x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 04-6002575 (I.R.S. employer identification number) | |||
800 Boylston Street Boston, MA (Address of principal executive offices) | 02199 (Zip code) |
Large accelerated filer o | Accelerated filer o | |
Non-accelerated filer x (Do not check if a smaller reporting company) | Smaller reporting company o |
Shares outstanding as of October 31, 2012 | ||
Class A Stock, par value $100 | zero | |
Class B Stock, par value $100 | 36,542,526 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CONDITION (dollars and shares in thousands, except par value) (unaudited) | |||||||
September 30, 2012 | December 31, 2011 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 306,166 | $ | 112,094 | |||
Interest-bearing deposits | 261 | 177 | |||||
Securities purchased under agreements to resell | 5,125,000 | 6,900,000 | |||||
Federal funds sold | 1,100,000 | 2,270,000 | |||||
Investment securities: | |||||||
Trading securities | 279,420 | 274,164 | |||||
Available-for-sale securities - includes $8,313 and $119,118 pledged as collateral at September 30, 2012, and December 31, 2011, respectively that may be repledged | 5,764,096 | 5,280,199 | |||||
Held-to-maturity securities - includes $105,687 and $128,073 pledged as collateral at September 30, 2012, and December 31, 2011, respectively that may be repledged (a) | 5,679,296 | 6,655,008 | |||||
Total investment securities | 11,722,812 | 12,209,371 | |||||
Advances | 23,915,687 | 25,194,898 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses of $5,514 and $7,800 at September 30, 2012, and December 31, 2011, respectively | 3,431,534 | 3,109,223 | |||||
Accrued interest receivable | 95,950 | 116,517 | |||||
Premises, software, and equipment, net | 3,907 | 4,518 | |||||
Derivative assets, net | 529 | 16,521 | |||||
Other assets | 40,689 | 35,018 | |||||
Total Assets | $ | 45,742,535 | $ | 49,968,337 | |||
LIABILITIES | |||||||
Deposits: | |||||||
Interest-bearing | $ | 648,781 | $ | 627,127 | |||
Non-interest-bearing | 36,547 | 27,119 | |||||
Total deposits | 685,328 | 654,246 | |||||
Consolidated obligations: | |||||||
Bonds | 28,238,899 | 29,879,460 | |||||
Discount notes | 11,993,572 | 14,651,793 | |||||
Total consolidated obligations | 40,232,471 | 44,531,253 | |||||
Mandatorily redeemable capital stock | 215,863 | 227,429 | |||||
Accrued interest payable | 128,966 | 110,782 | |||||
Affordable Housing Program (AHP) payable | 45,733 | 34,241 | |||||
Derivative liabilities, net | 949,735 | 905,304 | |||||
Other liabilities | 17,863 | 16,048 | |||||
Total liabilities | 42,275,959 | 46,479,303 | |||||
Commitments and contingencies (Note 18) | |||||||
CAPITAL | |||||||
Capital stock – Class B – putable ($100 par value), 34,330 shares and 36,253 shares issued and outstanding at September 30, 2012, and December 31, 2011, respectively | 3,433,016 | 3,625,348 | |||||
Retained earnings: | |||||||
Unrestricted | 484,574 | 375,158 | |||||
Restricted | 53,660 | 22,939 | |||||
Total retained earnings | 538,234 | 398,097 | |||||
Accumulated other comprehensive loss | (504,674 | ) | (534,411 | ) | |||
Total capital | 3,466,576 | 3,489,034 | |||||
Total Liabilities and Capital | $ | 45,742,535 | $ | 49,968,337 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF OPERATIONS (dollars in thousands) (unaudited) | |||||||||||||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
INTEREST INCOME | |||||||||||||||
Advances | $ | 72,551 | $ | 80,163 | $ | 225,037 | $ | 249,670 | |||||||
Prepayment fees on advances, net | 11,874 | 9,066 | 44,348 | 20,393 | |||||||||||
Securities purchased under agreements to resell | 2,455 | 502 | 7,069 | 1,447 | |||||||||||
Federal funds sold | 463 | 2,211 | 1,491 | 5,969 | |||||||||||
Trading securities | 2,522 | 3,034 | 7,608 | 13,270 | |||||||||||
Available-for-sale securities | 19,106 | 15,374 | 50,869 | 49,425 | |||||||||||
Held-to-maturity securities | 35,057 | 42,647 | 111,445 | 123,476 | |||||||||||
Prepayment fees on investments | 139 | 806 | 341 | 1,355 | |||||||||||
Mortgage loans held for portfolio | 34,214 | 37,267 | 103,527 | 113,456 | |||||||||||
Other | 2 | 1 | 3 | 2 | |||||||||||
Total interest income | 178,383 | 191,071 | 551,738 | 578,463 | |||||||||||
INTEREST EXPENSE | |||||||||||||||
Consolidated obligations - bonds | 101,584 | 108,896 | 311,943 | 345,012 | |||||||||||
Consolidated obligations - discount notes | 3,726 | 1,546 | 8,222 | 8,808 | |||||||||||
Deposits | 11 | 42 | 42 | 244 | |||||||||||
Mandatorily redeemable capital stock | 260 | 177 | 834 | 446 | |||||||||||
Other borrowings | 1 | — | 2 | 3 | |||||||||||
Total interest expense | 105,582 | 110,661 | 321,043 | 354,513 | |||||||||||
NET INTEREST INCOME | 72,801 | 80,410 | 230,695 | 223,950 | |||||||||||
Reduction of provision for credit losses | (523 | ) | — | (2,057 | ) | (1,458 | ) | ||||||||
NET INTEREST INCOME AFTER REDUCTION OF PROVISION FOR CREDIT LOSSES | 73,324 | 80,410 | 232,752 | 225,408 | |||||||||||
OTHER INCOME (LOSS) | |||||||||||||||
Total other-than-temporary impairment losses on investment securities | (2,077 | ) | (8,336 | ) | (14,218 | ) | (31,982 | ) | |||||||
Net amount of impairment losses reclassified to (from) accumulated other comprehensive loss | 985 | 1,126 | 8,674 | (41,606 | ) | ||||||||||
Net other-than-temporary impairment losses on investment securities, credit portion | (1,092 | ) | (7,210 | ) | (5,544 | ) | (73,588 | ) | |||||||
Loss on early extinguishment of debt | (4,992 | ) | — | (16,993 | ) | — | |||||||||
Service fees | 1,483 | 2,046 | 4,474 | 6,503 | |||||||||||
Net unrealized gains on trading securities | 4,669 | 13,638 | 8,291 | 17,594 | |||||||||||
Net losses on derivatives and hedging activities | (2,086 | ) | (17,474 | ) | (8,509 | ) | (23,527 | ) | |||||||
Realized net gain from sale of available-for-sale securities | — | — | — | 12,801 | |||||||||||
Other | 228 | 131 | 2,753 | 469 | |||||||||||
Total other loss | (1,790 | ) | (8,869 | ) | (15,528 | ) | (59,748 | ) | |||||||
OTHER EXPENSE | |||||||||||||||
Compensation and benefits | 8,405 | 8,111 | 25,723 | 24,366 | |||||||||||
Other operating expenses | 4,380 | 5,656 | 13,442 | 14,974 | |||||||||||
Federal Housing Finance Agency | 1,073 | 1,162 | 3,472 | 3,622 | |||||||||||
Office of Finance | 625 | 665 | 2,066 | 2,156 | |||||||||||
Other | 556 | 388 | 1,753 | 3,987 | |||||||||||
Total other expense | 15,039 | 15,982 | 46,456 | 49,105 | |||||||||||
INCOME BEFORE ASSESSMENTS | 56,495 | 55,559 | 170,768 | 116,555 | |||||||||||
AHP | 5,675 | 5,573 | 17,160 | 10,592 | |||||||||||
Resolution Funding Corporation (REFCorp) | — | — | — | 11,078 | |||||||||||
Total assessments | 5,675 | 5,573 | 17,160 | 21,670 | |||||||||||
NET INCOME | $ | 50,820 | $ | 49,986 | $ | 153,608 | $ | 94,885 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF COMPREHENSIVE INCOME THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2012 and 2011 (dollars in thousands) (unaudited) | ||||||||||||||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Net income | $ | 50,820 | $ | 49,986 | $ | 153,608 | $ | 94,885 | ||||||||
Other comprehensive income: | ||||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | ||||||||||||||||
Net unrealized gains (losses) | 17,525 | (30,389 | ) | 15,643 | (5,552 | ) | ||||||||||
Reclassification adjustment for realized gains included in net income | — | — | — | (12,801 | ) | |||||||||||
Total net unrealized gains (losses) on available-for-sale securities | 17,525 | (30,389 | ) | 15,643 | (18,353 | ) | ||||||||||
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | ||||||||||||||||
Noncredit portion | (2,013 | ) | (5,231 | ) | (10,931 | ) | (16,910 | ) | ||||||||
Reclassification adjustment for noncredit portion of other-than-temporary impairment losses recognized as credit losses included in net income | 1,028 | 4,105 | 2,257 | 58,516 | ||||||||||||
Accretion of noncredit portion | 17,838 | 35,288 | 56,131 | 125,197 | ||||||||||||
Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | 16,853 | 34,162 | 47,457 | 166,803 | ||||||||||||
Net unrealized (losses) gains relating to hedging activities | ||||||||||||||||
Unrealized losses | (10,448 | ) | (25,158 | ) | (32,874 | ) | (26,843 | ) | ||||||||
Reclassification adjustment for previously deferred hedging gains and losses included in net income | 4 | 4 | 11 | 11 | ||||||||||||
Total net unrealized losses relating to hedging activities | (10,444 | ) | (25,154 | ) | (32,863 | ) | (26,832 | ) | ||||||||
Pension and postretirement benefits | (166 | ) | (75 | ) | (500 | ) | (224 | ) | ||||||||
Total other comprehensive income (loss) | 23,768 | (21,456 | ) | 29,737 | 121,394 | |||||||||||
Total comprehensive income | $ | 74,588 | $ | 28,530 | $ | 183,345 | $ | 216,279 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CAPITAL NINE MONTHS ENDED SEPTEMBER 30, 2012 AND 2011 (dollars and shares in thousands) (unaudited) | ||||||||||||||||||||||||||
Capital Stock Class B – Putable | Retained Earnings | Accumulated Other Comprehensive Loss | ||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Total Capital | |||||||||||||||||||||
BALANCE, DECEMBER 31, 2010 | 36,644 | $ | 3,664,425 | $ | 249,191 | $ | — | $ | 249,191 | $ | (638,111 | ) | $ | 3,275,505 | ||||||||||||
Proceeds from sale of capital stock | 601 | 60,145 | 60,145 | |||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (1,408 | ) | (140,821 | ) | (140,821 | ) | ||||||||||||||||||||
Comprehensive income | 84,888 | 9,997 | 94,885 | 121,394 | 216,279 | |||||||||||||||||||||
Cash dividends on capital stock | (7,980 | ) | (7,980 | ) | (7,980 | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2011 | 35,837 | $ | 3,583,749 | $ | 326,099 | $ | 9,997 | $ | 336,096 | $ | (516,717 | ) | $ | 3,403,128 | ||||||||||||
BALANCE, DECEMBER 31, 2011 | 36,253 | $ | 3,625,348 | $ | 375,158 | $ | 22,939 | $ | 398,097 | $ | (534,411 | ) | $ | 3,489,034 | ||||||||||||
Proceeds from sale of capital stock | 461 | 46,094 | 46,094 | |||||||||||||||||||||||
Repurchase of capital stock | (2,374 | ) | (237,412 | ) | (237,412 | ) | ||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (10 | ) | (1,014 | ) | (1,014 | ) | ||||||||||||||||||||
Comprehensive income | 122,887 | 30,721 | 153,608 | 29,737 | 183,345 | |||||||||||||||||||||
Cash dividends on capital stock | (13,471 | ) | (13,471 | ) | (13,471 | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2012 | 34,330 | $ | 3,433,016 | $ | 484,574 | $ | 53,660 | $ | 538,234 | $ | (504,674 | ) | $ | 3,466,576 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CASH FLOWS (dollars in thousands) (unaudited) | |||||||
For the Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
OPERATING ACTIVITIES | |||||||
Net income | $ | 153,608 | $ | 94,885 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Depreciation and amortization | (13,299 | ) | (2,779 | ) | |||
Reduction of provision for credit losses | (2,057 | ) | (1,458 | ) | |||
Change in net fair-value adjustments on derivatives and hedging activities | 85,822 | 62,316 | |||||
Net other-than-temporary impairment losses on investment securities, credit portion | 5,544 | 73,588 | |||||
Loss on early extinguishment of debt | 16,993 | — | |||||
Realized net gain from sale of available-for-sale securities | — | (12,801 | ) | ||||
Other adjustments | (312 | ) | (400 | ) | |||
Net change in: | |||||||
Market value of trading securities | (8,291 | ) | (17,594 | ) | |||
Accrued interest receivable | 20,567 | 34,883 | |||||
Other assets | 2,150 | 2,114 | |||||
Accrued interest payable | 18,181 | 1,929 | |||||
Other liabilities | 12,393 | 17,620 | |||||
Total adjustments | 137,691 | 157,418 | |||||
Net cash provided by operating activities | 291,299 | 252,303 | |||||
INVESTING ACTIVITIES | |||||||
Net change in: | |||||||
Interest-bearing deposits | (84 | ) | (74 | ) | |||
Securities purchased under agreements to resell | 1,775,000 | (1,325,000 | ) | ||||
Federal funds sold | 1,170,000 | 2,205,000 | |||||
Premises, software, and equipment | (784 | ) | (2,168 | ) | |||
Trading securities: | |||||||
Net decrease in short-term | — | 5,320,000 | |||||
Proceeds from long-term | 3,035 | 3,433 | |||||
Available-for-sale securities: | |||||||
Proceeds from long-term | 1,128,619 | 2,510,471 | |||||
Purchases of long-term | (1,615,479 | ) | (492,011 | ) | |||
Held-to-maturity securities: | |||||||
Proceeds from long-term | 1,016,930 | 1,046,077 | |||||
Purchases of long-term | — | (1,814,412 | ) | ||||
Advances to members: | |||||||
Proceeds | 110,843,079 | 101,596,921 | |||||
Disbursements | (109,610,045 | ) | (98,566,753 | ) | |||
Mortgage loans held for portfolio: | |||||||
Proceeds | 610,854 | 459,510 | |||||
Purchases | (947,759 | ) | (352,182 | ) | |||
Proceeds from sale of foreclosed assets | 7,904 | 8,721 | |||||
Net cash provided by investing activities | 4,381,270 | 10,597,533 | |||||
FINANCING ACTIVITIES | |||||||
Net change in deposits | 12,079 | 4,686 |
Net payments on derivatives with a financing element | (27,101 | ) | (29,768 | ) | |||
Net proceeds from issuance of consolidated obligations: | |||||||
Discount notes | 101,912,981 | 439,183,592 | |||||
Bonds | 7,879,848 | 11,234,003 | |||||
Bonds transferred from other FHLBanks | 130,276 | — | |||||
Payments for maturing and retiring consolidated obligations: | |||||||
Discount notes | (104,572,190 | ) | (447,033,139 | ) | |||
Bonds | (9,597,021 | ) | (13,925,150 | ) | |||
Proceeds from issuance of capital stock | 46,094 | 60,145 | |||||
Payments for redemption of mandatorily redeemable capital stock | (12,580 | ) | (3,469 | ) | |||
Payments for repurchase of capital stock | (237,412 | ) | — | ||||
Cash dividends paid | (13,471 | ) | (7,980 | ) | |||
Net cash used in financing activities | (4,478,497 | ) | (10,517,080 | ) | |||
Net increase in cash and due from banks | 194,072 | 332,756 | |||||
Cash and due from banks at beginning of the year | 112,094 | 6,151 | |||||
Cash and due from banks at period end | $ | 306,166 | $ | 338,907 | |||
Supplemental disclosures: | |||||||
Interest paid | $ | 357,257 | $ | 391,404 | |||
AHP payments | $ | 4,313 | $ | 4,707 | |||
REFCorp assessments refunded, net | $ | — | $ | (2,512 | ) | ||
Noncash transfers of mortgage loans held for portfolio to real estate owned (REO) | $ | 10,435 | $ | 8,533 |
September 30, 2012 | December 31, 2011 | ||||||
Mortgage-backed-securities (MBS) | |||||||
United States (U.S.) government-guaranteed – residential | $ | 17,496 | $ | 18,880 | |||
Government sponsored enterprises (GSEs) – residential | 5,380 | 6,663 | |||||
GSEs – commercial | 256,544 | 248,621 | |||||
Total | $ | 279,420 | $ | 274,164 |
Amounts Recorded in Accumulated Other Comprehensive Loss | |||||||||||||||
Amortized Cost (1) | Unrealized Gains | Unrealized Losses | Fair Value | ||||||||||||
Supranational institutions | $ | 510,971 | $ | — | $ | (37,555 | ) | $ | 473,416 | ||||||
Corporate bonds (2) | 307,859 | 366 | — | 308,225 | |||||||||||
U.S. government-owned corporations | 339,598 | — | (45,998 | ) | 293,600 | ||||||||||
GSEs | 2,132,594 | 33,577 | (17,705 | ) | 2,148,466 | ||||||||||
3,291,022 | 33,943 | (101,258 | ) | 3,223,707 | |||||||||||
MBS | |||||||||||||||
U.S. government guaranteed – residential | 76,397 | 560 | — | 76,957 | |||||||||||
GSEs – residential | 2,328,012 | 33,505 | — | 2,361,517 | |||||||||||
GSEs – commercial | 101,582 | 333 | — | 101,915 | |||||||||||
2,505,991 | 34,398 | — | 2,540,389 | ||||||||||||
Total | $ | 5,797,013 | $ | 68,341 | $ | (101,258 | ) | $ | 5,764,096 |
(2) | Consists of corporate debentures guaranteed by the Federal Deposit Insurance Corporation (the FDIC) under the FDIC's Temporary Liquidity Guarantee Program. The FDIC guarantee carries the full faith and credit of the U.S. government. |
Amounts Recorded in Accumulated Other Comprehensive Loss | |||||||||||||||
Amortized Cost (1) | Unrealized Gains | Unrealized Losses | Fair Value | ||||||||||||
Supranational institutions | $ | 504,630 | $ | — | $ | (35,388 | ) | $ | 469,242 | ||||||
Corporate bonds (2) | 561,942 | 2,370 | — | 564,312 | |||||||||||
U.S. government-owned corporations | 338,169 | — | (53,325 | ) | 284,844 | ||||||||||
GSEs | 2,750,131 | 52,020 | (19,730 | ) | 2,782,421 | ||||||||||
4,154,872 | 54,390 | (108,443 | ) | 4,100,819 | |||||||||||
MBS | |||||||||||||||
U.S. government guaranteed – residential | 90,882 | 346 | — | 91,228 | |||||||||||
GSEs – residential | 978,998 | 5,810 | — | 984,808 | |||||||||||
GSEs – commercial | 104,007 | — | (663 | ) | 103,344 | ||||||||||
1,173,887 | 6,156 | (663 | ) | 1,179,380 | |||||||||||
Total | $ | 5,328,759 | $ | 60,546 | $ | (109,106 | ) | $ | 5,280,199 |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Supranational institutions | $ | — | $ | — | $ | 473,416 | $ | (37,555 | ) | $ | 473,416 | $ | (37,555 | ) | |||||||||
U.S. government-owned corporations | — | — | 293,600 | (45,998 | ) | 293,600 | (45,998 | ) | |||||||||||||||
GSEs | — | — | 124,026 | (17,705 | ) | 124,026 | (17,705 | ) | |||||||||||||||
Total temporarily impaired | $ | — | $ | — | $ | 891,042 | $ | (101,258 | ) | $ | 891,042 | $ | (101,258 | ) |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Supranational institutions | $ | — | $ | — | $ | 469,242 | $ | (35,388 | ) | $ | 469,242 | $ | (35,388 | ) | |||||||||
U.S. government-owned corporations | — | — | 284,844 | (53,325 | ) | 284,844 | (53,325 | ) | |||||||||||||||
GSEs | — | — | 121,025 | (19,730 | ) | 121,025 | (19,730 | ) | |||||||||||||||
— | — | 875,111 | (108,443 | ) | 875,111 | (108,443 | ) | ||||||||||||||||
MBS | |||||||||||||||||||||||
GSEs – commercial | — | — | 103,344 | (663 | ) | 103,344 | (663 | ) | |||||||||||||||
Total temporarily impaired | $ | — | $ | — | $ | 978,455 | $ | (109,106 | ) | $ | 978,455 | $ | (109,106 | ) |
September 30, 2012 | December 31, 2011 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in one year or less | $ | 1,357,937 | $ | 1,367,719 | $ | 1,213,636 | $ | 1,217,440 | |||||||
Due after one year through five years | 940,786 | 964,947 | 1,957,683 | 2,008,268 | |||||||||||
Due after five years through 10 years | — | — | — | — | |||||||||||
Due after 10 years | 992,299 | 891,041 | 983,553 | 875,111 | |||||||||||
3,291,022 | 3,223,707 | 4,154,872 | 4,100,819 | ||||||||||||
MBS (1) | 2,505,991 | 2,540,389 | 1,173,887 | 1,179,380 | |||||||||||
Total | $ | 5,797,013 | $ | 5,764,096 | $ | 5,328,759 | $ | 5,280,199 |
(1) | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Proceeds from sale of available-for-sale securities | $ | — | $ | — | $ | — | $ | 2,127,944 | |||||||
Gross realized gains from sale of available-for-sale securities | $ | — | $ | — | $ | — | $ | 14,415 | |||||||
Gross realized losses from sale of available-for-sale securities | — | — | — | (1,614 | ) | ||||||||||
Net realized gains from sale of available-for-sale securities | $ | — | $ | — | $ | — | $ | 12,801 |
Amortized Cost | Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||||||||
U.S. agency obligations | $ | 14,666 | $ | — | $ | 14,666 | $ | 1,435 | $ | — | $ | 16,101 | |||||||||||
State or local housing-finance-agency obligations (HFA securities) | 191,969 | — | 191,969 | 70 | (28,402 | ) | 163,637 | ||||||||||||||||
GSEs | 69,676 | — | 69,676 | 1,857 | — | 71,533 | |||||||||||||||||
276,311 | — | 276,311 | 3,362 | (28,402 | ) | 251,271 | |||||||||||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – residential | 41,469 | — | 41,469 | 948 | — | 42,417 | |||||||||||||||||
U.S. government guaranteed – commercial | 463,211 | — | 463,211 | 9,021 | — | 472,232 | |||||||||||||||||
GSEs – residential | 2,523,565 | — | 2,523,565 | 84,931 | (379 | ) | 2,608,117 | ||||||||||||||||
GSEs – commercial | 1,016,514 | — | 1,016,514 | 92,621 | — | 1,109,135 | |||||||||||||||||
Private-label – residential | 1,725,069 | (402,366 | ) | 1,322,703 | 123,849 | (47,017 | ) | 1,399,535 | |||||||||||||||
Private-label – commercial | 10,335 | — | 10,335 | 419 | — | 10,754 | |||||||||||||||||
Asset-backed securities (ABS) backed by home equity loans | 26,361 | (1,173 | ) | 25,188 | 509 | (3,888 | ) | 21,809 | |||||||||||||||
5,806,524 | (403,539 | ) | 5,402,985 | 312,298 | (51,284 | ) | 5,663,999 | ||||||||||||||||
Total | $ | 6,082,835 | $ | (403,539 | ) | $ | 5,679,296 | $ | 315,660 | $ | (79,686 | ) | $ | 5,915,270 |
Amortized Cost | Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||||||||
U.S. agency obligations | $ | 18,721 | $ | — | $ | 18,721 | $ | 1,697 | $ | — | $ | 20,418 | |||||||||||
HFA securities | 202,438 | — | 202,438 | 61 | (34,459 | ) | 168,040 | ||||||||||||||||
GSEs | 70,950 | — | 70,950 | 2,510 | — | 73,460 | |||||||||||||||||
292,109 | — | 292,109 | 4,268 | (34,459 | ) | 261,918 | |||||||||||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – residential | 50,912 | — | 50,912 | 934 | — | 51,846 | |||||||||||||||||
U.S. government guaranteed – commercial | 483,938 | — | 483,938 | 4,685 | — | 488,623 | |||||||||||||||||
GSEs – residential | 3,024,212 | — | 3,024,212 | 78,548 | (1,105 | ) | 3,101,655 | ||||||||||||||||
GSEs – commercial | 1,247,688 | — | 1,247,688 | 86,252 | — | 1,333,940 | |||||||||||||||||
Private-label – residential | 1,969,237 | (449,654 | ) | 1,519,583 | 18,789 | (145,285 | ) | 1,393,087 | |||||||||||||||
Private-label – commercial | 10,541 | — | 10,541 | 549 | — | 11,090 | |||||||||||||||||
ABS backed by home equity loans | 27,367 | (1,342 | ) | 26,025 | 128 | (5,246 | ) | 20,907 | |||||||||||||||
6,813,895 | (450,996 | ) | 6,362,899 | 189,885 | (151,636 | ) | 6,401,148 | ||||||||||||||||
Total | $ | 7,106,004 | $ | (450,996 | ) | $ | 6,655,008 | $ | 194,153 | $ | (186,095 | ) | $ | 6,663,066 |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
HFA securities | $ | 334 | $ | (1 | ) | $ | 153,689 | $ | (28,401 | ) | $ | 154,023 | $ | (28,402 | ) | ||||||||
MBS | |||||||||||||||||||||||
GSEs – residential | 30,146 | (46 | ) | 65,930 | (333 | ) | 96,076 | (379 | ) | ||||||||||||||
Private-label – residential | — | — | 1,364,825 | (330,538 | ) | 1,364,825 | (330,538 | ) | |||||||||||||||
ABS backed by home equity loans | — | — | 21,118 | (4,593 | ) | 21,118 | (4,593 | ) | |||||||||||||||
30,146 | (46 | ) | 1,451,873 | (335,464 | ) | 1,482,019 | (335,510 | ) | |||||||||||||||
Total | $ | 30,480 | $ | (47 | ) | $ | 1,605,562 | $ | (363,865 | ) | $ | 1,636,042 | $ | (363,912 | ) |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
HFA securities | $ | 418 | $ | (2 | ) | $ | 150,968 | $ | (34,457 | ) | $ | 151,386 | $ | (34,459 | ) | ||||||||
MBS | |||||||||||||||||||||||
GSEs – residential | 239,995 | (558 | ) | 41,723 | (547 | ) | 281,718 | (1,105 | ) | ||||||||||||||
Private-label – residential | 18,922 | (4,138 | ) | 1,369,550 | (572,326 | ) | 1,388,472 | (576,464 | ) | ||||||||||||||
ABS backed by home equity loans | — | — | 20,906 | (6,463 | ) | 20,906 | (6,463 | ) | |||||||||||||||
258,917 | (4,696 | ) | 1,432,179 | (579,336 | ) | 1,691,096 | (584,032 | ) | |||||||||||||||
Total | $ | 259,335 | $ | (4,698 | ) | $ | 1,583,147 | $ | (613,793 | ) | $ | 1,842,482 | $ | (618,491 | ) |
September 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Year of Maturity | Amortized Cost | Carrying Value (1) | Fair Value | Amortized Cost | Carrying Value (1) | Fair Value | |||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | 1,360 | $ | 1,360 | $ | 1,369 | |||||||||||
Due after one year through five years | 70,010 | 70,010 | 71,868 | 71,370 | 71,370 | 73,878 | |||||||||||||||||
Due after five years through 10 years | 34,351 | 34,351 | 35,436 | 38,405 | 38,405 | 39,733 | |||||||||||||||||
Due after 10 years | 171,950 | 171,950 | 143,967 | 180,974 | 180,974 | 146,938 | |||||||||||||||||
276,311 | 276,311 | 251,271 | 292,109 | 292,109 | 261,918 | ||||||||||||||||||
MBS (2) | 5,806,524 | 5,402,985 | 5,663,999 | 6,813,895 | 6,362,899 | 6,401,148 | |||||||||||||||||
Total | $ | 6,082,835 | $ | 5,679,296 | $ | 5,915,270 | $ | 7,106,004 | $ | 6,655,008 | $ | 6,663,066 |
(2) | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay their obligations with or without call or prepayment fees. |
• | Debentures issued by a supranational institution that were in an unrealized loss position as of September 30, 2012, are expected to return contractual principal and interest, based on our review and analysis of independent third-party credit reports on the supranational institution, and such supranational institution is rated triple-A (or equivalent) by each of the nationally recognized statistical rating organizations (NRSROs). |
• | Debentures issued by U.S. government corporations are not obligations of the U.S. government and not guaranteed by the U.S. government. However, these securities are rated at the same level as the U.S. government by the NRSROs. These ratings reflect the U.S. government's implicit support of the government corporation as well as the entity's underlying business and financial risk. |
• | We have concluded that the probability of default on debt issued by the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) is remote given their status as GSEs and their support from the U.S. government. |
• | the remaining payment terms for the security; |
• | prepayment speeds; |
• | default rates; |
• | loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; |
• | expected housing price changes; and |
• | interest-rate assumptions. |
September 30, 2012 | |||||||||||||||||
Number of Securities | Par Value | Amortized Cost | Carrying Value | Fair Value | |||||||||||||
FHLBank of San Francisco | 166 | $ | 2,166,292 | $ | 1,673,141 | $ | 1,283,775 | $ | 1,357,009 | ||||||||
FHLBank of Chicago | 16 | 22,728 | 22,095 | 21,014 | 18,319 | ||||||||||||
Our own cash-flow projections | 12 | 65,071 | 52,846 | 39,754 | 42,573 |
Months | Recovery Range of | ||||
1-6 | 0.0 | % | to | 2.8% | |
7-18 | 0.0 | % | to | 3.0% | |
19-24 | 1.0 | % | to | 4.0% | |
25-30 | 2.0 | % | to | 4.0% | |
31-42 | 2.0 | % | to | 5.0% | |
43-66 | 2.0 | % | to | 6.0% | |
Thereafter | 2.3 | % | to | 5.6% |
Significant Inputs | ||||||||||||||||||||||||||||
Projected Prepayment Rates | Projected Default Rates | Projected Loss Severities | Current Credit Enhancement | |||||||||||||||||||||||||
Private-label MBS by Year of Securitization | Par Value | Weighted Average Percent | Range Percent | Weighted Average Percent | Range Percent | Weighted Average Percent | Range Percent | Weighted Average Percent | Range Percent | |||||||||||||||||||
Private-label residential MBS | ||||||||||||||||||||||||||||
Prime (1) | ||||||||||||||||||||||||||||
2004 and prior | $ | 1,411 | 6.3 | % | 6.3 | % | 30.0 | % | 30.0 | % | 47.7 | % | 47.7 | % | 19.1 | % | 19.1 | % | ||||||||||
Alt-A (1) | ||||||||||||||||||||||||||||
2007 | $ | 11,310 | 2.8 | % | 2.8 | % | 74.8 | % | 74.8 | % | 50.8 | % | 50.8 | % | 36.4 | % | 36.4 | % | ||||||||||
2006 | 153,662 | 4.0 | 2.8 - 6.5 | 69.4 | 52.1 - 79.6 | 53.1 | 50.8 - 55.7 | 21.2 | 0.0 - 35.5 | |||||||||||||||||||
2005 | 34,117 | 5.7 | 5.7 | 54.3 | 54.3 | 55.3 | 55.3 | — | — | |||||||||||||||||||
Total Alt-A | $ | 199,089 | 4.3 | % | 2.8 - 6.5 | 67.1 | % | 52.1 - 79.6 | 53.4 | % | 50.8 - 55.7 | 18.4 | % | 0.0 - 36.4 |
September 30, 2012 | |||||||||||||||
Other-Than-Temporarily Impaired Investment | Par Value | Amortized Cost | Carrying Value | Fair Value | |||||||||||
Private-label residential MBS – Prime | $ | 1,411 | $ | 1,411 | $ | 1,040 | $ | 1,040 | |||||||
Private-label residential MBS – Alt-A | 199,089 | 145,328 | 103,488 | 114,646 | |||||||||||
Total other-than-temporarily impaired securities | $ | 200,500 | $ | 146,739 | $ | 104,528 | $ | 115,686 |
September 30, 2012 | |||||||||||||||
Other-Than-Temporarily Impaired Investment | Par Value | Amortized Cost | Carrying Value | Fair Value | |||||||||||
Private-label residential MBS – Prime | $ | 73,848 | $ | 63,484 | $ | 47,198 | $ | 55,612 | |||||||
Private-label residential MBS – Alt-A | 1,814,813 | 1,320,029 | 933,949 | 1,045,635 | |||||||||||
ABS backed by home equity loans – Subprime | 5,685 | 5,040 | 3,867 | 4,376 | |||||||||||
Total other-than-temporarily impaired securities | $ | 1,894,346 | $ | 1,388,553 | $ | 985,014 | $ | 1,105,623 |
For the Three Months Ended September 30, 2012 | For the Nine Months Ended September 30, 2012 | ||||||||||||||||||||||
Other-Than-Temporarily Impaired Investment | Total Other-Than-Temporary Impairment Losses on Investment Securities | Net Amount of Impairment Losses Reclassified to Accumulated Other Comprehensive Loss | Net Other-Than-Temporary Impairment Losses on Investment Securities, Credit Portion | Total Other-Than-Temporary Impairment Losses on Investment Securities | Net Amount of Impairment Losses Reclassified to (from) Accumulated Other Comprehensive Loss | Net Other-Than-Temporary Impairment Losses on Investment Securities, Credit Portion | |||||||||||||||||
Private-label residential MBS – Prime | $ | (371 | ) | $ | 371 | $ | — | $ | (371 | ) | $ | 371 | $ | — | |||||||||
Private-label residential MBS – Alt-A | (1,706 | ) | 614 | (1,092 | ) | (13,847 | ) | 8,306 | (5,541 | ) | |||||||||||||
ABS backed by home equity loans – Subprime | — | — | — | — | (3 | ) | (3 | ) | |||||||||||||||
Total other-than-temporarily impaired securities | $ | (2,077 | ) | $ | 985 | $ | (1,092 | ) | $ | (14,218 | ) | $ | 8,674 | $ | (5,544 | ) |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance at beginning of period | $ | 520,654 | $ | 562,358 | $ | 544,833 | $ | 523,881 | |||||||
Additions: | |||||||||||||||
Credit losses for which other-than-temporary impairment was not previously recognized | — | — | — | 46 | |||||||||||
Additional credit losses for which an other-than-temporary impairment charge was previously recognized(1) | 1,092 | 7,210 | 5,544 | 73,542 | |||||||||||
Reductions: | |||||||||||||||
Securities matured during the period | (8,065 | ) | (15,889 | ) | (32,697 | ) | (42,089 | ) | |||||||
Increase in cash flows expected to be collected which are recognized over the remaining life of the security | (2,609 | ) | (731 | ) | (6,608 | ) | (2,432 | ) | |||||||
Balance at end of period | $ | 511,072 | $ | 552,948 | $ | 511,072 | $ | 552,948 |
(1) | For the three months ended September 30, 2012, and 2011, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to all securities that were also previously impaired prior to July 1, 2012 and 2011. For the nine months ended September 30, 2012 and 2011, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to all securities that were also previously impaired prior to January 1, 2012 and 2011. |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance at beginning of period | $ | (420,392 | ) | $ | (488,887 | ) | $ | (450,996 | ) | $ | (621,528 | ) | |||
Amounts reclassified (to) from accumulated other comprehensive loss: | |||||||||||||||
Noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | (2,013 | ) | (5,231 | ) | (10,931 | ) | (16,910 | ) | |||||||
Reclassification adjustment of noncredit component of impairment losses included in net income relating to held-to-maturity securities | 1,028 | 4,105 | 2,257 | 58,516 | |||||||||||
Net amount of impairment losses reclassified (to) from accumulated other comprehensive loss | (985 | ) | (1,126 | ) | (8,674 | ) | 41,606 | ||||||||
Accretion of noncredit portion of impairment losses on held-to-maturity securities | 17,838 | 35,288 | 56,131 | 125,197 | |||||||||||
Balance at end of period | $ | (403,539 | ) | $ | (454,725 | ) | $ | (403,539 | ) | $ | (454,725 | ) |
September 30, 2012 | December 31, 2011 | ||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Rate | Amount | Weighted Average Rate | |||||||||
Overdrawn demand-deposit accounts | $ | 13,013 | 0.54 | % | $ | 7,683 | 0.45 | % | |||||
Due in one year or less | 11,087,724 | 0.88 | 8,266,384 | 1.15 | |||||||||
Due after one year through two years | 2,209,838 | 2.75 | 5,563,728 | 1.98 | |||||||||
Due after two years through three years | 2,341,603 | 2.71 | 2,721,354 | 2.88 | |||||||||
Due after three years through four years | 2,003,841 | 2.72 | 1,997,587 | 2.96 | |||||||||
Due after four years through five years | 3,094,195 | 3.01 | 2,151,231 | 2.90 | |||||||||
Thereafter | 2,594,097 | 3.23 | 3,873,205 | 3.71 | |||||||||
Total par value | 23,344,311 | 1.94 | % | 24,581,172 | 2.23 | % | |||||||
Premiums | 50,035 | 37,378 | |||||||||||
Discounts | (22,965 | ) | (23,748 | ) | |||||||||
Market value of embedded derivatives (1) | 1,008 | — | |||||||||||
Hedging adjustments | 543,298 | 600,096 | |||||||||||
Total | $ | 23,915,687 | $ | 25,194,898 |
September 30, 2012 | December 31, 2011 | ||||||||||||
Year of Contractual Maturity or Next Put Date | Par Value | Percentage of Total | Par Value | Percentage of Total | |||||||||
Overdrawn demand-deposit accounts | $ | 13,013 | 0.1 | % | $ | 7,683 | 0.0 | % | |||||
Due in one year or less | 14,311,649 | 61.3 | 12,244,459 | 49.8 | |||||||||
Due after one year through two years | 1,848,588 | 7.9 | 4,975,328 | 20.2 | |||||||||
Due after two years through three years | 2,065,353 | 8.8 | 2,231,354 | 9.1 | |||||||||
Due after three years through four years | 1,707,941 | 7.3 | 1,797,337 | 7.3 | |||||||||
Due after four years through five years | 1,541,670 | 6.6 | 1,713,831 | 7.0 | |||||||||
Thereafter | 1,856,097 | 8.0 | 1,611,180 | 6.6 | |||||||||
Total par value | $ | 23,344,311 | 100.0 | % | $ | 24,581,172 | 100.0 | % |
Par value of advances | September 30, 2012 | December 31, 2011 | |||||
Fixed-rate | $ | 19,272,798 | $ | 20,096,489 | |||
Variable-rate | 4,071,513 | 4,484,683 | |||||
Total par value | $ | 23,344,311 | $ | 24,581,172 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Prepayment fees received from borrowers | $ | 23,247 | $ | 49,976 | $ | 91,471 | $ | 68,641 | ||||||||
Less: hedging fair-value adjustments on prepaid advances | (11,125 | ) | (45,848 | ) | (50,270 | ) | (52,822 | ) | ||||||||
Less: net premiums associated with prepaid advances | (1,433 | ) | (1,218 | ) | (1,770 | ) | (1,781 | ) | ||||||||
Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications | (2,893 | ) | (1,084 | ) | (4,580 | ) | (2,461 | ) | ||||||||
Prepayment fees recognized in income on advance restructurings deemed to be extinguishments | 4,078 | 7,240 | 9,497 | 8,816 | ||||||||||||
Net prepayment fees recognized in income | $ | 11,874 | $ | 9,066 | $ | 44,348 | $ | 20,393 |
September 30, 2012 | December 31, 2011 | ||||||
Real estate | |||||||
Fixed-rate 15-year single-family mortgages | $ | 681,720 | $ | 646,539 | |||
Fixed-rate 20- and 30-year single-family mortgages | 2,700,404 | 2,439,475 | |||||
Premiums | 55,931 | 35,420 | |||||
Discounts | (4,415 | ) | (5,708 | ) | |||
Deferred derivative gains and losses, net | 3,408 | 1,297 | |||||
Total mortgage loans held for portfolio | 3,437,048 | 3,117,023 | |||||
Less: allowance for credit losses | (5,514 | ) | (7,800 | ) | |||
Total mortgage loans, net of allowance for credit losses | $ | 3,431,534 | $ | 3,109,223 |
September 30, 2012 | December 31, 2011 | ||||||
Conventional mortgage loans | $ | 2,982,391 | $ | 2,777,100 | |||
Government mortgage loans | 399,733 | 308,914 | |||||
Total par value | $ | 3,382,124 | $ | 3,086,014 |
• | extensions of credit, such as our advances and letters of credit; |
• | investments in government mortgage loans held for portfolio; |
• | investments in conventional mortgage loans held for portfolio; |
• | investments via term securities purchased under agreements to resell; and |
• | investments via term federal funds sold. |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Allowance for credit losses | |||||||||||||||
Balance at beginning of period | $ | 6,114 | $ | 7,181 | $ | 7,800 | $ | 8,653 | |||||||
Charge-offs | (77 | ) | — | (229 | ) | (14 | ) | ||||||||
Reduction of provision for credit losses | (523 | ) | — | (2,057 | ) | (1,458 | ) | ||||||||
Balance at end of period | $ | 5,514 | $ | 7,181 | $ | 5,514 | $ | 7,181 | |||||||
Ending balance, individually evaluated for impairment | $ | — | $ | — | $ | — | $ | — | |||||||
Ending balance, collectively evaluated for impairment | $ | 5,514 | $ | 7,181 | $ | 5,514 | $ | 7,181 | |||||||
Recorded investment, end of period (1) | |||||||||||||||
Individually evaluated for impairment | $ | — | $ | — | $ | — | $ | — | |||||||
Collectively evaluated for impairment | $ | 3,043,457 | $ | 2,832,696 | $ | 3,043,457 | $ | 2,832,696 |
(1) | This amount excludes government mortgage loans because we make no allowance for credit losses based on our |
September 30, 2012 | |||||||||||
Recorded Investment in Conventional Mortgage Loans | Recorded Investment in Government Mortgage Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 38,867 | $ | 15,481 | $ | 54,348 | |||||
Past due 60-89 days delinquent | 12,907 | 3,746 | 16,653 | ||||||||
Past due 90 days or more delinquent | 51,240 | 24,754 | 75,994 | ||||||||
Total past due | 103,014 | 43,981 | 146,995 | ||||||||
Total current loans | 2,940,443 | 367,540 | 3,307,983 | ||||||||
Total mortgage loans | $ | 3,043,457 | $ | 411,521 | $ | 3,454,978 | |||||
Other delinquency statistics | |||||||||||
In process of foreclosure, included above (1) | $ | 22,784 | $ | 11,326 | $ | 34,110 | |||||
Serious delinquency rate (2) | 1.70 | % | 6.02 | % | 2.21 | % | |||||
Past due 90 days or more still accruing interest | $ | — | $ | 24,754 | $ | 24,754 | |||||
Loans on nonaccrual status (3) | $ | 51,240 | $ | — | $ | 51,240 |
(1) | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. |
(2) | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. |
(3) | Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
December 31, 2011 | |||||||||||
Recorded Investment in Conventional Mortgage Loans | Recorded Investment in Government Mortgage Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 41,311 | $ | 15,477 | $ | 56,788 | |||||
Past due 60-89 days delinquent | 11,656 | 5,973 | 17,629 | ||||||||
Past due 90 days or more delinquent | 55,876 | 24,925 | 80,801 | ||||||||
Total past due | 108,843 | 46,375 | 155,218 | ||||||||
Total current loans | 2,710,526 | 269,101 | 2,979,627 | ||||||||
Total mortgage loans | $ | 2,819,369 | $ | 315,476 | $ | 3,134,845 | |||||
Other delinquency statistics | |||||||||||
In process of foreclosure, included above (1) | $ | 32,344 | $ | 7,413 | $ | 39,757 | |||||
Serious delinquency rate (2) | 1.99 | % | 7.90 | % | 2.59 | % | |||||
Past due 90 days or more still accruing interest | $ | — | $ | 24,925 | $ | 24,925 | |||||
Loans on nonaccrual status (3) | $ | 55,876 | $ | — | $ | 55,876 |
(1) | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. |
(2) | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the recorded investment in the total loan portfolio class. |
(3) | Includes conventional mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. |
September 30, 2012 | December 31, 2011 | ||||||
Total estimated losses | $ | 10,077 | $ | 10,274 | |||
Less: estimated losses in excess of the first-loss account, to be absorbed by participating financial institutions | (3,879 | ) | (1,622 | ) | |||
Less: estimated performance-based credit-enhancement fees available for recapture | (684 | ) | (852 | ) | |||
Net allowance for credit losses | $ | 5,514 | $ | 7,800 |
• | a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); |
• | a qualifying hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash-flow hedge); or |
• | a nonqualifying hedge of an asset or liability (an economic hedge) for asset-liability-management purposes. |
• | long-haul hedge accounting, which generally requires us to formally assess (both at the hedge's inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of hedged items or forecasted transactions and whether those derivatives may be expected to remain effective in future periods; and |
• | short-cut hedge accounting, which can be used for transactions for which the assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest-rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability. |
• | we determine that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); |
• | the derivative and/or the hedged item expires or is sold, terminated, or exercised; |
• | it is no longer probable that the forecasted transaction will occur in the originally expected period; |
• | a hedged firm commitment no longer meets the definition of a firm commitment; or |
• | we determine that designating the derivative as a hedging instrument is no longer appropriate. |
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as hedging instruments | |||||||||||
Interest-rate swaps | $ | 14,840,400 | $ | 115,475 | $ | (964,100 | ) | ||||
Interest-rate futures / forwards | 1,250,000 | — | (64,855 | ) | |||||||
Total derivatives designated as hedging instruments | 16,090,400 | 115,475 | (1,028,955 | ) | |||||||
Derivatives not designated as hedging instruments | |||||||||||
Interest-rate swaps | 1,165,250 | 537 | (35,932 | ) | |||||||
Interest-rate caps or floors | 300,000 | 42 | — | ||||||||
Mortgage-delivery commitments (1) | 41,506 | 85 | (128 | ) | |||||||
Total derivatives not designated as hedging instruments | 1,506,756 | 664 | (36,060 | ) | |||||||
Total notional amount of derivatives | $ | 17,597,156 | |||||||||
Total derivatives before netting and collateral adjustments | 116,139 | (1,065,015 | ) | ||||||||
Netting adjustments (2) | (115,280 | ) | 115,280 | ||||||||
Cash collateral received from counterparties, including accrued interest | (330 | ) | — | ||||||||
Derivative assets and derivative liabilities | $ | 529 | $ | (949,735 | ) |
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as hedging instruments | |||||||||||
Interest-rate swaps | $ | 19,326,022 | $ | 229,091 | $ | (1,036,060 | ) | ||||
Interest-rate futures / forwards | 700,000 | — | (31,981 | ) | |||||||
Total derivatives designated as hedging instruments | 20,026,022 | 229,091 | (1,068,041 | ) | |||||||
Derivatives not designated as hedging instruments | |||||||||||
Interest-rate swaps | 235,750 | — | (30,506 | ) | |||||||
Interest-rate caps or floors | 300,000 | 786 | — | ||||||||
Mortgage-delivery commitments (1) | 17,734 | 128 | — | ||||||||
Total derivatives not designated as hedging instruments | 553,484 | 914 | (30,506 | ) | |||||||
Total notional amount of derivatives | $ | 20,579,506 | |||||||||
Total derivatives before netting and collateral adjustments | 230,005 | (1,098,547 | ) | ||||||||
Netting adjustments (2) | (193,438 | ) | 193,438 | ||||||||
Cash collateral received from counterparties, including accrued interest | (20,046 | ) | (195 | ) | |||||||
Derivative assets and derivative liabilities | $ | 16,521 | $ | (905,304 | ) |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Derivatives and hedged items in fair-value hedging relationships: | ||||||||||||||||
Interest-rate swaps | $ | 597 | $ | 445 | $ | 255 | $ | 1,846 | ||||||||
Derivatives not designated as hedging instruments: | ||||||||||||||||
Economic hedges: | ||||||||||||||||
Interest-rate swaps | (3,243 | ) | (17,952 | ) | (10,105 | ) | (24,674 | ) | ||||||||
Interest-rate caps or floors | (207 | ) | (1,147 | ) | (745 | ) | (2,298 | ) | ||||||||
Mortgage-delivery commitments | 767 | 1,180 | 2,086 | 1,599 | ||||||||||||
Total net losses related to derivatives not designated as hedging instruments | (2,683 | ) | (17,919 | ) | (8,764 | ) | (25,373 | ) | ||||||||
Net losses on derivatives and hedging activities | $ | (2,086 | ) | $ | (17,474 | ) | $ | (8,509 | ) | $ | (23,527 | ) |
For the Three Months Ended September 30, 2012 | |||||||||||||||
Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair-Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Hedged Item: | |||||||||||||||
Advances | $ | 1,375 | $ | (1,116 | ) | $ | 259 | $ | (45,869 | ) | |||||
Investments | 7,645 | (7,183 | ) | 462 | (10,256 | ) | |||||||||
Deposits | (293 | ) | 293 | — | 385 | ||||||||||
COs – bonds | (6,947 | ) | 6,823 | (124 | ) | 21,003 | |||||||||
$ | 1,780 | $ | (1,183 | ) | $ | 597 | $ | (34,737 | ) | ||||||
For the Three Months Ended September 30, 2011 | |||||||||||||||
Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair-Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Hedged Item: | |||||||||||||||
Advances | $ | (68,999 | ) | $ | 68,954 | $ | (45 | ) | $ | (68,212 | ) | ||||
Investments | (146,239 | ) | 145,812 | (427 | ) | (11,751 | ) | ||||||||
Deposits | (23 | ) | 23 | — | 396 | ||||||||||
COs – bonds | 28,819 | (27,902 | ) | 917 | 37,594 | ||||||||||
$ | (186,442 | ) | $ | 186,887 | $ | 445 | $ | (41,973 | ) |
For the Nine Months Ended September 30, 2012 | |||||||||||||||
Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair-Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Hedged Item: | |||||||||||||||
Advances | $ | 55,505 | $ | (56,798 | ) | $ | (1,293 | ) | $ | (149,548 | ) | ||||
Investments | (5,066 | ) | 6,321 | 1,255 | (30,626 | ) | |||||||||
Deposits | (908 | ) | 908 | — | 1,151 | ||||||||||
COs – bonds | (109,114 | ) | 109,407 | 293 | 68,893 | ||||||||||
$ | (59,583 | ) | $ | 59,838 | $ | 255 | $ | (110,130 | ) | ||||||
For the Nine Months Ended September 30, 2011 | |||||||||||||||
Gain/(Loss) on Derivative | Gain/(Loss) on Hedged Item | Net Fair-Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Hedged Item: | |||||||||||||||
Advances | $ | (20,049 | ) | $ | 20,472 | $ | 423 | $ | (218,021 | ) | |||||
Investments | (145,876 | ) | 146,158 | 282 | (35,973 | ) | |||||||||
Deposits | (381 | ) | 381 | — | 1,183 | ||||||||||
COs – bonds | 29,952 | (28,811 | ) | 1,141 | 122,699 | ||||||||||
$ | (136,354 | ) | $ | 138,200 | $ | 1,846 | $ | (130,112 | ) |
September 30, 2012 | December 31, 2011 | |||||||
Total net exposure at fair value(1) | $ | 859 | $ | 36,567 | ||||
Less: cash collateral received from counterparties, including accrued interest | (330 | ) | (20,046 | ) | ||||
Net exposure after cash collateral | $ | 529 | $ | 16,521 |
Post-haircut Value of Incremental Collateral to be Delivered as of September 30, 2012 | |||||
Ratings Downgrade (1) | |||||
From | To | Incremental Collateral(2) | |||
AA+ | AA or AA- | $ | 39,664 | ||
AA- | A+, A or A- | 79,106 | |||
A- | below A- | 14,000 |
(1) | Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's and they represent the lower of our S&P and Moody's ratings. |
September 30, 2012 | December 31, 2011 | ||||||
Interest bearing | |||||||
Demand and overnight | $ | 623,302 | $ | 600,155 | |||
Term | 21,894 | 22,401 | |||||
Other | 3,585 | 4,571 | |||||
Non-interest bearing | |||||||
Other | 36,547 | 27,119 | |||||
Total deposits | $ | 685,328 | $ | 654,246 |
September 30, 2012 | December 31, 2011 | ||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Rate (1) | Amount | Weighted Average Rate (1) | |||||||||
Due in one year or less | $ | 10,501,520 | 1.60 | % | $ | 12,825,580 | 1.27 | % | |||||
Due after one year through two years | 6,133,520 | 1.49 | 7,196,250 | 2.04 | |||||||||
Due after two years through three years | 2,697,160 | 2.25 | 2,776,845 | 2.42 | |||||||||
Due after three years through four years | 2,771,570 | 2.48 | 1,964,000 | 3.20 | |||||||||
Due after four years through five years | 2,350,255 | 2.03 | 1,832,350 | 2.34 | |||||||||
Thereafter | 3,474,230 | 3.10 | 2,938,350 | 3.90 | |||||||||
Total par value | 27,928,255 | 1.95 | % | 29,533,375 | 2.03 | % | |||||||
Premiums | 248,542 | 179,113 | |||||||||||
Discounts | (25,296 | ) | (29,833 | ) | |||||||||
Hedging adjustments | 87,398 | 196,805 | |||||||||||
$ | 28,238,899 | $ | 29,879,460 |
September 30, 2012 | December 31, 2011 | ||||||
Par value of CO bonds | |||||||
Noncallable and non-putable | $ | 26,195,255 | $ | 26,535,375 | |||
Callable | 1,733,000 | 2,998,000 | |||||
Total par value | $ | 27,928,255 | $ | 29,533,375 |
Year of Contractual Maturity or Next Call Date | September 30, 2012 | December 31, 2011 | ||||||
Due in one year or less | $ | 12,041,520 | $ | 14,425,580 | ||||
Due after one year through two years | 6,196,520 | 7,234,250 | ||||||
Due after two years through three years | 2,627,160 | 2,531,845 | ||||||
Due after three years through four years | 2,786,570 | 1,849,000 | ||||||
Due after four years through five years | 2,300,255 | 1,387,350 | ||||||
Thereafter | 1,976,230 | 2,105,350 | ||||||
Total par value | $ | 27,928,255 | $ | 29,533,375 |
September 30, 2012 | December 31, 2011 | ||||||
Par value of CO bonds | |||||||
Fixed-rate | $ | 22,803,255 | $ | 25,473,375 | |||
Simple variable-rate | 4,760,000 | 3,350,000 | |||||
Step-up | 365,000 | 710,000 | |||||
Total par value | $ | 27,928,255 | $ | 29,533,375 |
Book Value | Par Value | Weighted Average Rate (1) | ||||||||
September 30, 2012 | $ | 11,993,572 | $ | 11,995,000 | 0.12 | % | ||||
December 31, 2011 | $ | 14,651,793 | $ | 14,652,040 | 0.01 | % |
September 30, 2012 | December 31, 2011 | ||||||
Balance at beginning of year | $ | 34,241 | $ | 23,138 | |||
AHP expense for the period | 17,160 | 17,812 | |||||
AHP direct grant disbursements | (4,313 | ) | (5,775 | ) | |||
AHP subsidy for AHP advance disbursements | (1,427 | ) | (1,371 | ) | |||
Return of previously disbursed grants and subsidies | 72 | 437 | |||||
Balance at end of period | $ | 45,733 | $ | 34,241 |
Risk-Based Capital Requirements | September 30, 2012 | December 31, 2011 | |||||
Permanent capital | |||||||
Class B capital stock | $ | 3,433,016 | $ | 3,625,348 | |||
Mandatorily redeemable capital stock | 215,863 | 227,429 | |||||
Retained earnings | 538,234 | 398,097 | |||||
Total permanent capital | $ | 4,187,113 | $ | 4,250,874 | |||
Risk-based capital requirement | |||||||
Credit-risk capital | $ | 494,777 | $ | 582,879 | |||
Market-risk capital | 71,865 | 91,337 | |||||
Operations-risk capital | 169,993 | 202,265 | |||||
Total risk-based capital requirement | $ | 736,635 | $ | 876,481 | |||
Excess of risk-based capital requirement | $ | 3,450,478 | $ | 3,374,393 |
September 30, 2012 | December 31, 2011 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Capital Ratio | ||||||||||||||||
Risk-based capital | $ | 736,635 | $ | 4,187,113 | $ | 876,481 | $ | 4,250,874 | ||||||||
Total regulatory capital | $ | 1,829,701 | $ | 4,187,113 | $ | 1,998,733 | $ | 4,250,874 | ||||||||
Total capital-to-asset ratio | 4.0 | % | 9.2 | % | 4.0 | % | 8.5 | % | ||||||||
Leverage Ratio | ||||||||||||||||
Leverage capital | $ | 2,287,127 | $ | 6,280,670 | $ | 2,498,417 | $ | 6,376,311 | ||||||||
Leverage capital-to-assets ratio | 5.0 | % | 13.7 | % | 5.0 | % | 12.8 | % |
Net Unrealized Loss on Available-for-Sale Securities | Net Noncredit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities | Net Unrealized Loss Relating to Hedging Activities | Pension and Postretirement Benefits | Total Accumulated Other Comprehensive Loss | ||||||||||||||||
Balance, December 31, 2010 | $ | (15,193 | ) | $ | (621,528 | ) | $ | (341 | ) | $ | (1,049 | ) | $ | (638,111 | ) | |||||
Other comprehensive income (loss) | (18,353 | ) | 166,803 | (26,832 | ) | (224 | ) | 121,394 | ||||||||||||
Balance, September 30, 2011 | $ | (33,546 | ) | $ | (454,725 | ) | $ | (27,173 | ) | $ | (1,273 | ) | $ | (516,717 | ) | |||||
Balance, December 31, 2011 | $ | (48,560 | ) | $ | (450,996 | ) | $ | (32,308 | ) | $ | (2,547 | ) | $ | (534,411 | ) | |||||
Other comprehensive (loss) income | 15,643 | 47,457 | (32,863 | ) | (500 | ) | 29,737 | |||||||||||||
Balance, September 30, 2012 | $ | (32,917 | ) | $ | (403,539 | ) | $ | (65,171 | ) | $ | (3,047 | ) | $ | (504,674 | ) |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net pension cost | $ | 1,104 | $ | 1,250 | $ | 3,212 | $ | 3,098 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Qualified Defined Contribution Plan - Pentegra Defined Contribution Plan | $ | 232 | $ | 212 | $ | 713 | $ | 646 | |||||||
Nonqualified Defined Contribution Plan - Thrift Benefit Equalization Plan | 11 | 16 | 80 | 68 |
Nonqualified Supplemental Defined Benefit Retirement Plan | Postretirement Benefits | ||||||||||||||
September 30, 2012 | December 31, 2011 | September 30, 2012 | December 31, 2011 | ||||||||||||
Change in benefit obligation (1) | |||||||||||||||
Benefit obligation at beginning of year | $ | 5,901 | $ | 3,859 | $ | 634 | $ | 499 | |||||||
Service cost | 299 | 261 | 24 | 25 | |||||||||||
Interest cost | 209 | 238 | 21 | 26 | |||||||||||
Actuarial loss (gain) | 860 | 1,543 | (4 | ) | 97 | ||||||||||
Benefits paid | (301 | ) | — | (13 | ) | (13 | ) | ||||||||
Benefit obligation at end of period | 6,968 | 5,901 | 662 | 634 | |||||||||||
Change in plan assets | |||||||||||||||
Fair value of plan assets at beginning of year | — | — | — | — | |||||||||||
Employer contribution | 301 | — | 13 | 13 | |||||||||||
Benefits paid | (301 | ) | — | (13 | ) | (13 | ) | ||||||||
Fair value of plan assets at end of period | — | — | — | — | |||||||||||
Funded status at end of period | $ | (6,968 | ) | $ | (5,901 | ) | $ | (662 | ) | $ | (634 | ) |
Nonqualified Supplemental Defined Benefit Retirement Plan For the Three Months Ended September 30, | Postretirement Benefits For the Three Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Net Periodic Benefit Cost | ||||||||||||||||
Service cost | $ | 120 | $ | 71 | $ | 8 | $ | 6 | ||||||||
Interest cost | 83 | 64 | 7 | 7 | ||||||||||||
Amortization of net actuarial loss | 116 | 35 | 3 | — | ||||||||||||
Net periodic benefit cost | $ | 319 | $ | 170 | $ | 18 | $ | 13 | ||||||||
Nonqualified Supplemental Defined Benefit Retirement Plan For the Nine Months Ended September 30, | Postretirement Benefits For the Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Net Periodic Benefit Cost | ||||||||||||||||
Service cost | $ | 299 | $ | 191 | $ | 24 | $ | 19 | ||||||||
Interest cost | 209 | 173 | 21 | 20 | ||||||||||||
Amortization of net actuarial loss | 349 | 106 | 7 | 1 | ||||||||||||
Net periodic benefit cost | $ | 857 | $ | 470 | $ | 52 | $ | 40 |
September 30, 2012 | |||||||||||||||||||||||
Carrying Value | Total Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral | ||||||||||||||||||
Financial instruments | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 306,166 | $ | 306,166 | $ | 306,166 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 261 | 261 | 261 | — | — | — | |||||||||||||||||
Securities purchased under agreements to resell | 5,125,000 | 5,124,986 | — | 5,124,986 | — | — | |||||||||||||||||
Federal funds sold | 1,100,000 | 1,099,996 | — | 1,099,996 | — | — | |||||||||||||||||
Trading securities(1) | 279,420 | 279,420 | — | 279,420 | — | — | |||||||||||||||||
Available-for-sale securities(1) | 5,764,096 | 5,764,096 | — | 5,764,096 | — | — | |||||||||||||||||
Held-to-maturity securities(2) | 5,679,296 | 5,915,270 | — | 4,319,536 | 1,595,734 | — | |||||||||||||||||
Advances | 23,915,687 | 24,362,020 | — | 24,362,020 | — | — | |||||||||||||||||
Mortgage loans, net | 3,431,534 | 3,674,029 | — | 3,674,029 | — | — | |||||||||||||||||
Accrued interest receivable | 95,950 | 95,950 | — | 95,950 | — | — | |||||||||||||||||
Derivative assets(1) | 529 | 529 | — | 116,139 | — | (115,610 | ) | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | (685,328 | ) | (685,177 | ) | — | (685,177 | ) | — | — | ||||||||||||||
COs: | |||||||||||||||||||||||
Bonds | (28,238,899 | ) | (29,024,692 | ) | — | (29,024,692 | ) | — | — | ||||||||||||||
Discount notes | (11,993,572 | ) | (11,993,960 | ) | — | (11,993,960 | ) | — | — | ||||||||||||||
Mandatorily redeemable capital stock | (215,863 | ) | (215,863 | ) | (215,863 | ) | — | — | — | ||||||||||||||
Accrued interest payable | (128,966 | ) | (128,966 | ) | — | (128,966 | ) | — | — | ||||||||||||||
Derivative liabilities(1) | (949,735 | ) | (949,735 | ) | — | (1,065,015 | ) | — | 115,280 | ||||||||||||||
Other: | |||||||||||||||||||||||
Commitments to extend credit for advances | — | 996 | — | 996 | — | — | |||||||||||||||||
Standby bond-purchase agreements | — | 641 | — | 641 | — | — | |||||||||||||||||
Standby letters of credit | (531 | ) | (531 | ) | — | (531 | ) | — | — |
(1) | Carried at fair value on a recurring basis. |
(2) | Private-label residential MBS and HFA securities are categorized as Level 3. Private-label residential MBS that have suffered other than temporary impairments are measured at fair value on a nonrecurring basis. See the recurring and nonrecurring tables below for more details. |
December 31, 2011 | |||||||
Carrying Value | Fair Value | ||||||
Financial instruments | |||||||
Assets: | |||||||
Cash and due from banks | $ | 112,094 | $ | 112,094 | |||
Interest-bearing deposits | 177 | 177 | |||||
Securities purchased under agreements to resell | 6,900,000 | 6,899,645 | |||||
Federal funds sold | 2,270,000 | 2,269,951 | |||||
Trading securities | 274,164 | 274,164 | |||||
Available-for-sale securities | 5,280,199 | 5,280,199 | |||||
Held-to-maturity securities | 6,655,008 | 6,663,066 | |||||
Advances | 25,194,898 | 25,718,265 | |||||
Mortgage loans, net | 3,109,223 | 3,305,265 | |||||
Accrued interest receivable | 116,517 | 116,517 | |||||
Derivative assets | 16,521 | 16,521 | |||||
Liabilities: | |||||||
Deposits | (654,246 | ) | (654,094 | ) | |||
COs: | |||||||
Bonds | (29,879,460 | ) | (30,655,174 | ) | |||
Discount notes | (14,651,793 | ) | (14,651,926 | ) | |||
Mandatorily redeemable capital stock | (227,429 | ) | (227,429 | ) | |||
Accrued interest payable | (110,782 | ) | (110,782 | ) | |||
Derivative liabilities | (905,304 | ) | (905,304 | ) | |||
Other: | |||||||
Commitments to extend credit for advances | — | 2,612 | |||||
Standby bond-purchase agreements | — | 1,814 | |||||
Standby letters of credit | (625 | ) | (625 | ) |
• | if four prices are received, the average of the two middle prices is used; |
• | if three prices are received, the middle price is used; |
• | if two prices are received, the average of the two prices is used; and |
• | if one price is received, it is used subject to validation as described below. |
• | CO Curve. The Office of Finance constructs an internal yield curve, referred to as the CO curve, using the U.S. Treasury curve as a base yield curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE debt trades, and secondary market activity. |
• | Volatility Assumption. To estimate the fair values of consolidated obligations with optionality, we use market-based expectations of future interest-rate volatility implied from current market prices for similar options. |
September 30, 2012 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting Adjustment (1) | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. government-guaranteed – residential MBS | $ | — | $ | 17,496 | $ | — | $ | — | $ | 17,496 | |||||||||
GSEs – residential MBS | — | 5,380 | — | — | 5,380 | ||||||||||||||
GSEs – commercial MBS | — | 256,544 | — | — | 256,544 | ||||||||||||||
Total trading securities | — | 279,420 | — | — | 279,420 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Supranational institutions | — | 473,416 | — | — | 473,416 | ||||||||||||||
Corporate bonds (2) | — | 308,225 | — | — | 308,225 | ||||||||||||||
U.S. government-owned corporations | — | 293,600 | — | — | 293,600 | ||||||||||||||
GSEs | — | 2,148,466 | — | — | 2,148,466 | ||||||||||||||
U.S. government guaranteed – residential MBS | — | 76,957 | — | — | 76,957 | ||||||||||||||
GSEs – residential MBS | — | 2,361,517 | — | — | 2,361,517 | ||||||||||||||
GSEs – commercial MBS | — | 101,915 | — | — | 101,915 | ||||||||||||||
Total available-for-sale securities | — | 5,764,096 | — | — | 5,764,096 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate-exchange agreements | — | 116,054 | — | (115,610 | ) | 444 | |||||||||||||
Mortgage delivery commitments | — | 85 | — | — | 85 | ||||||||||||||
Total derivative assets | — | 116,139 | — | (115,610 | ) | 529 | |||||||||||||
Total assets at fair value | $ | — | $ | 6,159,655 | $ | — | $ | (115,610 | ) | $ | 6,044,045 | ||||||||
Liabilities: | |||||||||||||||||||
Derivative liabilities | |||||||||||||||||||
Interest-rate-exchange agreements | $ | — | $ | (1,064,887 | ) | $ | — | $ | 115,280 | $ | (949,607 | ) | |||||||
Mortgage delivery commitments | — | (128 | ) | — | — | (128 | ) | ||||||||||||
Total liabilities at fair value | $ | — | $ | (1,065,015 | ) | $ | — | $ | 115,280 | $ | (949,735 | ) |
(2) | These securities are corporate debentures guaranteed by the FDIC under the FDIC's Temporary Liquidity Guarantee Program. The FDIC guarantee carries the full faith and credit of the U.S. Government. |
December 31, 2011 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting Adjustment (1) | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. government-guaranteed – residential MBS | $ | — | $ | 18,880 | $ | — | $ | — | $ | 18,880 | |||||||||
GSEs – residential MBS | — | 6,663 | — | — | 6,663 | ||||||||||||||
GSEs – commercial MBS | — | 248,621 | — | — | 248,621 | ||||||||||||||
Total trading securities | — | 274,164 | — | — | 274,164 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Supranational institutions | — | 469,242 | — | — | 469,242 | ||||||||||||||
Corporate bonds (2) | — | 564,312 | — | — | 564,312 | ||||||||||||||
U.S. government-owned corporations | — | 284,844 | — | — | 284,844 | ||||||||||||||
GSEs | — | 2,782,421 | — | — | 2,782,421 | ||||||||||||||
U.S. government guaranteed – residential MBS | — | 91,228 | — | — | 91,228 | ||||||||||||||
GSEs – residential MBS | — | 984,808 | — | — | 984,808 | ||||||||||||||
GSEs – commercial MBS | — | 103,344 | — | — | 103,344 | ||||||||||||||
Total available-for-sale securities | — | 5,280,199 | — | — | 5,280,199 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate-exchange agreements | — | 229,877 | — | (213,484 | ) | 16,393 | |||||||||||||
Mortgage delivery commitments | — | 128 | — | — | 128 | ||||||||||||||
Total derivative assets | — | 230,005 | — | (213,484 | ) | 16,521 | |||||||||||||
Total assets at fair value | $ | — | $ | 5,784,368 | $ | — | $ | (213,484 | ) | $ | 5,570,884 | ||||||||
Liabilities: | |||||||||||||||||||
Derivative liabilities | |||||||||||||||||||
Interest-rate-exchange agreements | $ | — | $ | (1,098,547 | ) | $ | — | $ | 193,243 | $ | (905,304 | ) | |||||||
Total liabilities at fair value | $ | — | $ | (1,098,547 | ) | $ | — | $ | 193,243 | $ | (905,304 | ) |
(2) | These securities are corporate debentures guaranteed by the FDIC under the FDIC's Temporary Liquidity Guarantee Program. The FDIC guarantee carries the full faith and credit of the U.S. Government. |
September 30, 2012 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Held-to-maturity securities: | |||||||||||||||
Private-label residential MBS | $ | — | $ | — | $ | 19,403 | $ | 19,403 | |||||||
REO | — | — | 356 | 356 | |||||||||||
Total assets recorded at fair value on a nonrecurring basis | $ | — | $ | — | $ | 19,759 | $ | 19,759 |
December 31, 2011 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Held-to-maturity securities: | |||||||||||||||
Private-label residential MBS | $ | — | $ | — | $ | 148,952 | $ | 148,952 | |||||||
REO | — | — | 905 | 905 | |||||||||||
Total assets recorded at fair value on a nonrecurring basis | $ | — | $ | — | $ | 149,857 | $ | 149,857 |
September 30, 2012 | December 31, 2011 | |||||||||||||||||||||||
Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | |||||||||||||||||||
Standby letters of credit outstanding (1) | $ | 848,249 | $ | 377,808 | $ | 1,226,057 | $ | 832,140 | $ | 402,932 | $ | 1,235,072 | ||||||||||||
Commitments for standby bond purchases | 151,615 | 10,000 | 161,615 | — | 191,065 | 191,065 | ||||||||||||||||||
Commitments for unused lines of credit - advances (2) | 1,304,244 | — | 1,304,244 | 1,287,084 | — | 1,287,084 | ||||||||||||||||||
Commitments to make additional advances | 67,838 | 61,895 | 129,733 | 26,264 | 54,281 | 80,545 | ||||||||||||||||||
Commitments to invest in mortgage loans | 41,506 | — | 41,506 | 17,734 | — | 17,734 | ||||||||||||||||||
Unsettled CO bonds, at par (3) | 475,000 | — | 475,000 | 165,300 | — | 165,300 |
(1) | This row excludes commitments to issue standby letters of credit that expire within one year totaling $26.4 million and commitments that expire after one year totaling $900,000 as of September 30, 2012. Also excluded are commitments to issue standby letters of credit that expire within one year totaling $21.1 million at December 31, 2011. |
(2) | Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. |
September 30, 2012 | December 31, 2011 | ||||||||||||
Capital Stock Outstanding | Percent of Total | Capital Stock Outstanding | Percent of Total | ||||||||||
Bank of America Rhode Island, N.A. (1) | $ | 978,084 | 26.8 | % | $ | 1,084,710 | 28.2 | % | |||||
RBS Citizens N.A. | 484,517 | 13.3 | 515,748 | 13.4 |
(1) | Capital stock outstanding at September 30, 2012, and December 31, 2011, includes $1.9 million and $2.2 million, respectively, held by CW Reinsurance Company, a subsidiary of Bank of America Corporation. |
Par Value of Advances | Percent of Total Par Value of Advances | Total Accrued Interest Receivable | Percent of Total Accrued Interest Receivable on Advances | ||||||||||
As of September 30, 2012 | |||||||||||||
RBS Citizens N.A. | $ | 3,520,085 | 15.1 | % | $ | 646 | 1.6 | % | |||||
Bank of America Rhode Island, N.A. | 600,323 | 2.6 | 893 | 2.2 | |||||||||
As of December 31, 2011 | |||||||||||||
RBS Citizens N.A. | $ | 4,620,022 | 18.8 | % | $ | 335 | 0.7 | % | |||||
Bank of America Rhode Island, N.A. | 96,261 | 0.4 | 454 | 1.0 |
For the Nine Months Ended September 30, 2012 | |||||||||||||||
Balance at December 31, 2011 | Disbursements to Members | Payments from Members | Balance at September 30, 2012 | ||||||||||||
RBS Citizens N.A. | $ | 4,620,022 | $ | 12,250,570 | $ | (13,350,507 | ) | $ | 3,520,085 | ||||||
Bank of America Rhode Island, N.A. | 96,261 | 1,511,042 | (1,006,980 | ) | 600,323 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
RBS Citizens N.A. | $ | 3,155 | $ | 2,645 | $ | 8,367 | $ | 9,158 | ||||||||
Bank of America Rhode Island, N.A. | 2,137 | 3,175 | 5,114 | 11,142 |
September 30, 2012 | December 31, 2011 | |||||||||||||||||
Derivatives Counterparty | Affiliate Member | Primary Relationship | Notional Amount | Percent of Total Derivatives (1) | Notional Amount | Percent of Total Derivatives (1) | ||||||||||||
Bank of America, N.A. | Bank of America Rhode Island, N.A. | Dealer | $ | 1,041,150 | 5.9 | % | $ | 973,750 | 4.7 | % | ||||||||
Royal Bank of Scotland, PLC | RBS Citizens, N.A. | Dealer | 95,000 | 0.5 | 96,300 | 0.5 |
• | income, retained earnings, and dividend payouts; |
• | repurchases of our stock held in excess of the owner's total stock investment requirement (excess stock); |
• | credit losses on advances and investments in mortgage loans and ABS, particularly private-label MBS; |
• | balance-sheet changes and components thereof, such as changes in advances balances and the size of our portfolio of investments in mortgage loans; |
• | our retained earnings target; and |
• | the interest-rate environment in which we do business. |
• | changes in interest rates, the rate of inflation (or deflation), housing prices, employment rates, and the general economy, including changes resulting from changes in U.S. fiscal policy, the European sovereign debt crisis, and/or the downgrade of the U.S. federal government; |
• | changes in the size of the residential mortgage market; |
• | changes in demand for our advances and other products resulting from changes in members' deposit flows and credit demands or otherwise; |
• | the willingness of our members to do business with us despite limited repurchases of excess stock and modest dividend payments; |
• | changes in the financial health of our members; |
• | insolvencies of our members; |
• | increases in borrower defaults on mortgage loans; |
• | deterioration in the credit performance of our private-label MBS portfolio beyond forecasted assumptions concerning loan default rates, loss severities, and prepayment speeds resulting in the realization of additional other-than-temporary impairment charges; |
• | deterioration in the credit performance of our investments in mortgage loans and increases in loss severities from those investments; |
• | an increase in advance prepayments as a result of changes in interest rates or other factors; |
• | the volatility of market prices, rates, and indices that could affect the value of collateral we hold as security for obligations of our members and counterparties to interest-rate-exchange agreements and similar agreements; |
• | issues and events across the FHLBank System and in the political arena that may lead to regulatory, judicial, or other developments may affect the marketability of the COs, our financial obligations with respect to COs, our ability to access the capital markets, our members, the manner in which we operate, or the organization and structure of the FHLBank System; |
• | competitive forces including, without limitation, other sources of funding available to our members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled employees; |
• | the pace of technological change and our ability to develop and support technology and information systems sufficient to manage the risks of our business effectively; |
• | the loss of large members through mergers and similar activities; |
• | changes in investor demand for COs and/or the terms of interest-rate-exchange-agreements and similar agreements; |
• | the timing and volume of market activity; |
• | the volatility of reported results due to changes in the fair value of certain assets and liabilities, including, but not limited to, private-label MBS; |
• | the ability to introduce new (or adequately adapt current) products and services and successfully manage the risks associated with those products and services, including new types of collateral used to secure advances; |
• | the availability of derivative financial instruments of the types and in the quantities needed for risk-management purposes from acceptable counterparties; |
• | the realization of losses arising from litigation filed against us or one or more of the other FHLBanks; |
• | the realization of losses arising from our joint and several liability on COs; |
• | significant business disruptions resulting from natural or other disasters, acts of war, or terrorism; and |
• | the effect of new accounting standards, including the development of supporting systems. |
• | retained earnings increased from $398.1 million at December 31, 2011, to $538.2 million at September 30, 2012; |
• | accumulated other comprehensive loss related to the noncredit portion of other-than-temporary impairment losses on held-to-maturity securities improved from an accumulated other comprehensive loss of $451.0 million at December 31, 2011, to an accumulated other comprehensive loss of $403.5 million at September 30, 2012; |
• | we continue to be in compliance with all regulatory capital requirements, as of September 30, 2012; and |
• | on October 18, 2012, our board of directors declared a cash dividend that was equivalent to an annual yield of 0.48 percent. |
• | Investments in Private-Label MBS. Although the amortized cost of our total investments in private-label MBS and ABS backed by home equity loans has fallen to $1.8 billion at September 30, 2012, compared with $6.4 billion at September 30, 2007, additional losses from that portfolio are possible. We have determined that 10 of our private-label MBS, representing an aggregated par value of $200.5 million, incurred additional other-than-temporary impairment credit losses of $1.1 million for the three months ended September 30, 2012. We continue to update our modeling assumptions to reflect current developments impacting the loan performance of the mortgage loans that back our investments in these securities, particularly Alt-A mortgage loans originated from 2005 to 2007 that comprise a significant portion of the loans backing these securities. Such developments include continuing elevated unemployment rates and generally slow economic growth, high levels of foreclosures and troubled real estate loans, slow housing price recovery, and limited refinancing opportunities for many borrowers, especially those whose houses are now worth less than the balance of their mortgages. |
• | Advances Balances. The outstanding par balance of advances decreased from $24.6 billion at December 31, 2011, to $23.3 billion at September 30, 2012. Demand for advances continues to be muted, as our members continue to experience high levels of deposits. Generally, deposits serve as liquidity alternatives to advances. |
The trend in advances balances is illustrated by the following graph: |
• | Low-Interest Rate Environment and U.S. Fiscal Policy. We continue to operate in a prolonged, historically low-interest rate environment for short- and long-term financial instruments. We expect the current historically low-interest rate environment to persist based on actions by the Federal Reserve to maintain low interest rates, including affecting a third round of its quantitative easing program, combined with other potential threats that could slow or reverse economic growth, such as the European sovereign debt crisis, which has raised concerns that a Eurozone recession could slow the U.S. economy. These factors are discussed in greater detail under Item 7 — Management's Discussion and Analysis of Financial Condition and Results of Operations — Executive Summary — Continuing and Prolonged Low-Interest Rate Environment in the 2011 Annual Report. In addition, some economists predict the U.S. economy could fall into recession if the U.S. Federal Government fails to achieve a plan to avoid the “fiscal cliff,” which refers to certain tax increases and automatic spending cuts that are scheduled to become effective at the end of 2012. Further, Moody's has warned that it may |
• | Strong Net Interest Margin. Despite the historically low-interest rate environment, we continue to achieve a favorable net interest margin. Net interest margin is expressed as the percentage of net-interest income to average earning assets. Net interest margin for the three months ended September 30, 2012, was 0.61 percent, a two basis point decrease from net interest margin for the three months ended September 30, 2011. Prepayment-fee income was an important contributor to net interest margin for the three months ended September 30, 2012, as demonstrated by the tables captioned “Net Interest Spread and Margin without Prepayment-Fee Income” under — Results of Operations — Rate and Volume Analysis. These prepayment fees represent a substantial contribution to our net income that should not be counted on to recur every year. Further, the increase in net-interest margin was achieved despite the continuing low-interest rate environment due in part to continued low average funding costs. Demand for COs remained strong and funding costs remained low throughout the first nine months of 2012. Other factors behind the improvement in net interest margin include an increase in yields on certain previously other-than-temporarily impaired private-label MBS for which a significant improvement in cash flows has been projected and lower than expected prepayment activity on fixed-rate mortgage-related assets. |
• | Legislative and Regulatory Developments. We continue to operate in a legislative and regulatory environment undergoing profound change with additional changes occurring during the period covered by this report. These changes are likely to have multiple important impacts on us, as discussed under — Legislative and Regulatory Developments. |
• | Key Management Changes. On July 17, 2012, Michael C. Clifton joined us as senior vice president and chief information officer, and as a member of our senior management team. Most recently, Mr. Clifton was vice president and chief information officer with The Hanover Insurance Group, where he had been employed since 2003 in progressively expansive roles. Mr. Clifton is a graduate of the University of Massachusetts Lowell with a B.S. in Industrial Engineering. |
SELECTED FINANCIAL DATA STATEMENT OF CONDITION (dollars in thousands) | |||||||||||||||||||
September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | |||||||||||||||
Statement of Condition Data at Quarter End | |||||||||||||||||||
Total assets | $ | 45,742,535 | $ | 49,763,227 | $ | 46,911,899 | $ | 49,968,337 | $ | 48,574,433 | |||||||||
Investments (1) | 17,948,073 | 19,363,944 | 18,589,831 | 21,379,548 | 19,916,085 | ||||||||||||||
Advances | 23,915,687 | 26,456,739 | 24,891,964 | 25,194,898 | 25,024,689 | ||||||||||||||
Mortgage loans held for portfolio (2) | 3,431,534 | 3,311,457 | 3,166,457 | 3,109,223 | 3,128,725 | ||||||||||||||
Deposits | 685,328 | 668,836 | 760,374 | 654,246 | 740,946 | ||||||||||||||
Consolidated obligations | |||||||||||||||||||
Bonds | 28,238,899 | 27,622,744 | 28,533,735 | 29,879,460 | 32,446,525 | ||||||||||||||
Discount notes | 11,993,572 | 16,610,160 | 12,834,056 | 14,651,793 | 10,673,491 | ||||||||||||||
Total consolidated obligations | 40,232,471 | 44,232,904 | 41,367,791 | 44,531,253 | 43,120,016 | ||||||||||||||
Mandatorily redeemable capital stock | 215,863 | 215,863 | 214,859 | 227,429 | 227,429 | ||||||||||||||
Class B capital stock outstanding - putable (3) | 3,433,016 | 3,420,870 | 3,402,556 | 3,625,348 | 3,583,749 | ||||||||||||||
Unrestricted retained earnings | 484,574 | 448,330 | 408,154 | 375,158 | 326,099 | ||||||||||||||
Restricted retained earnings | 53,660 | 43,496 | 32,299 | 22,939 | 9,997 | ||||||||||||||
Total retained earnings | 538,234 | 491,826 | 440,453 | 398,097 | 336,096 | ||||||||||||||
Accumulated other comprehensive loss | (504,674 | ) | (528,442 | ) | (519,832 | ) | (534,411 | ) | (516,717 | ) | |||||||||
Total capital | 3,466,576 | 3,384,254 | 3,323,177 | 3,489,034 | 3,403,128 | ||||||||||||||
Other Information | |||||||||||||||||||
Total regulatory capital ratio (4) | 9.2 | % | 8.3 | % | 8.7 | % | 8.5 | % | 8.5 | % |
(1) | Investments include available-for-sale securities, held-to-maturity securities, trading securities, interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold. |
(2) | The allowance for credit losses amounted to $5.5 million, $6.1 million, $6.6 million, $7.8 million, and $7.2 million, as of September 30, 2012, June 30, 2012, March 31, 2012, December 31, 2011, and September 30, 2011, respectively. |
(3) | Capital stock is putable at the option of a member. |
SELECTED FINANCIAL DATA RESULTS OF OPERATIONS AND OTHER INFORMATION (dollars in thousands) | |||||||||||||||||||
For the Three Months Ended | |||||||||||||||||||
September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | |||||||||||||||
Results of Operations | |||||||||||||||||||
Net interest income | $ | 72,801 | $ | 89,552 | $ | 68,342 | $ | 82,026 | $ | 80,410 | |||||||||
(Reduction of) provision for credit losses | (523 | ) | (383 | ) | (1,151 | ) | 627 | — | |||||||||||
Net impairment losses on held-to-maturity securities recognized in income | (1,092 | ) | (1,492 | ) | (2,960 | ) | (3,479 | ) | (7,210 | ) | |||||||||
Other (loss) income | (698 | ) | (10,531 | ) | 1,245 | 10,001 | (1,659 | ) | |||||||||||
Other expense | 15,039 | 15,671 | 15,746 | 15,994 | 15,982 | ||||||||||||||
AHP assessments | 5,675 | 6,253 | 5,232 | 7,220 | 5,573 | ||||||||||||||
Net income | $ | 50,820 | $ | 55,988 | $ | 46,800 | $ | 64,707 | $ | 49,986 | |||||||||
Other Information | |||||||||||||||||||
Dividends declared | $ | 4,413 | $ | 4,615 | $ | 4,444 | $ | 2,706 | $ | 2,410 | |||||||||
Dividend payout ratio | 8.68 | % | 8.24 | % | 9.49 | % | 4.18 | % | 4.82 | % | |||||||||
Weighted average dividend rate (1) | 0.52 | 0.52 | 0.49 | 0.30 | 0.27 | ||||||||||||||
Return on average equity (2) | 5.92 | 6.70 | 5.44 | 7.43 | 5.84 | ||||||||||||||
Return on average assets | 0.43 | 0.49 | 0.38 | 0.51 | 0.39 | ||||||||||||||
Net interest margin (3) | 0.61 | 0.78 | 0.56 | 0.65 | 0.63 | ||||||||||||||
Average equity to average assets | 7.19 | 7.25 | 7.06 | 6.88 | 6.64 |
(1) | Weighted-average dividend rate is dividend amount declared divided by the average daily balance of capital stock. |
(2) | Return on average equity is net income divided by the total of the average daily balance of outstanding Class B capital stock, accumulated other comprehensive loss, and retained earnings. |
(3) | Net interest margin is net interest income before provision for credit losses as a percentage of average earning assets. |
Net Interest Spread and Margin (dollars in thousands) | ||||||||||||||||||||||
For the Three Months Ended September 30, | ||||||||||||||||||||||
2012 | 2011 | |||||||||||||||||||||
Average Balance | Interest Income / Expense | Average Yield (1) | Average Balance | Interest Income / Expense | Average Yield (1) | |||||||||||||||||
Assets | ||||||||||||||||||||||
Advances | $ | 25,044,543 | $ | 84,425 | 1.34 | % | $ | 24,794,945 | $ | 89,229 | 1.43 | % | ||||||||||
Interest-bearing deposits | 548 | 1 | 1.13 | 250 | — | 0.14 | ||||||||||||||||
Securities purchased under agreements to resell | 5,293,478 | 2,455 | 0.18 | 1,673,913 | 502 | 0.12 | ||||||||||||||||
Federal funds sold | 1,241,522 | 463 | 0.15 | 7,075,380 | 2,211 | 0.12 | ||||||||||||||||
Investment securities(2) | 12,170,446 | 56,824 | 1.86 | 14,201,298 | 61,861 | 1.73 | ||||||||||||||||
Mortgage loans | 3,376,986 | 34,214 | 4.03 | 3,133,432 | 37,267 | 4.72 | ||||||||||||||||
Other earning assets | 2,446 | 1 | 0.14 | 1,121 | 1 | 0.07 | ||||||||||||||||
Total interest-earning assets | 47,129,969 | 178,383 | 1.51 | % | 50,880,339 | 191,071 | 1.49 | % | ||||||||||||||
Other non-interest-earning assets | 480,852 | 496,829 | ||||||||||||||||||||
Fair-value adjustments on investment securities | (96,817 | ) | (257,560 | ) | ||||||||||||||||||
Total assets | $ | 47,514,004 | $ | 178,383 | 1.49 | % | $ | 51,119,608 | $ | 191,071 | 1.48 | % | ||||||||||
Liabilities and capital | ||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||
Discount notes | $ | 13,599,121 | $ | 3,726 | 0.11 | % | $ | 12,261,313 | $ | 1,546 | 0.05 | % | ||||||||||
Bonds | 28,272,767 | 101,584 | 1.43 | 33,390,223 | 108,896 | 1.29 | ||||||||||||||||
Deposits | 702,319 | 11 | 0.01 | 750,855 | 42 | 0.02 | ||||||||||||||||
Mandatorily redeemable capital stock | 215,862 | 260 | 0.48 | 227,429 | 177 | 0.31 | ||||||||||||||||
Other borrowings | 1,755 | 1 | 0.23 | 924 | — | 0.09 | ||||||||||||||||
Total interest-bearing liabilities | 42,791,824 | 105,582 | 0.98 | % | 46,630,744 | 110,661 | 0.94 | % | ||||||||||||||
Other non-interest-bearing liabilities | 1,307,329 | 1,093,026 | ||||||||||||||||||||
Total capital | 3,414,851 | 3,395,838 | ||||||||||||||||||||
Total liabilities and capital | $ | 47,514,004 | $ | 105,582 | 0.88 | % | $ | 51,119,608 | $ | 110,661 | 0.86 | % | ||||||||||
Net interest income | $ | 72,801 | $ | 80,410 | ||||||||||||||||||
Net interest spread | 0.53 | % | 0.55 | % | ||||||||||||||||||
Net interest margin | 0.61 | % | 0.63 | % |
Net Interest Spread and Margin (dollars in thousands) | ||||||||||||||||||||||
For the Nine Months Ended September 30, | ||||||||||||||||||||||
2012 | 2011 | |||||||||||||||||||||
Average Balance | Interest Income / Expense | Average Yield (1) | Average Balance | Interest Income / Expense | Average Yield (1) | |||||||||||||||||
Assets | ||||||||||||||||||||||
Advances | $ | 24,540,660 | $ | 269,385 | 1.47 | % | $ | 25,795,091 | $ | 270,063 | 1.40 | % | ||||||||||
Interest-bearing deposits | 360 | 2 | 0.91 | 216 | 1 | 0.33 | ||||||||||||||||
Securities purchased under agreements to resell | 5,850,000 | 7,069 | 0.16 | 1,436,996 | 1,447 | 0.13 | ||||||||||||||||
Federal funds sold | 1,530,777 | 1,491 | 0.13 | 5,999,905 | 5,969 | 0.13 | ||||||||||||||||
Investment securities(2) | 12,124,453 | 170,263 | 1.88 | 16,897,493 | 187,526 | 1.48 | ||||||||||||||||
Mortgage loans | 3,248,559 | 103,527 | 4.26 | 3,160,936 | 113,456 | 4.80 | ||||||||||||||||
Other earning assets | 821 | 1 | 0.14 | 1,385 | 1 | 0.10 | ||||||||||||||||
Total interest-earning assets | 47,295,630 | 551,738 | 1.56 | % | 53,292,022 | 578,463 | 1.45 | % | ||||||||||||||
Other non-interest-earning assets | 489,056 | 476,824 | ||||||||||||||||||||
Fair-value adjustments on investment securities | (134,758 | ) | (357,326 | ) | ||||||||||||||||||
Total assets | $ | 47,649,928 | $ | 551,738 | 1.55 | % | $ | 53,411,520 | $ | 578,463 | 1.45 | % | ||||||||||
Liabilities and capital | ||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||
Discount notes | $ | 13,235,691 | $ | 8,222 | 0.08 | % | $ | 13,429,658 | $ | 8,808 | 0.09 | % | ||||||||||
Bonds | 28,766,309 | 311,943 | 1.45 | 34,643,773 | 345,012 | 1.33 | ||||||||||||||||
Deposits | 739,617 | 42 | 0.01 | 766,785 | 244 | 0.04 | ||||||||||||||||
Mandatorily redeemable capital stock | 218,388 | 834 | 0.51 | 174,884 | 446 | 0.34 | ||||||||||||||||
Other borrowings | 1,979 | 2 | 0.13 | 2,806 | 3 | 0.14 | ||||||||||||||||
Total interest-bearing liabilities | 42,961,984 | 321,043 | 1.00 | % | 49,017,906 | 354,513 | 0.97 | % | ||||||||||||||
Other non-interest-bearing liabilities | 1,274,886 | 1,048,923 | ||||||||||||||||||||
Total capital | 3,413,058 | 3,344,691 | ||||||||||||||||||||
Total liabilities and capital | $ | 47,649,928 | $ | 321,043 | 0.90 | % | $ | 53,411,520 | $ | 354,513 | 0.89 | % | ||||||||||
Net interest income | $ | 230,695 | $ | 223,950 | ||||||||||||||||||
Net interest spread | 0.56 | % | 0.48 | % | ||||||||||||||||||
Net interest margin | 0.65 | % | 0.56 | % |
Rate and Volume Analysis (dollars in thousands) | ||||||||||||||||||||||||
For the Three Months Ended September 30, 2012 vs. September 30, 2011 | For the Nine Months Ended September 30, 2012 vs. September 30, 2011 | |||||||||||||||||||||||
Increase (Decrease) due to | Increase (Decrease) due to | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 890 | $ | (5,694 | ) | $ | (4,804 | ) | $ | (13,452 | ) | $ | 12,774 | $ | (678 | ) | ||||||||
Interest-bearing deposits | — | — | — | 1 | 1 | 2 | ||||||||||||||||||
Securities purchased under agreements to resell | 1,559 | 394 | 1,953 | 5,278 | 344 | 5,622 | ||||||||||||||||||
Federal funds sold | (2,109 | ) | 361 | (1,748 | ) | (4,356 | ) | (122 | ) | (4,478 | ) | |||||||||||||
Investment securities | (9,269 | ) | 4,232 | (5,037 | ) | (60,218 | ) | 42,955 | (17,263 | ) | ||||||||||||||
Mortgage loans | 2,749 | (5,802 | ) | (3,053 | ) | 3,075 | (13,004 | ) | (9,929 | ) | ||||||||||||||
Other earning assets | — | — | — | (1 | ) | 1 | — | |||||||||||||||||
Total interest income | (6,180 | ) | (6,509 | ) | (12,689 | ) | (69,673 | ) | 42,949 | (26,724 | ) | |||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 186 | 1,994 | 2,180 | (126 | ) | (460 | ) | (586 | ) | |||||||||||||||
Bonds | (17,710 | ) | 10,398 | (7,312 | ) | (61,947 | ) | 28,878 | (33,069 | ) | ||||||||||||||
Deposits | (3 | ) | (28 | ) | (31 | ) | (8 | ) | (194 | ) | (202 | ) | ||||||||||||
Mandatorily redeemable capital stock | (9 | ) | 92 | 83 | 129 | 259 | 388 | |||||||||||||||||
Other borrowings | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Total interest expense | (17,536 | ) | 12,456 | (5,080 | ) | (61,953 | ) | 28,483 | (33,470 | ) | ||||||||||||||
Change in net interest income | $ | 11,356 | $ | (18,965 | ) | $ | (7,609 | ) | $ | (7,720 | ) | $ | 14,466 | $ | 6,746 |
Average Balance of Advances Outstanding by Product Type (dollars in thousands) | ||||||||
For the Nine Months Ended September 30, | ||||||||
2012 | 2011 | |||||||
Fixed-rate advances—par value | ||||||||
Long-term | $ | 9,907,681 | $ | 11,324,083 | ||||
Short-term | 4,514,645 | 2,264,447 | ||||||
Putable | 4,197,669 | 5,184,843 | ||||||
Amortizing | 1,145,053 | 1,592,077 | ||||||
Overnight | 357,762 | 406,037 | ||||||
Expander | 23,759 | 10,000 | ||||||
Callable | 16,186 | 6,518 | ||||||
Fixed-rate plus cap | 10,000 | 3,480 | ||||||
20,172,755 | 20,791,485 | |||||||
Variable-rate indexed advances—par value | ||||||||
Simple variable | 3,692,996 | 4,373,293 | ||||||
Putable | 63,586 | — | ||||||
Overnight | 10,095 | 9,673 | ||||||
Floating rate advances with embedded caps and / or floors | 10,000 | 11,151 | ||||||
3,776,677 | 4,394,117 | |||||||
Total average par value | 23,949,432 | 25,185,602 | ||||||
Net premiums and (discounts) | 17,434 | 7,470 | ||||||
Market value of embedded derivatives | 107 | — | ||||||
Hedging adjustments | 573,687 | 602,019 | ||||||
Total average balance of advances | $ | 24,540,660 | $ | 25,795,091 |
Net Interest Spread and Margin without Prepayment-Fee Income (dollars in thousands) | ||||||||||||||||||||||||||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||||||||||||||
Interest Income | Average Yield | Interest Income | Average Yield | Interest Income | Average Yield | Interest Income | Average Yield | |||||||||||||||||||||
Advances | $ | 72,551 | 1.15 | % | $ | 80,163 | 1.28 | % | $ | 225,037 | 1.22 | % | $ | 249,670 | 1.29 | % | ||||||||||||
Investment securities | 56,685 | 1.85 | 61,055 | 1.71 | 169,922 | 1.87 | 186,171 | 1.47 | ||||||||||||||||||||
Total interest-earning assets | 166,370 | 1.40 | 181,199 | 1.41 | 507,049 | 1.43 | 556,715 | 1.40 | ||||||||||||||||||||
Net interest income | 60,788 | 70,538 | 186,006 | 202,202 | ||||||||||||||||||||||||
Net interest spread | 0.42 | % | 0.47 | % | 0.43 | % | 0.43 | % | ||||||||||||||||||||
Net interest margin | 0.51 | % | 0.55 | % | 0.53 | % | 0.51 | % |
• | $3.5 billion decline in certificates of deposit; |
• | $547.3 million decline in agency and supranational banks; |
• | $500.0 million decline in MBS; and |
• | $186.7 million decline in corporate bonds. |
For the Three Months Ended September 30, 2012 | ||||||||||||||||||||||||
Net Effect of Derivatives and Hedging Activities | Advances | Investments | Mortgage Loans | Deposits | CO Bonds | Total | ||||||||||||||||||
Net interest income | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (2,683 | ) | $ | — | $ | (60 | ) | $ | — | $ | 6,160 | $ | 3,417 | ||||||||||
Net interest settlements included in net interest income (2) | (45,869 | ) | (10,256 | ) | — | 385 | 21,049 | (34,691 | ) | |||||||||||||||
Total effect on net interest income | (48,552 | ) | (10,256 | ) | (60 | ) | 385 | 27,209 | (31,274 | ) | ||||||||||||||
Net gains (losses) on derivatives and hedging activities | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | 259 | 462 | — | — | (124 | ) | 597 | |||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 545 | (4,376 | ) | — | — | 381 | (3,450 | ) | ||||||||||||||||
Other | — | — | 767 | — | — | 767 | ||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 804 | (3,914 | ) | 767 | — | 257 | (2,086 | ) | ||||||||||||||||
Subtotal | (47,748 | ) | (14,170 | ) | 707 | 385 | 27,466 | (33,360 | ) | |||||||||||||||
Net gains on trading securities | — | 4,669 | — | — | — | 4,669 | ||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (47,748 | ) | $ | (9,501 | ) | $ | 707 | $ | 385 | $ | 27,466 | $ | (28,691 | ) |
(1) | Represents the amortization/accretion of hedging fair-value adjustments for closed hedge positions. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
For the Three Months Ended September 30, 2011 | |||||||||||||||||||||||||
Net Effect of Derivatives and Hedging Activities | Advances | Investments | Mortgage Loans | Deposits | CO Bonds | Total | |||||||||||||||||||
Net interest income | |||||||||||||||||||||||||
Amortization / accretion of hedging activities in net interest income (1) | $ | (4,210 | ) | $ | — | $ | 38 | $ | — | $ | 3,691 | $ | (481 | ) | |||||||||||
Net interest settlements included in net interest income (2) | (68,212 | ) | (11,724 | ) | — | 397 | 37,975 | (41,564 | ) | ||||||||||||||||
Total net interest income | (72,422 | ) | (11,724 | ) | 38 | 397 | 41,666 | (42,045 | ) | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities | |||||||||||||||||||||||||
(Losses) gains on fair-value hedges | (45 | ) | (426 | ) | — | — | 916 | 445 | |||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1,130 | (20,229 | ) | — | — | — | (19,099 | ) | |||||||||||||||||
Other | — | — | 1,180 | — | — | 1,180 | |||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 1,085 | (20,655 | ) | 1,180 | — | 916 | (17,474 | ) | |||||||||||||||||
Subtotal | (71,337 | ) | (32,379 | ) | 1,218 | 397 | 42,582 | (59,519 | ) | ||||||||||||||||
Net gains on trading securities (3) | — | 13,552 | — | — | — | 13,552 | |||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (71,337 | ) | $ | (18,827 | ) | $ | 1,218 | $ | 397 | $ | 42,582 | $ | (45,967 | ) |
For the Nine Months Ended September 30, 2012 | ||||||||||||||||||||||||
Net Effect of Derivatives and Hedging Activities | Advances | Investments | Mortgage Loans | Deposits | CO Bonds | Total | ||||||||||||||||||
Net interest income | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (7,480 | ) | $ | — | $ | (150 | ) | $ | — | $ | 15,745 | $ | 8,115 | ||||||||||
Net interest settlements included in net interest income (2) | (149,548 | ) | (30,626 | ) | — | 1,151 | 69,054 | (109,969 | ) | |||||||||||||||
Total effect on net interest income | (157,028 | ) | (30,626 | ) | (150 | ) | 1,151 | 84,799 | (101,854 | ) | ||||||||||||||
Net (losses) gains on derivatives and hedging activities | ||||||||||||||||||||||||
(Losses) gains on fair-value hedges | (1,293 | ) | 1,255 | — | — | 293 | 255 | |||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 6 | (11,228 | ) | — | — | 372 | (10,850 | ) | ||||||||||||||||
Other | — | — | 2,086 | — | — | 2,086 | ||||||||||||||||||
Net (losses) gains on derivatives and hedging activities | (1,287 | ) | (9,973 | ) | 2,086 | — | 665 | (8,509 | ) | |||||||||||||||
Subtotal | (158,315 | ) | (40,599 | ) | 1,936 | 1,151 | 85,464 | (110,363 | ) | |||||||||||||||
Net gains on trading securities | — | 8,291 | — | — | — | 8,291 | ||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (158,315 | ) | $ | (32,308 | ) | $ | 1,936 | $ | 1,151 | $ | 85,464 | $ | (102,072 | ) |
(1) | Represents the amortization/accretion of hedging fair-value adjustments for closed hedge positions. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
For the Nine Months Ended September 30, 2011 | |||||||||||||||||||||||||
Net Effect of Derivatives and Hedging Activities | Advances | Investments | Mortgage Loans | Deposits | CO Bonds | Total | |||||||||||||||||||
Net interest income | |||||||||||||||||||||||||
Amortization / accretion of hedging activities in net interest income (1) | $ | (10,031 | ) | $ | — | $ | 167 | $ | — | $ | 5,283 | $ | (4,581 | ) | |||||||||||
Net interest settlements included in net interest income (2) | (218,021 | ) | (35,658 | ) | — | 1,183 | 123,553 | (128,943 | ) | ||||||||||||||||
Total net interest income | (228,052 | ) | (35,658 | ) | 167 | 1,183 | 128,836 | (133,524 | ) | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities | |||||||||||||||||||||||||
Gains on fair-value hedges | 423 | 282 | — | — | 1,141 | 1,846 | |||||||||||||||||||
Losses on derivatives not receiving hedge accounting | (88 | ) | (26,884 | ) | — | — | — | (26,972 | ) | ||||||||||||||||
Other | — | — | 1,599 | — | — | 1,599 | |||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 335 | (26,602 | ) | 1,599 | — | 1,141 | (23,527 | ) | |||||||||||||||||
Subtotal | (227,717 | ) | (62,260 | ) | 1,766 | 1,183 | 129,977 | (157,051 | ) | ||||||||||||||||
Net gains on trading securities (3) | — | 17,514 | — | — | — | 17,514 | |||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (227,717 | ) | $ | (44,746 | ) | $ | 1,766 | $ | 1,183 | $ | 129,977 | $ | (139,537 | ) |
Other Income (Loss) (dollars in thousands) | ||||||||||||||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2012 | 2011 | 2012 | 2011 | |||||||||||||
Gains (losses) on derivatives and hedging activities: | ||||||||||||||||
Net gains related to fair-value hedge ineffectiveness | $ | 597 | $ | 445 | $ | 255 | $ | 1,846 | ||||||||
Net unrealized (losses) gains related to derivatives not receiving hedge accounting associated with: | ||||||||||||||||
Advances | 231 | (931 | ) | (166 | ) | (1,132 | ) | |||||||||
Trading securities | (1,778 | ) | (16,019 | ) | (4,955 | ) | (18,818 | ) | ||||||||
Mortgage delivery commitments | 767 | 1,180 | 2,086 | 1,599 | ||||||||||||
Net interest-accruals related to derivatives not receiving hedge accounting | (1,903 | ) | (2,149 | ) | (5,729 | ) | (7,022 | ) | ||||||||
Net losses on derivatives and hedging activities | (2,086 | ) | (17,474 | ) | (8,509 | ) | (23,527 | ) | ||||||||
Net impairment losses on held-to-maturity securities recognized in income | (1,092 | ) | (7,210 | ) | (5,544 | ) | (73,588 | ) | ||||||||
Loss on early extinguishment of debt | (4,992 | ) | — | (16,993 | ) | — | ||||||||||
Service-fee income | 1,483 | 2,046 | 4,474 | 6,503 | ||||||||||||
Net unrealized gains on trading securities | 4,669 | 13,638 | 8,291 | 17,594 | ||||||||||||
Realized net gain from sale of available-for-sale securities | — | — | — | 12,801 | ||||||||||||
Other | 228 | 131 | 2,753 | 469 | ||||||||||||
Total other loss | $ | (1,790 | ) | $ | (8,869 | ) | $ | (15,528 | ) | $ | (59,748 | ) |
For the Three Months Ended September 30, 2012 | For the Three Months Ended September 30, 2011 | ||||||||||||||||||||||
Other-Than-Temporarily Impaired Investment: | Total Other-Than-Temporary Impairment Losses on Investment Securities | Net Amount of Impairment Losses Reclassified to Accumulated Other Comprehensive Loss | Net Impairment Losses on Investment Securities Recognized in Income | Total Other-Than-Temporary Impairment Losses on Investment Securities | Net Amount of Impairment Losses Reclassified to Accumulated Other Comprehensive Loss | Net Impairment Losses on Investment Securities Recognized in Income | |||||||||||||||||
Securities newly impaired during the period specified | $ | (371 | ) | $ | 371 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Securities previously impaired prior to the period specified | (1,706 | ) | 614 | (1,092 | ) | (8,336 | ) | 1,126 | (7,210 | ) | |||||||||||||
Total other-than-temporarily impaired securities | $ | (2,077 | ) | $ | 985 | $ | (1,092 | ) | $ | (8,336 | ) | $ | 1,126 | $ | (7,210 | ) |
For the Nine Months Ended September 30, 2012 | For the Nine Months Ended September 30, 2011 | ||||||||||||||||||||||
Other-Than-Temporarily Impaired Investment: | Total Other-Than-Temporary Impairment Losses on Investment Securities | Net Amount of Impairment Losses Reclassified to Accumulated Other Comprehensive Loss | Net Impairment Losses on Investment Securities Recognized in Income | Total Other-Than-Temporary Impairment Losses on Investment Securities | Net Amount of Impairment Losses Reclassified to (from) Accumulated Other Comprehensive Loss | Net Impairment Losses on Investment Securities Recognized in Income | |||||||||||||||||
Securities newly impaired during the period specified | $ | (951 | ) | $ | 951 | $ | — | $ | (6,072 | ) | $ | 6,026 | $ | (46 | ) | ||||||||
Securities previously impaired prior to the period specified | (13,267 | ) | 7,723 | (5,544 | ) | (25,910 | ) | (47,632 | ) | (73,542 | ) | ||||||||||||
Total other-than-temporarily impaired securities | $ | (14,218 | ) | $ | 8,674 | $ | (5,544 | ) | $ | (31,982 | ) | $ | (41,606 | ) | $ | (73,588 | ) |
At September 30, 2012 | For the Three Months Ended September 30, 2012 | ||||||||||||||||||
Other-Than-Temporarily Impaired Investment: | Par Value | Amortized Cost | Carrying Value | Fair Value | Other-than-Temporary Impairment Related to Credit Loss | ||||||||||||||
Private-label residential MBS - Prime | $ | 1,411 | $ | 1,411 | $ | 1,040 | $ | 1,040 | $ | — | |||||||||
Private-label residential MBS - Alt-A | $ | 199,089 | $ | 145,328 | $ | 103,488 | $ | 114,646 | $ | (1,092 | ) | ||||||||
Total other-than-temporarily impaired securities | $ | 200,500 | $ | 146,739 | $ | 104,528 | $ | 115,686 | $ | (1,092 | ) |
Advances Outstanding by Product Type (dollars in thousands) | |||||||||||||
September 30, 2012 | December 31, 2011 | ||||||||||||
Par Value | Percent of Total | Par Value | Percent of Total | ||||||||||
Fixed-rate advances | |||||||||||||
Overnight | $ | 388,246 | 1.7 | % | $ | 268,888 | 1.1 | % | |||||
Long-term | 9,743,415 | 41.8 | 10,546,190 | 42.9 | |||||||||
Short-term | 4,488,282 | 19.2 | 3,161,265 | 12.9 | |||||||||
Putable | 3,578,325 | 15.3 | 4,693,575 | 19.1 | |||||||||
Amortizing | 1,002,030 | 4.3 | 1,394,071 | 5.7 | |||||||||
Callable | 32,500 | 0.1 | 2,500 | — | |||||||||
Expander | 30,000 | 0.1 | 20,000 | 0.1 | |||||||||
Fixed-rate plus cap | 10,000 | 0.1 | 10,000 | — | |||||||||
19,272,798 | 82.6 | 20,096,489 | 81.8 | ||||||||||
Variable-rate advances | |||||||||||||
Overnight | 13,013 | — | 7,683 | — | |||||||||
Simple variable | 3,920,000 | 16.8 | 4,457,000 | 18.1 | |||||||||
Putable | 118,500 | 0.5 | — | — | |||||||||
Floating rate advances with embedded caps and / or floors | 20,000 | 0.1 | 20,000 | 0.1 | |||||||||
4,071,513 | 17.4 | 4,484,683 | 18.2 | ||||||||||
Total par value | $ | 23,344,311 | 100.0 | % | $ | 24,581,172 | 100.0 | % |
Top Five Advance-Borrowing Institutions (dollars in thousands) | |||||||||||||||||
September 30, 2012 | |||||||||||||||||
Name | Par Value of Advances | Percent of Total Par Value of Advances | Weighted-Average Rate (1) | Advances Interest Income for the Three Months Ended September 30, 2012 | Advances Interest Income for the Nine Months Ended September 30, 2012 | ||||||||||||
RBS Citizens, N.A. | $ | 3,520,085 | 15.1 | % | 0.32 | % | $ | 3,155 | $ | 8,367 | |||||||
Webster Bank, N.A. | 1,452,569 | 6.2 | 0.62 | 2,459 | 8,655 | ||||||||||||
Salem Five Cents Savings Bank | 659,551 | 2.8 | 1.87 | 3,219 | 9,905 | ||||||||||||
Bank of America Rhode Island, N.A. | 600,323 | 2.6 | 1.13 | 2,137 | 5,114 | ||||||||||||
Massachusetts Mutual Life Insurance Company | 600,000 | 2.6 | 1.96 | 3,008 | 8,958 |
(1) | Weighted-average rates are based on the contract rate of each advance without taking into consideration the effects of interest-rate-exchange agreements that may be used as a hedging instrument. |
• | Category-1: members that are generally in satisfactory financial condition; |
• | Category-2: members that show weakening financial trends in key financial indices and/or regulatory findings; and |
• | Category-3: members with financial weaknesses that present an elevated level of concern. In addition, we generally place insurance company members in Category-3 status because, unlike other members, insurance companies are subject to different laws and regulations in their particular states that could expose us to unique risks. We place housing associates in Category-3. |
Advances Outstanding by Borrower Collateral Status As of September 30, 2012 (dollars in thousands) | |||||||||||||
Number of Borrowers | Par Value of Advances Outstanding | Discounted Collateral | Ratio of Discounted Collateral to Advances | ||||||||||
Category-1 status | 260 | $ | 17,128,039 | $ | 45,750,283 | 267.1 | % | ||||||
Category-2 status | 25 | 4,767,206 | 17,131,401 | 359.4 | |||||||||
Category-3 status | 25 | 1,449,066 | 1,814,899 | 125.2 | |||||||||
Total | 310 | $ | 23,344,311 | $ | 64,696,583 | 277.1 | % |
Collateral by Pledge Type (dollars in thousands) | |||
Discounted Collateral | |||
Collateral not specifically listed and identified | $ | 36,932,450 | |
Collateral specifically listed and identified | 21,485,957 | ||
Collateral delivered to us | 16,560,057 |
Mortgage-Backed Securities | |||||
September 30, 2012 | December 31, 2011 | ||||
Residential MBS - U.S. government-guaranteed and GSE | 61.1 | % | 53.4 | % | |
Commercial MBS - U.S. government-guaranteed and GSE | 22.4 | 26.7 | |||
Private-label residential MBS | 16.1 | 19.5 | |||
ABS backed by home-equity loans | 0.3 | 0.3 | |||
Private-label commercial MBS | 0.1 | 0.1 | |||
Total MBS | 100.0 | % | 100.0 | % |
Credit Ratings of Investments at Carrying Value As of September 30, 2012 (dollars in thousands) | ||||||||||||||||||||||||
Long-Term Credit Rating (1) | ||||||||||||||||||||||||
Investment Category | Triple-A | Double-A | Single-A | Triple-B | Below Triple-B | Unrated | ||||||||||||||||||
Money market instruments: (2) | ||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 261 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities purchased under agreements to resell | — | — | 4,625,000 | 500,000 | — | — | ||||||||||||||||||
Federal funds sold | — | 650,000 | 450,000 | — | — | — | ||||||||||||||||||
Total money market instruments | — | 650,261 | 5,075,000 | 500,000 | — | — | ||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
U.S. agency obligations | — | 14,666 | — | — | — | — | ||||||||||||||||||
U.S. government-owned corporations | — | 293,600 | — | — | — | — | ||||||||||||||||||
GSEs | — | 2,218,142 | — | — | — | — | ||||||||||||||||||
Supranational institutions | 473,416 | — | — | — | — | — | ||||||||||||||||||
Corporate bonds (3) | — | 308,225 | — | — | — | — | ||||||||||||||||||
HFA securities | 24,525 | 115,549 | — | 49,780 | — | 2,115 | ||||||||||||||||||
Total non-MBS | 497,941 | 2,950,182 | — | 49,780 | — | 2,115 | ||||||||||||||||||
MBS: | ||||||||||||||||||||||||
U.S. government guaranteed - residential (2) | — | 135,922 | — | — | — | — | ||||||||||||||||||
U.S. government guaranteed - commercial (2) | — | 463,211 | — | — | — | — | ||||||||||||||||||
GSE - residential (2) | — | 4,890,462 | — | — | — | — | ||||||||||||||||||
GSE - commercial (2) | — | 1,374,973 | — | — | — | — | ||||||||||||||||||
Private-label - residential | 13,872 | 10,174 | 103,237 | 64,077 | 1,131,325 | 18 | ||||||||||||||||||
Private-label - commercial | 10,335 | — | — | — | — | — | ||||||||||||||||||
ABS backed by home-equity loans | 6,676 | 5,287 | 7,839 | — | 5,386 | — | ||||||||||||||||||
Total MBS | 30,883 | 6,880,029 | 111,076 | 64,077 | 1,136,711 | 18 | ||||||||||||||||||
Total investment securities | 528,824 | 9,830,211 | 111,076 | 113,857 | 1,136,711 | 2,133 | ||||||||||||||||||
Total investments | $ | 528,824 | $ | 10,480,472 | $ | 5,186,076 | $ | 613,857 | $ | 1,136,711 | $ | 2,133 |
(1) | Ratings are obtained from Moody's, Fitch, and S&P and are each as of September 30, 2012. If there is a split rating, the lowest rating is used. |
(2) | The issuer rating is used for these investments, and if a rating is on negative credit watch, the rating in the next lower rating category is used and then the lowest rating is determined. |
(3) | Consists of corporate debentures guaranteed by the FDIC under the FDIC's Temporary Liquidity Guarantee Program. The FDIC guarantee carries the full faith and credit of the U.S. government. |
Credit Ratings of Investments Below Investment Grade at Carrying Value As of September 30, 2012 (dollars in thousands) | ||||||||||||||||||||||||||||
Investment Category | Double-B | Single-B | Triple-C | Double-C | Single-C | Single-D | Total Below Investment Grade | |||||||||||||||||||||
Private-label residential MBS | $ | 45,410 | $ | 119,598 | $ | 553,611 | $ | 94,642 | $ | 54,592 | $ | 263,472 | $ | 1,131,325 | ||||||||||||||
ABS backed by home-equity loans | — | 3,578 | 1,334 | — | — | 474 | 5,386 | |||||||||||||||||||||
Total | $ | 45,410 | $ | 123,176 | $ | 554,945 | $ | 94,642 | $ | 54,592 | $ | 263,946 | $ | 1,136,711 |
Short-term Unsecured Money-market Credit Exposure by Investment Type (dollars in thousands) | ||||||||
Carrying Value (1) | ||||||||
September 30, 2012 | December 31, 2011 | |||||||
Federal funds sold | $ | 1,100,000 | $ | 2,270,000 |
(1) | Excludes unsecured investment credit exposure to U.S. Government, GSEs, U.S. government agencies and instrumentalities, corporate debentures guaranteed by the FDIC under the FDIC's Temporary Liquidity Guarantee Program, and triple-A rated supranational institutions and does not include related accrued interest as of September 30, 2012. |
Period-End and Average Balance of Unsecured Credit Exposure, by Country of Domicile of Counterparty (1) (dollars in thousands) | ||||||||
Country of Domicile of Counterparty | Carrying Value as of September 30, 2012 | Average Balance for the Nine Months ended September 30, 2012 | ||||||
Domestic | $ | — | $ | 8,175 | ||||
U.S branches and agency offices of foreign commercial banks | ||||||||
Sweden | 650,000 | 581,518 | ||||||
Canada | 350,000 | 305,737 | ||||||
United Kingdom | 100,000 | 190,511 | ||||||
Norway | — | 113,449 | ||||||
Germany | — | 148,230 | ||||||
Finland | — | 84,799 | ||||||
Switzerland | — | 44,982 | ||||||
Australia | — | 40,055 | ||||||
Netherlands | — | 13,321 | ||||||
Total U.S branches and agency offices of foreign commercial banks | 1,100,000 | 1,522,602 | ||||||
Total unsecured credit exposure | $ | 1,100,000 | $ | 1,530,777 |
(1) | Excludes unsecured investment credit exposure to U.S. Government, GSEs, U.S. government agencies and instrumentalities, corporate debentures guaranteed by the FDIC under the FDIC's Temporary Liquidity Guarantee Program, and triple-A rated supranational institutions and does not include related accrued interest as of September 30, 2012. |
Contractual Maturity of Unsecured Credit Exposure, by Country of Domicile of Counterparty (dollars in thousands) | ||||||||||||||||||||||||||||
Carrying Value (1) as of September 30, 2012 | ||||||||||||||||||||||||||||
Country of Domicile of Counterparty | Overnight | 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 | |||||||||||||||||||||
U.S branches and agency offices of foreign commercial banks | ||||||||||||||||||||||||||||
Sweden | $ | 650,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 650,000 | ||||||||||||||
Canada | 350,000 | — | — | — | — | — | 350,000 | |||||||||||||||||||||
United Kingdom | 100,000 | — | — | — | — | — | 100,000 | |||||||||||||||||||||
Total unsecured investment credit exposure | $ | 1,100,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,100,000 |
(1) | Excludes unsecured investment credit exposure to U.S. Government, GSEs, U.S. Government agencies and instrumentalities, corporate debentures guaranteed by the FDIC under the FDIC's Temporary Liquidity Guarantee Program, and triple-A rated supranational institutions and does not include related accrued interest as of September 30, 2012. |
Issuers / Counterparties Representing Greater Than 10 Percent of Total Unsecured Credit As of September 30, 2012 | |||
Issuer / counterparty | Percent | ||
Fannie Mae | 34.9 | % | |
Freddie Mac | 15.5 | ||
Inter-American Development Bank (a supranational institution) | 10.8 |
Significant Inputs | ||||||||||||||||||||||||||||
Projected Prepayment Rates | Projected Default Rates | Projected Loss Severities | Current Credit Enhancement | |||||||||||||||||||||||||
Private-label MBS by Year of Securitization | Par Value (1) | Weighted Average Percent | Range Percent | Weighted Average Percent | Range Percent | Weighted Average Percent | Range Percent | Weighted Average Percent | Range Percent | |||||||||||||||||||
Private-label residential MBS | ||||||||||||||||||||||||||||
Prime (2) | ||||||||||||||||||||||||||||
2007 | $ | 21,977 | 8.1 | % | 8.1 | % | 6.1 | % | 6.1 | % | 29.2 | % | 29.2 | % | 7.6 | % | 7.6 | % | ||||||||||
2006 | 15,346 | 7.7 | 7.7 | 34.4 | 34.4 | 39.7 | 39.7 | 0.0 | 0.0 | |||||||||||||||||||
2005 | 56,389 | 9.0 | 5.6 - 11.2 | 28.9 | 15.7 - 47.7 | 44.5 | 32.3 - 50.4 | 13.7 | 2.6 - 47.5 | |||||||||||||||||||
2004 and prior | 137,159 | 11.2 | 4.3 - 26.2 | 16.1 | 2.9 - 59.5 | 30.7 | 21.2 - 47.7 | 15.6 | 6.2 - 70.7 | |||||||||||||||||||
Total | $ | 230,871 | 10.1 | % | 4.3 - 26.2 | 19.5 | % | 2.9 - 59.5 | 34.5 | % | 21.2 - 50.4 | 13.4 | % | 0.0 - 70.7 | ||||||||||||||
Alt-A (2) | ||||||||||||||||||||||||||||
2007 | $ | 518,697 | 3.8 | % | 1.9 - 9.6 | 74.0 | % | 32.7 - 87.6 | 50.5 | % | 40.8 - 59.0 | 12.0 | % | 0.0 - 42.9 | ||||||||||||||
2006 | 859,238 | 4.3 | 2.1 - 7.5 | 70.0 | 37.9 - 85.6 | 52.9 | 39.2 - 58.4 | 13.4 | 0.0 - 48.9 | |||||||||||||||||||
2005 | 564,050 | 6.6 | 3.3 - 13.1 | 47.7 | 23.3 - 73.1 | 44.8 | 32.1 - 64.0 | 20.1 | 0.0 - 62.9 | |||||||||||||||||||
2004 and prior | 54,202 | 10.6 | 7.8 - 18.0 | 33.3 | 1.7 - 54.0 | 38.1 | 19.5 - 47.9 | 24.5 | 7.4 - 40.1 | |||||||||||||||||||
Total | $ | 1,996,187 | 5.0 | % | 1.9 - 18.0 | 63.7 | % | 1.7 - 87.6 | 49.6 | % | 19.5 - 64.0 | 15.2 | % | 0.0 - 62.9 | ||||||||||||||
ABS backed by home equity loans | ||||||||||||||||||||||||||||
Subprime (2) | ||||||||||||||||||||||||||||
2004 and prior | $ | 27,032 | 6.3 | % | 1.0 - 7.8 | 30.1 | % | 25.9 - 43.4 | 76.2 | % | 63.5 - 95.1 | 35.1 | % | 0.0 - 99.8 |
(2) | Securities are classified in the table above based upon the current performance characteristics of the underlying pool and therefore the manner in which the collateral pool group backing the security has been modeled (as prime, Alt-A, or subprime), rather than the classification of the security at the time of issuance. |
• | $2.0 billion in par value are securities backed primarily by Alt-A loans; |
• | $244.6 million in par value are backed primarily by prime residential and/or commercial loans; and |
• | $27.0 million in par value of these investments are backed primarily by subprime mortgages. |
Unpaid Principal Balance of Private-Label MBS and ABS Backed by Home Equity Loans by Fixed Rate or Variable Rate (dollars in thousands) | |||||||||||||||||||||||
September 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Private-label MBS | Fixed Rate (1) | Variable Rate (1) | Total | Fixed Rate (1) | Variable Rate (1) | Total | |||||||||||||||||
Private-label residential MBS | |||||||||||||||||||||||
Prime | $ | 20,586 | $ | 213,633 | $ | 234,219 | $ | 23,846 | $ | 292,663 | $ | 316,509 | |||||||||||
Alt-A | 38,221 | 1,957,966 | 1,996,187 | 42,153 | 2,147,908 | 2,190,061 | |||||||||||||||||
Total private-label residential MBS | 58,807 | 2,171,599 | 2,230,406 | 65,999 | 2,440,571 | 2,506,570 | |||||||||||||||||
Private-label commercial MBS | |||||||||||||||||||||||
Prime | 10,367 | — | 10,367 | 10,586 | — | 10,586 | |||||||||||||||||
ABS backed by home equity loans | |||||||||||||||||||||||
Subprime | — | 27,032 | 27,032 | — | 28,114 | 28,114 | |||||||||||||||||
Total par value of private-label MBS | $ | 69,174 | $ | 2,198,631 | $ | 2,267,805 | $ | 76,585 | $ | 2,468,685 | $ | 2,545,270 |
(1) | The determination of fixed or variable rate is based upon the contractual coupon type of the security. |
Private-Label MBS and ABS Backed by Home Equity Loans by Year of Securitization - Prime At September 30, 2012 (dollars in thousands) | |||||||||||||||||||
Private-label residential MBS - Prime | Total | 2007 | 2006 | 2005 | 2004 and prior | ||||||||||||||
Par value by credit rating | |||||||||||||||||||
Triple-A | $ | 2,295 | $ | — | $ | — | $ | — | $ | 2,295 | |||||||||
Double-A | 5,422 | — | — | — | 5,422 | ||||||||||||||
Single-A | 34,787 | — | — | — | 34,787 | ||||||||||||||
Triple-B | 50,211 | — | — | — | 50,211 | ||||||||||||||
Below Investment Grade | |||||||||||||||||||
Double-B | 28,870 | — | — | — | 28,870 | ||||||||||||||
Single-B | 41,727 | 21,977 | — | 15,088 | 4,662 | ||||||||||||||
Triple-C | 48,508 | — | — | 34,266 | 14,242 | ||||||||||||||
Single-C | 7,035 | — | — | 7,035 | — | ||||||||||||||
Single-D | 15,346 | — | 15,346 | — | — | ||||||||||||||
Unrated | 18 | — | — | — | 18 | ||||||||||||||
Total | $ | 234,219 | $ | 21,977 | $ | 15,346 | $ | 56,389 | $ | 140,507 | |||||||||
Amortized cost | $ | 223,683 | $ | 21,977 | $ | 12,135 | $ | 49,600 | $ | 139,971 | |||||||||
Gross unrealized losses | (21,440 | ) | (2,869 | ) | (259 | ) | (5,847 | ) | (12,465 | ) | |||||||||
Fair value | 202,338 | 19,108 | 11,876 | 43,753 | 127,601 | ||||||||||||||
Other-than-temporary impairment for the nine months ended September 30, 2012: | |||||||||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | $ | (371 | ) | $ | — | $ | — | $ | — | $ | (371 | ) | |||||||
Net amount of impairment losses reclassified to (from) accumulated other comprehensive loss | 371 | — | — | — | 371 | ||||||||||||||
Net impairment losses on held-to-maturity securities recognized in income | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||
Weighted average percentage of fair value to par value | 86.39 | % | 86.95 | % | 77.39 | % | 77.59 | % | 90.81 | % | |||||||||
Original weighted average credit support | 11.00 | 6.41 | 8.32 | 20.98 | 8.00 | ||||||||||||||
Weighted average credit support | 13.29 | 7.62 | — | 13.74 | 15.44 | ||||||||||||||
Weighted average collateral delinquency (1) | 12.30 | 5.24 | 16.36 | 18.11 | 10.63 | ||||||||||||||
Private-label commercial MBS - Prime | Total | 2007 | 2006 | 2005 | 2004 and prior | ||||||||||||||
Par value by credit rating | |||||||||||||||||||
Triple-A | $ | 10,367 | $ | — | $ | — | $ | — | $ | 10,367 | |||||||||
Amortized cost | 10,335 | — | — | — | 10,335 | ||||||||||||||
Fair value | 10,754 | — | — | — | 10,754 | ||||||||||||||
Weighted average percentage of fair value to par value | 103.73 | % | — | % | — | % | — | % | 103.73 | % | |||||||||
Original weighted average credit support | 12.50 | — | — | — | 12.50 | ||||||||||||||
Weighted average credit support | 16.09 | — | — | — | 16.09 | ||||||||||||||
Weighted average collateral delinquency (1) | 0.24 | — | — | — | 0.24 |
Private-Label MBS and ABS Backed by Home Equity Loans by Year of Securitization - Alt-A At September 30, 2012 (dollars in thousands) | |||||||||||||||||||
Private-label residential MBS - Alt-A | Total | 2007 | 2006 | 2005 | 2004 and prior | ||||||||||||||
Par value by credit rating | |||||||||||||||||||
Triple-A | $ | 11,576 | $ | — | $ | — | $ | 11,576 | $ | — | |||||||||
Double-A | 4,752 | — | — | — | 4,752 | ||||||||||||||
Single-A | 68,993 | — | — | 49,346 | 19,647 | ||||||||||||||
Triple-B | 13,866 | — | — | 7,825 | 6,041 | ||||||||||||||
Below Investment Grade | |||||||||||||||||||
Double-B | 17,308 | — | — | 4,449 | 12,859 | ||||||||||||||
Single-B | 83,049 | 964 | — | 71,182 | 10,903 | ||||||||||||||
Triple-C | 947,126 | 216,730 | 484,698 | 245,698 | — | ||||||||||||||
Double-C | 214,547 | 83,053 | 59,773 | 71,721 | — | ||||||||||||||
Single-C | 88,327 | 9,265 | 37,132 | 41,930 | — | ||||||||||||||
Single-D | 546,643 | 208,685 | 277,635 | 60,323 | — | ||||||||||||||
Total | $ | 1,996,187 | $ | 518,697 | $ | 859,238 | $ | 564,050 | $ | 54,202 | |||||||||
Amortized cost | $ | 1,501,386 | $ | 354,971 | $ | 598,341 | $ | 493,873 | 54,201 | ||||||||||
Gross unrealized losses | (309,098 | ) | (70,187 | ) | (130,626 | ) | (100,859 | ) | (7,426 | ) | |||||||||
Fair value | 1,197,197 | 289,079 | 468,329 | 393,014 | 46,775 | ||||||||||||||
Other-than-temporary impairment for the nine months ended September 30, 2012: | |||||||||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | $ | (13,847 | ) | $ | (290 | ) | $ | (8,743 | ) | $ | (4,235 | ) | $ | (579 | ) | ||||
Net amount of impairment losses reclassified to (from) accumulated other comprehensive loss | 8,306 | (156 | ) | 3,712 | 4,171 | 579 | |||||||||||||
Net impairment losses on held-to-maturity securities recognized in income | $ | (5,541 | ) | $ | (446 | ) | $ | (5,031 | ) | $ | (64 | ) | $ | — | |||||
Weighted average percentage of fair value to par value | 59.97 | % | 55.73 | % | 54.51 | % | 69.68 | % | 86.30 | % | |||||||||
Original weighted average credit support | 27.69 | 28.66 | 28.65 | 26.72 | 13.13 | ||||||||||||||
Weighted average credit support | 15.23 | 11.99 | 13.40 | 20.12 | 24.49 | ||||||||||||||
Weighted average collateral delinquency (1) | 36.25 | 42.65 | 40.44 | 25.75 | 17.65 |
Private-Label MBS and ABS Backed by Home Equity Loans by Year of Securitization - Subprime At September 30, 2012 (dollars in thousands) | ||||
ABS backed by home equity loans – Subprime | 2004 and prior | |||
Par value by credit rating | ||||
Triple-A | $ | 6,702 | ||
Double-A | 5,288 | |||
Single-A | 7,839 | |||
Below Investment Grade | ||||
Single-B | 4,493 | |||
Triple-C | 1,793 | |||
Single-D | 917 | |||
Total | $ | 27,032 | ||
Amortized cost | $ | 26,361 | ||
Gross unrealized losses | (4,593 | ) | ||
Fair value | 21,809 | |||
Other-than-temporary impairment for the nine months ended September 30, 2012: | ||||
Total other-than-temporary impairment losses on held-to-maturity securities | $ | — | ||
Net amount of impairment losses reclassified to (from) accumulated other comprehensive loss | (3 | ) | ||
Net impairment losses on held-to-maturity securities recognized in income | $ | (3 | ) | |
Weighted average percentage of fair value to par value | 80.68 | % | ||
Original weighted average credit support | 10.08 | |||
Weighted average credit support | 35.10 | |||
Weighted average collateral delinquency (1) | 20.03 |
Rating Agency Actions (1) Investments on Negative Watch as of October 31, 2012 (dollars in thousands) | ||||||||||||||||||||||||
Private-Label Residential MBS | ABS Backed by Home Equity Loans | HFA Securities | ||||||||||||||||||||||
Investment Ratings | Carrying Value | Fair Value | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||||||
Triple-A | $ | 13,871 | $ | 12,959 | $ | 1,708 | $ | 1,327 | $ | — | $ | — | ||||||||||||
Double-A | 2,528 | 2,310 | 5,288 | 4,132 | 80,275 | 69,606 | ||||||||||||||||||
Single-A | 3,205 | 3,046 | — | — | — | — | ||||||||||||||||||
Double-B | 2,977 | 2,674 | — | — | — | — |
(1) | Represents the lowest rating as of October 31, 2012, available for each security based on the NRSROs we use. |
Rating Agency Actions (1) Ratings Downgrades from October 1, 2012, through October 31, 2012 (dollars in thousands) | |||||||||||
Credit Rating as of | Carrying | Fair | |||||||||
Investment Category | September 30, 2012 | October 31, 2012 | Value | Value | |||||||
Private-label - residential | Double-C | Single-D | $ | 7,514 | $ | 7,983 |
(1) | Represents the lowest rating available for each security based on the NRSROs we use. |
Characteristics of Private-Label MBS in a Gross Unrealized Loss Position As of September 30, 2012 (dollars in thousands) | |||||||||||||||||||||||||||||
September 30, 2012 | October 31, 2012, Private-label MBS ratings based on September 30, 2012, par value | ||||||||||||||||||||||||||||
Par Value | Amortized Cost | Gross Unrealized Losses | Weighted Average Collateral Delinquency Rates | Percent AAA | Percent AAA | Percent Investment Grade | Percent Below Investment Grade | Percent Watch List | |||||||||||||||||||||
Private-label residential MBS backed by: | |||||||||||||||||||||||||||||
Prime first lien | $ | 230,871 | $ | 220,335 | $ | (21,439 | ) | 12.08 | % | 1.0 | % | 1.0 | % | 39.2 | % | 60.8 | % | 2.4 | % | ||||||||||
Alt-A option ARM | 799,224 | 657,160 | (162,136 | ) | 41.08 | — | — | — | 100.0 | — | |||||||||||||||||||
Alt-A other | 1,150,307 | 817,867 | (146,963 | ) | 32.38 | 1.0 | 1.0 | 7.6 | 92.4 | 1.5 | |||||||||||||||||||
Total private-label residential MBS | 2,180,402 | 1,695,362 | (330,538 | ) | 33.42 | 0.6 | 0.6 | 8.2 | 91.8 | 1.0 | |||||||||||||||||||
ABS backed by home equity loans: | |||||||||||||||||||||||||||||
Subprime first lien | 26,107 | 25,711 | (4,593 | ) | 19.78 | 25.7 | 25.7 | 50.3 | 49.7 | 26.9 | |||||||||||||||||||
Total private-label MBS | $ | 2,206,509 | $ | 1,721,073 | $ | (335,131 | ) | 33.26 | % | 0.9 | % | 0.9 | % | 8.7 | % | 91.3 | % | 1.3 | % |
Geographic Concentrations of Loans Underlying our Private-Label MBS and ABS | ||
State concentrations | Percentage of Total Private-Label MBS and ABS | |
California | 39.3 | % |
Florida | 12.6 | |
New York | 5.1 | |
All Other | 43.0 | |
100.0 | % | |
Metropolitan Statistical Area | ||
Los Angeles - Long Beach, CA | 10.1 | % |
Washington, D.C.-MD-VA-WV | 6.0 | |
All Other | 83.9 | |
100.0 | % |
Monoline Insurance and GSE Guarantees of MBS and ABS Backed by Home Equity Loan Investments Credit Ratings and Outlook As of October 31, 2012 | |||||||||||
Moody's | S&P | Fitch | |||||||||
Credit Rating | Outlook / Negative Watch | Credit Rating | Outlook / Negative Watch | Credit Rating | Outlook / Negative Watch | ||||||
Ambac Assurance Corporation (1) | Removed | NA | Removed | NA | Not Rated | Not Rated | |||||
Assured Guaranty Municipal Corp. | Aa3 | Negative Watch | AA- | Stable | Not Rated | Not Rated | |||||
MBIA Insurance Corporation (2) | B3 | Negative Watch | B | Negative | Not Rated | Not Rated | |||||
Syncora Guarantee Inc. (1) | Ca | Positive Watch | Removed | NA | Not Rated | Not Rated | |||||
Financial Guaranty Insurance Company (1) | Not Rated | Not Rated | Not Rated | Not Rated | Not Rated | Not Rated | |||||
Fannie Mae | Aaa | Negative | AA+ | Negative | AAA | Negative | |||||
Freddie Mac | Aaa | Negative | AA+ | Negative | AAA | Negative |
(1) | We placed no reliance on these monoline insurers in our models estimating the projected cash flows to determine other-than-temporary impairment. See Item 1 — Notes to the Financial Statements — Note 6 — Other-Than-Temporary Impairment for additional information. |
(2) | MBIA Insurance Corp.'s burnout period ends in December 2012. See Item 1 — Notes to the Financial Statements — Note 6 — Other-Than-Temporary Impairment for additional information. |
Par Value of Monoline Insurance Coverage and Related Unrealized Losses of Private-Label MBS and ABS Backed by Home Equity Loan Investments by Year of Securitization At September 30, 2012 (dollars in thousands) | |||||||||||||||||||||||||||||||||||||||
Ambac Assurance Corp (1) | Assured Guaranty Municipal Corp | MBIA Insurance Corp (2) | Syncora Guarantee Inc. (1) | Financial Guaranty Insurance Co. (1) | |||||||||||||||||||||||||||||||||||
Monoline Insurance Coverage | Unrealized Losses | Monoline Insurance Coverage | Unrealized Losses | Monoline Insurance Coverage | Unrealized Losses | Monoline Insurance Coverage | Unrealized Losses | Monoline Insurance Coverage | Unrealized Losses | ||||||||||||||||||||||||||||||
Private-label MBS by Year of Securitization | |||||||||||||||||||||||||||||||||||||||
Alt-A | |||||||||||||||||||||||||||||||||||||||
2007 | $ | 52,739 | $ | (2,083 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
2006 | 13,281 | (3,243 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
2005 | 26,885 | (5,640 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
2004 and prior | 1,263 | (160 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Total Alt-A | 94,168 | (11,126 | ) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Subprime | |||||||||||||||||||||||||||||||||||||||
2004 and prior | 1,843 | (32 | ) | 7,022 | (1,536 | ) | 13,891 | (2,222 | ) | 3,408 | (623 | ) | 868 | (180 | ) | ||||||||||||||||||||||||
Total private-label MBS | $ | 96,011 | $ | (11,158 | ) | $ | 7,022 | $ | (1,536 | ) | $ | 13,891 | $ | (2,222 | ) | $ | 3,408 | $ | (623 | ) | $ | 868 | $ | (180 | ) |
(1) | We placed no reliance on these monoline insurers in our models estimating the projected cash flows to determine other-than-temporary impairment. See Item 1 — Notes to the Financial Statements — Note 6 — Other-Than-Temporary Impairment for additional information. |
(2) | MBIA Insurance Corp.'s burnout period ends in December 2012. See Item 1 — Notes to the Financial Statements — Note |
State Concentrations of HFA Securities | |||||||
Carry Value | Percent of Total HFA Investments | ||||||
Massachusetts | $ | 112,655 | 58.7 | % | |||
Rhode Island | 29,910 | 15.6 | |||||
Connecticut | 24,525 | 12.8 | |||||
Maine | 15,000 | 7.8 | |||||
All Other | 9,879 | 5.1 | |||||
$ | 191,969 | 100.0 | % |
State Concentrations by Outstanding Principal Balance | |||||
Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans | |||||
September 30, 2012 | December 31, 2011 | ||||
Massachusetts | 38 | % | 35 | % | |
California | 10 | 12 | |||
Maine | 9 | 6 | |||
Connecticut | 8 | 9 | |||
Wisconsin | 7 | 6 | |||
All others | 28 | 32 | |||
Total | 100 | % | 100 | % |
State Concentrations of Delinquent Conventional Mortgage Loans | |||||
Percentage of Total Outstanding Principal Balance of Delinquent Conventional Mortgage Loans | |||||
September 30, 2012 | December 31, 2011 | ||||
Massachusetts | 27 | % | 24 | % | |
California | 21 | 23 | |||
Connecticut | 8 | 9 | |||
All others | 44 | 44 | |||
Total | 100 | % | 100 | % |
September 30, 2012 | December 31, 2011 | ||||||
Nonaccrual loans, par value | $ | 50,338 | $ | 54,927 | |||
Total par value past due 90 days or more and still accruing interest (1) | 24,265 | 24,438 |
(1) | Represents government mortgage loans. |
Summary of Higher-Risk Conventional Mortgage Loans As of September 30, 2012 (dollars in thousands) | |||||||||||||
High-Risk Loan Type | Total Par Value | Percent Delinquent 30 Days | Percent Delinquent 60 Days | Percent Delinquent 90 Days or More and Nonaccruing | |||||||||
Subprime loans (1) | $ | 181,444 | 8.71 | % | 2.14 | % | 7.35 | % | |||||
High loan-to-value loans (2) | 41,226 | 1.26 | 1.07 | 13.36 | |||||||||
Subprime and high loan-to-value loans (3) | 5,550 | 7.71 | 4.18 | 19.24 | |||||||||
Total high-risk loans | $ | 228,220 | 7.34 | % | 2.00 | % | 8.72 | % |
(1) | Subprime loans are loans to borrowers with FICO® credit scores 660 or lower. |
(2) | High loan-to-value loans have an estimated current loan-to-value ratio greater than 100 percent based on movements in property values in the core-based statistical areas where the property securing the loan is located. |
(3) | These loans are subprime and also have a current estimated loan-to-value ratio greater than 100 percent. |
Mortgage Insurance Companies that Provide Mortgage Insurance Coverage (dollars in thousands) | |||||||||||||||||||||||
As of October 31, 2012 | September 30, 2012 | ||||||||||||||||||||||
Mortgage Insurance Company | Mortgage Insurance Company Ratings (S&P/ Moody's/Fitch | Credit Rating Outlook | Balance of Loans with Primary Mortgage Insurance | Primary Mortgage Insurance | Supplemental Mortgage Insurance | Mortgage Insurance Coverage | Percent of Total Mortgage Insurance Coverage | ||||||||||||||||
United Guaranty Residential Insurance Corporation | BBB/Baa1/NR | Stable | $ | 109,003 | $ | 25,655 | $ | — | $ | 25,655 | 46.1 | % | |||||||||||
Genworth Mortgage Insurance Corporation | B/Ba1/NR | Negative | 49,355 | 11,884 | — | 11,884 | 21.3 | ||||||||||||||||
Mortgage Guaranty Insurance Corporation | B-/B2/NR | Negative | 36,692 | 7,982 | — | 7,982 | 14.3 | ||||||||||||||||
PMI Mortgage Insurance Company (1) | R/Caa3/NR | Negative | 14,197 | 2,996 | — | 2,996 | 5.4 | ||||||||||||||||
CMG Mortgage Insurance Company | BBB-/NR/BBB- | Negative | 11,036 | 2,648 | — | 2,648 | 4.8 | ||||||||||||||||
Radian Guaranty Incorporated | B-/Ba3/NR | Negative | 9,122 | 1,730 | — | 1,730 | 3.1 | ||||||||||||||||
Republic Mortgage Insurance Company (2) | R/NR/NR | N/A | 8,559 | 1,683 | 649 | 2,332 | 4.2 | ||||||||||||||||
Triad Guaranty Insurance Corporation | NR/NR/NR | N/A | 2,602 | 459 | — | 459 | 0.8 | ||||||||||||||||
$ | 240,566 | $ | 55,037 | $ | 649 | $ | 55,686 | 100.0 | % |
(1) | On October 20, 2011, the Arizona Department of Insurance took possession and control of PMI Mortgage Insurance Company and beginning October 24, 2011, PMI Mortgage Insurance Company has been directed to only pay 50 percent of the claim amounts with the remaining claim amounts being deferred until the company is liquidated. |
(2) | On January 19, 2012, the North Carolina Department of Insurance issued an Order of Supervision providing for immediate |
Hedged Item and Hedge-Accounting Treatment (dollars in thousands) | ||||||||||||||||||||
September 30, 2012 | December 31, 2011 | |||||||||||||||||||
Hedged Item | Derivative | Designation | Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||
Advances (1) | Swaps | Fair value | $ | 6,327,340 | $ | (546,001 | ) | $ | 7,850,557 | $ | (603,754 | ) | ||||||||
Swaps | Economic | 140,250 | (1,083 | ) | 10,750 | (282 | ) | |||||||||||||
Total associated with advances | 6,467,590 | (547,084 | ) | 7,861,307 | (604,036 | ) | ||||||||||||||
Available-for-sale securities | Swaps | Fair value | 711,915 | (384,968 | ) | 711,915 | (379,375 | ) | ||||||||||||
Caps and floors | Economic | 300,000 | 42 | 300,000 | 786 | |||||||||||||||
Total associated with available-for-sale securities | 1,011,915 | (384,926 | ) | 1,011,915 | (378,589 | ) | ||||||||||||||
Trading securities | Swaps | Economic | 225,000 | (34,458 | ) | 225,000 | (29,503 | ) | ||||||||||||
COs | Swaps | Fair value | 7,781,145 | 87,366 | 10,743,550 | 196,640 | ||||||||||||||
Swaps | Economic | 800,000 | 372 | — | — | |||||||||||||||
Forward starting swaps | Cash Flow | 1,250,000 | (64,855 | ) | 700,000 | (31,981 | ) | |||||||||||||
Total associated with COs | 9,831,145 | 22,883 | 11,443,550 | 164,659 | ||||||||||||||||
Deposits | Swaps | Fair value | 20,000 | 3,079 | 20,000 | 3,986 | ||||||||||||||
Total | 17,555,650 | (940,506 | ) | 20,561,772 | (843,483 | ) | ||||||||||||||
Mortgage delivery commitments | 41,506 | (43 | ) | 17,734 | 128 | |||||||||||||||
Total derivatives | $ | 17,597,156 | (940,549 | ) | $ | 20,579,506 | (843,355 | ) | ||||||||||||
Accrued interest | (8,327 | ) | (25,187 | ) | ||||||||||||||||
Cash collateral | (330 | ) | (20,241 | ) | ||||||||||||||||
Net derivatives | $ | (949,206 | ) | $ | (888,783 | ) | ||||||||||||||
Derivative asset | $ | 529 | $ | 16,521 | ||||||||||||||||
Derivative liability | (949,735 | ) | (905,304 | ) | ||||||||||||||||
Net derivatives | $ | (949,206 | ) | $ | (888,783 | ) |
Fair-Value Hedge Relationships of Advances By Year of Contractual Maturity As of September 30, 2012 (dollars in thousands) | |||||||||||||||||||||||||||
Weighted-Average Yield (3) | |||||||||||||||||||||||||||
Derivatives | Advances(1) | Derivatives | |||||||||||||||||||||||||
Maturity | Notional | Fair Value | Hedged Amount | Fair-Value Adjustment(2) | Advances | Receive Floating Rate | Pay Fixed Rate | Net Receive Result | |||||||||||||||||||
Due in one year or less | $ | 902,610 | $ | (13,606 | ) | $ | 902,610 | $ | 13,562 | 3.61 | % | 0.43 | % | 3.43 | % | 0.61 | % | ||||||||||
Due after one year through two years | 833,500 | (34,348 | ) | 833,500 | 34,330 | 3.22 | 0.42 | 3.01 | 0.63 | ||||||||||||||||||
Due after two years through three years | 785,515 | (45,316 | ) | 785,515 | 45,270 | 3.06 | 0.44 | 2.73 | 0.77 | ||||||||||||||||||
Due after three years through four years | 654,695 | (56,753 | ) | 654,695 | 56,559 | 3.19 | 0.41 | 2.93 | 0.67 | ||||||||||||||||||
Due after four years through five years | 1,871,130 | (253,373 | ) | 1,871,130 | 251,201 | 3.77 | 0.42 | 3.59 | 0.60 | ||||||||||||||||||
Thereafter | 1,279,890 | (142,605 | ) | 1,279,890 | 142,376 | 3.19 | 0.43 | 2.88 | 0.74 | ||||||||||||||||||
Total | $ | 6,327,340 | $ | (546,001 | ) | $ | 6,327,340 | $ | 543,298 | 3.41 | % | 0.42 | % | 3.17 | % | 0.66 | % |
(1) | Included in the advances hedged amount are $3.6 billion of putable advances, which would accelerate the termination date of the derivative and the hedged item if the put option is exercised. |
(2) | The fair-value adjustment of hedged advances represents the amounts recorded for changes in the fair value attributable to changes in the designated benchmark interest rate, LIBOR. |
(3) | The yield for floating-rate instruments and the floating-rate leg of interest-rate swaps is the coupon rate in effect as of September 30, 2012. |
Fair-Value Hedge Relationships of Consolidated Obligations By Year of Contractual Maturity As of September 30, 2012 (dollars in thousands) | |||||||||||||||||||||||||||
Weighted-Average Yield (3) | |||||||||||||||||||||||||||
Derivatives | CO Bonds (1) | Derivatives | |||||||||||||||||||||||||
Year of Maturity | Notional | Fair Value | Hedged Amount | Fair-Value Adjustment(2) | CO Bonds | Receive Fixed Rate | Pay Floating Rate | Net Pay Result | |||||||||||||||||||
Due in one year or less | $ | 3,589,950 | $ | 27,999 | $ | 3,589,950 | $ | (27,880 | ) | 1.59 | % | 1.59 | % | 0.32 | % | 0.32 | % | ||||||||||
Due after one year through two years | 2,143,500 | 22,572 | 2,143,500 | (22,572 | ) | 1.03 | 1.11 | 0.32 | 0.24 | ||||||||||||||||||
Due after two years through three years | 647,695 | 8,460 | 647,695 | (8,463 | ) | 0.93 | 0.96 | 0.32 | 0.29 | ||||||||||||||||||
Due after three years through four years | 690,000 | 23,822 | 690,000 | (23,830 | ) | 1.51 | 1.51 | 0.31 | 0.31 | ||||||||||||||||||
Due after four years through five years | 195,000 | 2,008 | 195,000 | (2,078 | ) | 0.93 | 0.93 | 0.26 | 0.26 | ||||||||||||||||||
Thereafter | 515,000 | 2,505 | 515,000 | (2,575 | ) | 1.39 | 1.39 | 0.13 | 0.13 | ||||||||||||||||||
Total | $ | 7,781,145 | $ | 87,366 | $ | 7,781,145 | $ | (87,398 | ) | 1.34 | % | 1.37 | % | 0.30 | % | 0.27 | % |
(1) | Included in the CO Bonds hedged amount are $625.0 million of callable CO Bonds, which would accelerate the termination date of the derivative and the hedged item if the call option is exercised. |
(2) | The fair-value adjustment of hedged CO bonds represents the amounts recorded for changes in the fair value attributable to changes in the designated benchmark interest rate, LIBOR. |
(3) | The yield for floating-rate instruments and the floating-rate leg of interest-rate swaps is the coupon rate in effect as of September 30, 2012. |
Derivatives Counterparty Credit Exposure (dollars in thousands) | ||||||||||||||||||||
Credit Rating (1) | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged From Counterparty | Non-cash Collateral Pledged To Counterparty | Net Credit Exposure to Counterparties | |||||||||||||||
Asset positions with credit exposure: | ||||||||||||||||||||
Double-A | $ | 25,000 | $ | 50 | $ | — | $ | — | $ | 50 | ||||||||||
Single-A | 331,500 | 724 | (330 | ) | — | 394 | ||||||||||||||
Liability positions with credit exposure: | ||||||||||||||||||||
Single-A | 6,635,835 | (606,594 | ) | — | 623,084 | 16,490 | ||||||||||||||
Total derivative positions with non-member counterparties to which we had credit exposure | 6,992,335 | (605,820 | ) | (330 | ) | 623,084 | 16,934 | |||||||||||||
Mortgage delivery commitments (2) | 41,506 | 85 | — | — | 85 | |||||||||||||||
Total | $ | 7,033,841 | $ | (605,735 | ) | $ | (330 | ) | $ | 623,084 | $ | 17,019 | ||||||||
Derivative positions without credit exposure: | ||||||||||||||||||||
Double-A | $ | 25,000 | ||||||||||||||||||
Single-A | 7,136,325 | |||||||||||||||||||
Triple-B | 3,401,990 | |||||||||||||||||||
Total derivative positions without credit exposure | $ | 10,563,315 |
(1) | Ratings are obtained from Moody's, Fitch, and S&P. If there is a split rating, the lowest rating is used. In the case where the obligations are unconditionally and irrevocably guaranteed, the rating of the guarantor is used. |
(2) | Total fair-value exposures related to commitments to invest in mortgage loans are offset by certain pair-off fees. Commitments to invest in mortgage loans are reflected as derivative instruments. We do not collateralize these commitments. However, should the participating financial institution fail to deliver the mortgage loans as agreed, the participating financial institution is charged a fee to compensate us for the nonperformance. |
September 30, 2012 | |||||||||||
Counterparty | Notional Amount Outstanding | Percent of Total Notional Outstanding | Fair Value | ||||||||
Deutsche Bank AG | $ | 2,908,965 | 16.6 | % | $ | (408,733 | ) | ||||
Barclays Bank PLC | 2,203,795 | 12.6 | (70,059 | ) | |||||||
JP Morgan Chase Bank | 1,951,650 | 11.1 | (100,150 | ) | |||||||
Citigroup Financial Products, Inc. | 1,843,840 | 10.5 | (73,133 | ) | |||||||
UBS AG | 1,789,775 | 10.2 | (24,963 | ) | |||||||
Goldman Sachs Capital Markets, LP | 1,775,220 | 10.1 | (97,710 | ) |
December 31, 2011 | |||||||||||
Counterparty | Notional Amount Outstanding | Percent of Total Notional Outstanding | Fair Value | ||||||||
Barclays Bank PLC | $ | 3,085,095 | 15.0 | % | $ | (66,457 | ) | ||||
Deutsche Bank AG | 2,957,965 | 14.4 | (407,931 | ) | |||||||
Citigroup Financial Products, Inc. | 2,749,040 | 13.4 | (73,395 | ) | |||||||
Morgan Stanley Capital Services, Inc. | 2,414,150 | 11.7 | (115,873 | ) | |||||||
Goldman Sachs Bank USA | 2,286,725 | 11.1 | (78,858 | ) |
Structural Liquidity As of September 30, 2012 (dollars in thousands) | |||||||||||
1 Month | 2 Month | 3 Months | |||||||||
Projected net cash flow (1) | $ | 2,486,297 | $ | (3,517,183 | ) | $ | (4,144,642 | ) | |||
Less: Cumulative contingent obligations | (4,537,239 | ) | (6,193,958 | ) | (7,414,920 | ) | |||||
Equals: Net structural liquidity need | (2,050,942 | ) | (9,711,141 | ) | (11,559,562 | ) | |||||
Available borrowing capacity (2) | $ | 40,402,058 | $ | 48,006,473 | $ | 49,930,675 | |||||
Ratio of available borrowing capacity to net structural liquidity need | 19.70 | 4.94 | 4.32 | ||||||||
Required ratio | 1.00 | 0.50 | 0.50 | ||||||||
Management action trigger | — | 1.00 | 1.00 |
(1) | Projected net cash flow equals projected sources of funds less projected uses of funds based on contractual maturities or expected option exercise periods, as applicable. |
(2) | Available borrowing capacity is the CO issuance capacity based on achieving leverage up to our internal minimum capital requirement. For information on this internal minimum capital requirement, see — Internal Capital Practices and Policies — Internal Minimum Capital Requirements. |
Contingency Liquidity As of September 30, 2012 (dollars in thousands) | |||
Cumulative Fifth Business Day | |||
Projected net cash flow (1) | $ | (1,748,144 | ) |
Contingency borrowing capacity (exclusive of CO issuances) | 12,252,191 | ||
Net contingency borrowing capacity | $ | 10,504,047 |
(1) | Projected net cash flow equals projected sources of funds less projected uses of funds based on contractual maturities or expected option exercise periods, as applicable. |
Membership Stock Investment Requirement | Activity-Based Stock Requirement | Total Stock Investment Requirement (1) | Outstanding Class B Capital Stock (2) | Excess Class B Capital Stock | |||||||||||||||
September 30, 2012 | $ | 639,941 | $ | 1,039,539 | $ | 1,679,503 | $ | 3,648,879 | $ | 1,969,376 | |||||||||
December 31, 2011 | 623,793 | 1,104,877 | 1,728,692 | 3,852,777 | 2,124,085 |
(1) | Total stock-investment requirement is rounded up to the nearest $100 on an individual member basis. |
(2) | Class B capital stock outstanding includes mandatorily redeemable capital stock. |
Expiry of Redemption Period | September 30, 2012 | December 31, 2011 | ||||||
Due in one year or less | $ | 80,161 | $ | — | ||||
Due after one year through two years | 98 | 86,598 | ||||||
Due after two years through three years | — | 10 | ||||||
Due after three years through four years | 134,590 | — | ||||||
Due after four years through five years | 1,014 | 140,821 | ||||||
Total | $ | 215,863 | $ | 227,429 |
• | commitments that obligate us for additional advances; |
• | standby letters of credit; |
• | commitments for unused lines-of-credit advances; |
• | standby bond-purchase agreements with state housing authorities; and |
• | unsettled COs. |
Recovery Range of Annualized Rates | |||||||||
Months | Base Case | Adverse Case | |||||||
1 - 6 | 0.0% | to | 2.8% | 0.0% | to | 1.9 | % | ||
7 - 18 | 0.0% | to | 3.0% | 0.0% | to | 2.0 | % | ||
19 - 24 | 1.0% | to | 4.0% | 0.7% | to | 2.7 | % | ||
25 - 30 | 2.0% | to | 4.0% | 1.3% | to | 2.7 | % | ||
31 - 42 | 2.0% | to | 5.0% | 1.3% | to | 3.4 | % | ||
43 - 66 | 2.0% | to | 6.0% | 1.3% | to | 4.0 | % | ||
Thereafter | 2.3% | to | 5.6% | 1.5% | to | 3.8 | % |
Credit Losses as Reported | Sensitivity Analysis - Adverse HPI Scenario | |||||||||||||||||||||
For the quarter ending September 30, 2012 | Number of Securities | Par Value | Other-Than-Temporary Impairment Credit Loss | Number of Securities | Par Value | Other-Than-Temporary Impairment Credit Loss | ||||||||||||||||
Prime | 1 | $ | 1,411 | $ | — | 4 | $ | 30,632 | $ | (426 | ) | |||||||||||
Alt-A | 9 | 199,089 | (1,092 | ) | 57 | 1,130,393 | (31,360 | ) | ||||||||||||||
Subprime | — | — | — | 3 | 2,436 | (60 | ) | |||||||||||||||
Total private-label MBS | 10 | $ | 200,500 | $ | (1,092 | ) | 64 | $ | 1,163,461 | $ | (31,846 | ) |
• | the level of an FHLBank's exposure to insurance companies in relation to its capital structure and retained earnings; |
• | an FHLBank's control of pledged securities collateral and ensuring it has a first-priority perfected security interest; |
• | the use of funding agreements between an FHLBank and an insurance company member to document advances and whether such an FHLBank would be recognized as a secured creditor with a first priority security interest in the collateral; and |
• | the FHLBank's documented framework procedures, methodologies and standards to evaluate an insurance company member's creditworthiness and financial condition, the FHLBanks' valuation of the pledged collateral, and whether the FHLBank has a written plan for the liquidation of insurance company member collateral. |
• | the issuance of COs that generally match the interest-rate-risk exposures of our assets; |
• | the use of derivatives and/or COs with embedded options to hedge the interest-rate-risk of our debt (at September 30, 2012, fixed-rate noncallable debt, not hedged by interest-rate swaps, amounted to $14.3 billion, compared with $14.6 billion at December 31, 2011, and fixed-rate callable debt not hedged by interest-rate swaps amounted to $1.1 billion and $843.0 million at September 30, 2012, and December 31, 2011, respectively); |
• | the issuance of COs together with interest-rate swaps that receive a coupon that offsets the bond coupon and that offsets any optionality embedded in the bond, thereby effectively creating a floating-rate liability (total CO bonds used in conjunction with interest-rate-exchange agreements was $7.8 billion, or 27.8 percent of our total outstanding CO bonds at September 30, 2012, compared with $10.7 billion, or 36.3 percent of total outstanding CO bonds, at December 31, 2011); |
• | contractual provisions for advances with original fixed maturities of greater than six months that require borrowers to pay us prepayment fees, which make us financially indifferent if such advances are prepaid prior to maturity and protect against a loss of income under certain interest-rate environments; |
• | the use of the duration extension portfolio (which totaled $2.4 billion at September 30, 2012, as compared with $3.3 billion at December 31, 2011), to hedge our net interest income against the impact of low interest rates, which is discussed in Item 7A — Quantitative and Qualitative Disclosures About Market Risks — Measurement of Market and Interest-Rate Risk — Duration Extension Portfolio in the 2011 Annual Report; and |
• | the use of callable debt for a portion of our investments in mortgage loans to manage the interest-rate and prepayment risks from these investments. |
• | the ratio of MVE to BVE; |
• | the ratio of MVE to the par value of our Class B Stock (Par Stock), which we refer to as the MVE to Par Stock ratio; |
• | the ratio of adjusted MVE to Par Stock, which metric removes the impact of market illiquidity on MVE; |
• | the ratio of MVE to the market value of assets, which we refer to as the economic capital ratio; |
• | value at risk (VaR), which measures the change in our MVE to a 99th percent confidence interval, based on a set of stress scenarios using historical interest-rate and volatility movements that have been observed over six-month intervals starting at the most recent month-end and going back monthly to 1978, consistent with Finance Agency regulations; |
• | duration of equity, which measures percentage change to shareholder value for a 100 basis point shift in rates; |
• | the duration gap of our assets and liabilities, which is the difference between the estimated durations (percentage change in market value for a 100 basis point shift in rates) of assets and liabilities (including the effect of related hedges) and reflects the extent to which estimated sensitivities to market changes, including, but not limited to, maturity and repricing cash flows for assets and liabilities are matched; |
• | targeted metrics for the duration extension portfolio and our investments in mortgage loans; and |
• | the use of an income-simulation model that projects net interest income over a range of potential interest-rate scenarios, including parallel interest-rate shocks, nonparallel interest-rate shocks, and nonlinear changes to our funding curve and LIBOR. |
Interest/Market-Rate Risk Metric | At September 30, 2012 | At December 31, 2011 | Target, Limit or Management Action Trigger at September 30, 2012 | |||
MVE | $3.8 billion | $3.7 billion | None | |||
MVE/BVE | 90% | 86% | None | |||
MVE/Par Stock | 104% | 95% | 100% (target) | |||
Adjusted MVE/Par Stock | 109% | 108% | 102% (management action trigger) and 100% (limit) | |||
Economic Capital Ratio | 8.1% | 7.2% | 4.5% (management action trigger) and 4.0% or lower (limit) | |||
VaR | $71.9 million | $91.3 million | $225.0 million (management action trigger) and $275.0 million (limit) | |||
Duration of Equity | +0.3 years | +1.1 years | +/- 3.5 years (management action trigger) and +/- 4.0 years (limit) lowered from +/- 5.0 years at December 31, 2011 | |||
Duration Gap | +0.3 months | +0.9 months | None | |||
Duration Extension Portfolio VaR Limit (1) | $1.7 million | $5.2 million | $125.0 million (limit) | |||
Duration Extension Portfolio Interest Rate Shock | Market yields on GSE debt would have to rise by 180 basis points for the management action trigger to be breached and by 230 basis points for the limit to be breached | Market yields on GSE debt would have to rise by 68 basis points for the management action trigger to be breached and by 118 basis points for the limit to be breached | 75 basis points (management action trigger) and 25 basis points (limit) | |||
MPF Portfolio VaR Limit | $41.6 million | $38.9 million | $68.8 million (management action trigger) | |||
Income Simulation based on an instantaneous rise in interest rates of 300 basis points | Return on equity falls to 43 basis points above the average yield on three-month LIBOR | Return on equity falls to 24 basis points above the average yield on three-month LIBOR | Projected return on equity falls below three-month LIBOR over the following 12 month horizon (management action trigger) |
(1) | This metric is calculated net of any unrealized gain or loss. |
September 30, 2012 | ||||||||||||||
Down(1) 300 | Down(1) 200 | Down(1) 100 | Base | Up 100 | Up 200 | Up 300 | ||||||||
MVE/BVE | 94% | 92% | 92% | 90% | 91% | 89% | 86% | |||||||
MVE/Par Stock | 107% | 106% | 106% | 104% | 104% | 102% | 99% | |||||||
Duration of Equity | +1.1 years | +0.9 years | +1.5 years | +0.3 years | +0.6 years | +2.4 years | +3.8 years | |||||||
Return on Equity less LIBOR | 3% | 3% | 3% | 2% | 2% | 1% | —% | |||||||
Net Income percent change from base | (13)% | (13)% | (9)% | —% | 13% | 27% | 35% |
December 31, 2011 | ||||||||||||||
Down(1) 300 | Down(1) 200 | Down(1) 100 | Base | Up 100 | Up 200 | Up 300 | ||||||||
MVE/BVE | 91% | 89% | 88% | 86% | 86% | 84% | 82% | |||||||
MVE/Par Stock | 100% | 98% | 97% | 95% | 95% | 93% | 90% | |||||||
Duration of Equity | +2.2 years | +1.8 years | +0.9 years | +1.1 years | +1.0 years | +2.6 years | +4.0 years | |||||||
Return on Equity less LIBOR | 2% | 2% | 2% | 1% | 1% | 1% | 1% | |||||||
Net Income percent change from base | (5)% | (5)% | (1)% | —% | 60% | 109% | 151% |
Value-at-Risk (Gain) Loss Exposure | ||||||||||||||
September 30, 2012 | December 31, 2011 | |||||||||||||
Confidence Level | % of MVE (1) | $ million | % of MVE (1) | $ million | ||||||||||
50% | (0.15 | )% | $ | (5.7 | ) | (0.15 | )% | $ | (5.5 | ) | ||||
75% | 0.56 | 21.2 | 0.69 | 25.2 | ||||||||||
95% | 1.36 | 51.5 | 1.83 | 67.0 | ||||||||||
99% | 1.90 | 71.9 | 2.49 | 91.3 |
Number | Exhibit Description | |
31.1 | Certification of the president and chief executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.2 | Certification of the chief financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
32.1 | Certification of the president and chief executive officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | |
32.2 | Certification of the chief financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
Date | FEDERAL HOME LOAN BANK OF BOSTON (Registrant) | |||||
November 9, 2012 | By: | /s/ | Edward A. Hjerpe III | |||
Edward A. Hjerpe III President and Chief Executive Officer | ||||||
November 9, 2012 | By: | /s/ | Frank Nitkiewicz | |||
Frank Nitkiewicz Executive Vice President and Chief Financial Officer |
Date: | November 9, 2012 | /s/ Edward A. Hjerpe III |
Edward A. Hjerpe III | ||
President and Chief Executive Officer |
Date: | November 9, 2012 | /s/ Frank Nitkiewicz |
Frank Nitkiewicz | ||
Executive Vice President and Chief Financial Officer |
Date: | November 9, 2012 | /s/ Edward A. Hjerpe III |
Edward A. Hjerpe III | ||
President and Chief Executive Officer |
Date: | November 9, 2012 | /s/ Frank Nitkiewicz |
Frank Nitkiewicz | ||
Executive Vice President and Chief Financial Officer |
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Consolidated Obligations (Tables)
|
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2012
|
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CO Bonds by Year of Contractual Maturity [Table Text Block] | The following table sets forth the outstanding CO bonds for which we were primarily liable at September 30, 2012, and December 31, 2011, by year of contractual maturity (dollars in thousands):
_______________________ (1) The CO bonds' weighted-average rate excludes concession fees. |
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CO Bonds by Call Feature [Table Text Block] | Our CO bonds outstanding at September 30, 2012, and December 31, 2011, included (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CO Bonds by Year of Contractual Maturity or Next Call Date [Table Text Block] | The following is a summary of the CO Bonds for which we are primarily liable at September 30, 2012, and December 31, 2011, by year of contractual maturity or next call date for callable CO bonds (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CO Bonds by Interest-rate-payment Type [Table Text Block] | The following table sets forth the CO bonds for which we were primarily liable by interest-rate-payment type at September 30, 2012, and December 31, 2011 (dollars in thousands):
|
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CO Discount Notes [Table Text Block] | Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows (dollars in thousands):
_______________________ (1) The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Held-to-Maturity Securities (Narratives) (Details) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Net premium (discounts) of held-to-maturity securities | $ (507.8) | $ (536.4) |
Other Than Mortgage-backed Securities [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Net premium (discounts) of held-to-maturity securities | 2.4 | 3.6 |
MBS [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Net premium (discounts) of held-to-maturity securities | $ (510.1) | $ (540.0) |
Allowance for Credit Losses (Credit Quality Indicators) (Details) (USD $)
In Thousands, unless otherwise specified |
9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Dec. 31, 2011
|
|||||||||
Mortgage Loans Past Due [Line Items] | ||||||||||
Past due 30-59 days delinquent | $ 54,348 | $ 56,788 | ||||||||
Past due 60-89 days delinquent | 16,653 | 17,629 | ||||||||
Past due 90 days or more delinquent | 75,994 | 80,801 | ||||||||
Total past due | 146,995 | 155,218 | ||||||||
Total current loans | 3,307,983 | 2,979,627 | ||||||||
Total mortgage loans | 3,454,978 | 3,134,845 | ||||||||
In process of foreclosure, included above | 34,110 | [1] | 39,757 | [1] | ||||||
Serious delinquency rate | 2.21% | [2] | 2.59% | [2] | ||||||
Past due 90 days or more still accruing interest | 24,754 | 24,925 | ||||||||
Loans on nonaccrual status | 51,240 | [3] | 55,876 | [3] | ||||||
Number of days past due, loans at serious delinquent status | 90 days | |||||||||
Conventional Mortgage Loan [Member]
|
||||||||||
Mortgage Loans Past Due [Line Items] | ||||||||||
Past due 30-59 days delinquent | 38,867 | 41,311 | ||||||||
Past due 60-89 days delinquent | 12,907 | 11,656 | ||||||||
Past due 90 days or more delinquent | 51,240 | 55,876 | ||||||||
Total past due | 103,014 | 108,843 | ||||||||
Total current loans | 2,940,443 | 2,710,526 | ||||||||
Total mortgage loans | 3,043,457 | 2,819,369 | ||||||||
In process of foreclosure, included above | 22,784 | [1] | 32,344 | [1] | ||||||
Serious delinquency rate | 1.70% | [2] | 1.99% | [2] | ||||||
Past due 90 days or more still accruing interest | 0 | 0 | ||||||||
Loans on nonaccrual status | 51,240 | [3] | 55,876 | [3] | ||||||
Government Loan Member [Member]
|
||||||||||
Mortgage Loans Past Due [Line Items] | ||||||||||
Past due 30-59 days delinquent | 15,481 | 15,477 | ||||||||
Past due 60-89 days delinquent | 3,746 | 5,973 | ||||||||
Past due 90 days or more delinquent | 24,754 | 24,925 | ||||||||
Total past due | 43,981 | 46,375 | ||||||||
Total current loans | 367,540 | 269,101 | ||||||||
Total mortgage loans | 411,521 | 315,476 | ||||||||
In process of foreclosure, included above | 11,326 | [1] | 7,413 | [1] | ||||||
Serious delinquency rate | 6.02% | [2] | 7.90% | [2] | ||||||
Past due 90 days or more still accruing interest | 24,754 | 24,925 | ||||||||
Loans on nonaccrual status | $ 0 | [3] | $ 0 | [3] | ||||||
|
Held-to-Maturity Securities Fair Value and Unrealized Losses (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 30,480 | $ 259,335 |
Less than 12 Months, Unrealized Losses | (47) | (4,698) |
12 Months or More, Fair Value | 1,605,562 | 1,583,147 |
12 Months or More, Unrealized Losses | (363,865) | (613,793) |
Total Fair Value | 1,636,042 | 1,842,482 |
Total Unrealized Losses | (363,912) | (618,491) |
HFA Securities [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 334 | 418 |
Less than 12 Months, Unrealized Losses | (1) | (2) |
12 Months or More, Fair Value | 153,689 | 150,968 |
12 Months or More, Unrealized Losses | (28,401) | (34,457) |
Total Fair Value | 154,023 | 151,386 |
Total Unrealized Losses | (28,402) | (34,459) |
GSEs – Residential MBS [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 30,146 | 239,995 |
Less than 12 Months, Unrealized Losses | (46) | (558) |
12 Months or More, Fair Value | 65,930 | 41,723 |
12 Months or More, Unrealized Losses | (333) | (547) |
Total Fair Value | 96,076 | 281,718 |
Total Unrealized Losses | (379) | (1,105) |
Private-Label Residential MBS[Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 18,922 |
Less than 12 Months, Unrealized Losses | 0 | (4,138) |
12 Months or More, Fair Value | 1,364,825 | 1,369,550 |
12 Months or More, Unrealized Losses | (330,538) | (572,326) |
Total Fair Value | 1,364,825 | 1,388,472 |
Total Unrealized Losses | (330,538) | (576,464) |
ABS Backed by Home Equity Loans [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 21,118 | 20,906 |
12 Months or More, Unrealized Losses | (4,593) | (6,463) |
Total Fair Value | 21,118 | 20,906 |
Total Unrealized Losses | (4,593) | (6,463) |
MBS [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less than 12 Months, Fair Value | 30,146 | 258,917 |
Less than 12 Months, Unrealized Losses | (46) | (4,696) |
12 Months or More, Fair Value | 1,451,873 | 1,432,179 |
12 Months or More, Unrealized Losses | (335,464) | (579,336) |
Total Fair Value | 1,482,019 | 1,691,096 |
Total Unrealized Losses | $ (335,510) | $ (584,032) |
Consolidated Obligations (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
||||||
---|---|---|---|---|---|---|---|---|
CO Bonds [Abstract] | ||||||||
Total | $ 28,238,899 | $ 29,879,460 | ||||||
Percent of fixed-rate CO bonds swapped to a floating rate | 33.50% | 42.50% | ||||||
Percent of variable-rate CO bonds swapped to a different variable-rate index | 11.60% | |||||||
COs – Discount Notes [Abstract] | ||||||||
Book Value | 11,993,572 | 14,651,793 | ||||||
COs - Bonds [Member]
|
||||||||
CO Bonds [Abstract] | ||||||||
Due in one year or less | 10,501,520 | 12,825,580 | ||||||
Due after one year through two years | 6,133,520 | 7,196,250 | ||||||
Due after two years through three years | 2,697,160 | 2,776,845 | ||||||
Due after three years through four years | 2,771,570 | 1,964,000 | ||||||
Due after four years through five years | 2,350,255 | 1,832,350 | ||||||
Thereafter | 3,474,230 | 2,938,350 | ||||||
Par Value | 27,928,255 | 29,533,375 | ||||||
Due in one year or less, Weighted average rate | 1.60% | [1] | 1.27% | [1] | ||||
Due after one year through two years, Weighted average rate | 1.49% | [1] | 2.04% | [1] | ||||
Due after two years through three years Weighted average rate | 2.25% | [1] | 2.42% | [1] | ||||
Due after three years through four years, Weighted average rate | 2.48% | [1] | 3.20% | [1] | ||||
Due after four years through five years, Weighted average rate | 2.03% | [1] | 2.34% | [1] | ||||
Thereafter, Weighted average rate | 3.10% | [1] | 3.90% | [1] | ||||
Total, Weighted average rate | 1.95% | [1] | 2.03% | [1] | ||||
Premiums | 248,542 | 179,113 | ||||||
Discounts | (25,296) | (29,833) | ||||||
Hedging adjustment | 87,398 | 196,805 | ||||||
Total | 28,238,899 | 29,879,460 | ||||||
Discount Notes [Member]
|
||||||||
COs – Discount Notes [Abstract] | ||||||||
Book Value | 11,993,572 | 14,651,793 | ||||||
Par Value | 11,995,000 | 14,652,040 | ||||||
Weighted Average Rate | 0.12% | [2] | 0.01% | [2] | ||||
Noncallable and non-putable [Member] | COs - Bonds [Member]
|
||||||||
CO Bonds [Abstract] | ||||||||
Par Value | 26,195,255 | 26,535,375 | ||||||
Callable [Member] | COs - Bonds [Member]
|
||||||||
CO Bonds [Abstract] | ||||||||
Par Value | 1,733,000 | 2,998,000 | ||||||
Earlier of Contractual Maturity or Next Call Date [Member] | COs - Bonds [Member]
|
||||||||
CO Bonds [Abstract] | ||||||||
Due in one year or less | 12,041,520 | 14,425,580 | ||||||
Due after one year through two years | 6,196,520 | 7,234,250 | ||||||
Due after two years through three years | 2,627,160 | 2,531,845 | ||||||
Due after three years through four years | 2,786,570 | 1,849,000 | ||||||
Due after four years through five years | 2,300,255 | 1,387,350 | ||||||
Thereafter | 1,976,230 | 2,105,350 | ||||||
Fixed-rate [Member] | COs - Bonds [Member]
|
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CO Bonds [Abstract] | ||||||||
Par Value | 22,803,255 | 25,473,375 | ||||||
Simple variable rate [Member] | COs - Bonds [Member]
|
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CO Bonds [Abstract] | ||||||||
Par Value | 4,760,000 | 3,350,000 | ||||||
Step-up [Member] | COs - Bonds [Member]
|
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CO Bonds [Abstract] | ||||||||
Par Value | $ 365,000 | $ 710,000 | ||||||
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Transactions with Related Parties (Tables)
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9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2012
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Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Related Party Transactions, Capital Stock [Table Text Block] | The following table presents member holdings of 10 percent or more of total capital stock outstanding at September 30, 2012, and December 31, 2011 (dollars in thousands):
_________________________
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Schedule of Related Party Transactions, Advances and Accrued Interest Receivable [Table Text Block] | The following table presents outstanding advances to related parties and total accrued interest receivable from those advances as of September 30, 2012, and December 31, 2011 (dollars in thousands):
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Schedule of Related Party Transactions, Advances Activity [Table Text Block] | The following table presents an analysis of advances activity with related parties for the nine months ended September 30, 2012 (dollars in thousands):
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Schedule of Related Party Transactions, Interest Income [Table Text Block] | We recognized interest income on outstanding advances from the above members during the three and nine months ended September 30, 2012, and 2011, as follows (dollars in thousands):
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Schedule of Related Party Transactions, Derivatives [Table Text Block] | The following table presents an analysis of outstanding derivatives with affiliates of related parties at September 30, 2012, and December 31, 2011 (dollars in thousands):
_________________________ (1) The percent of total derivatives outstanding is based on the stated notional amount of all derivatives outstanding. |
Other-Than-Temporary Impairment (Tables)
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Sep. 30, 2012
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Other-Than-Temporary Impairment Analysis [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other than Temporary Impairment, Cash Flow Analyses, By Counterparty [Table Text Block] | The following table provides additional data on who performs these cash-flow analyses for us (dollars in thousands).
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Recovery Ranges of Housing Price Change [Table Text Block] | Under those recovery paths, home prices were projected to increase as follows:
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Significant Inputs for OTTI [Table Text Block] |
_______________________ (1) Securities are classified in the table above based upon the current performance characteristics of the underlying loan pool and therefore the manner in which the loan pool backing the security has been modeled (as prime, Alt-A, or subprime), rather than their classification of the security at the time of issuance. |
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Total Securities Other-than-Temporarily Impaired QTD [Table Text Block] | The following table sets forth our securities for which other-than-temporary impairment credit losses were recognized in the three months ending September 30, 2012 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance.
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Total Securities Other-than-Temporarily Impaired during the Life of the Security [Table Text Block] | The following table sets forth our securities for which other-than-temporary impairment credit losses were recognized during the life of the security through September 30, 2012 (dollars in thousands). Securities are classified in the table below based on their classifications at the time of issuance.
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Credit Losses and Net Amount of Impairment Losses [Table Text Block] | The following table sets forth other-than-temporary impairment credit losses that were recognized for the three and nine months ended September 30, 2012, by investment classification (dollars in thousands). Securities are classified in the table below based on the classification at the time of issuance.
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Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block] | The following table presents a roll-forward of the amounts related to credit losses recognized into earnings. The roll-forward is the amount of credit losses on investment securities on which we recognized a portion of other-than-temporary impairment charges into accumulated other comprehensive loss (dollars in thousands).
_______________________
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Other than Temporary Impiarment, Non-Credit Losses Portion [Table Text Block] | The following table presents a roll-forward of the amounts related to the net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities included in accumulated other comprehensive loss (dollars in thousands).
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Affordable Housing Program (Details) (USD $)
|
3 Months Ended | 9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
Dec. 31, 2011
|
|
Affordable Housing Program [Abstract] | |||||
Principal outstanding in AHP advances | $ 98,700,000 | $ 98,700,000 | $ 97,900,000 | ||
Affordable Housing Program [Roll Forward] | |||||
Balance at beginning of year | 34,241,000 | 23,138,000 | 23,138,000 | ||
AHP expense for the period | 5,675,000 | 5,573,000 | 17,160,000 | 10,592,000 | 17,812,000 |
AHP direct grant disbursements | (4,313,000) | (4,707,000) | (5,775,000) | ||
AHP subsidy for AHP advance disbursements | (1,427,000) | (1,371,000) | |||
Return of previously disbursed grants and subsidies | 72,000 | 437,000 | |||
Balance at end of period | $ 45,733,000 | $ 45,733,000 | $ 34,241,000 |
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives not designated as hedging instruments | $ (2,683) | $ (17,919) | $ (8,764) | $ (25,373) |
Net losses on derivatives and hedging activities | (2,086) | (17,474) | (8,509) | (23,527) |
Interest-Rate Swaps [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives and hedged items in fair-value hedging relationships | 597 | 445 | 255 | 1,846 |
Derivatives not designated as hedging instruments | (3,243) | (17,952) | (10,105) | (24,674) |
Interest-Rate Cap or Floors [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives not designated as hedging instruments | (207) | (1,147) | (745) | (2,298) |
Mortgage-Delivery Commmitment [Member]
|
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Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivatives not designated as hedging instruments | $ 767 | $ 1,180 | $ 2,086 | $ 1,599 |
Transactions with Other FHLBanks (Details) (USD $)
|
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
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Schedule of Other Transactions [Line Items] | ||||
Debt obligations transferred from other Federal Home Loan Banks, par amount | $ 112,000,000 | |||
Debt obligations transferred from other Federal Home Loan Banks, fair value | 130,276,000 | 0 | ||
FHLBank of Chicago [Member]
|
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Schedule of Other Transactions [Line Items] | ||||
MPF transaction-services fee expense | $ 347,000 | $ 285,000 | $ 966,000 | $ 843,000 |
Other-Than-Temporary Impairment (Cash Flow Analysis By Counterparties) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
Securities
|
---|---|
FHLBank of San Francisco [Member]
|
|
Other than Temporary Impairment, Disclosure [Line Items] | |
Number of Securities | 166 |
Par Value | $ 2,166,292 |
Amortized Cost | 1,673,141 |
Carrying Value | 1,283,775 |
Fair Value | 1,357,009 |
FHLBank of Chicago [Member]
|
|
Other than Temporary Impairment, Disclosure [Line Items] | |
Number of Securities | 16 |
Par Value | 22,728 |
Amortized Cost | 22,095 |
Carrying Value | 21,014 |
Fair Value | 18,319 |
FHLBank of Boston [Member]
|
|
Other than Temporary Impairment, Disclosure [Line Items] | |
Number of Securities | 12 |
Par Value | 65,071 |
Amortized Cost | 52,846 |
Carrying Value | 39,754 |
Fair Value | $ 42,573 |
Derivatives and Hedging Activities (Narrative) (Details) (USD $)
|
3 Months Ended | 9 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
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Derivative [Line Items] | ||||||||||
Loss recognized in other comprehensive income for hedged items in cash-flow hedging relationships | $ 10,448,000 | $ 25,158,000 | $ 32,874,000 | $ 26,843,000 | ||||||
Aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net liability position | 949,600,000 | 949,600,000 | ||||||||
Post-haircut value of collateral already posted | 800,900,000 | 800,900,000 | ||||||||
Rating Downgrade from AA+ to AA or AA - [Member]
|
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Derivative [Line Items] | ||||||||||
Additional collateral | 39,664,000 | [1],[2] | 39,664,000 | [1],[2] | ||||||
Rating Downgrade From AA- to A+, A or A -[Member]
|
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Derivative [Line Items] | ||||||||||
Additional collateral | 79,106,000 | [1],[2] | 79,106,000 | [1],[2] | ||||||
Rating Downgrade From A- to below A- [Member]
|
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Derivative [Line Items] | ||||||||||
Additional collateral | 14,000,000 | [1],[2] | 14,000,000 | [1],[2] | ||||||
AA+ Rating [Member]
|
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Derivative [Line Items] | ||||||||||
Additional collateral | $ 15,900,000 | $ 15,900,000 | ||||||||
|
Fair Values (Fair Value Measured on Nonrecurring Basis) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
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---|---|---|---|---|---|
Level 1 [Member]
|
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | $ 0 | [1] | |||
Level 2 [Member]
|
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | 4,319,536 | [1] | |||
Level 3 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | 1,595,734 | [1] | |||
Fair Value, Measurements, Nonrecurring [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
REO | 356 | 905 | |||
Total assets recorded at fair value on a nonrecurring basis | 19,759 | 149,857 | |||
Fair Value, Measurements, Nonrecurring [Member] | Level 1 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
REO | 0 | 0 | |||
Total assets recorded at fair value on a nonrecurring basis | 0 | 0 | |||
Fair Value, Measurements, Nonrecurring [Member] | Level 2 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
REO | 0 | 0 | |||
Total assets recorded at fair value on a nonrecurring basis | 0 | 0 | |||
Fair Value, Measurements, Nonrecurring [Member] | Level 3 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
REO | 356 | 905 | |||
Total assets recorded at fair value on a nonrecurring basis | 19,759 | 149,857 | |||
Private-Label Residential MBS[Member] | Fair Value, Measurements, Nonrecurring [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | 19,403 | 148,952 | |||
Private-Label Residential MBS[Member] | Fair Value, Measurements, Nonrecurring [Member] | Level 1 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | 0 | 0 | |||
Private-Label Residential MBS[Member] | Fair Value, Measurements, Nonrecurring [Member] | Level 2 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | 0 | 0 | |||
Private-Label Residential MBS[Member] | Fair Value, Measurements, Nonrecurring [Member] | Level 3 [Member]
|
|||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Held-to-maturity securities | $ 19,403 | $ 148,952 | |||
|
Accumulated Other Comprehensive Income (Details) (USD $)
In Thousands, unless otherwise specified |
9 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Dec. 31, 2011
|
Sep. 30, 2012
Accumulated Other Comprehensive Income (Loss) [Member]
|
Sep. 30, 2011
Accumulated Other Comprehensive Income (Loss) [Member]
|
Sep. 30, 2012
Net Unrealized Loss Relating to Hedging Activities [Member]
|
Sep. 30, 2011
Net Unrealized Loss Relating to Hedging Activities [Member]
|
Sep. 30, 2012
Pension and Postretirement Benefits [Member]
|
Sep. 30, 2011
Pension and Postretirement Benefits [Member]
|
Sep. 30, 2012
Available-for-sale Securities [Member]
Net Unrealized Loss on Available-for-Sale Securities [Member]
|
Sep. 30, 2011
Available-for-sale Securities [Member]
Net Unrealized Loss on Available-for-Sale Securities [Member]
|
Sep. 30, 2012
Held-to-maturity Securities [Member]
Net Noncredit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities [Member]
|
Sep. 30, 2011
Held-to-maturity Securities [Member]
Net Noncredit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities [Member]
|
|
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||||||||
Beginning balance | $ (504,674) | $ (534,411) | $ (534,411) | $ (638,111) | $ (32,308) | $ (341) | $ (2,547) | $ (1,049) | $ (48,560) | $ (15,193) | $ (450,996) | $ (621,528) |
Other comprehensive income (loss) | 29,737 | 121,394 | (32,863) | (26,832) | (500) | (224) | 15,643 | (18,353) | 47,457 | 166,803 | ||
Ending balance | $ (504,674) | $ (534,411) | $ (504,674) | $ (516,717) | $ (65,171) | $ (27,173) | $ (3,047) | $ (1,273) | $ (32,917) | $ (33,546) | $ (403,539) | $ (454,725) |
Commitments and Contingencies (Details) (USD $)
|
9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
Housing_Authorities
|
Dec. 31, 2011
Housing_Authorities
|
|||||||||
Loss Contingencies [Line Items] | ||||||||||
Value of the guarantees related to standby letters of credit | $ 17,863,000 | $ 16,048,000 | ||||||||
Number of state housing authorities standby bond purchase Agreements | 1 | 1 | ||||||||
Maximum term of commitments to invest in mortgage loans | 45 days | |||||||||
Carrying amount of pledged collateral securities | 791,100,000 | 765,700,000 | ||||||||
Other FHLBanks [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable | 634,600,000,000 | 647,700,000,000 | ||||||||
Minimum [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Term of standby letters of credit | 2 months | |||||||||
Maximum [Member]
|
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Loss Contingencies [Line Items] | ||||||||||
Term of standby letters of credit | 20 years | |||||||||
Standby Letters of Credit Outstanding [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 848,249,000 | [1] | 832,140,000 | [1] | ||||||
Off-balance-sheet Commitments Expire After One Year | 377,808,000 | [1] | 402,932,000 | [1] | ||||||
Total Off-balance Sheet Commitments | 1,226,057,000 | [1] | 1,235,072,000 | [1] | ||||||
Value of the guarantees related to standby letters of credit | 531,000 | 625,000 | ||||||||
Commitments for Standby Bond Purchases [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 151,615,000 | 0 | ||||||||
Off-balance-sheet Commitments Expire After One Year | 10,000,000 | 191,065,000 | ||||||||
Total Off-balance Sheet Commitments | 161,615,000 | 191,065,000 | ||||||||
Commitments for Unused Lines of Credit - Advances [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 1,304,244,000 | [2] | 1,287,084,000 | [2] | ||||||
Off-balance-sheet Commitments Expire After One Year | 0 | [2] | 0 | [2] | ||||||
Total Off-balance Sheet Commitments | 1,304,244,000 | [2] | 1,287,084,000 | [2] | ||||||
Commitments for Unused Lines of Credit - Advances [Member] | Maximum [Member]
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Loss Contingencies [Line Items] | ||||||||||
Period for commitments for unused line-of-credit advances | 12 months | |||||||||
Commitments to Make Aditional Advances [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 67,838,000 | 26,264,000 | ||||||||
Off-balance-sheet Commitments Expire After One Year | 61,895,000 | 54,281,000 | ||||||||
Total Off-balance Sheet Commitments | 129,733,000 | 80,545,000 | ||||||||
Commitments to Invest in Mortgage Loans [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 41,506,000 | 17,734,000 | ||||||||
Off-balance-sheet Commitments Expire After One Year | 0 | 0 | ||||||||
Total Off-balance Sheet Commitments | 41,506,000 | 17,734,000 | ||||||||
Unsettled CO Bonds, at Par [Member]
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||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 475,000,000 | [3] | 165,300,000 | [3] | ||||||
Off-balance-sheet Commitments Expire After One Year | 0 | [3] | 0 | [3] | ||||||
Total Off-balance Sheet Commitments | 475,000,000 | [3] | 165,300,000 | [3] | ||||||
Unsettled CO Bonds, at Par [Member] | Interest-Rate Swaps [Member]
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||||||||||
Loss Contingencies [Line Items] | ||||||||||
Total Off-balance Sheet Commitments | 265,000,000 | 15,000,000 | ||||||||
Standby Letters of Credit Issuance Commitments [Member]
|
||||||||||
Loss Contingencies [Line Items] | ||||||||||
Off-balance-sheet Commitments Expiring Within One Year | 26,400,000 | 21,100,000 | ||||||||
Off-balance-sheet Commitments Expire After One Year | $ 900,000 | |||||||||
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Deposits (Details) (USD $)
|
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Deposits [Abstract] | ||
Hedging adjustment | $ 3,100,000 | $ 4,000,000 |
Interest bearing deposit demand and overnight | 623,302,000 | 600,155,000 |
Interest bearing deposit term | 21,894,000 | 22,401,000 |
Interest bearing deposit other | 3,585,000 | 4,571,000 |
Noninterest-bearing other | 36,547,000 | 27,119,000 |
Total Deposits | 685,328,000 | 654,246,000 |
Aggregate amount of time deposits with a denomination of $100,000 or more | $ 20,000,000 | $ 20,000,000 |
Allowance for Credit Losses (Impact of Loss Mitigation Features) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Jun. 30, 2012
|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Dec. 31, 2010
|
---|---|---|---|---|---|---|
Allowance for Credit Losses [Abstract] | ||||||
Total estimated losses | $ 10,077 | $ 10,274 | ||||
Less: estimated losses in excess of the first-loss account, to be absorbed by participating financial institutions | (3,879) | (1,622) | ||||
Less: estimated performance-based credit-enhancement fees available for recapture | (684) | (852) | ||||
Net allowance for credit losses | $ 5,514 | $ 6,114 | $ 7,800 | $ 7,181 | $ 7,181 | $ 8,653 |
Commitments and Contingencies
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Sep. 30, 2012
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies [Text Block] | Commitments and Contingencies Joint and Several Liability. COs are backed by the financial resources of the FHLBanks. The Finance Agency has authority to require any FHLBank to repay all or a portion of the principal and interest on COs for which another FHLBank is the primary obligor. No FHLBank has ever been asked or required to repay the principal or interest on any CO on behalf of another FHLBank. We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating action as of each period-end presented. Based on this evaluation, as of September 30, 2012, and through the filing of this report, we do not believe that it is reasonably likely that we will be required to repay the principal or interest on any CO on behalf of another FHLBank. We have considered applicable FASB guidance and determined it is not necessary to recognize a liability for the fair value of our joint and several liability for all of the COs. The joint and several obligation is mandated by Finance Agency regulations and is not the result of an arms-length transaction among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Because the FHLBanks are subject to the authority of the Finance Agency as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' COs, the FHLBanks' joint and several obligation is excluded from the initial recognition and measurement provisions. Accordingly, we have not recognized a liability for our joint and several obligation related to other FHLBanks' COs at September 30, 2012, and December 31, 2011. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled approximately $634.6 billion and $647.7 billion at September 30, 2012, and December 31, 2011, respectively. See Note 12 — COs for additional information. Off-Balance-Sheet Commitments The following table sets forth our off-balance-sheet commitments as of September 30, 2012, and December 31, 2011 (dollars in thousands):
__________________________
(3) We had $265.0 million in unsettled CO bonds that were hedged with associated interest-rate swaps at September 30, 2012. We had $15.0 million in unsettled CO bonds that were hedged with associated interest-rate swaps at December 31, 2011. Standby Letters of Credit. Standby letters of credit are executed with members or housing associates for a fee. A standby letter of credit is a financing arrangement between us and a member or housing associate pursuant to which we agree to fund the associated member's or housing associate's obligation to a third-party beneficiary should that member or housing associate fail to fund such obligation. If we are required to make payment for a beneficiary's draw, the payment amount is converted into a collateralized advance to the member or housing associate. The original terms of these standby letters of credit range from final expiries in two months to 20 years. Our unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $531,000 and $625,000 at September 30, 2012, and December 31, 2011, respectively. We monitor the creditworthiness of our members and housing associates that have standby letter of credit agreements outstanding based on our evaluations of the financial condition of the member or housing associate. We review available financial data, which can include regulatory call reports filed by depository institution members, regulatory financial statements filed with the appropriate state insurance department by insurance company members, audited financial statements of housing associates, SEC filings, and rating-agency reports to ensure that potentially troubled members are identified as soon as possible. In addition, we have access to most members' regulatory examination reports. We analyze this information on a regular basis. Standby letters of credit are fully collateralized at the time of issuance. Based on our credit analyses and collateral requirements, we have not deemed it necessary to record any additional liability on these commitments. Standby Bond-Purchase Agreements. We enter into standby bond-purchase agreements with state housing authorities whereby we, for a fee, agree to purchase and hold the housing authority’s bonds until the designated remarketing agent can find an investor or the housing authority repurchases the bonds according to a schedule established by the standby bond-purchase agreement. Each standby bond-purchase agreement specifies the terms that would require us to purchase the bonds. The standby bond-purchase commitments we entered into expire between one and three years following the start of the commitment, currently no later than 2013. At each of September 30, 2012, and December 31, 2011, we had standby bond-purchase agreements with one state housing authority. During the nine months ended September 30, 2012, and year ended December 31, 2011, we were not required to purchase any bonds under these agreements. Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 45 business days. Such commitments are recorded as derivatives at their fair values on the statement of condition. Pledged Collateral. We execute new derivatives with counterparties with long-term ratings of single-A (or equivalent) or better by both S&P and Moody’s. All derivatives are subject to master-netting agreements which include bilateral-collateral agreements. Derivatives with counterparties rated lower than single-A (or equivalent) are permitted only if they reduce exposure to that counterparty. As of September 30, 2012, and December 31, 2011, we had pledged as collateral securities with a carrying value, including accrued interest, of $791.1 million and $765.7 million, respectively, to counterparties that have credit-risk exposure to us related to derivatives. These amounts pledged as collateral were subject to contractual agreements whereby some counterparties had the right to sell or repledge the collateral. Legal Proceedings. We are subject to various legal proceedings arising in the normal course of business from time to time. Management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
Available-for-Sale Securities (Securities with Unrealized Losses) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | $ 0 | $ 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 891,042 | 978,455 |
12 Months or More, Unrealized Losses | (101,258) | (109,106) |
Total Fair Value | 891,042 | 978,455 |
Total Unrealized Losses | (101,258) | (109,106) |
Supranational institutions [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 473,416 | 469,242 |
12 Months or More, Unrealized Losses | (37,555) | (35,388) |
Total Fair Value | 473,416 | 469,242 |
Total Unrealized Losses | (37,555) | (35,388) |
U.S. government-owned corporations
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 293,600 | 284,844 |
12 Months or More, Unrealized Losses | (45,998) | (53,325) |
Total Fair Value | 293,600 | 284,844 |
Total Unrealized Losses | (45,998) | (53,325) |
GSEs [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 124,026 | 121,025 |
12 Months or More, Unrealized Losses | (17,705) | (19,730) |
Total Fair Value | 124,026 | 121,025 |
Total Unrealized Losses | (17,705) | (19,730) |
Other Than Mortgage-backed Securities [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | |
Less than 12 Months, Unrealized Losses | 0 | |
12 Months or More, Fair Value | 875,111 | |
12 Months or More, Unrealized Losses | (108,443) | |
Total Fair Value | 875,111 | |
Total Unrealized Losses | (108,443) | |
GSEs – Commercial MBS [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Fair Value | 0 | |
Less than 12 Months, Unrealized Losses | 0 | |
12 Months or More, Fair Value | 103,344 | |
12 Months or More, Unrealized Losses | (663) | |
Total Fair Value | 103,344 | |
Total Unrealized Losses | $ (663) |
Accumulated Other Comprehensive Income (Tables)
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Sep. 30, 2012
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Accumulated Other Comprehensive Income (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | The following table presents a summary of changes in accumulated other comprehensive loss for the nine months ended September 30, 2012, and 2011 (dollars in thousands):
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Derivatives and Hedging Activities (Credit Risk Exposure) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Derivative [Line Items] | ||
Total net exposure at fair value | $ 859 | $ 36,567 |
Net exposure after cash collateral | 529 | 16,521 |
Accrued interest receivable | 95,950 | 116,517 |
Cash Collateral And Related Accrued Interest [Member]
|
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Derivative [Line Items] | ||
Less: cash collateral received from counterparties, including accrued interest | (330) | (20,046) |
Derivative Financial Instruments, Assets [Member]
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Derivative [Line Items] | ||
Accrued interest receivable | $ 1,664 | $ 988 |
Derivatives and Hedging Activities (Tables)
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Sep. 30, 2012
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Derivative Instruments [Table Text Block] | The following table presents the fair value of derivative instruments as of September 30, 2012 (dollars in thousands):
_______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions. The following table presents the fair value of derivative instruments as of December 31, 2011 (dollars in thousands):
_______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions. |
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Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Net (losses) gains on derivatives and hedging activities recorded in Other Income (Loss) for the three and nine months ended September 30, 2012, and 2011, were as follows (dollars in thousands).
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Gain (Loss) By Type of Hedged Item [Table Text Block] | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedge relationships and the impact of those derivatives on our net interest income for the three and nine months ended September 30, 2012, and 2011 (dollars in thousands):
_______________________ (1) The net interest on derivatives in fair-value hedge relationships is presented in the interest income or interest expense of the respective hedged item in the statement of operations.
______________ (1) The net interest on derivatives in fair-value hedge relationships is presented in the interest income or interest expense of the respective hedged item in the statement of operations. |
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Credit Risk Exposure on Derivative Instruments [Table Text Block] | The table below presents credit-risk exposure on derivative instruments, excluding the amount of excess cash collateral received from counterparties in instances where a counterparty's pledged cash collateral to us exceeds our net position (dollars in thousands).
_______________________ (1) Includes net accrued interest receivable of $1.7 million and $988,000 at September 30, 2012, and December 31, 2011, respectively. |
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Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] | The following table sets forth the post-haircut value of incremental collateral that certain swap counterparties could have required us to deliver based on incremental credit rating downgrades at September 30, 2012 (dollars in thousands).
_______________________
(2) Additional collateral of $15.9 million could be called by counterparties as of September 30, 2012, at our current credit rating of AA+ (based on the lower of our credit ratings from S&P and Moody's) and is not included in the table. |
Available-for-Sale Securities (Sale of Available-for-Sale Securities) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
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Available-for-sale Securities [Abstract] | ||||
Proceeds from sale of available-for-sale securities | $ 0 | $ 0 | $ 0 | $ 2,127,944 |
Gross realized gains from sale of available-for-sale securities | 0 | 0 | 0 | 14,415 |
Gross realized losses from sale of available-for-sale securities | 0 | 0 | 0 | (1,614) |
Net realized gains from sale of available-for-sale securities | $ 0 | $ 0 | $ 0 | $ 12,801 |
Mortgage Loans Held for Portfolio (MLHP) (Details) (USD $)
In Thousands, unless otherwise specified |
9 Months Ended | 9 Months Ended | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Jun. 30, 2012
|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Dec. 31, 2010
|
Sep. 30, 2012
Conventional Mortgage Loan [Member]
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Dec. 31, 2011
Conventional Mortgage Loan [Member]
|
Sep. 30, 2012
Government Loan Member [Member]
|
Dec. 31, 2011
Government Loan Member [Member]
|
Sep. 30, 2012
Fixed-rate 15-year single-family mortgages [Member]
|
Dec. 31, 2011
Fixed-rate 15-year single-family mortgages [Member]
|
Sep. 30, 2012
Fixed-rate 20- and 30-year single-family mortgages [Member]
|
Dec. 31, 2011
Fixed-rate 20- and 30-year single-family mortgages [Member]
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Sep. 30, 2012
Minimum [Member]
Fixed-rate 20- and 30-year single-family mortgages [Member]
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Sep. 30, 2012
Maximum [Member]
Fixed-rate 20- and 30-year single-family mortgages [Member]
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Mortgage Loans on Real Estate [Line Items] | ||||||||||||||||
Original contractual terms | 15 years | 20 years | 30 years | |||||||||||||
Par Value | $ 3,382,124 | $ 3,086,014 | $ 2,982,391 | $ 2,777,100 | $ 399,733 | $ 308,914 | $ 681,720 | $ 646,539 | $ 2,700,404 | $ 2,439,475 | ||||||
Premiums | 55,931 | 35,420 | ||||||||||||||
Discounts | (4,415) | (5,708) | ||||||||||||||
Deferred derivative gains and losses, net | 3,408 | 1,297 | ||||||||||||||
Total mortgage loans held for portfolio | 3,437,048 | 3,117,023 | ||||||||||||||
Allowance for credit losses | (5,514) | (6,114) | (7,800) | (7,181) | (7,181) | (8,653) | ||||||||||
Total mortgage loans, net of allowance for credit losses | $ 3,431,534 | $ 3,109,223 |
Other-Than-Temporary Impairment (Narratives) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
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Other-Than-Temporary Impairment Analysis [Abstract] | ||||
Net other-than-temporary impairment losses on investment securities, credit portion | $ 1,092 | $ 7,210 | $ 5,544 | $ 73,588 |
Accretion of noncredit portion of impairment losses on held-to-maturity securities | 17,838 | 35,288 | 56,131 | 125,197 |
Reclassification adjustment of noncredit component of impairment losses included in net income relating to held-to-maturity securities | $ 1,028 | $ 4,105 | $ 2,257 | $ 58,516 |
Percent of policy claims to be paid in cash by Ambac Assurance Corp. | 25.00% | 25.00% |
Trading Securities (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2012
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Sep. 30, 2011
|
Sep. 30, 2012
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Sep. 30, 2011
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Dec. 31, 2011
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading Securities | $ 279,420 | $ 279,420 | $ 274,164 | ||
Net Realized and Unrealized Gain (Loss) on Trading Securities | 4,669 | 13,638 | 8,291 | 17,594 | |
U.S. Government Guaranteed - Residential MBS [Member]
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading Securities | 17,496 | 17,496 | 18,880 | ||
GSEs – Residential MBS [Member]
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading Securities | 5,380 | 5,380 | 6,663 | ||
GSEs – Commercial MBS [Member]
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading Securities | $ 256,544 | $ 256,544 | $ 248,621 |
Recently Issued Accounting Standards and Interpretations
|
9 Months Ended |
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Sep. 30, 2012
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New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued Accounting Standards and Interpretations [Text Block] | Recently Issued Accounting Standards and Interpretations Disclosures about Offsetting Assets and Liabilities. On December 16, 2011, the Financial Accounting Standards Board (the FASB) and the International Accounting Standards Board (the IASB) issued common disclosure requirements intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a company's financial position, whether a company's financial statements are prepared on the basis of GAAP or International Financial Reporting Standards (IFRS). This guidance will require us to disclose both gross and net information about financial instruments, including derivative instruments, which are either offset on our statement of condition or subject to an enforceable master netting arrangement or similar agreement. This guidance will be effective for interim and annual periods beginning on January 1, 2013, and will be applied retrospectively for all comparative periods presented. The adoption of this guidance will result in increased interim and annual financial statement disclosures, but will not affect our financial condition, results of operations, or cash flows. Presentation of Comprehensive Income. On June 16, 2011, the FASB issued guidance to increase the prominence of other comprehensive income in financial statements. This guidance requires an entity that reports items of other comprehensive income to present comprehensive income in either a single financial statement or in two consecutive financial statements. In a single continuous statement, an entity is required to present the components of net income and total net income, the components of other comprehensive income, and a total for other comprehensive income, as well as a total for comprehensive income. In a two-statement approach, an entity is required to present the components of net income and total net income in its statement of net income. The statement of other comprehensive income should follow immediately and include the components of other comprehensive income as well as totals for both other comprehensive income and comprehensive income. This guidance eliminates the option to present other comprehensive income in the statement of changes in stockholders' equity. We have elected the two-statement approach for interim and annual periods beginning on January 1, 2012, and we have applied this guidance retrospectively for all periods presented. The adoption of this guidance is limited to the presentation of our interim and annual financial statements and did not affect our financial condition, results of operations, or cash flows. See Note 15 — Accumulated Other Comprehensive Loss for disclosures required under this amended guidance. On December 23, 2011, the FASB issued guidance to defer the effective date of the new requirement to present reclassifications of items out of accumulated other comprehensive income in the income statement. This guidance was effective for interim and annual periods beginning on January 1, 2012. We adopted the remaining guidance contained in the new accounting standard for the presentation of comprehensive income. Common Fair Value Measurement and Disclosure Requirements in GAAP and IFRS. On May 12, 2011, the FASB and the IASB issued substantially converged guidance on fair-value measurement and disclosure requirements. This guidance clarifies how fair-value accounting should be applied where its use is already required or permitted by other guidance within GAAP or IFRS. These amendments do not require additional fair-value measurements. This guidance generally represents clarifications to the application of existing fair-value measurement and disclosure requirements, as well as some instances where a particular principle or requirement for measuring fair value or disclosing information about fair-value measurements has changed. This guidance became effective for interim and annual periods beginning on January 1, 2012, and was applied prospectively. The adoption of this guidance resulted in additional interim and annual financial statement disclosures, but did not have a material effect on our financial condition, results of operations, or cash flows. See Note 17 — Fair Value for disclosures under this amended guidance. Reconsideration of Effective Control for Repurchase Agreements. On April 29, 2011, the FASB issued guidance to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. This guidance amends the existing criteria for determining whether or not a transferor has retained effective control over financial assets transferred under a repurchase agreement. A secured borrowing is recorded when effective control over the transferred financial assets is maintained while a sale is recorded when effective control over the transferred financial assets has not been maintained. The new guidance removes from the assessment of effective control: (1) the criterion requiring the transferor to have the ability to repurchase or redeem financial assets before their maturity on substantially the agreed terms, even in the event of the transferee's default, and (2) the collateral maintenance implementation guidance related to that criterion. This guidance was effective for interim and annual periods beginning on January 1, 2012, and was applied prospectively to transactions or modifications of existing transactions that occurred on or after the effective date. The adoption of this guidance did not have a material effect on our financial condition, results of operations, or cash flows. Recently Issued Regulatory Guidance Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Federal Housing Finance Agency (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 classifying certain assets other than investment securities, and prescribes the timing of asset charge-offs based on these classifications. The guidance in AB 2012-02 is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. AB 2012-02 states that it was effective upon issuance. The Federal Home Loan Banks (the FHLBanks or the FHLBank System) are currently assessing the provisions of AB 2012-02 in coordination with the Finance Agency and therefore, we have not yet determined either when we will implement the guidance or its effect on our financial condition, results of operations, and cash flows. |
Advances (General Terms) (Details) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
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Advances [Abstract] | ||||||
Overdrawn demand-deposit accounts | $ 13,013 | $ 7,683 | ||||
Due in one year or less | 11,087,724 | 8,266,384 | ||||
Due after one year through two years | 2,209,838 | 5,563,728 | ||||
Due after two years through three years | 2,341,603 | 2,721,354 | ||||
Due after three years through four years | 2,003,841 | 1,997,587 | ||||
Due after four years through five years | 3,094,195 | 2,151,231 | ||||
Thereafter | 2,594,097 | 3,873,205 | ||||
Total par value | 23,344,311 | 24,581,172 | ||||
Premiums | 50,035 | 37,378 | ||||
Discounts | (22,965) | (23,748) | ||||
Market value of embedded derivatives | 1,008 | [1] | 0 | [1] | ||
Hedging adjustments | 543,298 | 600,096 | ||||
Total Advances | $ 23,915,687 | $ 25,194,898 | ||||
Overdrawn demand-deposit accounts, Weighted average rate | 0.54% | 0.45% | ||||
Due in one year or less, Weighted average rate | 0.88% | 1.15% | ||||
Due after one year through two years, Weighted average rate | 2.75% | 1.98% | ||||
Due after two years through three years, Weighted average rate | 2.71% | 2.88% | ||||
Due after three years through four years, Weighted average rate | 2.72% | 2.96% | ||||
Due after four years through five years, Weighted average rate | 3.01% | 2.90% | ||||
Thereafter, Weighted average rate | 3.23% | 3.71% | ||||
Total weighted average rate | 1.94% | 2.23% | ||||
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