.3 | % | $ | 987.3 | 34.1 | % | $ | 61,816.7 | 44.9 | % | ||||
High quality investment securities(1) | 1,120.3 | 0.9 | 1,181.5 | 9.7 | 171.9 | 5.9 | 2,473.7 | 1.8 | ||||||||||||
ORERC/CFI eligible collateral | 62,613.4 | 51.0 | — | — | 1,618.0 | 55.8 | 64,231.4 | 46.6 | ||||||||||||
Multi-family residential mortgage loans | 9,147.2 | 7.5 | — | — | 120.9 | 4.2 | 9,268.1 | 6.7 | ||||||||||||
Total eligible collateral value | $ | 122,759.2 | 100.0 | % | $ | 12,132.6 | 100.0 | % | $ | 2,898.1 | 100.0 | % | $ | 137,789.9 | 100.0 | % | ||||
Total TCE | $ | 37,834.7 | 77.1 | % | $ | 10,849.8 | 22.1 | % | $ | 381.1 | 0.8 | % | $ | 49,065.6 | 100.0 | % | ||||
Number of members | 183 | 88 | % | 7 | 3 | % | 18 | 9 | % | 208 | 100.0 | % |
December 31, 2012 | ||||||||||||||||||||
(dollars in millions) | Blanket Lien | Listing | Delivery | Total | ||||||||||||||||
Amount | % | Amount | % | Amount | % | Amount | % | |||||||||||||
One-to-four single family residential mortgage loans | $ | 46,112.5 | 40.9 | % | $ | 7,317.0 | 92.4 | % | $ | 1,315.4 | 35.1 | % | $ | 54,744.9 | 44.1 | % | ||||
High quality investment securities(1) | 1,442.6 | 1.3 | 599.7 | 7.6 | 205.4 | 5.5 | 2,247.7 | 1.8 | ||||||||||||
ORERC/CFI eligible collateral | 56,527.7 | 50.2 | — | — | 2,060.8 | 55.0 | 58,588.5 | 47.1 | ||||||||||||
Multi-family residential mortgage loans | 8,543.3 | 7.6 | — | — | 163.0 | 4.4 | 8,706.3 | 7.0 | ||||||||||||
Total eligible collateral value | $ | 112,626.1 | 100.0 | % | $ | 7,916.7 | 100.0 | % | $ | 3,744.6 | 100.0 | % | $ | 124,287.4 | 100.0 | % | ||||
Total TCE | $ | 40,620.0 | 84.4 | % | $ | 7,045.2 | 14.6 | % | $ | 450.7 | 1.0 | % | $ | 48,115.9 | 100.0 | % | ||||
Number of members | 183 | 87 | % | 5 | 2 | % | 24 | 11 | % | 212 | 100.0 | % |
June 30, 2013 (1) (2) | ||||||||||||||||||
Long-Term Rating | ||||||||||||||||||
(in millions) | AAA | AA | A | BBB | Below Investment Grade | Total | ||||||||||||
Money market investments: | ||||||||||||||||||
Securities purchased under agreements to resell | $ | — | $ | — | $ | 200.0 | $ | — | $ | — | $ | 200.0 | ||||||
Federal funds sold | — | 1,500.0 | 2,000.0 | 290.0 | — | 3,790.0 | ||||||||||||
Total money market investments | — | 1,500.0 | 2,200.0 | 290.0 | — | 3,990.0 | ||||||||||||
Investment securities: | ||||||||||||||||||
Certificates of deposit | — | 400.0 | — | — | — | 400.0 | ||||||||||||
Other U.S. obligations | — | 19.6 | — | — | — | 19.6 | ||||||||||||
GSE securities | — | 1,912.1 | — | — | — | 1,912.1 | ||||||||||||
State or local agency obligations | 13.6 | 248.9 | — | — | — | 262.5 | ||||||||||||
Total non-MBS | 13.6 | 2,580.6 | — | — | — | 2,594.2 | ||||||||||||
Other U.S. obligations residential MBS | — | 2,069.5 | — | — | — | 2,069.5 | ||||||||||||
GSE residential MBS | — | 4,684.0 | — | — | — | 4,684.0 | ||||||||||||
Private label residential MBS | — | 25.2 | 110.3 | 381.6 | 1,794.2 | 2,311.3 | ||||||||||||
HELOCs | — | — | 10.9 | — | 15.3 | 26.2 | ||||||||||||
Total MBS | — | 6,778.7 | 121.2 | 381.6 | 1,809.5 | 9,091.0 | ||||||||||||
Total investments | $ | 13.6 | $ | 10,859.3 | $ | 2,321.2 | $ | 671.6 | $ | 1,809.5 | $ | 15,675.2 |
December 31, 2012 (1) (2) | ||||||||||||||||||
Long-Term Rating | ||||||||||||||||||
(in millions) | AAA | AA | A | BBB | Below Investment Grade | Total | ||||||||||||
Money market investments: | ||||||||||||||||||
Securities purchased under agreements to resell | $ | — | $ | 1,500.0 | $ | 1,000.0 | $ | — | $ | — | $ | 2,500.0 | ||||||
Federal funds sold | 2,250.0 | 1,950.0 | 395.0 | 4,595.0 | ||||||||||||||
Total money market investments | — | 3,750.0 | 2,950.0 | 395.0 | — | 7,095.0 | ||||||||||||
Investment securities: | ||||||||||||||||||
Certificates of deposit | — | 400.0 | — | — | — | 400.0 | ||||||||||||
U.S.Treasury bills | — | 350.0 | — | — | — | 350.0 | ||||||||||||
Other U.S. Obligations | — | 21.0 | — | — | — | 21.0 | ||||||||||||
GSE securities | — | 1,194.1 | — | — | — | 1,194.1 | ||||||||||||
State or local agency obligations | 12.2 | 253.7 | — | — | — | 265.9 | ||||||||||||
Total non-MBS | 12.2 | 2,218.8 | — | — | — | 2,231.0 | ||||||||||||
Other U.S. obligations residential MBS | — | 2,233.3 | — | — | — | 2,233.3 | ||||||||||||
GSE residential MBS | — | 4,835.0 | — | — | — | 4,835.0 | ||||||||||||
Private label residential MBS | 23.7 | 43.7 | 113.0 | 487.3 | 1,951.3 | 2,619.0 | ||||||||||||
HELOCs | — | 12.1 | — | — | 14.8 | 26.9 | ||||||||||||
Total MBS | 23.7 | 7,124.1 | 113.0 | 487.3 | 1,966.1 | 9,714.2 | ||||||||||||
Total investments | $ | 35.9 | $ | 13,092.9 | $ | 3,063.0 | $ | 882.3 | $ | 1,966.1 | $ | 19,040.2 |
• | Interest-bearing deposits. Primarily consists of unsecured deposits that earn interest; |
• | Federal funds sold. Unsecured loans of reserve balances at the Federal Reserve Banks between financial institutions that are made on an overnight and term basis; |
• | Commercial paper. Unsecured debt issued by corporations, typically for the financing of accounts receivable, inventories, and meeting short-term liabilities; and |
• | Certificates of deposit. Unsecured negotiable promissory notes issued by banks and payable to the bearer on demand. |
(in millions) | ||||||
Carrying Value (1) | June 30, 2013 | December 31, 2012 | ||||
Certificates of deposit | $ | 400.0 | $ | 400.0 | ||
Federal funds sold | 3,790.0 | 4,595.0 | ||||
Total | $ | 4,190.0 | $ | 4,995.0 |
(in millions) | ||||||||||||
June 30, 2013 (1) | ||||||||||||
Carrying Value | ||||||||||||
Domicile of Counterparty | Investment Grade (2) (3) | |||||||||||
AA | A | BBB | Total | |||||||||
Domestic | $ | — | $ | — | $ | 290.0 | $ | 290.0 | ||||
U.S. subsidiaries of foreign commercial banks | — | 500.0 | — | 500.0 | ||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | — | 500.0 | 290.0 | 790.0 | ||||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||
Australia | 750.0 | — | — | 750.0 | ||||||||
Canada | 400.0 | 500.0 | — | 900.0 | ||||||||
Netherlands | 750.0 | — | — | 750.0 | ||||||||
Norway | — | 500.0 | — | 500.0 | ||||||||
Sweden | — | 500.0 | — | 500.0 | ||||||||
Total U.S. branches and agency offices of foreign commercial banks | 1,900.0 | 1,500.0 | — | 3,400.0 | ||||||||
Total unsecured investment credit exposure | $ | 1,900.0 | $ | 2,000.0 | $ | 290.0 | $ | 4,190.0 |
(in millions) | ||||||||||||
December 31, 2012 | ||||||||||||
Carrying Value | ||||||||||||
Domicile of Counterparty | Investment Grade (2) (3) | |||||||||||
AA | A | BBB | Total | |||||||||
Domestic | $ | — | $ | — | $ | 230.0 | $ | 230.0 | ||||
U.S. subsidiaries of foreign commercial banks | — | 500.0 | 165.0 | 665.0 | ||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | — | 500.0 | 395.0 | 895.0 | ||||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||
Australia | 750.0 | — | — | 750.0 | ||||||||
Canada | 400.0 | 1,000.0 | — | 1,400.0 | ||||||||
Germany | — | 450.0 | — | 450.0 | ||||||||
Sweden | 750.0 | — | — | 750.0 | ||||||||
Netherlands | 750.0 | — | — | 750.0 | ||||||||
Total U.S. branches and agency offices of foreign commercial banks | 2,650.0 | 1,450.0 | — | 4,100.0 | ||||||||
Total unsecured investment credit exposure | $ | 2,650.0 | $ | 1,950.0 | $ | 395.0 | $ | 4,995.0 |
(in millions) | ||||||||||||||||||||||
June 30, 2013 | ||||||||||||||||||||||
Carrying Value (1) | ||||||||||||||||||||||
Domicile of Counterparty | Overnight (2) | Due 2 days through 30 days | Due 31 days through 90 days | Due 91 days through 180 days | Due 181 days through 270 days | Due after 270 days | Total | |||||||||||||||
Domestic | $ | 290.0 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 290.0 | ||||||||
U.S. subsidiaries of foreign commercial banks | 500.0 | — | — | — | — | — | 500.0 | |||||||||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | 790.0 | — | — | — | — | — | 790.0 | |||||||||||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||||||||||
Australia | 750.0 | — | — | — | — | — | 750.0 | |||||||||||||||
Canada | 500.0 | 400.0 | — | — | — | — | 900.0 | |||||||||||||||
Netherlands | 750.0 | — | — | — | — | — | 750.0 | |||||||||||||||
Norway | 500.0 | — | — | — | — | — | 500.0 | |||||||||||||||
Sweden | 500.0 | — | — | — | — | — | 500.0 | |||||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 3,000.0 | 400.0 | — | — | — | — | 3,400.0 | |||||||||||||||
Total unsecured investment credit exposure | $ | 3,790.0 | $ | 400.0 | $ | — | $ | — | $ | — | $ | — | $ | 4,190.0 |
(in millions) | ||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||
Carrying Value (1) | ||||||||||||||||||||||
Domicile of Counterparty | Overnight (2) | Due 2 days through 30 days | Due 31 days through 90 days | Due 91 days through 180 days | Due 181 days through 270 days | Due after 270 days | Total | |||||||||||||||
Domestic | $ | 230.0 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 230.0 | ||||||||
U.S. subsidiaries of foreign commercial banks | 665.0 | — | — | — | — | — | 665.0 | |||||||||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | 895.0 | — | — | — | — | — | 895.0 | |||||||||||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||||||||||
Australia | 750.0 | — | — | — | — | — | 750.0 | |||||||||||||||
Canada | 1,000.0 | 200.0 | 200.0 | — | — | — | 1,400.0 | |||||||||||||||
Germany | 450.0 | — | — | — | — | — | 450.0 | |||||||||||||||
Sweden | 750.0 | — | — | — | — | — | 750.0 | |||||||||||||||
Netherlands | 750.0 | — | — | — | — | — | 750.0 | |||||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 3,700.0 | 200.0 | 200.0 | — | — | — | 4,100.0 | |||||||||||||||
Total unsecured investment credit exposure | $ | 4,595.0 | $ | 200.0 | $ | 200.0 | $ | — | $ | — | $ | — | $ | 4,995.0 |
June 30, 2013 | December 31, 2012 | |||||||||||||||||
(dollars in millions) | Fixed Rate | Variable Rate | Total | Fixed Rate | Variable Rate | Total | ||||||||||||
Private label residential MBS: | ||||||||||||||||||
Prime | $ | 230.5 | $ | 1,203.8 | $ | 1,434.3 | $ | 313.9 | $ | 1,357.6 | $ | 1,671.5 | ||||||
Alt-A | 505.8 | 619.4 | 1,125.2 | 559.9 | 705.7 | 1,265.6 | ||||||||||||
Subprime | — | 6.3 | 6.3 | — | 6.5 | 6.5 | ||||||||||||
Total private label MBS | $ | 736.3 | $ | 1,829.5 | $ | 2,565.8 | $ | 873.8 | $ | 2,069.8 | $ | 2,943.6 |
Private Label MBS by Vintage - Prime | |||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 and earlier | Total | ||||||||||
Par by lowest external long- term rating: | |||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
AA | — | — | — | 18.7 | 18.7 | ||||||||||
A | — | — | — | 67.4 | 67.4 | ||||||||||
BBB | — | — | 27.8 | 217.8 | 245.6 | ||||||||||
Below investment grade: | |||||||||||||||
BB | — | 20.5 | 47.0 | 142.9 | 210.4 | ||||||||||
B | — | — | 48.8 | 118.6 | 167.4 | ||||||||||
CCC | — | 9.2 | 5.5 | 35.3 | 50.0 | ||||||||||
CC | 13.8 | 111.4 | 32.8 | — | 158.0 | ||||||||||
C | 113.3 | 44.9 | — | — | 158.2 | ||||||||||
D | 198.3 | 111.2 | 49.1 | — | 358.6 | ||||||||||
Total | $ | 325.4 | $ | 297.2 | $ | 211.0 | $ | 600.7 | $ | 1,434.3 | |||||
Amortized cost | $ | 257.0 | $ | 263.0 | $ | 200.0 | $ | 596.7 | $ | 1,316.7 | |||||
Gross unrealized losses | — | (0.4 | ) | (5.0 | ) | (7.4 | ) | (12.8 | ) | ||||||
Fair value | 282.7 | 273.2 | 202.1 | 592.0 | 1,350.0 | ||||||||||
OTTI (1): | |||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
OTTI losses reclassified (from) AOCI | — | — | — | — | — | ||||||||||
Net OTTI losses, credit portion | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
Weighted average fair value/par | 86.9 | % | 91.9 | % | 95.8 | % | 98.6 | % | 94.1 | % | |||||
Original weighted average credit support | 7.0 | 8.1 | 4.3 | 5.3 | 6.1 | ||||||||||
Weighted-average credit support - current | 0.4 | 2.0 | 5.0 | 11.3 | 6.0 | ||||||||||
Weighted avg. collateral delinquency(2) | 14.8 | 13.5 | 11.7 | 8.6 | 11.5 |
Private Label MBS by Vintage - Alt-A (3) | |||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 and earlier | Total | ||||||||||
Par by lowest external long- term rating: | |||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
AA | — | — | — | 6.5 | 6.5 | ||||||||||
A | — | 20.9 | 5.8 | 28.3 | 55.0 | ||||||||||
BBB | — | — | — | 132.3 | 132.3 | ||||||||||
Below investment grade: | |||||||||||||||
BB | — | — | — | 9.0 | 9.0 | ||||||||||
B | — | — | 37.7 | 17.1 | 54.8 | ||||||||||
CCC | — | 38.6 | 57.3 | 44.5 | 140.4 | ||||||||||
CC | — | 47.6 | 9.9 | 2.8 | 60.3 | ||||||||||
C | — | 53.8 | — | — | 53.8 | ||||||||||
D | 225.0 | 324.7 | 63.4 | — | 613.1 | ||||||||||
Total | $ | 225.0 | $ | 485.6 | $ | 174.1 | $ | 240.5 | $ | 1,125.2 | |||||
Amortized cost | $ | 166.3 | $ | 386.8 | $ | 165.0 | $ | 233.4 | $ | 951.5 | |||||
Gross unrealized losses | — | (5.4 | ) | (8.8 | ) | (3.2 | ) | (17.4 | ) | ||||||
Fair value | 173.6 | 399.5 | 156.5 | 232.9 | 962.5 | ||||||||||
OTTI (1): | |||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
OTTI losses reclassified (from) AOCI | (0.2 | ) | (0.1 | ) | — | (0.1 | ) | (0.4 | ) | ||||||
Net OTTI losses, credit portion | $ | (0.2 | ) | $ | (0.1 | ) | $ | — | $ | (0.1 | ) | $ | (0.4 | ) | |
Weighted average fair value/par | 77.2 | % | 82.3 | % | 89.9 | % | 96.8 | % | 85.5 | % | |||||
Original weighted average credit support | 13.6 | 9.8 | 5.9 | 5.0 | 8.9 | ||||||||||
Weighted-average credit support - current | — | 1.3 | 6.3 | 16.0 | 5.1 | ||||||||||
Weighted avg. collateral delinquency(2) | 24.4 | 20.4 | 13.5 | 9.7 | 17.9 |
June 30, 2013 | ||||||
Original Issuers (in millions) | Total Carrying Value | Total Fair Value | ||||
Lehman Brothers Holdings Inc. (1) | $ | 575.3 | $ | 572.1 | ||
J.P. Morgan Chase & Co. | 475.8 | 476.1 | ||||
Countrywide Financial Corp. (2) | 264.9 | 260.0 | ||||
Wells Fargo & Co. | 238.8 | 238.9 | ||||
Citigroup Inc. | 173.0 | 165.6 | ||||
GMAC LLC | 133.4 | 133.4 | ||||
Other | 476.3 | 471.5 | ||||
Total | $ | 2,337.5 | $ | 2,317.6 |
June 30, 2013 | ||||||
Current Master Servicers (in millions) | Total Carrying Value | Total Fair Value | ||||
Wells Fargo Bank, NA | $ | 783.9 | $ | 782.2 | ||
Nationstar Mortgage Inc. | 575.3 | 572.1 | ||||
Bank of America Corp. | 309.1 | 303.5 | ||||
U.S. Bank NA | 182.5 | 182.5 | ||||
CitiMortgage, Inc. | 173.0 | 165.6 | ||||
Other | 313.7 | 311.7 | ||||
Total | $ | 2,337.5 | $ | 2,317.6 |
June 30, 2013 | |||||||||||
(dollars in millions) | Par | Amortized Cost | Gross Unrealized Losses | Wtd-Avg Collateral Del Rate(1) | |||||||
Residential MBS backed by: | |||||||||||
Prime loans: | |||||||||||
First lien | $ | 456.2 | $ | 452.1 | $ | (12.8 | ) | 10.9 | % | ||
Alt-A and other: | |||||||||||
Alt-A other | 425.2 | 400.5 | (17.4 | ) | 13.5 | % | |||||
Subprime loans: | |||||||||||
First lien | 3.9 | 3.9 | (0.2 | ) | 20.3 | % |
Significant Inputs for Private Label Residential MBS | |||||||||
Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | ||||||
Year of securitization | Weighted Avg % | Weighted Avg % | Weighted Avg % | Weighted Avg % | |||||
Prime: | |||||||||
2007 | 9.8 | 22.3 | 42.5 | 0.4 | |||||
2006 | 10.0 | 20.0 | 38.0 | 2.2 | |||||
2005 | 12.7 | 9.0 | 30.4 | 6.7 | |||||
2004 and prior | 16.7 | 4.6 | 28.4 | 9.7 | |||||
Total Prime | 12.6 | 13.4 | 34.5 | 5.1 | |||||
Alt-A: | |||||||||
2007 | 10.0 | 36.6 | 43.3 | 0.0 | |||||
2006 | 10.2 | 30.7 | 46.8 | 0.3 | |||||
2005 | 10.9 | 17.8 | 41.8 | 1.1 | |||||
2004 and prior | 13.8 | 10.8 | 29.7 | 15.2 | |||||
Total Alt-A | 11.3 | 24.9 | 40.4 | 4.9 | |||||
Subprime: | |||||||||
2004 and prior | 7.1 | 29.8 | 72.3 | 39.8 | |||||
Total Residential MBS | 12.0 | 18.5 | 37.2 | 5.1 |
Three Months Ended June 30, 2012 | |||||||||
(in millions) | Credit Losses | Net Non-credit Losses | Total Losses | ||||||
Securities newly impaired during the period | $ | — | $ | — | $ | — | |||
Securities previously impaired prior to current period | (3.6 | ) | 2.5 | (1.1 | ) | ||||
Total | $ | (3.6 | ) | $ | 2.5 | $ | (1.1 | ) |
Six Months Ended June 30, 2013 | Six Months Ended June 30, 2012 | |||||||||||||||||
(in millions) | Credit Losses | Net Non-credit Losses | Total Losses | Credit Losses | Net Non-credit Losses | Total Losses | ||||||||||||
Securities newly impaired during the period | $ | — | $ | — | $ | — | $ | (0.1 | ) | $ | (0.7 | ) | $ | (0.8 | ) | |||
Securities previously impaired prior to current period | (0.4 | ) | 0.4 | — | (10.7 | ) | 9.3 | (1.4 | ) | |||||||||
Total | $ | (0.4 | ) | $ | 0.4 | $ | — | $ | (10.8 | ) | $ | 8.6 | $ | (2.2 | ) |
Three Months Ended June 30, 2013 | ||||||||
Adverse Case | ||||||||
($ in millions) | # of Securities (1) | Unpaid Principal Balance | OTTI Related to Credit Loss | |||||
Prime | — | $ | — | $ | — | |||
Alt-A | 1 | 42.9 | (0.6 | ) | ||||
Subprime | — | — | — | |||||
HELOCs | 1 | 2.8 | (0.1 | ) | ||||
Total | 2 | $ | 45.7 | $ | (0.7 | ) |
(in millions) | June 30, 2013 | ||||||||||||||
Credit Rating (1) | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Non-cash Collateral Pledged To (From) Counterparties | Net Credit Exposure to Counterparties | ||||||||||
Non-member counterparties | |||||||||||||||
Asset positions with credit exposure: | |||||||||||||||
Bilateral derivatives | |||||||||||||||
AA | $ | 300.0 | $ | 12.6 | $ | — | $ | — | $ | 12.6 | |||||
A | 4,231.4 | 29.1 | (4.5 | ) | (17.1 | ) | 7.5 | ||||||||
Liability positions with credit exposure: | |||||||||||||||
Cleared derivatives (2) | 663.2 | 2.0 | — | — | 2.0 | ||||||||||
Total derivative positions with credit exposure to non-member counterparties | 5,194.6 | 43.7 | (4.5 | ) | (17.1 | ) | 22.1 | ||||||||
Member institutions (3) | 31.9 | 0.2 | — | — | 0.2 | ||||||||||
Total | $ | 5,226.5 | $ | 43.9 | $ | (4.5 | ) | $ | (17.1 | ) | $ | 22.3 | |||
Derivative positions without credit exposure | 31,085.2 | ||||||||||||||
Total notional | $ | 36,311.7 |
(in millions) | December 31, 2012 | ||||||||||||||
Credit Rating (1) | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Non-cash Collateral Pledged To (From) Counterparties | Net Credit Exposure to Counterparties | ||||||||||
Non-member counterparties | |||||||||||||||
Asset positions with credit exposure: | |||||||||||||||
AA | $ | 403.0 | $ | 16.7 | $ | (1.0 | ) | $ | — | $ | 15.7 | ||||
A | 6,323.3 | 42.4 | (30.9 | ) | (1.3 | ) | 10.2 | ||||||||
Total derivative positions with credit exposure to non-member counterparties | 6,726.3 | 59.1 | (31.9 | ) | (1.3 | ) | 25.9 | ||||||||
Member institutions (3) | 34.3 | 0.6 | — | — | 0.6 | ||||||||||
Total | $ | 6,760.6 | $ | 59.7 | $ | (31.9 | ) | $ | (1.3 | ) | $ | 26.5 | |||
Derivative positions without credit exposure | 24,453.4 | ||||||||||||||
Total notional | $ | 31,214.0 |
Notional Greater Than 10% | June 30, 2013 | December 31, 2012 | ||||||||
(dollars in millions) Derivative Counterparty | Credit Rating | Notional | % of Notional | Credit Rating | Notional | % of Notional | ||||
Deutsche Bank AG | A | $ | 8,170.8 | 22.5 | A | $ | 5,930.5 | 19.0 | ||
Morgan Stanley Capital | BBB | 4,022.8 | 11.1 | BBB | 3,185.6 | 10.2 | ||||
JP Morgan Chase Bank, NA | A | 3,967.8 | 10.9 | A | 3,588.5 | 11.5 | ||||
BNP Paribas | (1) | (1) | (1) | A | 4,168.6 | 13.4 | ||||
All others | n/a | 20,150.3 | 55.5 | n/a | 14,340.8 | 45.9 | ||||
Total | $ | 36,311.7 | 100.0 | $ | 31,214.0 | 100.0 | ||||
Net Credit Exposure Greater Than 10% | June 30, 2013 | December 31, 2012 | ||||||||
(dollars in millions) Derivative Counterparty | Credit Rating | Net Credit Exposure | % of Net Credit Exposure | Credit Rating | Net Credit Exposure | % of Net Credit Exposure | ||||
Royal Bank of Canada | AA | $ | 12.6 | 56.3 | AA | $ | 15.0 | 56.9 | ||
HSBC Bank USA, NA | A | 4.6 | 20.6 | A | 3.9 | 14.6 | ||||
UBS AG | (2) | (2) | (2) | A | 5.1 | 19.2 | ||||
All others | n/a | 5.1 | 23.1 | n/a | 2.5 | 9.3 | ||||
Total | $ | 22.3 | 100.0 | $ | 26.5 | 100.0 |
(in millions) | June 30, 2013 | ||||||||
Country of | Market Value | Collateral Obligation | Collateral Pledged | ||||||
Counterparty | of Total Exposure | (Net Exposure) | by the Bank | ||||||
Switzerland | $ | 143.3 | $ | 143.2 | $ | 141.1 | |||
United Kingdom | 67.2 | 62.2 | 62.4 | ||||||
Germany | 87.5 | 72.5 | 75.1 | ||||||
Total | $ | 298.0 | $ | 277.9 | $ | 278.6 |
(in millions) | December 31, 2012 | ||||||||
Country of | Market Value | Collateral Obligation | Collateral Pledged | ||||||
Counterparty | of Total Exposure | (Net Exposure) | by the Bank | ||||||
Switzerland | $ | 172.0 | $ | 172.0 | $ | 171.5 | |||
United Kingdom | 50.0 | 40.0 | 39.8 | ||||||
Germany | 34.2 | 19.2 | 35.6 | ||||||
Total | $ | 256.2 | $ | 231.2 | $ | 246.9 |
(in millions) | June 30, 2013 | ||||||||
Country of | Market Value | Collateral Obligation | Collateral Pledged | ||||||
Counterparty | of Total Exposure | (Net Exposure) | to the Bank | ||||||
France | $ | 4.7 | $ | 4.7 | $ | 4.5 | |||
United Kingdom | 22.8 | 17.2 | 15.4 | ||||||
Total | $ | 27.5 | $ | 21.9 | $ | 19.9 |
(in millions) | December 31, 2012 | ||||||||
Country of | Market Value | Collateral Obligation | Collateral Pledged | ||||||
Counterparty | of Total Exposure | (Net Exposure) | to the Bank | ||||||
France | $ | 6.2 | $ | 6.2 | $ | 6.7 | |||
United Kingdom | 25.5 | 19.3 | 20.6 | ||||||
Switzerland | 9.9 | 4.9 | 4.8 | ||||||
Total | $ | 41.6 | $ | 30.4 | $ | 32.1 |
Three months ended June 30, | Six months ended June 30, | |||||||||||||
(in thousands, except per share amounts) | 2013 | 2012 | 2013 | 2012 | ||||||||||
Interest income: | ||||||||||||||
Advances | $ | 56,519 | $ | 65,417 | $ | 112,299 | $ | 130,905 | ||||||
Prepayment fees on advances, net | 402 | 7,364 | 2,115 | 12,036 | ||||||||||
Interest-bearing deposits | 139 | 199 | 256 | 340 | ||||||||||
Securities purchased under agreements to resell | 258 | 1,218 | 834 | 1,699 | ||||||||||
Federal funds sold | 1,136 | 575 | 2,599 | 1,036 | ||||||||||
Trading securities | 3 | 313 | 63 | 688 | ||||||||||
Available-for-sale (AFS) securities | 28,800 | 32,766 | 57,565 | 64,081 | ||||||||||
Held-to-maturity (HTM) securities | 25,139 | 34,745 | 52,163 | 72,255 | ||||||||||
Mortgage loans held for portfolio | 35,629 | 42,521 | 73,263 | 87,504 | ||||||||||
Total interest income | 148,025 | 185,118 | 301,157 | 370,544 | ||||||||||
Interest expense: | ||||||||||||||
Consolidated obligations - discount notes | 4,523 | 4,115 | 9,768 | 5,884 | ||||||||||
Consolidated obligations - bonds | 100,584 | 130,860 | 202,641 | 272,118 | ||||||||||
Mandatorily redeemable capital stock | 730 | 53 | 1,019 | 114 | ||||||||||
Deposits | 83 | 151 | 214 | 277 | ||||||||||
Other borrowings | 4 | 10 | 11 | 21 | ||||||||||
Total interest expense | 105,924 | 135,189 | 213,653 | 278,414 | ||||||||||
Net interest income | 42,101 | 49,929 | 87,504 | 92,130 | ||||||||||
Provision (benefit) for credit losses | (1,222 | ) | 39 | (1,343 | ) | 117 | ||||||||
Net interest income after provision (benefit) for credit losses | 43,323 | 49,890 | 88,847 | 92,013 | ||||||||||
Other noninterest income (loss): | ||||||||||||||
Total OTTI losses (Note 5) | — | (1,140 | ) | — | (2,191 | ) | ||||||||
OTTI losses reclassified (from) AOCI (Note 5) | — | (2,519 | ) | (442 | ) | (8,647 | ) | |||||||
Net OTTI losses, credit portion (Note 5) | — | (3,659 | ) | (442 | ) | (10,838 | ) | |||||||
Net gains (losses) on trading securities (Note 2) | 52 | (289 | ) | 283 | 146 | |||||||||
Net gains (losses) on derivatives and hedging activities (Note 9) | 7,152 | (4,848 | ) | 8,736 | (841 | ) | ||||||||
Other, net | 3,824 | 2,113 | 6,151 | 4,443 | ||||||||||
Total other noninterest income (loss) | 11,028 | (6,683 | ) | 14,728 | (7,090 | ) | ||||||||
Other expense: | ||||||||||||||
Compensation and benefits expense | 9,910 | 8,707 | 19,140 | 18,260 | ||||||||||
Other operating expense | 7,120 | 6,721 | 13,149 | 12,571 | ||||||||||
Finance Agency expense | 794 | 1,092 | 1,966 | 2,418 | ||||||||||
Office of Finance expense | 847 | 881 | 1,801 | 1,661 | ||||||||||
Total other expense | 18,671 | 17,401 | 36,056 | 34,910 | ||||||||||
Income before assessments | 35,680 | 25,806 | 67,519 | 50,013 | ||||||||||
Affordable Housing Program (AHP) assessment | 3,641 | 2,586 | 6,854 | 5,013 | ||||||||||
Net income | $ | 32,039 | $ | 23,220 | $ | 60,665 | $ | 45,000 | ||||||
Earnings per share: | ||||||||||||||
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock) | 28,167 | 30,751 | 27,976 | 31,241 | ||||||||||
Basic and diluted earnings per share | $ | 1.14 | $ | 0.76 | $ | 2.17 | $ | 1.44 | ||||||
Dividends per share | $ | 0.07 | $ | 0.03 | $ | 0.15 | $ | 0.05 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | |||||||||
Net income | $ | 32,039 | $ | 23,220 | $ | 60,665 | $ | 45,000 | |||||
Other comprehensive income (loss): | |||||||||||||
Net unrealized gains (losses) on AFS securities: | |||||||||||||
Unrealized gains (losses) | (47,348 | ) | 12,964 | (52,186 | ) | 12,343 | |||||||
Net non-credit portion of OTTI losses on AFS securities: | |||||||||||||
Non-credit OTTI losses transferred from HTM securities | — | — | — | (662 | ) | ||||||||
Net change in fair value of OTTI securities | 9,003 | 6,108 | 23,367 | 55,254 | |||||||||
Unrealized gains | 6,381 | 416 | 21,441 | 7,510 | |||||||||
Reclassification of non-credit portion included in net income | — | 2,519 | 442 | 9,309 | |||||||||
Total net non-credit portion of OTTI losses on AFS securities | 15,384 | 9,043 | 45,250 | 71,411 | |||||||||
Net non-credit portion of OTTI losses on HTM securities: | |||||||||||||
Non-credit portion | — | — | — | (662 | ) | ||||||||
Reclassification of non-credit portion from HTM to AFS securities | — | — | — | 662 | |||||||||
Total net non-credit portion of OTTI losses on HTM securities | — | — | — | — | |||||||||
Reclassification of net losses included in net income relating to hedging activities | 1 | — | 1 | — | |||||||||
Pension and post-retirement benefits | 25 | 12 | 51 | 25 | |||||||||
Total other comprehensive income (loss) | (31,938 | ) | 22,019 | (6,884 | ) | 83,779 | |||||||
Total comprehensive income | $ | 101 | $ | 45,239 | $ | 53,781 | $ | 128,779 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||
ASSETS | ||||||
Cash and due from banks | $ | 933,091 | $ | 1,350,594 | ||
Interest-bearing deposits | 5,071 | 11,435 | ||||
Federal funds sold | 3,790,000 | 4,595,000 | ||||
Securities purchased under agreements to resell | 200,000 | 2,500,000 | ||||
Investment securities: | ||||||
Trading securities | 3,864 | 353,590 | ||||
AFS securities, at fair value, includes $83,485 pledged as collateral that may be repledged at June 30, 2013 (Note 3) | 6,730,584 | 5,932,248 | ||||
HTM securities; fair value of $4,997,277 and $5,755,755, respectively (Note 4) | 4,956,657 | 5,664,954 | ||||
Total investment securities | 11,691,105 | 11,950,792 | ||||
Advances (Note 6) | 40,569,601 | 40,497,787 | ||||
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $12,208 and $14,163, respectively (Note 8) | 3,387,448 | 3,532,549 | ||||
Banking on Business (BOB) loans, net of allowance for credit losses of $2,362 and $2,481, respectively (Note 8) | 11,771 | 12,846 | ||||
Accrued interest receivable | 86,850 | 92,685 | ||||
Premises, software and equipment, net | 11,734 | 13,299 | ||||
Derivative assets (Note 9) | 39,339 | 27,803 | ||||
Other assets | 27,336 | 31,482 | ||||
Total assets | $ | 60,753,346 | $ | 64,616,272 |
(in thousands, except par value) | June 30, 2013 | December 31, 2012 | ||||
LIABILITIES AND CAPITAL | ||||||
Liabilities | ||||||
Deposits: | ||||||
Interest-bearing | $ | 784,222 | $ | 960,903 | ||
Noninterest-bearing | 37,000 | 38,988 | ||||
Total deposits | 821,222 | 999,891 | ||||
Consolidated obligations, net: (Note 10) | ||||||
Discount notes | 17,702,767 | 24,148,453 | ||||
Bonds | 37,949,097 | 35,135,608 | ||||
Total consolidated obligations, net | 55,651,864 | 59,284,061 | ||||
Mandatorily redeemable capital stock (Note 11) | 257,032 | 431,566 | ||||
Accrued interest payable | 115,692 | 114,003 | ||||
Affordable Housing Program | 29,206 | 24,457 | ||||
Derivative liabilities (Note 9) | 174,624 | 310,425 | ||||
Other liabilities | 127,822 | 22,924 | ||||
Total liabilities | 57,177,462 | 61,187,327 | ||||
Commitments and contingencies (Note 14) | ||||||
Capital (Note 11) | ||||||
Capital stock - putable ($100 par value) issued and outstanding 29,133 and 28,160 shares | 2,913,312 | 2,815,965 | ||||
Retained earnings: | ||||||
Unrestricted | 573,110 | 528,767 | ||||
Restricted | 42,641 | 30,508 | ||||
Total retained earnings | 615,751 | 559,275 | ||||
Accumulated other comprehensive income (AOCI) | 46,821 | 53,705 | ||||
Total capital | 3,575,884 | 3,428,945 | ||||
Total liabilities and capital | $ | 60,753,346 | $ | 64,616,272 |
Six months ended June 30, | ||||||||
(in thousands) | 2013 | 2012 | ||||||
OPERATING ACTIVITIES | ||||||||
Net income | $ | 60,665 | $ | 45,000 | ||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||
Depreciation and amortization | (17,225 | ) | 9,338 | |||||
Change in net fair value adjustment on derivative and hedging activities | 12,738 | 24,640 | ||||||
Net OTTI credit losses | 442 | 10,838 | ||||||
Other adjustments | (1,344 | ) | 114 | |||||
Net change in: | ||||||||
Trading securities | 349,726 | 250,440 | ||||||
Accrued interest receivable | 5,864 | 9,040 | ||||||
Other assets | 569 | 1,206 | ||||||
Accrued interest payable | 1,686 | (4,743 | ) | |||||
Other liabilities | 2,172 | 1,208 | ||||||
Total adjustments | 354,628 | 302,081 | ||||||
Net cash provided by operating activities | $ | 415,293 | $ | 347,081 | ||||
INVESTING ACTIVITIES | ||||||||
Net change in: | ||||||||
Interest-bearing deposits (including $6,364 and $10,685 to other FHLBanks for mortgage loan program) | $ | (213,618 | ) | $ | 46,834 | |||
Securities purchased under agreements to resell | 2,300,000 | (1,915,000 | ) | |||||
Federal funds sold | 805,000 | 1,250,000 | ||||||
Premises, software and equipment, net | (1,274 | ) | (1,809 | ) | ||||
AFS securities: | ||||||||
Proceeds | 834,893 | 1,199,827 | ||||||
Purchases | (1,537,301 | ) | (2,374,812 | ) | ||||
HTM securities: | ||||||||
Net change in short-term | — | (850,000 | ) | |||||
Proceeds from long-term | 708,794 | 790,858 | ||||||
Advances: | ||||||||
Proceeds | 126,972,396 | 80,848,993 | ||||||
Made | (127,239,997 | ) | (83,967,159 | ) | ||||
Mortgage loans held for portfolio: | ||||||||
Proceeds | 452,744 | 478,046 | ||||||
Purchases | (304,608 | ) | (217,948 | ) | ||||
Net cash provided by (used in) investing activities | $ | 2,777,029 | $ | (4,712,170 | ) |
Six months ended June 30, | ||||||||
(in thousands) | 2013 | 2012 | ||||||
FINANCING ACTIVITIES | ||||||||
Net change in: | ||||||||
Deposits and pass-through reserves | $ | (206,068 | ) | $ | 15,712 | |||
Net payments for derivative contracts with financing element | (16,007 | ) | (31,364 | ) | ||||
Net proceeds from issuance of consolidated obligations: | ||||||||
Discount notes | 166,621,396 | 180,216,655 | ||||||
Bonds (none from other FHLBanks) | 19,167,722 | 13,783,809 | ||||||
Payments for maturing and retiring consolidated obligations: | ||||||||
Discount notes | (173,065,342 | ) | (174,878,608 | ) | ||||
Bonds | (16,030,078 | ) | (14,968,585 | ) | ||||
Proceeds from issuance of capital stock | 622,717 | 159,119 | ||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (175,232 | ) | (21,152 | ) | ||||
Payments for repurchase/redemption of capital stock | (524,672 | ) | (255,958 | ) | ||||
Cash dividends paid | (4,261 | ) | (1,640 | ) | ||||
Net cash (used in) provided by financing activities | $ | (3,609,825 | ) | $ | 4,017,988 | |||
Net (decrease) in cash and cash equivalents | $ | (417,503 | ) | $ | (347,101 | ) | ||
Cash and cash equivalents at beginning of the period | 1,350,594 | 634,278 | ||||||
Cash and cash equivalents at end of the period | $ | 933,091 | $ | 287,177 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 233,308 | $ | 307,120 | ||||
AHP payments, net | 2,105 | 1,706 | ||||||
Transfers of mortgage loans to real estate owned | 10,217 | 11,379 | ||||||
Non-cash transfer of OTTI HTM securities to AFS | — | 11,268 |
Capital Stock - Putable | Retained Earnings | |||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | |||||||||||||||||
December 31, 2011 | 33,899 | $ | 3,389,863 | $ | 430,774 | $ | 4,566 | $ | 435,340 | $ | (162,365 | ) | $ | 3,662,838 | ||||||||||
Issuance of capital stock | 1,591 | 159,119 | — | — | — | — | 159,119 | |||||||||||||||||
Repurchase/redemption of capital stock | (2,560 | ) | (255,958 | ) | — | — | — | — | (255,958 | ) | ||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (1,832 | ) | (183,205 | ) | — | — | — | — | (183,205 | ) | ||||||||||||||
Comprehensive income | — | — | 36,000 | 9,000 | 45,000 | 83,779 | 128,779 | |||||||||||||||||
Cash dividends | — | — | (1,640 | ) | — | (1,640 | ) | — | (1,640 | ) | ||||||||||||||
June 30, 2012 | 31,098 | $ | 3,109,819 | $ | 465,134 | $ | 13,566 | $ | 478,700 | $ | (78,586 | ) | $ | 3,509,933 |
Capital Stock - Putable | Retained Earnings | |||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | |||||||||||||||||
December 31, 2012 | 28,160 | $ | 2,815,965 | $ | 528,767 | $ | 30,508 | $ | 559,275 | $ | 53,705 | $ | 3,428,945 | |||||||||||
Issuance of capital stock | 6,227 | 622,717 | — | — | — | — | 622,717 | |||||||||||||||||
Repurchase/redemption of capital stock | (5,247 | ) | (524,672 | ) | — | — | — | — | (524,672 | ) | ||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (7 | ) | (698 | ) | — | — | — | — | (698 | ) | ||||||||||||||
Comprehensive income | — | — | 48,532 | 12,133 | 60,665 | (6,884 | ) | 53,781 | ||||||||||||||||
Cash dividends | — | — | (4,189 | ) | — | (4,189 | ) | — | (4,189 | ) | ||||||||||||||
June 30, 2013 | 29,133 | $ | 2,913,312 | $ | 573,110 | $ | 42,641 | $ | 615,751 | $ | 46,821 | $ | 3,575,884 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||
U.S. Treasury bills | $ | — | $ | 349,990 | ||
Mutual funds | 3,864 | 3,600 | ||||
Total | $ | 3,864 | $ | 353,590 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | |||||||||||||
Net unrealized gains on trading securities held at period-end | $ | 53 | $ | 129 | $ | 319 | $ | 241 | |||||||||
Net realized (losses) on securities sold/matured during the period | (1 | ) | (418 | ) | (36 | ) | (95 | ) | |||||||||
Net gains (losses) on trading securities | $ | 52 | $ | (289 | ) | $ | 283 | $ | 146 |
June 30, 2013 | |||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||
Non-MBS: | |||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||
Other U.S. obligations | 19,950 | — | — | (308 | ) | 19,642 | |||||||||||||
GSE securities | 1,901,559 | — | 535 | (8,766 | ) | 1,893,328 | |||||||||||||
State or local agency obligations | 14,980 | — | — | (1,493 | ) | 13,487 | |||||||||||||
Total non-MBS | $ | 1,938,482 | $ | — | $ | 540 | $ | (10,567 | ) | $ | 1,928,455 | ||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations residential MBS | $ | 422,248 | $ | — | $ | 73 | $ | (833 | ) | $ | 421,488 | ||||||||
GSE residential MBS | 3,094,285 | — | 12,633 | (18,463 | ) | 3,088,455 | |||||||||||||
Private label MBS: | |||||||||||||||||||
Private label residential MBS | 1,214,980 | (5,552 | ) | 67,650 | (179 | ) | 1,276,899 | ||||||||||||
HELOCs | 13,136 | (312 | ) | 2,463 | — | 15,287 | |||||||||||||
Total private label MBS | 1,228,116 | (5,864 | ) | 70,113 | (179 | ) | 1,292,186 | ||||||||||||
Total MBS | $ | 4,744,649 | $ | (5,864 | ) | $ | 82,819 | $ | (19,475 | ) | $ | 4,802,129 | |||||||
Total AFS securities | $ | 6,683,131 | $ | (5,864 | ) | $ | 83,359 | $ | (30,042 | ) | $ | 6,730,584 |
December 31, 2012 | |||||||||||||||||||
(in thousands) | Amortized Cost (1) | OTTI Recognized in AOCI (2) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||
Non-MBS: | |||||||||||||||||||
Mutual funds | $ | 1,993 | $ | — | $ | 5 | $ | — | $ | 1,998 | |||||||||
Other U.S. obligations | 21,000 | — | 16 | — | 21,016 | ||||||||||||||
GSE securities | 1,169,850 | — | 296 | (802 | ) | 1,169,344 | |||||||||||||
State or local agency obligations | 11,400 | — | — | (270 | ) | 11,130 | |||||||||||||
Total non-MBS | $ | 1,204,243 | $ | — | $ | 317 | $ | (1,072 | ) | $ | 1,203,488 | ||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations residential MBS | $ | 310,541 | $ | — | $ | 284 | $ | (120 | ) | $ | 310,705 | ||||||||
GSE residential MBS | 2,956,471 | — | 36,379 | (29 | ) | 2,992,821 | |||||||||||||
Private label MBS: | |||||||||||||||||||
Private label residential MBS | 1,391,941 | (29,142 | ) | 48,045 | (368 | ) | 1,410,476 | ||||||||||||
HELOCs | 14,662 | (532 | ) | 628 | — | 14,758 | |||||||||||||
Total private label MBS | 1,406,603 | (29,674 | ) | 48,673 | (368 | ) | 1,425,234 | ||||||||||||
Total MBS | $ | 4,673,615 | $ | (29,674 | ) | $ | 85,336 | $ | (517 | ) | $ | 4,728,760 | |||||||
Total AFS securities | $ | 5,877,858 | $ | (29,674 | ) | $ | 85,653 | $ | (1,589 | ) | $ | 5,932,248 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||
Non-credit portion of OTTI losses | $ | (5,864 | ) | $ | (29,674 | ) |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 70,113 | 48,673 | ||||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ | 64,249 | $ | 18,999 |
June 30, 2013 | |||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | |||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
Other U.S. obligations | $ | 19,642 | $ | (308 | ) | $ | — | $ | — | $ | 19,642 | $ | (308 | ) | |||||||||
GSE securities | 1,192,868 | (8,733 | ) | 249,967 | (33 | ) | 1,442,835 | (8,766 | ) | ||||||||||||||
State or local agency obligations | 4,059 | (391 | ) | 9,428 | (1,102 | ) | 13,487 | (1,493 | ) | ||||||||||||||
Total non-MBS | $ | 1,216,569 | $ | (9,432 | ) | $ | 259,395 | $ | (1,135 | ) | $ | 1,475,964 | $ | (10,567 | ) | ||||||||
MBS: | |||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 311,660 | $ | (771 | ) | $ | 26,015 | $ | (62 | ) | $ | 337,675 | $ | (833 | ) | ||||||||
GSE residential MBS | 697,875 | (18,463 | ) | — | — | 697,875 | (18,463 | ) | |||||||||||||||
Private label: | |||||||||||||||||||||||
Private label residential MBS | 77,481 | (1,669 | ) | 99,819 | (4,062 | ) | 177,300 | (5,731 | ) | ||||||||||||||
HELOCs | — | — | 1,682 | (312 | ) | 1,682 | (312 | ) | |||||||||||||||
Total private label MBS | 77,481 | (1,669 | ) | 101,501 | (4,374 | ) | 178,982 | (6,043 | ) | ||||||||||||||
Total MBS | $ | 1,087,016 | $ | (20,903 | ) | $ | 127,516 | $ | (4,436 | ) | $ | 1,214,532 | $ | (25,339 | ) | ||||||||
Total | $ | 2,303,585 | $ | (30,335 | ) | $ | 386,911 | $ | (5,571 | ) | $ | 2,690,496 | $ | (35,906 | ) |
December 31, 2012 | ||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses (1) | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE securities | $ | 719,190 | $ | (708 | ) | $ | 49,907 | $ | (94 | ) | $ | 769,097 | $ | (802 | ) | |||||||||
State or local agency obligations | 11,130 | (270 | ) | — | — | 11,130 | (270 | ) | ||||||||||||||||
Total non-MBS | $ | 730,320 | $ | (978 | ) | $ | 49,907 | $ | (94 | ) | $ | 780,227 | $ | (1,072 | ) | |||||||||
MBS: | ||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 94,848 | $ | (120 | ) | $ | — | $ | — | $ | 94,848 | $ | (120 | ) | ||||||||||
GSE residential MBS | 72,619 | (29 | ) | — | — | 72,619 | (29 | ) | ||||||||||||||||
Private label: | ||||||||||||||||||||||||
Private label residential MBS | 12,728 | (60 | ) | 521,311 | (29,450 | ) | 534,039 | (29,510 | ) | |||||||||||||||
HELOCs | — | — | 3,230 | (532 | ) | 3,230 | (532 | ) | ||||||||||||||||
Total private label MBS | 12,728 | (60 | ) | 524,541 | (29,982 | ) | 537,269 | (30,042 | ) | |||||||||||||||
Total MBS | $ | 180,195 | $ | (209 | ) | $ | 524,541 | $ | (29,982 | ) | $ | 704,736 | $ | (30,191 | ) | |||||||||
Total | $ | 910,515 | $ | (1,187 | ) | $ | 574,448 | $ | (30,076 | ) | $ | 1,484,963 | $ | (31,263 | ) |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 401,990 | $ | 402,165 | $ | 201,993 | $ | 201,832 | ||||||||
Due after one year through five years | 1,378,161 | 1,370,993 | 969,850 | 969,510 | ||||||||||||
Due after five years through ten years | 133,776 | 132,865 | 21,000 | 21,016 | ||||||||||||
Due in more than ten years | 24,555 | 22,432 | 11,400 | 11,130 | ||||||||||||
AFS securities excluding MBS | 1,938,482 | 1,928,455 | 1,204,243 | 1,203,488 | ||||||||||||
MBS | 4,744,649 | 4,802,129 | 4,673,615 | 4,728,760 | ||||||||||||
Total AFS securities | $ | 6,683,131 | $ | 6,730,584 | $ | 5,877,858 | $ | 5,932,248 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Amortized cost of AFS securities other than MBS: | ||||||||
Fixed-rate | $ | 1,154,032 | $ | 504,298 | ||||
Variable-rate | 784,450 | 699,945 | ||||||
Total non-MBS | $ | 1,938,482 | $ | 1,204,243 | ||||
Amortized cost of AFS MBS: | ||||||||
Fixed-rate | $ | 2,232,533 | $ | 2,050,785 | ||||
Variable-rate | 2,512,116 | 2,622,830 | ||||||
Total MBS | $ | 4,744,649 | $ | 4,673,615 | ||||
Total AFS securities | $ | 6,683,131 | $ | 5,877,858 |
June 30, 2013 | ||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||||
Non-MBS: | ||||||||||||||||
Certificates of deposit | $ | 400,000 | $ | 12 | $ | — | $ | 400,012 | ||||||||
GSE securities | 18,794 | 828 | — | 19,622 | ||||||||||||
State or local agency obligations | 249,034 | 4,850 | (12,268 | ) | 241,616 | |||||||||||
Total non-MBS | $ | 667,828 | $ | 5,690 | $ | (12,268 | ) | $ | 661,250 | |||||||
MBS: | ||||||||||||||||
Other U.S. obligations residential MBS | $ | 1,648,001 | $ | 11,186 | $ | (5 | ) | $ | 1,659,182 | |||||||
GSE residential MBS | 1,595,528 | 56,011 | (122 | ) | 1,651,417 | |||||||||||
Private label MBS: | ||||||||||||||||
Private label residential MBS | 1,034,378 | 4,507 | (22,959 | ) | 1,015,926 | |||||||||||
HELOCs | 10,922 | — | (1,420 | ) | 9,502 | |||||||||||
Total private label MBS | 1,045,300 | 4,507 | (24,379 | ) | 1,025,428 | |||||||||||
Total MBS | $ | 4,288,829 | $ | 71,704 | $ | (24,506 | ) | $ | 4,336,027 | |||||||
Total HTM securities | $ | 4,956,657 | $ | 77,394 | $ | (36,774 | ) | $ | 4,997,277 |
December 31, 2012 | ||||||||||||||||
(in thousands) | Amortized Cost | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||||
Non-MBS: | ||||||||||||||||
Certificates of deposit | $ | 400,000 | $ | 36 | $ | — | $ | 400,036 | ||||||||
GSE securities | 24,830 | 1,283 | — | 26,113 | ||||||||||||
State or local agency obligations | 254,734 | 8,961 | (14,202 | ) | 249,493 | |||||||||||
Total non-MBS | $ | 679,564 | $ | 10,280 | $ | (14,202 | ) | $ | 675,642 | |||||||
MBS: | ||||||||||||||||
Other U.S. obligations residential MBS | $ | 1,922,589 | $ | 12,568 | $ | — | $ | 1,935,157 | ||||||||
GSE residential MBS | 1,842,212 | 98,878 | (137 | ) | 1,940,953 | |||||||||||
Private label MBS: | ||||||||||||||||
Private label residential MBS | 1,208,482 | 12,720 | (27,510 | ) | 1,193,692 | |||||||||||
HELOCs | 12,107 | — | (1,796 | ) | 10,311 | |||||||||||
Total private label MBS | 1,220,589 | 12,720 | (29,306 | ) | 1,204,003 | |||||||||||
Total MBS | $ | 4,985,390 | $ | 124,166 | $ | (29,443 | ) | $ | 5,080,113 | |||||||
Total HTM securities | $ | 5,664,954 | $ | 134,446 | $ | (43,645 | ) | $ | 5,755,755 |
June 30, 2013 | ||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
State or local agency obligations | $ | — | $ | — | $ | 134,442 | $ | (12,268 | ) | $ | 134,442 | $ | (12,268 | ) | ||||||||||
MBS: | ||||||||||||||||||||||||
Other U.S. obligations residential MBS | $ | 14,578 | $ | (5 | ) | $ | — | $ | — | $ | 14,578 | $ | (5 | ) | ||||||||||
GSE residential MBS | — | — | 14,941 | (122 | ) | 14,941 | (122 | ) | ||||||||||||||||
Private label MBS: | ||||||||||||||||||||||||
Private label residential MBS | 390,610 | (5,172 | ) | 246,979 | (17,787 | ) | 637,589 | (22,959 | ) | |||||||||||||||
HELOCs | — | — | 9,502 | (1,420 | ) | 9,502 | (1,420 | ) | ||||||||||||||||
Total private label MBS | 390,610 | (5,172 | ) | 256,481 | (19,207 | ) | 647,091 | (24,379 | ) | |||||||||||||||
Total MBS | $ | 405,188 | $ | (5,177 | ) | $ | 271,422 | $ | (19,329 | ) | $ | 676,610 | $ | (24,506 | ) | |||||||||
Total | $ | 405,188 | $ | (5,177 | ) | $ | 405,864 | $ | (31,597 | ) | $ | 811,052 | $ | (36,774 | ) |
December 31, 2012 | ||||||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
State or local agency obligations | $ | — | $ | — | $ | 136,248 | $ | (14,202 | ) | $ | 136,248 | $ | (14,202 | ) | ||||||||||
MBS: | ||||||||||||||||||||||||
GSE residential MBS | $ | 45,809 | $ | (3 | ) | $ | 17,072 | $ | (134 | ) | $ | 62,881 | $ | (137 | ) | |||||||||
Private label MBS: | ||||||||||||||||||||||||
Private label residential MBS | — | — | 464,771 | (27,510 | ) | 464,771 | (27,510 | ) | ||||||||||||||||
HELOCs | — | — | 10,311 | (1,796 | ) | 10,311 | (1,796 | ) | ||||||||||||||||
Total private label MBS | — | — | 475,082 | (29,306 | ) | 475,082 | (29,306 | ) | ||||||||||||||||
Total MBS | $ | 45,809 | $ | (3 | ) | $ | 492,154 | $ | (29,440 | ) | $ | 537,963 | $ | (29,443 | ) | |||||||||
Total | $ | 45,809 | $ | (3 | ) | $ | 628,402 | $ | (43,642 | ) | $ | 674,211 | $ | (43,645 | ) |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Non-MBS: | ||||||||||||||||
Due in one year or less | $ | 400,110 | $ | 400,124 | $ | 401,095 | $ | 401,147 | ||||||||
Due after one year through five years | 18,794 | 19,622 | 24,830 | 26,113 | ||||||||||||
Due after five years through ten years | 28,703 | 29,142 | 7,414 | 7,522 | ||||||||||||
Due after ten years | 220,221 | 212,362 | 246,225 | 240,860 | ||||||||||||
HTM securities excluding MBS | 667,828 | 661,250 | 679,564 | 675,642 | ||||||||||||
MBS | 4,288,829 | 4,336,027 | 4,985,390 | 5,080,113 | ||||||||||||
Total HTM securities | $ | 4,956,657 | $ | 4,997,277 | $ | 5,664,954 | $ | 5,755,755 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Amortized cost of HTM securities other than MBS: | ||||||||
Fixed-rate | $ | 500,518 | $ | 507,564 | ||||
Variable-rate | 167,310 | 172,000 | ||||||
Total non-MBS | $ | 667,828 | $ | 679,564 | ||||
Amortized cost of HTM MBS: | ||||||||
Fixed-rate | $ | 1,556,892 | $ | 1,772,557 | ||||
Variable-rate | 2,731,937 | 3,212,833 | ||||||
Total MBS | $ | 4,288,829 | $ | 4,985,390 | ||||
Total HTM securities | $ | 4,956,657 | $ | 5,664,954 |
• | the remaining payment terms for the security; |
• | prepayment speeds and default rates; |
• | loss severity based on underlying loan-level borrower and loan characteristics; |
• | expected housing price changes; and |
• | interest-rate assumptions. |
Recovery Ranges of Housing Price Change | |||
Months | Annualized Rates % | ||
1 - 6 | 0.0% | - | 3.0% |
7 - 12 | 1.0% | - | 4.0% |
13 - 18 | 2.0% | - | 4.0% |
19 - 30 | 2.0% | - | 5.0% |
31 - 54 | 2.0% | - | 6.0% |
Thereafter | 2.3% | - | 5.6% |
OTTI Recognized During the Life of the Security | ||||||||||||
(in thousands) | Unpaid Principal Balance | Amortized Cost (1) | Fair Value | |||||||||
Private label residential MBS: | ||||||||||||
Prime | $ | 708,378 | $ | 594,996 | $ | 636,264 | ||||||
Alt-A | 781,707 | 614,684 | 635,386 | |||||||||
Subprime | 2,402 | 1,403 | 1,530 | |||||||||
HELOCs | 18,878 | 13,136 | 15,287 | |||||||||
Total OTTI securities | 1,511,365 | 1,224,219 | 1,288,467 | |||||||||
Private label MBS with no OTTI | 3,897 | 3,897 | 3,719 | |||||||||
Total AFS private label MBS | $ | 1,515,262 | $ | 1,228,116 | $ | 1,292,186 |
(in thousands) | Three months ended June 30, | Six months ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
Beginning balance | $ | 324,482 | $ | 327,952 | $ | 326,024 | $ | 322,589 | ||||||||
Additions: | ||||||||||||||||
Credit losses for which OTTI was not previously recognized | — | — | — | 74 | ||||||||||||
Additional OTTI credit losses for which an OTTI charge was previously recognized (1) | — | 3,659 | 442 | 10,764 | ||||||||||||
Reductions: | ||||||||||||||||
Securities sold and matured during the period | — | — | (59 | ) | — | |||||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2) | (2,338 | ) | (2,674 | ) | (4,263 | ) | (4,490 | ) | ||||||||
Ending balance | $ | 322,144 | $ | 328,937 | $ | 322,144 | $ | 328,937 |
(dollars in thousands) | June 30, 2013 | December 31, 2012 | ||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 16,149,762 | 0.41 | % | $ | 20,187,511 | 0.44 | % | ||||||
Due after 1 year through 2 years | 6,491,225 | 0.97 | 3,869,388 | 1.02 | ||||||||||
Due after 2 years through 3 years | 6,535,685 | 2.41 | 5,297,312 | 2.29 | ||||||||||
Due after 3 years through 4 years | 2,885,788 | 2.15 | 3,634,200 | 2.74 | ||||||||||
Due after 4 years through 5 years | 6,254,305 | 1.01 | 4,404,845 | 1.41 | ||||||||||
Thereafter | 1,623,477 | 4.47 | 2,277,564 | 3.71 | ||||||||||
Total par value | 39,940,242 | 1.21 | % | 39,670,820 | 1.25 | % | ||||||||
Discount on AHP advances | (185 | ) | (230 | ) | ||||||||||
Deferred prepayment fees | (14,233 | ) | (15,230 | ) | ||||||||||
Hedging adjustments | 643,777 | 842,427 | ||||||||||||
Total book value | $ | 40,569,601 | $ | 40,497,787 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Convertible Date | |||||||||||||||
(in thousands) | June 30, 2013 | December 31, 2012 | June 30, 2013 | December 31, 2012 | ||||||||||||
Due in 1 year or less | $ | 18,149,762 | $ | 20,587,511 | $ | 18,330,762 | $ | 22,439,511 | ||||||||
Due after 1 year through 2 years | 5,491,225 | 3,869,388 | 6,441,725 | 3,778,888 | ||||||||||||
Due after 2 years through 3 years | 5,535,685 | 5,297,312 | 6,010,685 | 5,174,812 | ||||||||||||
Due after 3 years through 4 years | 2,885,788 | 3,634,200 | 1,914,788 | 2,520,700 | ||||||||||||
Due after 4 years through 5 years | 6,254,305 | 4,404,845 | 5,746,305 | 3,812,845 | ||||||||||||
Thereafter | 1,623,477 | 1,877,564 | 1,495,977 | 1,944,064 | ||||||||||||
Total par value | $ | 39,940,242 | $ | 39,670,820 | $ | 39,940,242 | $ | 39,670,820 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Fixed rate – overnight | $ | 1,090,303 | $ | 517,050 | ||||
Fixed rate – term: | ||||||||
Due in 1 year or less | 13,770,045 | 19,625,461 | ||||||
Thereafter | 12,022,209 | 9,728,590 | ||||||
Total fixed rate | 26,882,557 | 29,871,101 | ||||||
Variable rate: | ||||||||
Due in 1 year or less | 1,289,414 | 45,000 | ||||||
Thereafter | 11,768,271 | 9,754,719 | ||||||
Total variable rate | 13,057,685 | 9,799,719 | ||||||
Total par value | $ | 39,940,242 | $ | 39,670,820 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Fixed medium-term single-family mortgages (1) | $ | 536,669 | $ | 563,312 | ||||
Fixed long-term single-family mortgages (1) | 2,798,015 | 2,922,897 | ||||||
Total par value | 3,334,684 | 3,486,209 | ||||||
Premiums | 52,275 | 51,637 | ||||||
Discounts | (6,882 | ) | (8,212 | ) | ||||
Hedging adjustments | 19,579 | 17,078 | ||||||
Total mortgage loans held for portfolio | $ | 3,399,656 | $ | 3,546,712 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Government-guaranteed/insured loans | $ | 325,194 | $ | 350,133 | ||||
Conventional loans | 3,009,490 | 3,136,076 | ||||||
Total par value | $ | 3,334,684 | $ | 3,486,209 |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance, beginning of period | $ | 13,393 | $ | 14,324 | $ | 14,163 | $ | 14,344 | ||||||||
Charge-offs | — | (129 | ) | (622 | ) | (355 | ) | |||||||||
Provision (benefit) for credit losses | (1,185 | ) | (129 | ) | (1,333 | ) | 77 | |||||||||
Balance, June 30 | $ | 12,208 | $ | 14,066 | $ | 12,208 | $ | 14,066 |
June 30, 2013 | December 31, 2012 | |||||||
Ending balance, individually evaluated for impairment | $ | 737 | $ | 642 | ||||
Ending balance, collectively evaluated for impairment | 11,471 | 13,521 | ||||||
Total allowance for credit losses | $ | 12,208 | $ | 14,163 | ||||
Recorded investment balance, end of period: | ||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 13,830 | $ | 12,956 | ||||
Collectively evaluated for impairment | 3,066,446 | 3,190,436 | ||||||
Total recorded investment | $ | 3,080,276 | $ | 3,203,392 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | |||||||||||
Balance, beginning of period | $ | 2,503 | $ | 2,573 | $ | 2,481 | $ | 3,223 | |||||||
BOB Charge-offs | (143 | ) | (84 | ) | (134 | ) | (579 | ) | |||||||
Provision for credit losses | 2 | 284 | 15 | 129 | |||||||||||
Balance, June 30 | $ | 2,362 | $ | 2,773 | $ | 2,362 | $ | 2,773 |
June 30, 2013 | December 31, 2012 | |||||||
Ending balance, individually evaluated for impairment | $ | 66 | $ | 100 | ||||
Ending balance, collectively evaluated for impairment | 2,296 | 2,381 | ||||||
Total allowance for credit losses | $ | 2,362 | $ | 2,481 | ||||
Recorded investment balance, end of period: | ||||||||
Individually evaluated for impairment, with or without a related allowance | $ | 149 | $ | 280 | ||||
Collectively evaluated for impairment | 14,097 | 15,166 | ||||||
Total recorded investment | $ | 14,246 | $ | 15,446 |
(in thousands) | June 30, 2013 | |||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | ||||||||||||
Past due 30-59 days | $ | 40,294 | $ | 15,447 | $ | — | $ | 55,741 | ||||||||
Past due 60-89 days | 10,471 | 5,382 | 197 | 16,050 | ||||||||||||
Past due 90 days or more | 60,358 | 7,389 | 84 | 67,831 | ||||||||||||
Total past due loans | $ | 111,123 | $ | 28,218 | $ | 281 | $ | 139,622 | ||||||||
Total current loans | 2,969,153 | 308,566 | 13,965 | 3,291,684 | ||||||||||||
Total loans | $ | 3,080,276 | $ | 336,784 | $ | 14,246 | $ | 3,431,306 | ||||||||
Other delinquency statistics: | ||||||||||||||||
In process of foreclosures, included above (2) | $ | 39,176 | $ | 876 | $ | — | $ | 40,052 | ||||||||
Serious delinquency rate (3) | 2.0 | % | 2.2 | % | 0.6 | % | 2.0 | % | ||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 7,389 | $ | — | $ | 7,389 | ||||||||
Loans on nonaccrual status (4) | $ | 64,186 | $ | — | $ | 430 | $ | 64,616 |
(in thousands) | December 31, 2012 | |||||||||||||||
Recorded investment: (1) | Conventional MPF Loans | Government-Guaranteed or Insured Loans | BOB Loans | Total | ||||||||||||
Past due 30-59 days | $ | 50,214 | $ | 20,513 | $ | 20 | $ | 70,747 | ||||||||
Past due 60-89 days | 12,219 | 5,842 | 147 | 18,208 | ||||||||||||
Past due 90 days or more | 69,996 | 7,469 | 153 | 77,618 | ||||||||||||
Total past due loans | $ | 132,429 | $ | 33,824 | $ | 320 | $ | 166,573 | ||||||||
Total current loans | 3,070,963 | 328,351 | 15,126 | 3,414,440 | ||||||||||||
Total loans | $ | 3,203,392 | $ | 362,175 | $ | 15,446 | $ | 3,581,013 | ||||||||
Other delinquency statistics: | ||||||||||||||||
In process of foreclosures, included above (2) | $ | 54,605 | $ | 1,587 | $ | — | $ | 56,192 | ||||||||
Serious delinquency rate (3) | 2.2 | % | 2.1 | % | 1.0 | % | 2.2 | % | ||||||||
Past due 90 days or more still accruing interest | $ | — | $ | 7,469 | $ | — | $ | 7,469 | ||||||||
Loans on nonaccrual status (4) | $ | 74,051 | $ | — | $ | 599 | $ | 74,650 |
Three months ended June 30, | ||||||||||||||||
2013 | 2012 | |||||||||||||||
(in thousands) | Pre-Modification | Post-Modification | Pre-Modification | Post-Modification | ||||||||||||
Conventional MPF loans | $ | 3,295 | $ | 3,243 | $ | 298 | $ | 298 | ||||||||
BOB loans | 69 | 68 | — | — | ||||||||||||
Total | $ | 3,364 | $ | 3,311 | $ | 298 | $ | 298 |
Six months ended June 30, | ||||||||||||||||
2013 | 2012 | |||||||||||||||
(in thousands) | Pre-Modification | Post-Modification | Pre-Modification | Post-Modification | ||||||||||||
Conventional MPF loans | $ | 6,168 | $ | 6,116 | $ | 961 | $ | 926 | ||||||||
BOB loans | 208 | 207 | — | — | ||||||||||||
Total | $ | 6,376 | $ | 6,323 | $ | 961 | $ | 926 |
June 30, 2013 | ||||||||||||
(in thousands) | Recorded Investment | Unpaid Principal Balance | Related Allowance for Credit Losses | |||||||||
With no related allowance: | ||||||||||||
Conventional MPF loans | $ | 504 | $ | 501 | $ | — | ||||||
With a related allowance: | ||||||||||||
Conventional MPF loans | $ | 13,326 | $ | 13,281 | $ | 737 | ||||||
BOB loans | 149 | 149 | 66 | |||||||||
Total: | ||||||||||||
Conventional MPF loans | $ | 13,830 | $ | 13,782 | $ | 737 | ||||||
BOB loans | 149 | 149 | 66 |
December 31, 2012 | ||||||||||||
(in thousands) | Recorded Investment | Unpaid Principal Balance | Related Allowance for Credit Losses | |||||||||
With no related allowance: | ||||||||||||
Conventional MPF loans | $ | 507 | $ | 504 | $ | — | ||||||
With a related allowance: | ||||||||||||
Conventional MPF loans | $ | 12,449 | $ | 12,388 | $ | 642 | ||||||
BOB loans | 280 | 280 | 100 | |||||||||
Total: | ||||||||||||
Conventional MPF loans | $ | 12,956 | $ | 12,892 | $ | 642 | ||||||
BOB loans | 280 | 280 | 100 |
Three months ended June 30, 2013 | Three months ended June 30, 2012 | |||||||||||||||
(in thousands) | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
Conventional MPF loans | $ | 14,224 | $ | 179 | $ | 4,557 | $ | 64 | ||||||||
BOB loans | 180 | — | — | — | ||||||||||||
Total | $ | 14,404 | $ | 179 | $ | 4,557 | $ | 64 |
Six months ended June 30, 2013 | Six months ended June 30, 2012 | |||||||||||||||
(in thousands) | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
Conventional MPF loans | $ | 13,662 | $ | 339 | $ | 4,620 | $ | 132 | ||||||||
BOB loans | 280 | — | 17 | — | ||||||||||||
Total | $ | 13,942 | $ | 339 | $ | 4,637 | $ | 132 |
June 30, 2013 | ||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 28,962,678 | $ | 212,912 | $ | 915,888 | ||||||
Derivatives not in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 6,101,665 | $ | 52,789 | $ | 27,569 | ||||||
Interest rate caps | 1,215,500 | 6,758 | — | |||||||||
Mortgage delivery commitments | 31,854 | 161 | 274 | |||||||||
Total derivatives not in hedge accounting relationships | $ | 7,349,019 | $ | 59,708 | $ | 27,843 | ||||||
Total derivatives before netting and collateral adjustments | $ | 36,311,697 | $ | 272,620 | $ | 943,731 | ||||||
Netting adjustments | (228,788 | ) | (228,788 | ) | ||||||||
Cash collateral and related accrued interest | (4,493 | ) | (540,319 | ) | ||||||||
Total collateral and netting adjustments (1) | (233,281 | ) | (769,107 | ) | ||||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 39,339 | $ | 174,624 |
December 31, 2012 | ||||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 25,661,620 | $ | 273,265 | $ | 878,667 | ||||||
Derivatives not in hedge accounting relationships: | ||||||||||||
Interest rate swaps | $ | 4,318,343 | $ | 37,767 | $ | 6,036 | ||||||
Interest rate caps | 1,199,750 | 1,968 | — | |||||||||
Mortgage delivery commitments | 34,332 | 622 | — | |||||||||
Total derivatives not in hedge accounting relationships | $ | 5,552,425 | $ | 40,357 | $ | 6,036 | ||||||
Total derivatives before netting and collateral adjustments | $ | 31,214,045 | $ | 313,622 | $ | 884,703 | ||||||
Netting adjustments | (253,923 | ) | (253,923 | ) | ||||||||
Cash collateral and related accrued interest | (31,896 | ) | (320,355 | ) | ||||||||
Total collateral and netting adjustments (1) | (285,819 | ) | (574,278 | ) | ||||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | 27,803 | $ | 310,425 |
Three months ended June 30, | Six months ended June 30, | |||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||
Derivatives and hedged items in fair value hedging relationships: | ||||||||||||||
Interest rate swaps - fair value hedge ineffectiveness | $ | 1,987 | $ | (708 | ) | $ | 888 | $ | 1,962 | |||||
Derivatives not designated as hedging instruments: | ||||||||||||||
Economic hedges: | ||||||||||||||
Interest rate swaps | $ | (2,887 | ) | $ | (3,797 | ) | $ | (7,823 | ) | $ | (1,425 | ) | ||
Interest rate caps | 2,235 | (1,591 | ) | 2,429 | (2,041 | ) | ||||||||
Net interest settlements | 4,973 | (409 | ) | 9,270 | (1,390 | ) | ||||||||
Mortgage delivery commitments | 841 | 1,654 | 3,965 | 2,045 | ||||||||||
Other | 3 | 3 | 7 | 8 | ||||||||||
Total net gains (losses) related to derivatives not designated as hedging instruments | $ | 5,165 | $ | (4,140 | ) | $ | 7,848 | $ | (2,803 | ) | ||||
Net gains (losses) on derivatives and hedging activities | $ | 7,152 | $ | (4,848 | ) | $ | 8,736 | $ | (841 | ) |
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Three months ended June 30, 2013 | ||||||||||||||||
Hedged item type: | ||||||||||||||||
Advances | $ | 135,873 | $ | (133,068 | ) | $ | 2,805 | $ | (64,186 | ) | ||||||
Consolidated obligations – bonds | (243,811 | ) | 242,893 | (918 | ) | 55,135 | ||||||||||
AFS securities | 790 | (690 | ) | 100 | (15 | ) | ||||||||||
Total | $ | (107,148 | ) | $ | 109,135 | $ | 1,987 | $ | (9,066 | ) | ||||||
Six months ended June 30, 2013 | ||||||||||||||||
Hedged item type: | ||||||||||||||||
Advances | 193,843 | (193,549 | ) | 294 | (126,044 | ) | ||||||||||
Consolidated obligations – bonds | (292,866 | ) | 293,360 | 494 | 105,081 | |||||||||||
AFS securities | 790 | (690 | ) | 100 | (15 | ) | ||||||||||
Total | $ | (98,233 | ) | $ | 99,121 | $ | 888 | $ | (20,978 | ) |
(in thousands) | Gains/(Losses) on Derivative | Gains/(Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Three months ended June 30, 2012 | ||||||||||||||||
Hedged item type: | ||||||||||||||||
Advances | $ | (8,105 | ) | $ | 6,935 | $ | (1,170 | ) | $ | (96,676 | ) | |||||
Consolidated obligations – bonds | 7,524 | (7,062 | ) | 462 | 46,750 | |||||||||||
Total | $ | (581 | ) | $ | (127 | ) | $ | (708 | ) | $ | (49,926 | ) | ||||
Six months ended June 30, 2012 | ||||||||||||||||
Hedged item type: | ||||||||||||||||
Advances | $ | 82,360 | $ | (81,624 | ) | $ | 736 | $ | (196,226 | ) | ||||||
Consolidated obligations – bonds | (15,091 | ) | 16,317 | 1,226 | 86,347 | |||||||||||
Total | $ | 67,269 | $ | (65,307 | ) | $ | 1,962 | $ | (109,879 | ) |
Derivative Assets | ||||||||
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Derivative instruments with legal right of offset: | ||||||||
Gross recognized amount | $ | 272,459 | $ | 313,000 | ||||
Gross amounts of netting adjustments and cash collateral | (233,281 | ) | (285,819 | ) | ||||
Net amounts after offsetting adjustments | 39,178 | 27,181 | ||||||
Derivative instruments without legal right of offset (1) | 161 | 622 | ||||||
Total derivative assets as reported in the Statement of Condition | $ | 39,339 | $ | 27,803 | ||||
Collateral not offset: | ||||||||
Collateral received or pledged - Can be sold or repledged | (17,027 | ) | — | |||||
Collateral received or pledged - Cannot be sold or repledged | — | (1,343 | ) | |||||
Net unsecured amount | $ | 22,312 | $ | 26,460 |
Derivative Liabilities | ||||||||
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Derivative instruments with legal right of offset: | ||||||||
Gross recognized amount | $ | 943,457 | $ | 884,703 | ||||
Gross amounts of netting adjustments and cash collateral | (769,107 | ) | (574,278 | ) | ||||
Net amounts after offsetting adjustments | 174,350 | 310,425 | ||||||
Derivative instruments without legal right of offset (1) | 274 | — | ||||||
Total derivative liabilities as reported in the Statement of Condition | $ | 174,624 | $ | 310,425 | ||||
Collateral not offset: | ||||||||
Collateral received or pledged - Can be sold or repledged | (83,485 | ) | — | |||||
Collateral received or pledged - Cannot be sold or repledged | — | (257,603 | ) | |||||
Net unsecured amount | $ | 91,139 | $ | 52,822 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Par value of consolidated bonds: | ||||||||
Fixed-rate | $ | 31,817,716 | $ | 31,307,129 | ||||
Step-up | 2,847,500 | 1,622,500 | ||||||
Floating-rate | 3,260,000 | 1,860,000 | ||||||
Total par value | 37,925,216 | 34,789,629 | ||||||
Bond premiums | 83,908 | 99,090 | ||||||
Bond discounts | (15,928 | ) | (18,915 | ) | ||||
Hedging adjustments | (44,099 | ) | 265,804 | |||||
Total book value | $ | 37,949,097 | $ | 35,135,608 |
June 30, 2013 | December 31, 2012 | |||||||||||||
(dollars in thousands) Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | 10,743,775 | 1.35 | % | $ | 11,543,105 | 1.14 | % | ||||||
Due after 1 year through 2 years | 7,685,115 | 1.87 | 5,850,945 | 1.94 | ||||||||||
Due after 2 years through 3 years | 4,062,965 | 1.71 | 5,617,465 | 2.32 | ||||||||||
Due after 3 years through 4 years | 1,648,340 | 2.77 | 1,706,240 | 3.24 | ||||||||||
Due after 4 years through 5 years | 4,637,475 | 1.64 | 2,941,900 | 1.86 | ||||||||||
Thereafter | 8,369,340 | 2.04 | 6,155,290 | 2.32 | ||||||||||
Index amortizing notes | 778,206 | 4.53 | 974,684 | 4.48 | ||||||||||
Total par value | $ | 37,925,216 | 1.81 | % | $ | 34,789,629 | 1.93 | % |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Noncallable | $ | 24,553,216 | $ | 26,470,629 | ||||
Callable | 13,372,000 | 8,319,000 | ||||||
Total par value | $ | 37,925,216 | $ | 34,789,629 |
(in thousands) Year of Contractual Maturity or Next Call Date | June 30, 2013 | December 31, 2012 | ||||||
Due in 1 year or less | $ | 23,765,275 | $ | 19,541,605 | ||||
Due after 1 year through 2 years | 7,070,615 | 4,791,445 | ||||||
Due after 2 years through 3 years | 2,472,965 | 5,242,465 | ||||||
Due after 3 years through 4 years | 1,258,340 | 1,590,240 | ||||||
Due after 4 years through 5 years | 1,532,975 | 1,354,400 | ||||||
Thereafter | 1,046,840 | 1,294,790 | ||||||
Index amortizing notes | 778,206 | 974,684 | ||||||
Total par value | $ | 37,925,216 | $ | 34,789,629 |
(dollars in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Book value | $ | 17,702,767 | $ | 24,148,453 | ||||
Par value | 17,706,641 | 24,154,343 | ||||||
Weighted average interest rate (1) | 0.09 | % | 0.12 | % |
June 30, 2013 | December 31, 2012 | |||||||||||||||
(dollars in thousands) | Required | Actual | Required | Actual | ||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital | $ | 1,039,085 | $ | 3,786,095 | $ | 1,029,858 | $ | 3,806,806 | ||||||||
Total capital-to-asset ratio | 4.0 | % | 6.2 | % | 4.0 | % | 5.9 | % | ||||||||
Total regulatory capital | 2,430,134 | 3,786,095 | 2,584,651 | 3,806,806 | ||||||||||||
Leverage ratio | 5.0 | % | 9.3 | % | 5.0 | % | 8.8 | % | ||||||||
Leverage capital | 3,037,667 | 5,679,143 | 3,230,814 | 5,710,209 |
(dollars in thousands) | June 30, 2013 | ||||||
Member (1) | Capital Stock | % of Total | |||||
Sovereign Bank, N.A., Wilmington, DE | $ | 604,590 | 19.1 | % | |||
Chase Bank USA, N.A, Wilmington, DE | 501,822 | 15.8 | |||||
PNC Bank, N.A., Wilmington, DE | 413,007 | 13.0 |
(dollars in thousands) | December 31, 2012 | ||||||
Member (1) | Capital Stock | % of Total | |||||
Sovereign Bank, N.A., Wilmington, DE | $ | 652,430 | 20.1 | % | |||
PNC Bank, N.A., Wilmington, DE | 358,945 | 11.1 | |||||
Chase Bank USA, N.A., Wilmington, DE | 330,066 | 10.2 |
Six months ended June 30, | ||||||||
(in thousands) | 2013 | 2012 | ||||||
Balance, beginning of the period | $ | 431,566 | $ | 45,673 | ||||
Capital stock subject to mandatory redemption reclassified from capital stock: | ||||||||
Due to withdrawals (includes mergers) | 698 | 183,205 | ||||||
Redemption of mandatorily redeemable capital stock: | ||||||||
Other redemptions (1) | (175,232 | ) | (21,152 | ) | ||||
Balance, end of the period | $ | 257,032 | $ | 207,726 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Due in 1 year or less | $ | 1,392 | $ | 50 | ||||
Due after 1 year through 2 years | 10,221 | 2,323 | ||||||
Due after 2 years through 3 years | 354 | 17,759 | ||||||
Due after 3 years through 4 years | 85,083 | 124,502 | ||||||
Due after 4 years through 5 years | 159,982 | 286,932 | ||||||
Total | $ | 257,032 | $ | 431,566 |
(in thousands) | Net Unrealized Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on HTM | Net Unrealized Gains on Hedging Activities | Pension and Post-Retirement Plans | Total | ||||||||||||||||||
March 31, 2012 | $ | 5,270 | $ | (105,746 | ) | $ | — | $ | 286 | $ | (415 | ) | $ | (100,605 | ) | |||||||||
Other comprehensive income (loss) before reclassification: | ||||||||||||||||||||||||
Net unrealized gains | 12,964 | 416 | — | — | — | 13,380 | ||||||||||||||||||
Net change in fair value of OTTI securities | — | 6,108 | — | — | — | 6,108 | ||||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||||||
Noncredit OTTI to credit OTTI | — | 2,519 | — | — | — | 2,519 | ||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 12 | 12 | ||||||||||||||||||
June 30, 2012 | $ | 18,234 | $ | (96,703 | ) | $ | — | $ | 286 | $ | (403 | ) | $ | (78,586 | ) | |||||||||
March 31, 2013 | $ | 30,552 | $ | 48,865 | $ | — | $ | 286 | $ | (944 | ) | $ | 78,759 | |||||||||||
Other comprehensive income (loss) before reclassification: | ||||||||||||||||||||||||
Net unrealized gains (losses) | (47,348 | ) | 6,381 | — | — | — | (40,967 | ) | ||||||||||||||||
Net change in fair value of OTTI securities | — | 9,003 | — | — | — | 9,003 | ||||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||||||
Amortization on hedging activities | — | — | — | 1 | — | 1 | ||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 25 | 25 | ||||||||||||||||||
June 30, 2013 | $ | (16,796 | ) | $ | 64,249 | $ | — | $ | 287 | $ | (919 | ) | $ | 46,821 |
(in thousands) | Net Unrealized Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on HTM | Net Unrealized Gains on Hedging Activities | Pension and Post-Retirement Plans | Total | ||||||||||||||||||
December 31, 2011 | $ | 5,891 | $ | (168,114 | ) | $ | — | $ | 286 | $ | (428 | ) | $ | (162,365 | ) | |||||||||
Other comprehensive income (loss) before reclassification: | ||||||||||||||||||||||||
Net unrealized gains | 12,343 | 7,510 | — | — | — | 19,853 | ||||||||||||||||||
Noncredit OTTI losses transferred | — | (662 | ) | 662 | — | — | — | |||||||||||||||||
Net change in fair value of OTTI securities | — | 55,254 | — | — | — | 55,254 | ||||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||||||
Noncredit OTTI to credit OTTI | — | 9,309 | (662 | ) | — | — | 8,647 | |||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 25 | 25 | ||||||||||||||||||
June 30, 2012 | $ | 18,234 | $ | (96,703 | ) | $ | — | $ | 286 | $ | (403 | ) | $ | (78,586 | ) | |||||||||
December 31, 2012 | $ | 35,390 | $ | 18,999 | $ | — | $ | 286 | $ | (970 | ) | $ | 53,705 | |||||||||||
Other comprehensive income (loss) before reclassification: | ||||||||||||||||||||||||
Net unrealized gains (losses) | (52,186 | ) | 21,441 | — | — | — | (30,745 | ) | ||||||||||||||||
Net change in fair value of OTTI securities | — | 23,367 | — | — | — | 23,367 | ||||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||||||
Noncredit OTTI to credit OTTI | — | 442 | — | — | — | 442 | ||||||||||||||||||
Amortization on hedging activities | — | — | — | 1 | — | 1 | ||||||||||||||||||
Amortization - pension and post-retirement | — | — | — | — | 51 | 51 | ||||||||||||||||||
June 30, 2013 | $ | (16,796 | ) | $ | 64,249 | $ | — | $ | 287 | $ | (919 | ) | $ | 46,821 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Federal funds sold | $ | 45,000 | $ | 245,000 | ||||
Investments | 174,895 | 179,610 | ||||||
Advances | 29,130,591 | 27,399,641 | ||||||
Letters of credit | 255,371 | 84,230 | ||||||
MPF loans | 1,851,709 | 2,303,281 | ||||||
Deposits | 10,827 | 5,797 | ||||||
Capital stock | 1,527,853 | 1,477,835 |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Interest income on advances (1) | $ | 31,058 | $ | 36,271 | $ | 62,180 | $ | 69,744 | ||||||||
Interest income on MPF loans | 26,126 | 33,850 | 54,312 | 70,397 |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Total MPF loan volume purchased | $ | 4,187 | $ | 25,850 | $ | 6,449 | $ | 31,575 |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Servicing fee expense | $ | 233 | $ | 180 | $ | 450 | $ | 355 | ||||||||
Interest income on MPF deposits | 2 | 2 | 6 | 3 |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||
Interest-bearing deposits maintained with FHLBank of Chicago | $ | 5,071 | $ | 11,435 |
Fair Value Summary Table | ||||||||||||||||||||||||
June 30, 2013 | ||||||||||||||||||||||||
(in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjust. | Estimated Fair Value | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 933,091 | $ | 933,091 | $ | — | $ | — | $ | — | $ | 933,091 | ||||||||||||
Interest-bearing deposits | 5,071 | — | 5,071 | — | — | 5,071 | ||||||||||||||||||
Federal funds sold | 3,790,000 | — | 3,789,987 | — | — | 3,789,987 | ||||||||||||||||||
Securities purchased under agreement to resell | 200,000 | — | 200,000 | — | — | 200,000 | ||||||||||||||||||
Trading securities | 3,864 | 3,864 | — | — | — | 3,864 | ||||||||||||||||||
AFS securities | 6,730,584 | 1,998 | 5,436,400 | 1,292,186 | — | 6,730,584 | ||||||||||||||||||
HTM securities | 4,956,657 | — | 3,971,849 | 1,025,428 | — | 4,997,277 | ||||||||||||||||||
Advances | 40,569,601 | — | 40,558,044 | — | — | 40,558,044 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,387,448 | — | 3,545,609 | — | — | 3,545,609 | ||||||||||||||||||
BOB loans, net | 11,771 | — | — | 11,771 | — | 11,771 | ||||||||||||||||||
Accrued interest receivable | 86,850 | — | 86,850 | — | — | 86,850 | ||||||||||||||||||
Derivative assets | 39,339 | — | 272,620 | — | (233,281 | ) | 39,339 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | $ | 821,222 | $ | — | $ | 821,224 | $ | — | $ | — | $ | 821,224 | ||||||||||||
Discount notes | 17,702,767 | — | 17,702,954 | — | — | 17,702,954 | ||||||||||||||||||
Bonds | 37,949,097 | — | 38,240,065 | — | — | 38,240,065 | ||||||||||||||||||
Mandatorily redeemable capital stock | 257,032 | 257,761 | — | — | — | 257,761 | ||||||||||||||||||
Accrued interest payable | 115,692 | — | 115,692 | — | — | 115,692 | ||||||||||||||||||
Derivative liabilities | 174,624 | — | 943,731 | — | (769,107 | ) | 174,624 |
December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjust. | Estimated Fair Value | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 1,350,594 | $ | 1,350,594 | $ | — | $ | — | $ | — | $ | 1,350,594 | ||||||||||||
Interest-bearing deposits | 11,435 | — | 11,435 | — | — | 11,435 | ||||||||||||||||||
Federal funds sold | 4,595,000 | — | 4,594,970 | — | — | 4,594,970 | ||||||||||||||||||
Securities purchased under agreement to resell | 2,500,000 | — | 2,499,997 | — | — | 2,499,997 | ||||||||||||||||||
Trading securities | 353,590 | 3,600 | 349,990 | — | — | 353,590 | ||||||||||||||||||
AFS securities | 5,932,248 | 1,998 | 4,505,016 | 1,425,234 | — | 5,932,248 | ||||||||||||||||||
HTM securities | 5,664,954 | — | 4,551,752 | 1,204,003 | — | 5,755,755 | ||||||||||||||||||
Advances | 40,497,787 | — | 40,668,739 | — | — | 40,668,739 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,532,549 | — | 3,791,036 | — | — | 3,791,036 | ||||||||||||||||||
BOB loans, net | 12,846 | — | — | 12,846 | — | 12,846 | ||||||||||||||||||
Accrued interest receivable | 92,685 | — | 92,685 | — | — | 92,685 | ||||||||||||||||||
Derivative assets | 27,803 | — | 313,622 | — | (285,819 | ) | 27,803 | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | $ | 999,891 | $ | — | $ | 999,893 | $ | — | $ | — | $ | 999,893 | ||||||||||||
Discount notes | 24,148,453 | — | 24,150,089 | — | — | 24,150,089 | ||||||||||||||||||
Bonds | 35,135,608 | — | 35,777,834 | — | — | 35,777,834 | ||||||||||||||||||
Mandatorily redeemable capital stock | 431,566 | 431,920 | — | — | — | 431,920 | ||||||||||||||||||
Accrued interest payable | 114,003 | — | 114,003 | — | — | 114,003 | ||||||||||||||||||
Derivative liabilities | 310,425 | — | 884,703 | — | (574,278 | ) | 310,425 |
• | Treasury curve: U.S. Treasury obligations |
• | LIBOR Swap curve: certificates of deposit |
• | CO curve: Government-sponsored enterprises, state and local agency, and other U.S. obligations |
• | Discount rate assumption. OIS curve. |
• | Forward interest rate assumption. LIBOR Swap Curve. |
• | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. |
• | To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement. |
June 30, 2013 | ||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Trading securities: | ||||||||||||||||||||
Mutual funds | $ | 3,864 | $ | — | $ | — | $ | — | $ | 3,864 | ||||||||||
Total trading securities | $ | 3,864 | $ | — | $ | — | $ | — | $ | 3,864 | ||||||||||
AFS securities: | ||||||||||||||||||||
Other U.S. obligations | $ | — | $ | 19,642 | $ | — | $ | — | $ | 19,642 | ||||||||||
GSE securities | — | 1,893,328 | — | — | 1,893,328 | |||||||||||||||
State or local agency obligations | — | 13,487 | — | — | 13,487 | |||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||
Other U.S. obligations residential MBS | — | 421,488 | — | — | 421,488 | |||||||||||||||
GSE residential MBS | — | 3,088,455 | — | — | 3,088,455 | |||||||||||||||
Private label MBS: | ||||||||||||||||||||
Private label residential MBS | — | — | 1,276,899 | — | 1,276,899 | |||||||||||||||
HELOCs | — | — | 15,287 | — | 15,287 | |||||||||||||||
Total AFS securities | $ | 1,998 | $ | 5,436,400 | $ | 1,292,186 | $ | — | $ | 6,730,584 | ||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 272,459 | $ | — | $ | (233,281 | ) | $ | 39,178 | |||||||||
Mortgage delivery commitments | — | 161 | — | — | 161 | |||||||||||||||
Total derivative assets | $ | — | $ | 272,620 | $ | — | $ | (233,281 | ) | $ | 39,339 | |||||||||
Total assets at fair value | $ | 5,862 | $ | 5,709,020 | $ | 1,292,186 | $ | (233,281 | ) | $ | 6,773,787 | |||||||||
Liabilities: | ||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 943,457 | $ | — | $ | (769,107 | ) | $ | 174,350 | |||||||||
Mortgage delivery commitments | — | 274 | — | — | 274 | |||||||||||||||
Total derivative liabilities (2) | $ | — | $ | 943,731 | $ | — | $ | (769,107 | ) | $ | 174,624 |
December 31, 2012 | ||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment(1) | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Trading securities: | ||||||||||||||||||||
U.S. Treasury bills | $ | — | $ | 349,990 | $ | — | $ | — | $ | 349,990 | ||||||||||
Mutual funds | 3,600 | — | — | — | 3,600 | |||||||||||||||
Total trading securities | $ | 3,600 | $ | 349,990 | $ | — | $ | — | $ | 353,590 | ||||||||||
AFS securities: | ||||||||||||||||||||
Other U.S. obligations | $ | — | $ | 21,016 | $ | — | $ | — | $ | 21,016 | ||||||||||
GSE securities | — | 1,169,344 | — | — | 1,169,344 | |||||||||||||||
State or local agency obligations | — | 11,130 | — | — | 11,130 | |||||||||||||||
Mutual funds | 1,998 | — | — | — | 1,998 | |||||||||||||||
Other U.S. obligations residential MBS | — | 310,705 | — | — | 310,705 | |||||||||||||||
GSE residential MBS | — | 2,992,821 | — | — | 2,992,821 | |||||||||||||||
Private label MBS: | ||||||||||||||||||||
Private label residential MBS | — | — | 1,410,476 | — | 1,410,476 | |||||||||||||||
HELOCs | — | — | 14,758 | — | 14,758 | |||||||||||||||
Total AFS securities | $ | 1,998 | $ | 4,505,016 | $ | 1,425,234 | $ | — | $ | 5,932,248 | ||||||||||
Derivative assets: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 313,000 | $ | — | $ | (285,819 | ) | $ | 27,181 | |||||||||
Mortgage delivery commitments | — | 622 | — | — | 622 | |||||||||||||||
Total derivative assets | $ | — | $ | 313,622 | $ | — | $ | (285,819 | ) | $ | 27,803 | |||||||||
Total assets at fair value | $ | 5,598 | $ | 5,168,628 | $ | 1,425,234 | $ | (285,819 | ) | $ | 6,313,641 | |||||||||
Liabilities: | ||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest rate related | $ | — | $ | 884,703 | $ | — | $ | (574,278 | ) | $ | 310,425 | |||||||||
Total derivative liabilities (2) | $ | — | $ | 884,703 | $ | — | $ | (574,278 | ) | $ | 310,425 |
(in thousands) | AFS Private Label MBS-Residential Six Months Ended June 30, 2013 | AFS Private Label MBS- HELOCs Six Months Ended June 30, 2013 | ||||||
Balance at January 1 | $ | 1,410,476 | $ | 14,758 | ||||
Total gains (losses) (realized/unrealized) included in: | ||||||||
Accretion of credit losses in interest income | (2,380 | ) | 422 | |||||
Net OTTI losses, credit portion | (345 | ) | (97 | ) | ||||
Net unrealized gains on AFS in OCI | 189 | — | ||||||
Reclassification of non-credit portion included in net income | 345 | 97 | ||||||
Net change in fair value on OTTI AFS in OCI | 23,244 | 123 | ||||||
Unrealized gains on OTTI AFS and included in OCI | 19,606 | 1,835 | ||||||
Purchases, issuances, sales, and settlements: | ||||||||
Settlements | (174,236 | ) | (1,851 | ) | ||||
Balance at June 30 | $ | 1,276,899 | $ | 15,287 | ||||
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at June 30, 2013 | $ | (345 | ) | $ | (97 | ) |
(in thousands) | AFS Private Label MBS-Residential Six Months Ended June 30, 2012 | AFS Private Label MBS- HELOCs Six Months Ended June 30, 2012 | ||||||
Balance at January 1 | $ | 1,631,361 | $ | 15,073 | ||||
Total gains (losses) (realized/unrealized) included in: | ||||||||
Accretion of credit losses in interest income | (3,187 | ) | 472 | |||||
Net OTTI losses, credit portion | (9,680 | ) | (1,084 | ) | ||||
Net unrealized gains (losses) on AFS in OCI | (169 | ) | — | |||||
Reclassification of non-credit portion included in net income | 8,225 | 1,084 | ||||||
Net change in fair value on OTTI AFS in OCI | 54,810 | 444 | ||||||
Unrealized gains on OTTI AFS and included in OCI | 7,448 | 62 | ||||||
Purchases, issuances, sales, and settlements: | ||||||||
Settlements | (226,110 | ) | (1,677 | ) | ||||
Transfer of OTTI securities from HTM to AFS | 11,268 | — | ||||||
Balance at June 30 | $ | 1,473,966 | $ | 14,374 | ||||
Total amount of (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at June 30, 2012 | $ | (12,866 | ) | $ | (612 | ) |
(in thousands) | June 30, 2013 | December 31, 2012 | ||||||||||||||
Notional amount | Expire Within One Year | Expire After One Year | Total | Total | ||||||||||||
Standby letters of credit outstanding (1) | $ | 7,535,235 | $ | 863,563 | $ | 8,398,798 | $ | 7,636,199 | ||||||||
Commitments to fund additional advances and BOB loans | 410,532 | — | 410,532 | 501,087 | ||||||||||||
Commitments to fund or purchase mortgage loans | 31,854 | — | 31,854 | 34,332 | ||||||||||||
Unsettled consolidated obligation bonds, at par (2) | 555,000 | — | 555,000 | 1,420,000 |
Exhibit 31.1 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer | |
Exhibit 31.2 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer | |
Exhibit 32.1 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer | |
Exhibit 32.2 | Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer | |
Exhibit 101 | Interactive Data File (XBRL) |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
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 we 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 is made known to us, 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 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 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. |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
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 we 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 is made known to us, 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 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 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. |
1. | I am the Chief Executive Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended June 30, 2013 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
1. | I am the Chief Financial Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended June 30, 2013 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
Transactions with Related Parties (Narrative) (Details) (USD $)
|
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
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Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
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|
Related Party Transaction [Line Items] | ||||
Net gains (losses) on derivatives and hedging activities | $ 7,152,000 | $ (4,848,000) | $ 8,736,000 | $ (841,000) |
Principal Owner [Member]
|
||||
Related Party Transaction [Line Items] | ||||
Contractual interest income | 86,000,000 | 120,700,000 | 169,900,000 | 242,500,000 |
Net gains (losses) on derivatives and hedging activities | (54,100,000) | (79,000,000) | (106,100,000) | (159,700,000) |
Total amortization of basis adjustments | $ (800,000) | $ (5,400,000) | $ (1,600,000) | $ (13,000,000) |
Consolidated Obligations (Narrative) (Details) (Subsequent Event [Member], USD $)
In Millions, unless otherwise specified |
0 Months Ended |
---|---|
Jul. 22, 2013
|
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Subsequent Event [Member]
|
|
Subsequent Event [Line Items] | |
Debt Instrument, Repurchased Face Amount | $ 658 |
Gains (Losses) on Extinguishment of Debt | $ 7.2 |
Capital (Capital Concentrations) (Details) (Capital Stock Ownership By Third Party [Member], USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
||||
---|---|---|---|---|---|---|
Capital [Line Items] | ||||||
Concentration Risk Benchmark, Percent | 10.00% | |||||
Sovereign Bank N.A. [Member]
|
||||||
Capital [Line Items] | ||||||
Concentration Risk Benchmark, Percent | 19.10% | 20.10% | ||||
Capital Stock | $ 604,590 | $ 652,430 | ||||
PNC Bank N.A. [Member]
|
||||||
Capital [Line Items] | ||||||
Concentration Risk Benchmark, Percent | 13.00% | [1] | 11.10% | [1] | ||
Capital Stock | 413,007 | [1] | 358,945 | [1] | ||
Chase Bank USA, N.A. [Member]
|
||||||
Capital [Line Items] | ||||||
Concentration Risk Benchmark, Percent | 15.80% | 10.20% | ||||
Capital Stock | $ 501,822 | $ 330,066 | ||||
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Allowance for Credit Losses
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses | Allowance for Credit Losses The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. Credit Products. The Bank manages its TCE (which includes advances, letters of credit, advance commitments, and other credit product exposure) through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral/lending policies to limit risk of loss while balancing the borrowers’ needs for a reliable source of funding. In addition, the Bank lends to its members in accordance with the Act and Finance Agency regulations. Specifically, the Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, CFIs are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At June 30, 2013 and December 31, 2012, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At June 30, 2013 and December 31, 2012, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs). Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at June 30, 2013 and December 31, 2012, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products. Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veteran Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank’s allowance for credit losses takes into consideration the credit enhancement (CE) associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. At June 30, 2013 and December 31, 2012, the MPF exposure under the FLA was $26.9 million and $29.2 million, respectively. This exposure includes both accrual and nonaccrual loans. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.9 million and $1.0 million during the second quarter 2013 and 2012, respectively and $1.8 million and $2.0 million during the six months ended June 30, 2013 and 2012, respectively. Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experience by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses in determining the allowance for credit losses. The resulting estimated losses after PMI are then reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by Master Commitment. Losses in excess of the CEs are incurred by the Bank. Individually Evaluated Mortgage Loans. The Bank evaluates certain mortgage loans for impairment individually. These loans are considered TDRs as discussed in the TDR section of this Note 8. Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF.
Allowance for Credit Losses and Recorded Investment by Impairment Methodology. Mortgage Loans - Conventional MPF.
Rollforward of Allowance for Credit Losses. BOB Loans.
Allowance for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans.
Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans.
Notes: (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. (2) Includes loans where the decision of foreclosure or 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. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. (4) Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. Real Estate Owned (REO). The Bank had $9.4 million and $10.8 million of REO reported in Other assets on the Statement of Condition at June 30, 2013 and December 31, 2012, respectively. TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that otherwise would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharged the borrower’s obligation to the Bank and the borrower did not reaffirm the debt. Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The loan modification program modifies borrower's monthly payment for a period of up to 36 months to no more than a housing expense ratio of 31% of their monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years and a housing expense ratio not to exceed 31%. This will result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged in the modified loan. If the 31% ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3%, resulting in reduced monthly principal and interest payments during the 36 month period, until the target housing expense ratio is met or the interest rate floor is hit. A TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying or decreasing the original contractual principal and interest, if applicable. All mortgage loans individually evaluated for impairment were considered TDRs at June 30, 2013. BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of reporting date. TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three and six months ended June 30, 2013 and 2012.
Certain TDRs may experience a payment default, which the Bank considers to be a loan 60 days or more delinquent. Conventional MPF loans totaling $2.2 million had experienced a payment default during the six months ended June 30, 2013, and it was immaterial during six months ended June 30, 2012. The Bank had $2.0 million and $2.9 million of TDRs on nonaccrual status at June 30, 2013 and December 31, 2012, respectively. Individually Evaluated Impaired Loans.
The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became a TDR.
Purchases, Sales and Reclassifications. During the three and six months ended June 30, 2013 and 2012, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale. |
Other-Than-Temporary Impairment (Rollforward) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||||||||||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||||||||||
Beginning balance | $ 324,482 | $ 327,952 | $ 326,024 | $ 322,589 | ||||||||
Credit losses for which OTTI was not previously recognized | 0 | 0 | 0 | 74 | ||||||||
Additional OTTI credit losses for which an OTTI charge was previously recognized(1) | 0 | [1] | 3,659 | [1] | 442 | [1] | 10,764 | [1] | ||||
Securities sold and matured during the period | 0 | 0 | (59) | 0 | ||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2) | (2,338) | [2] | (2,674) | [2] | (4,263) | [2] | (4,490) | [2] | ||||
Ending balance | $ 322,144 | $ 328,937 | $ 322,144 | $ 328,937 | ||||||||
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Accounting Adjustments, Changes in Accounting Principle and Recently Issued
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6 Months Ended |
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Jun. 30, 2013
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Accounting Adjustments [Abstract] | |
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). AB 2012-02 establishes a standard and uniform methodology for adverse classification and identification of special mention assets and off-balance sheet credit exposures at the FHLBanks, excluding investment securities. In May 2013, the Finance Agency issued Advisory Bulletin 2013-02 (AB 2013-02) which clarifies that the adverse classification requirements of AB 2012-02 will be effective for the Bank beginning January 1, 2014, and the charge-off requirements will be effective for the Bank beginning January 1, 2015. The Bank is currently assessing the provisions of AB 2012-02 and has not yet determined the effect that it will have on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition. Obligations Resulting from Joint and Several Liability Arrangements. In February 2013, the FASB issued guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date. This guidance requires an entity to measure such obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. In addition, this guidance requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. This guidance is effective for interim and annual periods beginning on or after December 15, 2013 and should be applied retrospectively to obligations with joint and several liabilities existing at the beginning of an entity’s fiscal year of adoption. The Bank's joint and several obligation associated with its consolidated obligations is within the scope of this guidance. However, this guidance will have no impact on the Bank’s Statement of Income, Statement of Comprehensive Income, or Statement of Condition. Federal Funds Rate as a Benchmark Rate. During July 2013, the FASB issued guidance permitting the use of the Federal funds effective swap rate as a benchmark interest rate for hedge accounting. This guidance allows the Bank to use this benchmark rate on a prospective basis in new or re-designated hedging relationships beginning July 17, 2013. This guidance may impact the Bank's Statement of Income, Statement of Comprehensive Income, or Statement of Condition if it elects to utilize this hedging strategy in future periods. The following pronouncements have impacted, or will impact, the Bank’s financial disclosures but will have no impact on its Statement of Income, Statement of Comprehensive Income, or Statement of Condition. Offsetting Assets and Liabilities. During December 2011, the FASB issued new disclosure requirements for assets and liabilities which are offset in the financial statements. The guidance requires presentation of both gross and net information about derivatives and repurchase agreements which are offset. This guidance was effective for the Bank beginning January 1, 2013 and was applied retrospectively. Refer to Note 9 - Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. Disclosures of Amounts Reclassified Out of Accumulated Other Comprehensive Income. During February 2013, the FASB issued guidance to improve the transparency of disclosures about reclassifications out of AOCI. The guidance requires disclosure of significant amounts reclassified out of AOCI and cross-references to other reclassification disclosures required by GAAP. This guidance was effective for the Bank beginning January 1, 2013 and was applied prospectively. Refer to Note 11- Capital for this disclosure. |
Significant Accounting Policies (Policies)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Marketable Securities, Available-for-sale Securities, Policy | The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. |
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Marketable Securities, Held-to-maturity Securities, Policy | Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the transfer or sale of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to transfer or sell an HTM security without necessarily calling into question its intent to hold other debt securities to maturity |
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Schedule Of Projected Annualized Home Price Recovery Rates |
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Impairment of Investments, Policy | The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as:
To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable-rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying the Bank's securities, in conjunction with assumptions about future changes in home prices and interest rates to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. CBSAs refer collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The OTTI Governance Committee developed a short - term housing price forecast using whole percentages ranging from (5.0)% to 7.0% over the 12 month period beginning April 1, 2013. For the vast majority of markets the short-term forecast has changes from (3.0)% to 5.0%. Thereafter, home prices were projected to recover using one of five different recovery paths. |
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Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy | Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veteran Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank’s allowance for credit losses takes into consideration the credit enhancement (CE) associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). Estimated losses exceeding the CE and SMI, if any, are incurred by the Bank. The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. Credit Products. The Bank manages its TCE (which includes advances, letters of credit, advance commitments, and other credit product exposure) through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral/lending policies to limit risk of loss while balancing the borrowers’ needs for a reliable source of funding. In addition, the Bank lends to its members in accordance with the Act and Finance Agency regulations. Specifically, the Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, CFIs are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The Act affords any security interest granted to the Bank by a member priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At June 30, 2013 and December 31, 2012, the Bank had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. The Bank continues to evaluate and make changes to its collateral guidelines, as necessary, based on current market conditions. At June 30, 2013 and December 31, 2012, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, there were no credit products considered to be troubled debt restructurings (TDRs). Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at June 30, 2013 and December 31, 2012, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products. |
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Loans and Leases Receivable, Mortgage and Mortgage-Backed Securities, Valuation, Policy | Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experience by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses in determining the allowance for credit losses. The resulting estimated losses after PMI are then reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by Master Commitment. Losses in excess of the CEs are incurred by the Bank. Individually Evaluated Mortgage Loans. The Bank evaluates certain mortgage loans for impairment individually. These loans are considered TDRs as discussed in the TDR section of this Note 8. |
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Derivatives, Policy | The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies and Finance Agency regulations. For bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives. For cleared derivatives, the Central Counterparty Clearing Houses (Clearing Houses) are the Bank's counterparties. The requirement that the Bank post initial and variation margin, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing member or the Clearing Houses fail to meet its obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing members. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives mitigates credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through a clearing member. The contractual or notional amount of derivatives reflects the involvement of the Bank in the various classes of financial instruments. The notional amount of derivatives does not measure the credit risk exposure of the Bank, and the maximum credit exposure of the Bank is substantially less than the notional amount. The maximum credit risk is defined as the estimated cost of replacing interest rate swaps, mandatory delivery contracts for mortgage loans, and purchased caps and floors that have a net positive market value, assuming the counterparty defaults and the related collateral, if any, is of no value to the Bank. In the past, the Bank’s ISDA Master Agreements have typically required segregation of the Bank’s collateral posted with the counterparty and typically did not permit re-hypothecation. In view of recent and expected continuing developments in the derivatives market, the Bank has amended some of its ISDA agreements to permit re-hypothecation (not require collateral segregation). Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. |
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Fair Value Measurement, Policy | Fair Value Hierarchy. The Bank records trading securities, AFS, derivative assets and derivative liabilities at fair value. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification within the fair value hierarchy of certain assets or liabilities. These reclassifications are reported as transfers in/out of the level as of the beginning of the quarter in which the changes occur. |
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Fair Value of Financial Instruments, Policy | To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank considers these inputs to be Level 2 inputs. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices. Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment. Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Changes in the prepayment rates can have a material effect on the fair value estimates. Prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. Accrued Interest Receivable and Payable. The fair values approximate the carrying values. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Because these estimates are made as of a specific point in time, they are susceptible to material near-term changes. The Bank is subject to credit risk on bilateral derivatives transactions due to the potential nonperformance by the derivatives counterparties, all of which are highly rated institutions. To mitigate this risk, the Bank has entered into netting arrangements for its derivative agreements. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset; if negative, a liability. The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related:
Mortgage delivery commitments:
BOB Loans. The fair value approximates the carrying value. Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms. Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently-declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure. Commitments. For fixed-rate loan commitments, fair value also considers the difference between current levels of interest rates and the committed rates. The fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements or on the estimated cost to terminate them or otherwise settle the obligations with the counterparties. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at June 30, 2013 and December 31, 2012. Commitments to Extend Credit for Mortgage Loans. Certain mortgage purchase commitments are considered derivatives. The Bank may hedge these commitments by selling TBA MBS for forward settlement. A TBA represents a forward contract for the sale of mortgage-backed securities at a future agreed upon date for an established price. The mortgage purchase commitment and the TBA used in the firm commitment hedging strategy (economic hedge) are recorded as a derivative asset or derivative liability at fair value, with changes in fair value recognized in the current period earnings. When the mortgage purchase commitment derivative settles, the current market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. |
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Fair Value Transfer, Policy | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period. |
Derivatives and Hedging Activities
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Offsetting of Derivative Assets and Derivative Liabilities [Table Text Block] | Derivatives and Hedging Activities Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest rate risk management strategies is not to eliminate interest rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's derivative agreements and the use of these agreements, see Note 11 to the audited financial statements in the Bank's 2012 Form 10-K. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Derivative transactions may be either over-the-counter with a counterparty (referred to as bilateral derivatives) or, effective June 10, 2013, over-the-counter and cleared through a Futures Commission Merchant (i.e., clearing member) with a Central Counterparty Clearing House (referred to as cleared derivatives). The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of June 30, 2013 and December 31, 2012.
Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing member and/or counterparties. The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statement of Income.
Income before assessments for the second quarter of 2013 included an increase of $3.7 million related to net gains (losses) on derivatives and hedging activities in connection with corrections of derivative valuations which should have been recorded in the year-ended December 31, 2012 and the three months ended March 31, 2013 reporting periods. Management has evaluated this adjustment in accordance with the guidance in ASC 250 (Accounting Changes and Error Corrections) and has concluded the correction is not material to any prior period or to the estimated 2013 full year income, and correction of prior period's financial statements is not required. The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the second quarter and the first six months of 2013 and 2012.
Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. The Bank had no active cash flow hedging relationships during the first six months of 2013 or 2012. As of June 30, 2013, the deferred net gains (losses) on derivative instruments in AOCI expected to be reclassified to earnings during the next twelve months, as well as the losses reclassified from AOCI into income, were not material. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies and Finance Agency regulations. For bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives. For cleared derivatives, the Central Counterparty Clearing Houses (Clearing Houses) are the Bank's counterparties. The requirement that the Bank post initial and variation margin, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing member or the Clearing Houses fail to meet its obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing members. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives mitigates credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through a clearing member. The contractual or notional amount of derivatives reflects the involvement of the Bank in the various classes of financial instruments. The notional amount of derivatives does not measure the credit risk exposure of the Bank, and the maximum credit exposure of the Bank is substantially less than the notional amount. The maximum credit risk is defined as the estimated cost of replacing interest rate swaps, mandatory delivery contracts for mortgage loans, and purchased caps and floors that have a net positive market value, assuming the counterparty defaults and the related collateral, if any, is of no value to the Bank. In the past, the Bank’s ISDA Master Agreements have typically required segregation of the Bank’s collateral posted with the counterparty and typically did not permit re-hypothecation. In view of recent and expected continuing developments in the derivatives market, the Bank has amended some of its ISDA agreements to permit re-hypothecation (not require collateral segregation). Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in its credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate fair value of all bilateral derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at June 30, 2013 was $713.0 million for which the Bank has posted cash and securities collateral with a fair value of approximately $621.8 million in the normal course of business. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $68.3 million of collateral to its derivative counterparties at June 30, 2013. In addition, the Clearing Houses have the right to require the Bank to post excess collateral based on changes in market conditions. Offsetting of Derivative Assets and Derivative Liabilities. The Bank may present derivative instruments, related cash collateral received or pledged and associated accrued interest on a net basis by clearing member and/or by counterparty when it has met the netting requirements. The following table presents separately the fair value of derivative instruments with and without the legal right of offset, including the related collateral received from or pledged to counterparties.
Notes: (1) Represents derivatives that are not subject to an enforceable netting agreement ( e.g., mortgage delivery commitments and certain interest-rate futures or forwards). |
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Derivative Instruments and Hedging Activities Disclosure | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the second quarter and the first six months of 2013 and 2012.
Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. |
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
HTM securities | $ 4,997,277 | $ 5,755,755 | ||
Derivative assets | 39,339 | 27,803 | ||
Mandatorily redeemable capital stock | 257,032 | 431,566 | 207,726 | 45,673 |
Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and due from banks | 933,091 | 1,350,594 | ||
Interest-bearing deposits | 5,071 | 11,435 | ||
Federal funds sold | 3,789,987 | 4,594,970 | ||
Securities purchased under agreement to resell | 200,000 | 2,499,997 | ||
Trading securities | 3,864 | 353,590 | ||
AFS securities | 6,730,584 | 5,932,248 | ||
HTM securities | 4,997,277 | 5,755,755 | ||
Advances | 40,558,044 | 40,668,739 | ||
Accrued interest receivable | 86,850 | 92,685 | ||
Derivative assets | 39,339 | 27,803 | ||
Deposits | 821,224 | 999,893 | ||
Mandatorily redeemable capital stock | 257,761 | 431,920 | ||
Accrued interest payable | 115,692 | 114,003 | ||
Derivative liabilities | 174,624 | 310,425 | ||
Carrying (Reported) Amount, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and due from banks | 933,091 | 1,350,594 | ||
Interest-bearing deposits | 5,071 | 11,435 | ||
Federal funds sold | 3,790,000 | 4,595,000 | ||
Securities purchased under agreement to resell | 200,000 | 2,500,000 | ||
Trading securities | 3,864 | 353,590 | ||
AFS securities | 6,730,584 | 5,932,248 | ||
HTM securities | 4,956,657 | 5,664,954 | ||
Advances | 40,569,601 | 40,497,787 | ||
Accrued interest receivable | 86,850 | 92,685 | ||
Derivative assets | 39,339 | 27,803 | ||
Deposits | 821,222 | 999,891 | ||
Mandatorily redeemable capital stock | 257,032 | 431,566 | ||
Accrued interest payable | 115,692 | 114,003 | ||
Derivative liabilities | 174,624 | 310,425 | ||
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and due from banks | 933,091 | 1,350,594 | ||
Interest-bearing deposits | 0 | 0 | ||
Federal funds sold | 0 | 0 | ||
Securities purchased under agreement to resell | 0 | 0 | ||
Trading securities | 3,864 | 3,600 | ||
AFS securities | 1,998 | 1,998 | ||
HTM securities | 0 | 0 | ||
Advances | 0 | 0 | ||
Accrued interest receivable | 0 | 0 | ||
Derivative assets | 0 | 0 | ||
Deposits | 0 | 0 | ||
Mandatorily redeemable capital stock | 257,761 | 431,920 | ||
Accrued interest payable | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and due from banks | 0 | 0 | ||
Interest-bearing deposits | 5,071 | 11,435 | ||
Federal funds sold | 3,789,987 | 4,594,970 | ||
Securities purchased under agreement to resell | 200,000 | 2,499,997 | ||
Trading securities | 0 | 349,990 | ||
AFS securities | 5,436,400 | 4,505,016 | ||
HTM securities | 3,971,849 | 4,551,752 | ||
Advances | 40,558,044 | 40,668,739 | ||
Accrued interest receivable | 86,850 | 92,685 | ||
Derivative assets | 272,620 | 313,622 | ||
Deposits | 821,224 | 999,893 | ||
Mandatorily redeemable capital stock | 0 | 0 | ||
Accrued interest payable | 115,692 | 114,003 | ||
Derivative liabilities | 943,731 | 884,703 | ||
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and due from banks | 0 | 0 | ||
Interest-bearing deposits | 0 | 0 | ||
Federal funds sold | 0 | 0 | ||
Securities purchased under agreement to resell | 0 | 0 | ||
Trading securities | 0 | 0 | ||
AFS securities | 1,292,186 | 1,425,234 | ||
HTM securities | 1,025,428 | 1,204,003 | ||
Advances | 0 | 0 | ||
Accrued interest receivable | 0 | 0 | ||
Derivative assets | 0 | 0 | ||
Deposits | 0 | 0 | ||
Mandatorily redeemable capital stock | 0 | 0 | ||
Accrued interest payable | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and due from banks | 0 | 0 | ||
Interest-bearing deposits | 0 | 0 | ||
Federal funds sold | 0 | 0 | ||
Securities purchased under agreement to resell | 0 | 0 | ||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
HTM securities | 0 | 0 | ||
Advances | 0 | 0 | ||
Accrued interest receivable | 0 | 0 | ||
Derivative assets | (233,281) | (285,819) | ||
Deposits | 0 | 0 | ||
Mandatorily redeemable capital stock | 0 | 0 | ||
Accrued interest payable | 0 | 0 | ||
Derivative liabilities | (769,107) | (574,278) | ||
Residential Portfolio Segment [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 3,545,609 | 3,791,036 | ||
Residential Portfolio Segment [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 3,387,448 | 3,532,549 | ||
Residential Portfolio Segment [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 0 | 0 | ||
Residential Portfolio Segment [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 3,791,036 | |||
Residential Portfolio Segment [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 0 | 0 | ||
Residential Portfolio Segment [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 0 | 0 | ||
Banking on Business Loans [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 11,771 | 12,846 | ||
Banking on Business Loans [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 11,771 | 12,846 | ||
Banking on Business Loans [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 0 | 0 | ||
Banking on Business Loans [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 0 | 0 | ||
Banking on Business Loans [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 11,771 | 12,846 | ||
Banking on Business Loans [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Loans | 0 | 0 | ||
Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Discount notes | 17,702,954 | 24,150,089 | ||
Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Discount notes | 17,702,767 | 24,148,453 | ||
Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Discount notes | 0 | 0 | ||
Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Discount notes | 17,702,954 | 24,150,089 | ||
Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Discount notes | 0 | 0 | ||
Discount Notes [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Discount notes | 0 | 0 | ||
Consolidated Obligation Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Bonds | 38,240,065 | 35,777,834 | ||
Consolidated Obligation Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Bonds | 37,949,097 | 35,135,608 | ||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Bonds | 0 | 0 | ||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Bonds | 38,240,065 | 35,777,834 | ||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Bonds | 0 | 0 | ||
Consolidated Obligation Bonds [Member] | Netting and Collateral [Member] | Estimate of Fair Value, Fair Value Disclosure [Member]
|
||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Bonds | $ 0 | $ 0 |
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|---|---|
Capital [Abstract] | ||||
Due in 1 year or less | $ 1,392 | $ 50 | ||
Due after 1 year through 2 years | 10,221 | 2,323 | ||
Due after 2 years through 3 years | 354 | 17,759 | ||
Due after 3 years through 4 years | 85,083 | 124,502 | ||
Due after 4 years through 5 years | 159,982 | 286,932 | ||
Total | $ 257,032 | $ 431,566 | $ 207,726 | $ 45,673 |
Background Information (Details)
|
Jun. 30, 2013
Banks
|
---|---|
Nature of Operations [Line Items] | |
Number of Federal Home Loan Banks | 12 |
Minimum [Member]
|
|
Nature of Operations [Line Items] | |
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent | 10.00% |
Held-to-Maturity (HTM) Securities (Tables)
|
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-maturity Securities | The following tables present HTM securities as of June 30, 2013 and December 31, 2012.
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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] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments | The following tables summarize the HTM securities with unrealized losses as of June 30, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
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Investments Classified by Contractual Maturity Date | Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of June 30, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
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Schedule of Interest Rate Payment Terms For Investments | Interest Rate Payment Terms. The following table details interest rate payment terms at June 30, 2013 and December 31, 2012.
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. |
Available-for-Sale (AFS) Securities (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation | The following tables present AFS securities as of June 30, 2013 and December 31, 2012.
Notes: (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion and/or amortization, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. (2) Represents the non-credit portion of an OTTI recognized during the life of the security. |
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Categories of Investments, Marketable Securities, Available-for-sale Securities [Member]
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Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Other than Temporary Impairment on Investments Recognized in Accumulated Other Comrehensive Income | The following table presents a reconciliation of the AFS OTTI loss recognized through accumulated comprehensive income (AOCI) to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of June 30, 2013 and December 31, 2012.
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Schedule of Unrealized Loss on Investments | The following tables summarize the AFS securities with unrealized losses as of June 30, 2013 and December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Note: (1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3. |
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Investments Classified by Contractual Maturity Date | Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of June 30, 2013 and December 31, 2012 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
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Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at June 30, 2013 and December 31, 2012.
Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate. |
Available-for-Sale (AFS) Securities (Narrative) (Details) (USD $)
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6 Months Ended | ||||||||||||
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Jun. 30, 2013
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Mar. 31, 2013
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Dec. 31, 2012
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Jun. 30, 2012
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Mar. 31, 2012
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Dec. 31, 2011
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Jun. 30, 2013
Private label residential MBS [Member]
loan
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Jun. 30, 2012
Private label residential MBS [Member]
loan
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Jun. 30, 2012
Mortgage-backed Securities, Issued by Private Enterprises [Member]
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Jun. 30, 2013
SERP [Member]
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Dec. 31, 2012
SERP [Member]
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Jun. 30, 2013
Available-for-sale Securities [Member]
MBS [Member]
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Dec. 31, 2012
Available-for-sale Securities [Member]
MBS [Member]
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Schedule of Available-for-sale Securities [Line Items] | |||||||||||||
Supplemental retirement obligation | $ 4,300,000 | $ 4,600,000 | |||||||||||
Net purchased discounts | (9,700,000) | (8,000,000) | |||||||||||
Credit losses | (322,144,000) | (324,482,000) | (326,024,000) | (328,937,000) | (327,952,000) | (322,589,000) | (268,700,000) | (293,500,000) | |||||
Other Than Temporary Impairment Credit Losses Recognized In Earnings Interest Accretion Adjustment | (900,000) | 1,100,000 | |||||||||||
Number of securities transferred from HTM to AFS | 0 | 1 | |||||||||||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Amortized Cost Basis | 11,900,000 | ||||||||||||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income | 700,000 | ||||||||||||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | $ 11,200,000 |
Capital (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | The following table demonstrates the Bank’s compliance with these capital requirements at June 30, 2013 and December 31, 2012.
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Schedule of Concentration in Capital Stock Held |
Note: (1) For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. |
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Schedule of Mandatorily Redeemable Capital Stock | The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the six months ended June 30, 2013 and 2012.
Note: (1) Reflects the impact on mandatorily redeemable capital stock related to partial excess capital stock repurchases. |
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Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at June 30, 2013 and December 31, 2012.
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Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for the three months ended June 30, 2013 and 2012.
The following table summarizes the changes in AOCI for the six months ended June 30, 2013 and 2012.
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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Trading Securities [Abstract] | ||||
Net unrealized gains on trading securities held at period-end | $ 53 | $ 129 | $ 319 | $ 241 |
Net realized (losses) on securities sold/matured during the period | (1) | (418) | (36) | (95) |
Net gains (losses) on trading securities | $ 52 | $ (289) | $ 283 | $ 146 |
Allowance for Credit Losses (Tables)
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Jun. 30, 2013
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Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Past Due Financing Receivables | Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans.
Notes: (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, adjustments for fair value hedges and direct write-downs. The recorded investment is not net of any valuation allowance. (2) Includes loans where the decision of foreclosure or 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. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. (4) Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
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Troubled Debt Restructurings on Financing Receivables | TDR Modifications. The following table presents the pre-modification and post-modification recorded investment balance, as of the modification date, for loans that became TDRs during the three and six months ended June 30, 2013 and 2012.
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Individually Evaluated Impared Loan Statistic By Product Level | Individually Evaluated Impaired Loans.
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Impaired Financing Receivables | The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became a TDR.
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Residential Portfolio Segment [Member]
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Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses on Financing Receivables | Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF.
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Allowance for Credit Losses and Recorded Investment By Impairment Methodology |
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Banking on Business Loans [Member]
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Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses on Financing Receivables | Rollforward of Allowance for Credit Losses. BOB Loans.
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Allowance for Credit Losses and Recorded Investment By Impairment Methodology |
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Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
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Jun. 30, 2012
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Conventional Loan [Member]
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Recorded Investment | ||
With no related allowance | $ 504 | $ 507 |
With a related allowance | 13,326 | 12,449 |
Total recorded investment | 13,830 | 12,956 |
Unpaid Principal Balance | ||
With no related allowance | 501 | 504 |
With a related allowance | 13,281 | 12,388 |
Total | 13,782 | 12,892 |
Related Allowance for Credit Losses | 737 | 642 |
Banking on Business Loans [Member]
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Recorded Investment | ||
With a related allowance | 149 | 280 |
Total recorded investment | 149 | 280 |
Unpaid Principal Balance | ||
With a related allowance | 149 | 280 |
Total | 149 | 280 |
Related Allowance for Credit Losses | $ 66 | $ 100 |
Allowance for Credit Losses (TDR Modifications) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Financing Receivable, Modifications [Line Items] | ||||
Average Recorded Investment | $ 14,404 | $ 4,557 | $ 13,942 | $ 4,637 |
Pre-Modification | 3,364 | 298 | 6,376 | 961 |
Post-Modification | 3,311 | 298 | 6,323 | 926 |
Interest Income Recognized | 179 | 64 | 339 | 132 |
Conventional Loan [Member]
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Financing Receivable, Modifications [Line Items] | ||||
Pre-Modification | 3,295 | 298 | 6,168 | 961 |
Post-Modification | 3,243 | 298 | 6,116 | 926 |
Banking on Business Loans [Member]
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Financing Receivable, Modifications [Line Items] | ||||
Pre-Modification | 69 | 0 | 208 | 0 |
Post-Modification | 68 | 0 | 207 | 0 |
Banking on Business Loans [Member]
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Financing Receivable, Modifications [Line Items] | ||||
Average Recorded Investment | 180 | 0 | 280 | 17 |
Interest Income Recognized | 0 | 0 | 0 | |
Conventional Loan [Member]
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Financing Receivable, Modifications [Line Items] | ||||
Average Recorded Investment | 14,224 | 4,557 | 13,662 | 4,620 |
Interest Income Recognized | $ 179 | $ 64 | $ 339 | $ 132 |
Trading Securities (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Trading Securities | The following table presents trading securities as of June 30, 2013 and December 31, 2012.
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Categories of Investments, Marketable Securities, Trading Securities [Member]
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Gains (Losses) on Trading Securities | The following table presents net gains (losses) on trading securities for the second quarter and the first six months of 2013 and 2012.
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Statement of Cash Flows (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |
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Jun. 30, 2013
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Jun. 30, 2012
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OPERATING ACTIVITIES | ||
Net income | $ 60,665 | $ 45,000 |
Adjustments to reconcile net income to net cash provided by(used in) operating activities: | ||
Depreciation and amortization | (17,225) | 9,338 |
Change in net fair value adjustment on derivative and hedging activities | 12,738 | 24,640 |
Net OTTI credit losses | 442 | 10,838 |
Other adjustments | (1,344) | 114 |
Net change in: | ||
Trading securities | 349,726 | 250,440 |
Accrued interest receivable | 5,864 | 9,040 |
Other assets | 569 | 1,206 |
Accrued interest payable | 1,686 | (4,743) |
Other liabilities | 2,172 | 1,208 |
Total adjustments | 354,628 | 302,081 |
Net cash provided by operating activities | 415,293 | 347,081 |
Net change in: | ||
Interest-bearing deposits (including $6,364 and $10,685 to other FHLBanks for mortgage loan program) | (213,618) | 46,834 |
Securities purchased under agreements to resell | 2,300,000 | (1,915,000) |
Federal funds sold | 805,000 | 1,250,000 |
Premises, software and equipment, net | (1,274) | (1,809) |
AFS securities: | ||
Proceeds | 834,893 | 1,199,827 |
Purchases | (1,537,301) | (2,374,812) |
HTM securities: | ||
Net change in short-term | 0 | (850,000) |
Proceeds from long-term | 708,794 | 790,858 |
Advances: | ||
Proceeds | 126,972,396 | 80,848,993 |
Made | (127,239,997) | (83,967,159) |
Mortgage loans held for portfolio: | ||
Proceeds | 452,744 | 478,046 |
Purchases | (304,608) | (217,948) |
Net cash provided by (used in) investing activities | 2,777,029 | (4,712,170) |
Net change in: | ||
Deposits and pass-through reserves | (206,068) | 15,712 |
Net payments for derivative contracts with financing element | (16,007) | (31,364) |
Net proceeds from issuance of consolidated obligations: | ||
Discount notes | 166,621,396 | 180,216,655 |
Bonds (none from other FHLBanks) | 19,167,722 | 13,783,809 |
Payments for maturing and retiring consolidated obligations: | ||
Discount notes | (173,065,342) | (174,878,608) |
Bonds | (16,030,078) | (14,968,585) |
Proceeds from issuance of capital stock | 622,717 | 159,119 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (175,232) | (21,152) |
Payments for repurchase/redemption of capital stock | (524,672) | (255,958) |
Cash dividends paid | (4,261) | (1,640) |
Net cash (used in) provided by financing activities | (3,609,825) | 4,017,988 |
Net (decrease) in cash and cash equivalents | (417,503) | (347,101) |
Cash and cash equivalents at beginning of the period | 1,350,594 | 634,278 |
Cash and cash equivalents at end of the period | 933,091 | 287,177 |
Supplemental disclosures: | ||
Interest paid | 233,308 | 307,120 |
AHP payments, net | 2,105 | 1,706 |
Transfer of mortgage loans to real estate owned | 10,217 | 11,379 |
Non-cash transfer of OTTI HTM securities to AFS | $ 0 | $ 11,268 |
Statement of Changes in Capital (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | $ 3,428,945 | $ 3,662,838 | ||
Issuance of capital stock | 622,717 | 159,119 | ||
Repurchase/redemption of capital stock | (524,672) | (255,958) | ||
Net shares reclassified to mandatorily redeemable capital stock | (698) | (183,205) | ||
Comprehensive income | 101 | 45,239 | 53,781 | 128,779 |
Cash dividends | (4,189) | (1,640) | ||
Total capital, ending balance | 3,575,884 | 3,509,933 | 3,575,884 | 3,509,933 |
Capital Stock
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 2,815,965 | 3,389,863 | ||
Balance, shares beginning balance | 28,160 | 33,899 | ||
Issuance of capital stock | 622,717 | 159,119 | ||
Issuance of capital stock, shares | 6,227 | 1,591 | ||
Repurchase/redemption of capital stock | (524,672) | (255,958) | ||
Repurchase/redemption of capital stock, shares | (5,247) | (2,560) | ||
Net shares reclassified to mandatorily redeemable capital stock | (698) | (183,205) | ||
Net shares reclassified to mandatorily redeemable capital stock, shares | (7) | (1,832) | ||
Total capital, ending balance | 2,913,312 | 3,109,819 | 2,913,312 | 3,109,819 |
Balance, shares ending balance | 29,133 | 31,098 | 29,133 | 31,098 |
Retained Earnings, Unrestricted
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 528,767 | 430,774 | ||
Comprehensive income | 48,532 | 36,000 | ||
Cash dividends | (4,189) | (1,640) | ||
Total capital, ending balance | 573,110 | 465,134 | 573,110 | 465,134 |
Retained Earnings, Restricted
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 30,508 | 4,566 | ||
Comprehensive income | 12,133 | 9,000 | ||
Total capital, ending balance | 42,641 | 13,566 | 42,641 | 13,566 |
Retained Earnings Total
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 559,275 | 435,340 | ||
Comprehensive income | 60,665 | 45,000 | ||
Cash dividends | (4,189) | (1,640) | ||
Total capital, ending balance | 615,751 | 478,700 | 615,751 | 478,700 |
Accumulated Other Comprehensive Income (Loss)
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Total capital, beginning balance | 53,705 | (162,365) | ||
Comprehensive income | (6,884) | 83,779 | ||
Total capital, ending balance | $ 46,821 | $ (78,586) | $ 46,821 | $ (78,586) |
Trading Securities
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Trading Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities | Trading Securities The following table presents trading securities as of June 30, 2013 and December 31, 2012.
The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $3.9 million and $3.7 million at June 30, 2013 and December 31, 2012, respectively, as reported in Other liabilities in the Statement of Condition. The following table presents net gains (losses) on trading securities for the second quarter and the first six months of 2013 and 2012.
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Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) (Consolidated Obligation Bonds [Member], USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | $ 37,925,216 | $ 34,789,629 |
Non Callable [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | 24,553,216 | 26,470,629 |
Callable [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | $ 13,372,000 | $ 8,319,000 |
Background Information
|
6 Months Ended |
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Jun. 30, 2013
|
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Nature of Operations [Abstract] | |
Nature of Operations | Background Information The Bank, a federally chartered corporation, is one of 12 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock. All members must purchase stock in the Bank. The amount of capital stock a member owns is based on outstanding advances, letters of credit, membership asset value, and the principal balance of certain residential mortgage loans previously sold to the Bank. The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 12 - Transactions with Related Parties for additional information. The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to provide effective supervision, regulation and housing mission oversight of the FHLBanks to promote their safety and soundness, support housing finance and affordable housing, and support a stable and liquid mortgage market. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits. As provided by the Housing and Economic Recovery Act of 2008 as amended (Housing Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement. The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. These reclassifications did not have a material impact on the Bank's Statement of Condition or Statement of Income. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2012 included in the Bank's 2012 Form 10-K. |
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
||||||
---|---|---|---|---|---|---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | $ 6,683,131 | $ 5,877,858 | [1] | |||||
OTTI Recognized in AOCI | (5,864) | (29,674) | [2] | |||||
Gross Unrealized Gains | 83,359 | 85,653 | ||||||
Gross Unrealized Losses | (30,042) | (1,589) | ||||||
Fair Value | 6,730,584 | 5,932,248 | ||||||
Total Non-MBS [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 1,938,482 | 1,204,243 | [1] | |||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 540 | 317 | ||||||
Gross Unrealized Losses | (10,567) | (1,072) | ||||||
Fair Value | 1,928,455 | 1,203,488 | ||||||
Mutual Funds [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 1,993 | [1] | 1,993 | [1] | ||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 5 | 5 | ||||||
Gross Unrealized Losses | 0 | 0 | ||||||
Fair Value | 1,998 | 1,998 | ||||||
Other U.S. obligations [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 19,950 | [1] | 21,000 | [1] | ||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 0 | 16 | ||||||
Gross Unrealized Losses | (308) | 0 | ||||||
Fair Value | 19,642 | 21,016 | ||||||
GSE securities [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 1,901,559 | [1] | 1,169,850 | [1] | ||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 535 | 296 | ||||||
Gross Unrealized Losses | (8,766) | (802) | ||||||
Fair Value | 1,893,328 | 1,169,344 | ||||||
State or local agency obligations [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 14,980 | [1] | 11,400 | [1] | ||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 0 | 0 | ||||||
Gross Unrealized Losses | (1,493) | (270) | ||||||
Fair Value | 13,487 | 11,130 | ||||||
Total MBS [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 4,744,649 | 4,673,615 | [1] | |||||
OTTI Recognized in AOCI | (5,864) | (29,674) | [2] | |||||
Gross Unrealized Gains | 82,819 | 85,336 | ||||||
Gross Unrealized Losses | (19,475) | (517) | ||||||
Fair Value | 4,802,129 | 4,728,760 | ||||||
Other US obligations MBS [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 422,248 | [1] | 310,541 | [1] | ||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 73 | 284 | ||||||
Gross Unrealized Losses | (833) | (120) | ||||||
Fair Value | 421,488 | 310,705 | ||||||
GSE residential MBS [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 3,094,285 | [1] | 2,956,471 | [1] | ||||
OTTI Recognized in AOCI | 0 | [2] | 0 | [2] | ||||
Gross Unrealized Gains | 12,633 | 36,379 | ||||||
Gross Unrealized Losses | (18,463) | (29) | ||||||
Fair Value | 3,088,455 | 2,992,821 | ||||||
Private label MBS [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 1,228,116 | 1,406,603 | [1] | |||||
OTTI Recognized in AOCI | (5,864) | (29,674) | [2] | |||||
Gross Unrealized Gains | 70,113 | 48,673 | ||||||
Gross Unrealized Losses | (179) | (368) | ||||||
Fair Value | 1,292,186 | 1,425,234 | ||||||
Private label residential MBS [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 1,214,980 | [1] | 1,391,941 | [1] | ||||
OTTI Recognized in AOCI | (5,552) | [2] | (29,142) | [2] | ||||
Gross Unrealized Gains | 67,650 | 48,045 | ||||||
Gross Unrealized Losses | (179) | (368) | ||||||
Fair Value | 1,276,899 | 1,410,476 | ||||||
HELOCs [Member]
|
||||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Amortized Cost | 13,136 | [1] | 14,662 | [1] | ||||
OTTI Recognized in AOCI | (312) | [2] | (532) | [2] | ||||
Gross Unrealized Gains | 2,463 | 628 | ||||||
Gross Unrealized Losses | 0 | 0 | ||||||
Fair Value | $ 15,287 | $ 14,758 | ||||||
|
Other-Than-Temporary Impairment (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Other Than Temporary Impairment [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule Of Projected Annualized Home Price Recovery Rates |
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Schedule of Other Than Temporarily Impaired Charges of Securities | The "Total OTTI securities" balances below summarize the Bank’s securities as of June 30, 2013 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.
Notes: (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion and/or amortization, collection of cash, and/or previous OTTI recognized in earnings. |
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Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three and six months ended June 30, 2013 and 2012.
Notes: (1) For the three months ended June 30, 2013 and 2012, OTTI "previously recognized" represents securities that were impaired prior to April 1, 2013 and 2012. For the six months ended June 30, 2013 and 2012, OTTI "previously recognized" represents securities that were impaired prior to January 1, 2013 and 2012. (2) This activity represents the increase in cash flows recognized in interest income during the period. |
Derivatives and Hedging Activities (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables summarize the notional and fair value of derivative instruments as of June 30, 2013 and December 31, 2012.
Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing member and/or counterparties. |
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statement of Income.
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Derivative Instruments and Hedging Activities Disclosure | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the second quarter and the first six months of 2013 and 2012.
Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. |
Consolidated Obligations (Interest Rate Payment Terms) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total book value | $ 37,949,097 | $ 35,135,608 |
Consolidated Obligation Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | 37,925,216 | 34,789,629 |
Unamortized premiums | 83,908 | 99,090 |
Unamortized discount | (15,928) | (18,915) |
Hedging adjustments | (44,099) | 265,804 |
Total book value | 37,949,097 | 35,135,608 |
Fixed Interest Rate [Member] | Consolidated Obligation Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | 31,817,716 | 31,307,129 |
Step Up [Member] | Consolidated Obligation Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | 2,847,500 | 1,622,500 |
Floating Interest Rate [Member] | Consolidated Obligation Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated bonds | $ 3,260,000 | $ 1,860,000 |
Commitments and Contingencies (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments | The following table presents the Bank's various off-balance sheet commitments which are described in detail below.
Notes: (1) Includes approved requests to issue future standby letters of credit of $633.7 million and $400.3 million at June 30, 2013 and December 31, 2012, respectively. (2) Includes $0.5 billion and $1.4 billion of consolidated obligation bonds which were hedged with associated interest rate swaps at June 30, 2013 and December 31, 2012, respectively. |
Derivatives and Hedging Activities (Narrative) (Details) (USD $)
In Millions, unless otherwise specified |
3 Months Ended |
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Jun. 30, 2013
|
|
Derivative [Line Items] | |
Immaterial Error Correction | 3.7 |
Derivative, Net Liability Position, Aggregate Fair Value | $ 713.0 |
Collateral Already Posted, Aggregate Fair Value | 621.8 |
Additional Collateral, Aggregate Fair Value | $ 68.3 |
Advances (Narrative) (Details) (USD $)
In Billions, unless otherwise specified |
Jun. 30, 2013
Institutions
|
Dec. 31, 2012
Institutions
|
---|---|---|
Advances [Line Items] | ||
Convertible Advances Outstanding | $ 2.3 | $ 2.6 |
Federal Home Loan Bank, Advances, Returnable | 9.0 | 6.4 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 30.1 | $ 31.7 |
Number Of Top Advances Borrowers | 5 | 5 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 75.50% | 79.90% |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | 3 | 4 |
Minimum [Member]
|
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Advances [Line Items] | ||
Interest rate of advances | 0.00% | |
AHP subsidized loans, interest rate | 0.00% | |
Maximum [Member]
|
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Advances [Line Items] | ||
Interest rate of advances | 7.40% | |
AHP subsidized loans, interest rate | 5.50% |