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, 2015 | ||
Class A Stock, par value $100 | zero | |
Class B Stock, par value $100 | 22,973,912 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CONDITION (dollars and shares in thousands, except par value) (unaudited) | |||||||
September 30, 2015 | December 31, 2014 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 320,281 | $ | 1,124,536 | |||
Interest-bearing deposits | 238 | 163 | |||||
Securities purchased under agreements to resell | 7,650,000 | 5,250,000 | |||||
Federal funds sold | 2,425,000 | 2,550,000 | |||||
Investment securities: | |||||||
Trading securities | 236,322 | 244,969 | |||||
Available-for-sale securities - includes $26,744 and $641 pledged as collateral at September 30, 2015, and December 31, 2014, respectively that may be repledged | 6,272,640 | 5,481,978 | |||||
Held-to-maturity securities - includes $51,646 and $66,279 pledged as collateral at September 30, 2015, and December 31, 2014, respectively that may be repledged (a) | 2,792,023 | 3,352,189 | |||||
Total investment securities | 9,300,985 | 9,079,136 | |||||
Advances | 33,954,689 | 33,482,074 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses of $1,000 and $2,012 at September 30, 2015, and December 31, 2014, respectively | 3,580,269 | 3,483,948 | |||||
Accrued interest receivable | 74,881 | 77,411 | |||||
Premises, software, and equipment, net | 3,496 | 3,951 | |||||
Derivative assets, net | 41,238 | 14,548 | |||||
Other assets | 46,295 | 40,910 | |||||
Total Assets | $ | 57,397,372 | $ | 55,106,677 | |||
LIABILITIES | |||||||
Deposits | |||||||
Interest-bearing | $ | 474,274 | $ | 345,561 | |||
Non-interest-bearing | 21,597 | 23,770 | |||||
Total deposits | 495,871 | 369,331 | |||||
Consolidated obligations (COs): | |||||||
Bonds | 26,412,714 | 25,505,774 | |||||
Discount notes | 26,538,537 | 25,309,608 | |||||
Total consolidated obligations | 52,951,251 | 50,815,382 | |||||
Mandatorily redeemable capital stock | 42,643 | 298,599 | |||||
Accrued interest payable | 99,382 | 91,225 | |||||
Affordable Housing Program (AHP) payable | 76,249 | 66,993 | |||||
Derivative liabilities, net | 480,197 | 558,889 | |||||
Other liabilities | 30,699 | 28,472 | |||||
Total liabilities | 54,176,292 | 52,228,891 | |||||
Commitments and contingencies (Note 18) | |||||||
CAPITAL | |||||||
Capital stock – Class B – putable ($100 par value), 25,426 shares and 24,131 shares issued and outstanding at September 30, 2015, and December 31, 2014, respectively | 2,542,598 | 2,413,114 | |||||
Retained earnings: | |||||||
Unrestricted | 894,676 | 764,888 | |||||
Restricted | 179,502 | 136,770 | |||||
Total retained earnings | 1,074,178 | 901,658 | |||||
Accumulated other comprehensive loss | (395,696 | ) | (436,986 | ) | |||
Total capital | 3,221,080 | 2,877,786 | |||||
Total Liabilities and Capital | $ | 57,397,372 | $ | 55,106,677 |
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, | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
INTEREST INCOME | |||||||||||||||
Advances | $ | 59,163 | $ | 57,456 | $ | 175,012 | $ | 170,148 | |||||||
Prepayment fees on advances, net | 1,506 | 1,179 | 5,527 | 4,441 | |||||||||||
Securities purchased under agreements to resell | 1,366 | 886 | 3,273 | 2,267 | |||||||||||
Federal funds sold | 1,669 | 1,027 | 4,519 | 2,416 | |||||||||||
Trading securities | 2,274 | 2,346 | 6,888 | 7,051 | |||||||||||
Available-for-sale securities | 24,313 | 18,911 | 68,488 | 46,195 | |||||||||||
Held-to-maturity securities | 22,997 | 27,245 | 72,132 | 85,715 | |||||||||||
Prepayment fees on investments | 29 | 130 | 286 | 1,240 | |||||||||||
Mortgage loans held for portfolio | 30,392 | 30,918 | 91,633 | 94,136 | |||||||||||
Other | 18 | 3 | 43 | 5 | |||||||||||
Total interest income | 143,727 | 140,101 | 427,801 | 413,614 | |||||||||||
INTEREST EXPENSE | |||||||||||||||
Consolidated obligations - bonds | 80,695 | 82,489 | 242,859 | 238,193 | |||||||||||
Consolidated obligations - discount notes | 6,391 | 4,620 | 16,813 | 11,515 | |||||||||||
Deposits | 13 | 29 | 46 | 50 | |||||||||||
Mandatorily redeemable capital stock | 472 | 1,358 | 1,275 | 7,632 | |||||||||||
Other borrowings | — | 1 | 2 | 4 | |||||||||||
Total interest expense | 87,571 | 88,497 | 260,995 | 257,394 | |||||||||||
NET INTEREST INCOME | 56,156 | 51,604 | 166,806 | 156,220 | |||||||||||
(Reduction of) provision for credit losses | (159 | ) | 373 | (442 | ) | 294 | |||||||||
NET INTEREST INCOME AFTER (REDUCTION OF) PROVISION FOR CREDIT LOSSES | 56,315 | 51,231 | 167,248 | 155,926 | |||||||||||
OTHER INCOME (LOSS) | |||||||||||||||
Total other-than-temporary impairment losses on investment securities | (230 | ) | (243 | ) | (810 | ) | (243 | ) | |||||||
Net amount of impairment losses reclassified from accumulated other comprehensive loss | (823 | ) | (68 | ) | (2,018 | ) | (925 | ) | |||||||
Net other-than-temporary impairment losses on investment securities, credit portion | (1,053 | ) | (311 | ) | (2,828 | ) | (1,168 | ) | |||||||
Litigation settlements | — | 17,543 | 134,713 | 22,012 | |||||||||||
Loss on early extinguishment of debt | (82 | ) | (163 | ) | (211 | ) | (2,755 | ) | |||||||
Service fees | 2,094 | 1,874 | 6,102 | 5,159 | |||||||||||
Net unrealized gains (losses) on trading securities | 780 | (2,387 | ) | (332 | ) | 576 | |||||||||
Net (losses) gains on derivatives and hedging activities | (7,653 | ) | 1,411 | (12,154 | ) | (1,264 | ) | ||||||||
Other | 123 | (182 | ) | (329 | ) | (581 | ) | ||||||||
Total other (loss) income | (5,791 | ) | 17,785 | 124,961 | 21,979 | ||||||||||
OTHER EXPENSE | |||||||||||||||
Compensation and benefits | 9,419 | 8,990 | 32,717 | 27,847 | |||||||||||
Other operating expenses | 4,973 | 4,961 | 15,129 | 15,273 | |||||||||||
Federal Housing Finance Agency (the FHFA) | 884 | 576 | 2,787 | 1,960 | |||||||||||
Office of Finance | 666 | 654 | 2,193 | 2,063 | |||||||||||
Other | 689 | 492 | 1,839 | 1,857 | |||||||||||
Total other expense | 16,631 | 15,673 | 54,665 | 49,000 | |||||||||||
INCOME BEFORE ASSESSMENTS | 33,893 | 53,343 | 237,544 | 128,905 | |||||||||||
AHP | 3,437 | 5,470 | 23,882 | 13,654 | |||||||||||
NET INCOME | $ | 30,456 | $ | 47,873 | $ | 213,662 | $ | 115,251 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF COMPREHENSIVE INCOME (dollars in thousands) (unaudited) | ||||||||||||||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Net income | $ | 30,456 | $ | 47,873 | $ | 213,662 | $ | 115,251 | ||||||||
Other comprehensive income: | ||||||||||||||||
Net unrealized (losses) gains on available-for-sale securities | (1,962 | ) | (9,274 | ) | 3,834 | 20,397 | ||||||||||
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | ||||||||||||||||
Net amount of impairment losses reclassified to non-interest income | 823 | 68 | 2,018 | 925 | ||||||||||||
Accretion of noncredit portion | 10,072 | 12,531 | 33,525 | 37,278 | ||||||||||||
Total net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | 10,895 | 12,599 | 35,543 | 38,203 | ||||||||||||
Net unrealized (losses) gains relating to hedging activities | ||||||||||||||||
Unrealized losses | (15,959 | ) | (1,482 | ) | (15,329 | ) | (21,222 | ) | ||||||||
Reclassification adjustment for previously deferred hedging gains and losses included in net income | 6,231 | 3,149 | 16,758 | 3,878 | ||||||||||||
Total net unrealized (losses) gains relating to hedging activities | (9,728 | ) | 1,667 | 1,429 | (17,344 | ) | ||||||||||
Pension and postretirement benefits | 162 | (67 | ) | 484 | (202 | ) | ||||||||||
Total other comprehensive (loss) income | (633 | ) | 4,925 | 41,290 | 41,054 | |||||||||||
Total comprehensive income | $ | 29,823 | $ | 52,798 | $ | 254,952 | $ | 156,305 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CAPITAL NINE MONTHS ENDED SEPTEMBER 30, 2015 and 2014 (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, 2013 | 25,305 | $ | 2,530,471 | $ | 681,978 | $ | 106,812 | $ | 788,790 | $ | (481,516 | ) | $ | 2,837,745 | ||||||||||||
Proceeds from sale of capital stock | 1,297 | 129,721 | 129,721 | |||||||||||||||||||||||
Repurchase of capital stock | (2,664 | ) | (266,346 | ) | (266,346 | ) | ||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (3 | ) | (338 | ) | (338 | ) | ||||||||||||||||||||
Comprehensive income | 92,200 | 23,051 | 115,251 | 41,054 | 156,305 | |||||||||||||||||||||
Cash dividends on capital stock | (27,849 | ) | (27,849 | ) | (27,849 | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2014 | 23,935 | $ | 2,393,508 | $ | 746,329 | $ | 129,863 | $ | 876,192 | $ | (440,462 | ) | $ | 2,829,238 | ||||||||||||
BALANCE, DECEMBER 31, 2014 | 24,131 | $ | 2,413,114 | $ | 764,888 | $ | 136,770 | $ | 901,658 | $ | (436,986 | ) | $ | 2,877,786 | ||||||||||||
Proceeds from sale of capital stock | 1,631 | 163,063 | 163,063 | |||||||||||||||||||||||
Repurchase of capital stock | (335 | ) | (33,525 | ) | (33,525 | ) | ||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (1 | ) | (54 | ) | (54 | ) | ||||||||||||||||||||
Comprehensive income | 170,930 | 42,732 | 213,662 | 41,290 | 254,952 | |||||||||||||||||||||
Cash dividends on capital stock | (41,142 | ) | (41,142 | ) | (41,142 | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2015 | 25,426 | $ | 2,542,598 | $ | 894,676 | $ | 179,502 | $ | 1,074,178 | $ | (395,696 | ) | $ | 3,221,080 |
FEDERAL HOME LOAN BANK OF BOSTON STATEMENTS OF CASH FLOWS (dollars in thousands) (unaudited) | |||||||
For the Nine Months Ended September 30, | |||||||
2015 | 2014 | ||||||
OPERATING ACTIVITIES | |||||||
Net income | $ | 213,662 | $ | 115,251 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Depreciation and amortization | (43,968 | ) | (53,714 | ) | |||
(Reduction of) provision for credit losses | (442 | ) | 294 | ||||
Change in net fair-value adjustments on derivatives and hedging activities | 1,317 | (61,402 | ) | ||||
Net other-than-temporary impairment losses on investment securities, credit portion | 2,828 | 1,168 | |||||
Loss on early extinguishment of debt | 211 | 2,755 | |||||
Other adjustments | (442 | ) | 153 | ||||
Net change in: | |||||||
Market value of trading securities | 332 | (576 | ) | ||||
Accrued interest receivable | 2,530 | 11,896 | |||||
Other assets | (64 | ) | 5,237 | ||||
Accrued interest payable | 8,157 | 16,978 | |||||
Other liabilities | 10,113 | 1,856 | |||||
Total adjustments | (19,428 | ) | (75,355 | ) | |||
Net cash provided by operating activities | 194,234 | 39,896 | |||||
INVESTING ACTIVITIES | |||||||
Net change in: | |||||||
Interest-bearing deposits | (70,426 | ) | (26,875 | ) | |||
Securities purchased under agreements to resell | (2,400,000 | ) | 250,000 | ||||
Federal funds sold | 125,000 | (1,600,000 | ) | ||||
Premises, software, and equipment | (794 | ) | (716 | ) | |||
Trading securities: | |||||||
Proceeds from long-term | 8,314 | 2,413 | |||||
Available-for-sale securities: | |||||||
Proceeds from long-term | 739,421 | 1,123,129 | |||||
Purchases of long-term | (1,529,058 | ) | (2,452,584 | ) | |||
Held-to-maturity securities: | |||||||
Proceeds from long-term | 617,803 | 653,616 | |||||
Advances to members: | |||||||
Proceeds | 258,113,231 | 210,734,280 | |||||
Disbursements | (258,602,004 | ) | (214,711,518 | ) | |||
Mortgage loans held for portfolio: | |||||||
Proceeds | 439,681 | 311,167 | |||||
Purchases | (551,753 | ) | (358,866 | ) | |||
Proceeds from sale of foreclosed assets | 6,189 | 7,455 | |||||
Net cash used in investing activities | (3,104,396 | ) | (6,068,499 | ) | |||
FINANCING ACTIVITIES | |||||||
Net change in deposits | 128,400 | 4,821 | |||||
Net payments on derivatives with a financing element | (14,302 | ) | (13,294 | ) | |||
Net proceeds from issuance of consolidated obligations: | |||||||
Discount notes | 110,227,338 | 97,204,190 |
Bonds | 8,525,179 | 9,192,605 | |||||
Bonds transferred from other Federal Home Loan Banks (the FHLBanks) | 87,782 | — | |||||
Payments for maturing and retiring consolidated obligations: | |||||||
Discount notes | (108,999,969 | ) | (90,706,106 | ) | |||
Bonds | (7,680,907 | ) | (7,596,332 | ) | |||
Proceeds from issuance of capital stock | 163,063 | 129,721 | |||||
Payments for redemption of mandatorily redeemable capital stock | (256,010 | ) | (733,641 | ) | |||
Payments for repurchase of capital stock | (33,525 | ) | (266,346 | ) | |||
Cash dividends paid | (41,142 | ) | (27,860 | ) | |||
Net cash provided by financing activities | 2,105,907 | 7,187,758 | |||||
Net (decrease) increase in cash and due from banks | (804,255 | ) | 1,159,155 | ||||
Cash and due from banks at beginning of the year | 1,124,536 | 641,033 | |||||
Cash and due from banks at end of the period | $ | 320,281 | $ | 1,800,188 | |||
Supplemental disclosures: | |||||||
Interest paid | $ | 307,832 | $ | 303,643 | |||
AHP payments | $ | 14,080 | $ | 10,170 | |||
Noncash transfers of mortgage loans held for portfolio to real-estate-owned (REO) | $ | 5,611 | $ | 7,141 |
September 30, 2015 | December 31, 2014 | ||||||
Mortgage-backed securities (MBS) | |||||||
U.S. government-guaranteed – single-family | $ | 10,765 | $ | 12,235 | |||
Government-sponsored enterprise (GSE) – single-family | 1,651 | 2,300 | |||||
GSEs – multifamily | 223,906 | 230,434 | |||||
Total | $ | 236,322 | $ | 244,969 |
Amounts Recorded in Accumulated Other Comprehensive Loss | |||||||||||||||
Amortized Cost (1) | Unrealized Gains | Unrealized Losses | Fair Value | ||||||||||||
Supranational institutions | $ | 476,597 | $ | — | $ | (28,337 | ) | $ | 448,260 | ||||||
U.S. government-owned corporations | 329,620 | — | (53,111 | ) | 276,509 | ||||||||||
GSEs | 136,266 | — | (15,921 | ) | 120,345 | ||||||||||
942,483 | — | (97,369 | ) | 845,114 | |||||||||||
MBS | |||||||||||||||
U.S. government guaranteed – single-family | 168,729 | 241 | (1,994 | ) | 166,976 | ||||||||||
U.S. government guaranteed – multifamily | 758,333 | 3,303 | (262 | ) | 761,374 | ||||||||||
GSEs – single-family | 4,472,884 | 30,778 | (4,486 | ) | 4,499,176 | ||||||||||
5,399,946 | 34,322 | (6,742 | ) | 5,427,526 | |||||||||||
Total | $ | 6,342,429 | $ | 34,322 | $ | (104,111 | ) | $ | 6,272,640 |
(1) | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. |
Amounts Recorded in Accumulated Other Comprehensive Loss | |||||||||||||||
Amortized Cost (1) | Unrealized Gains | Unrealized Losses | Fair Value | ||||||||||||
Supranational institutions | $ | 472,440 | $ | — | $ | (24,755 | ) | $ | 447,685 | ||||||
U.S. government-owned corporations | 322,436 | — | (37,439 | ) | 284,997 | ||||||||||
GSEs | 133,748 | — | (10,295 | ) | 123,453 | ||||||||||
928,624 | — | (72,489 | ) | 856,135 | |||||||||||
MBS | |||||||||||||||
U.S. government guaranteed – single-family | 207,090 | 375 | (1,437 | ) | 206,028 | ||||||||||
U.S. government guaranteed – multifamily | 874,817 | 204 | (3,598 | ) | 871,423 | ||||||||||
GSEs – single-family | 3,545,070 | 14,742 | (11,420 | ) | 3,548,392 | ||||||||||
4,626,977 | 15,321 | (16,455 | ) | 4,625,843 | |||||||||||
Total | $ | 5,555,601 | $ | 15,321 | $ | (88,944 | ) | $ | 5,481,978 |
(1) | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Supranational institutions | $ | — | $ | — | $ | 448,260 | $ | (28,337 | ) | $ | 448,260 | $ | (28,337 | ) | |||||||||
U.S. government-owned corporations | — | — | 276,509 | (53,111 | ) | 276,509 | (53,111 | ) | |||||||||||||||
GSEs | — | — | 120,345 | (15,921 | ) | 120,345 | (15,921 | ) | |||||||||||||||
— | — | 845,114 | (97,369 | ) | 845,114 | (97,369 | ) | ||||||||||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – single-family | — | — | 121,814 | (1,994 | ) | 121,814 | (1,994 | ) | |||||||||||||||
U.S. government guaranteed – multifamily | — | — | 111,128 | (262 | ) | 111,128 | (262 | ) | |||||||||||||||
GSEs – single-family | 651,699 | (2,403 | ) | 398,759 | (2,083 | ) | 1,050,458 | (4,486 | ) | ||||||||||||||
651,699 | (2,403 | ) | 631,701 | (4,339 | ) | 1,283,400 | (6,742 | ) | |||||||||||||||
Total temporarily impaired | $ | 651,699 | $ | (2,403 | ) | $ | 1,476,815 | $ | (101,708 | ) | $ | 2,128,514 | $ | (104,111 | ) |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Supranational institutions | $ | — | $ | — | $ | 447,685 | $ | (24,755 | ) | $ | 447,685 | $ | (24,755 | ) | |||||||||
U.S. government-owned corporations | — | — | 284,997 | (37,439 | ) | 284,997 | (37,439 | ) | |||||||||||||||
GSEs | — | — | 123,453 | (10,295 | ) | 123,453 | (10,295 | ) | |||||||||||||||
— | — | 856,135 | (72,489 | ) | 856,135 | (72,489 | ) | ||||||||||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – single-family | — | — | 154,665 | (1,437 | ) | 154,665 | (1,437 | ) | |||||||||||||||
U.S. government guaranteed – multifamily | 610,470 | (3,497 | ) | 23,567 | (101 | ) | 634,037 | (3,598 | ) | ||||||||||||||
GSEs – single-family | 453,043 | (888 | ) | 915,354 | (10,532 | ) | 1,368,397 | (11,420 | ) | ||||||||||||||
1,063,513 | (4,385 | ) | 1,093,586 | (12,070 | ) | 2,157,099 | (16,455 | ) | |||||||||||||||
Total temporarily impaired | $ | 1,063,513 | $ | (4,385 | ) | $ | 1,949,721 | $ | (84,559 | ) | $ | 3,013,234 | $ | (88,944 | ) |
September 30, 2015 | December 31, 2014 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | |||||||
Due after one year through five years | — | — | — | — | |||||||||||
Due after five years through 10 years | 17,465 | 16,601 | — | — | |||||||||||
Due after 10 years | 925,018 | 828,513 | 928,624 | 856,135 | |||||||||||
942,483 | 845,114 | 928,624 | 856,135 | ||||||||||||
MBS (1) | 5,399,946 | 5,427,526 | 4,626,977 | 4,625,843 | |||||||||||
Total | $ | 6,342,429 | $ | 6,272,640 | $ | 5,555,601 | $ | 5,481,978 |
(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. |
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 | $ | 4,235 | $ | — | $ | 4,235 | $ | 249 | $ | — | $ | 4,484 | |||||||||||
State or local housing-finance-agency obligations (HFA securities) | 173,784 | — | 173,784 | 41 | (24,434 | ) | 149,391 | ||||||||||||||||
178,019 | — | 178,019 | 290 | (24,434 | ) | 153,875 | |||||||||||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – single-family | 16,936 | — | 16,936 | 389 | — | 17,325 | |||||||||||||||||
U.S. government guaranteed – multifamily | 26,275 | — | 26,275 | 72 | — | 26,347 | |||||||||||||||||
GSEs – single-family | 1,174,680 | — | 1,174,680 | 35,597 | (107 | ) | 1,210,170 | ||||||||||||||||
GSEs – multifamily | 400,305 | — | 400,305 | 25,321 | — | 425,626 | |||||||||||||||||
Private-label – residential | 1,220,336 | (239,706 | ) | 980,630 | 275,163 | (13,132 | ) | 1,242,661 | |||||||||||||||
Asset-backed securities (ABS) backed by home equity loans | 15,871 | (693 | ) | 15,178 | 698 | (975 | ) | 14,901 | |||||||||||||||
2,854,403 | (240,399 | ) | 2,614,004 | 337,240 | (14,214 | ) | 2,937,030 | ||||||||||||||||
Total | $ | 3,032,422 | $ | (240,399 | ) | $ | 2,792,023 | $ | 337,530 | $ | (38,648 | ) | $ | 3,090,905 |
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 | $ | 5,777 | $ | — | $ | 5,777 | $ | 360 | $ | — | $ | 6,137 | |||||||||||
HFA securities | 178,387 | — | 178,387 | 30 | (18,136 | ) | 160,281 | ||||||||||||||||
184,164 | — | 184,164 | 390 | (18,136 | ) | 166,418 | |||||||||||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – single-family | 20,399 | — | 20,399 | 487 | — | 20,886 | |||||||||||||||||
U.S. government guaranteed – multifamily | 115,712 | — | 115,712 | 298 | (6 | ) | 116,004 | ||||||||||||||||
GSEs – single-family | 1,420,801 | — | 1,420,801 | 40,518 | (157 | ) | 1,461,162 | ||||||||||||||||
GSEs – multifamily | 542,130 | — | 542,130 | 29,949 | — | 572,079 | |||||||||||||||||
Private-label – residential | 1,327,967 | (275,158 | ) | 1,052,809 | 319,306 | (13,957 | ) | 1,358,158 | |||||||||||||||
ABS backed by home equity loans | 16,958 | (784 | ) | 16,174 | 856 | (922 | ) | 16,108 | |||||||||||||||
3,443,967 | (275,942 | ) | 3,168,025 | 391,414 | (15,042 | ) | 3,544,397 | ||||||||||||||||
Total | $ | 3,628,131 | $ | (275,942 | ) | $ | 3,352,189 | $ | 391,804 | $ | (33,178 | ) | $ | 3,710,815 |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
HFA securities | $ | 14,821 | $ | (178 | ) | $ | 129,529 | $ | (24,256 | ) | $ | 144,350 | $ | (24,434 | ) | ||||||||
MBS | |||||||||||||||||||||||
GSEs – single-family | — | — | 16,950 | (107 | ) | 16,950 | (107 | ) | |||||||||||||||
Private-label – residential | 105,919 | (2,113 | ) | 485,188 | (43,035 | ) | 591,107 | (45,148 | ) | ||||||||||||||
ABS backed by home equity loans | 203 | (7 | ) | 13,518 | (1,146 | ) | 13,721 | (1,153 | ) | ||||||||||||||
106,122 | (2,120 | ) | 515,656 | (44,288 | ) | 621,778 | (46,408 | ) | |||||||||||||||
Total | $ | 120,943 | $ | (2,298 | ) | $ | 645,185 | $ | (68,544 | ) | $ | 766,128 | $ | (70,842 | ) |
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
HFA securities | $ | 14,850 | $ | (150 | ) | $ | 139,544 | $ | (17,986 | ) | $ | 154,394 | $ | (18,136 | ) | ||||||||
MBS | |||||||||||||||||||||||
U.S. government guaranteed – multifamily | 9,282 | (6 | ) | — | — | 9,282 | (6 | ) | |||||||||||||||
GSEs – single-family | — | — | 38,121 | (157 | ) | 38,121 | (157 | ) | |||||||||||||||
Private-label – residential | 80,439 | (1,028 | ) | 544,369 | (45,104 | ) | 624,808 | (46,132 | ) | ||||||||||||||
ABS backed by home equity loans | 206 | (3 | ) | 14,641 | (1,074 | ) | 14,847 | (1,077 | ) | ||||||||||||||
89,927 | (1,037 | ) | 597,131 | (46,335 | ) | 687,058 | (47,372 | ) | |||||||||||||||
Total | $ | 104,777 | $ | (1,187 | ) | $ | 736,675 | $ | (64,321 | ) | $ | 841,452 | $ | (65,508 | ) |
September 30, 2015 | December 31, 2014 | ||||||||||||||||||||||
Year of Maturity | Amortized Cost | Carrying Value (1) | Fair Value | Amortized Cost | Carrying Value (1) | Fair Value | |||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | 150 | $ | 150 | $ | 150 | |||||||||||
Due after one year through five years | 7,213 | 7,213 | 7,494 | 9,369 | 9,369 | 9,751 | |||||||||||||||||
Due after five years through 10 years | 17,021 | 17,021 | 16,852 | 17,115 | 17,115 | 16,973 | |||||||||||||||||
Due after 10 years | 153,785 | 153,785 | 129,529 | 157,530 | 157,530 | 139,544 | |||||||||||||||||
178,019 | 178,019 | 153,875 | 184,164 | 184,164 | 166,418 | ||||||||||||||||||
MBS (2) | 2,854,403 | 2,614,004 | 2,937,030 | 3,443,967 | 3,168,025 | 3,544,397 | |||||||||||||||||
Total | $ | 3,032,422 | $ | 2,792,023 | $ | 3,090,905 | $ | 3,628,131 | $ | 3,352,189 | $ | 3,710,815 |
(1) | Carrying value of held-to-maturity securities represents the sum of amortized cost and the amount of noncredit-related other-than-temporary impairment recognized in accumulated other comprehensive loss. |
(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. |
• | We expect debentures issued by a supranational institution that were in an unrealized loss position as of September 30, 2015, to return contractual principal and interest based on our review and analysis of independent third-party credit reports on the supranational institution, and the supranational institution's triple-A (or equivalent) rating by each of the nationally recognized statistical rating organizations (NRSROs) that rates it. |
• | Debentures issued by U.S. government-owned 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-owned corporation as well as the entity's underlying business and financial risk. |
• | 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 U.S. government-guaranteed securities that we hold are MBS issued by the Government National Mortgage Association (Ginnie Mae). The strength of Ginnie Mae's guarantees as a direct obligation from the U.S. government is sufficient to protect us from losses based on current expectations. |
• | For MBS issued by Fannie Mae and Freddie Mac, which we sometimes refer to as agency MBS in this report, the strength of the issuers' guarantees through direct obligation or support from the U.S. government is sufficient to protect us from losses based on current expectations. |
Weighted Average of Significant Inputs | Weighted Average Current Credit Enhancement | |||||||||||||||
Private-label MBS by Year of Securitization | Par Value | Projected Prepayment Rates | Projected Default Rates | Projected Loss Severities | ||||||||||||
Alt-A Private-label residential MBS (1) | ||||||||||||||||
2007 | $ | 47,097 | 6.3 | % | 42.3 | % | 36.9 | % | — | % | ||||||
2006 | 81,774 | 9.2 | 31.9 | 38.9 | 0.4 | |||||||||||
2005 | 21,963 | 8.0 | 22.2 | 35.8 | 22.7 | |||||||||||
2004 and prior | 2,556 | 13.4 | 15.5 | 5.0 | 3.3 | |||||||||||
Total | $ | 153,390 | 8.2 | % | 33.4 | % | 37.3 | % | 3.5 | % |
(1) | Securities are classified 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. |
September 30, 2015 | |||||||||||||||
Other-Than-Temporarily Impaired Investment (1) | Par Value | Amortized Cost | Carrying Value | Fair Value | |||||||||||
Private-label residential MBS – Prime | $ | 51,669 | $ | 44,541 | $ | 35,355 | $ | 45,139 | |||||||
Private-label residential MBS – Alt-A | 1,327,714 | 978,983 | 748,463 | 1,013,804 | |||||||||||
ABS backed by home equity loans – Subprime | 4,071 | 3,667 | 2,974 | 3,672 | |||||||||||
Total other-than-temporarily impaired securities | $ | 1,383,454 | $ | 1,027,191 | $ | 786,792 | $ | 1,062,615 |
(1) | We have instituted litigation in relation to certain of the private-label MBS in which we invested. Our complaint asserts, among others, claims for untrue or misleading statements in the sale of securities. It is possible that classifications of private-label MBS as provided herein when based on classification at the time of issuance as disclosed by those securities' issuance documents, as well as other statements about the securities, are inaccurate. |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
Balance at beginning of period | $ | 551,341 | $ | 587,334 | $ | 568,652 | $ | 603,786 | |||||||
Additions: | |||||||||||||||
Credit losses for which other-than-temporary impairment was not previously recognized | — | 31 | — | 31 | |||||||||||
Additional credit losses for which an other-than-temporary impairment charge was previously recognized(1) | 1,053 | 280 | 2,828 | 1,137 | |||||||||||
Reductions: | |||||||||||||||
Securities matured during the period | — | (173 | ) | — | (173 | ) | |||||||||
Increase in cash flows expected to be collected which are recognized over the remaining life of the security(2) | (9,585 | ) | (8,991 | ) | (28,671 | ) | (26,300 | ) | |||||||
Balance at end of period | $ | 542,809 | $ | 578,481 | $ | 542,809 | $ | 578,481 |
(1) | For the three months ended September 30, 2015 and 2014, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to July 1, 2015 and 2014. For the nine months ended September 30, 2015 and 2014, additional credit losses for which an other-than-temporary impairment charge was previously recognized relate to securities that were also previously impaired prior to January 1, 2015 and 2014. |
(2) | Represents amounts accreted as interest income during the current period. |
September 30, 2015 | December 31, 2014 | ||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Rate | Amount | Weighted Average Rate | |||||||||
Overdrawn demand-deposit accounts | $ | 8,021 | 0.46 | % | $ | 19,863 | 0.44 | % | |||||
Due in one year or less | 20,818,140 | 0.52 | 20,561,912 | 0.41 | |||||||||
Due after one year through two years | 4,117,223 | 2.21 | 4,114,587 | 1.63 | |||||||||
Due after two years through three years | 3,173,238 | 2.10 | 3,564,747 | 2.68 | |||||||||
Due after three years through four years | 1,662,577 | 1.84 | 2,299,457 | 2.16 | |||||||||
Due after four years through five years | 1,819,083 | 1.78 | 1,087,673 | 2.11 | |||||||||
Thereafter | 2,163,542 | 2.71 | 1,626,475 | 2.98 | |||||||||
Total par value | 33,761,824 | 1.15 | % | 33,274,714 | 1.11 | % | |||||||
Premiums | 27,289 | 32,887 | |||||||||||
Discounts | (17,575 | ) | (18,549 | ) | |||||||||
Market value of bifurcated derivatives (1) | 3,053 | 1,467 | |||||||||||
Hedging adjustments | 180,098 | 191,555 | |||||||||||
Total | $ | 33,954,689 | $ | 33,482,074 |
(1) | At September 30, 2015, and December 31, 2014, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated as a stand-alone derivative. |
Year of Contractual Maturity or Next Put Date, Par Value | September 30, 2015 | December 31, 2014 | |||||
Overdrawn demand-deposit accounts | $ | 8,021 | $ | 19,863 | |||
Due in one year or less | 22,557,440 | 22,737,137 | |||||
Due after one year through two years | 3,029,423 | 3,767,187 | |||||
Due after two years through three years | 2,678,988 | 2,155,922 | |||||
Due after three years through four years | 1,562,327 | 1,931,707 | |||||
Due after four years through five years | 1,810,083 | 1,036,423 | |||||
Thereafter | 2,115,542 | 1,626,475 | |||||
Total par value | $ | 33,761,824 | $ | 33,274,714 |
Par value of advances | September 30, 2015 | December 31, 2014 | |||||
Fixed-rate | $ | 27,633,428 | $ | 27,236,551 | |||
Variable-rate | 6,128,396 | 6,038,163 | |||||
Total par value | $ | 33,761,824 | $ | 33,274,714 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Prepayment fees received from borrowers | $ | 15,377 | $ | 2,864 | $ | 19,273 | $ | 10,687 | ||||||||
Less: hedging fair-value adjustments on prepaid advances | (12,674 | ) | — | (15,405 | ) | (552 | ) | |||||||||
Less: net discounts (premiums) associated with prepaid advances | — | 110 | — | (3,819 | ) | |||||||||||
Less: deferred recognition of prepayment fees received from borrowers on advance prepayments deemed to be loan modifications | (1,197 | ) | (1,795 | ) | (1,443 | ) | (1,875 | ) | ||||||||
Prepayment fees recognized in income on advance restructurings deemed to be extinguishments | — | — | 3,102 | — | ||||||||||||
Net prepayment fees recognized in income | $ | 1,506 | $ | 1,179 | $ | 5,527 | $ | 4,441 |
September 30, 2015 | December 31, 2014 | ||||||
Real estate | |||||||
Fixed-rate 15-year single-family mortgages | $ | 577,671 | $ | 570,663 | |||
Fixed-rate 20- and 30-year single-family mortgages | 2,939,339 | 2,852,669 | |||||
Premiums | 63,911 | 62,554 | |||||
Discounts | (2,285 | ) | (2,761 | ) | |||
Deferred derivative gains, net | 2,633 | 2,835 | |||||
Total mortgage loans held for portfolio | 3,581,269 | 3,485,960 | |||||
Less: allowance for credit losses | (1,000 | ) | (2,012 | ) | |||
Total mortgage loans, net of allowance for credit losses | $ | 3,580,269 | $ | 3,483,948 |
September 30, 2015 | December 31, 2014 | ||||||
Conventional mortgage loans | $ | 3,096,483 | $ | 2,997,669 | |||
Government mortgage loans | 420,527 | 425,663 | |||||
Total par value | $ | 3,517,010 | $ | 3,423,332 |
September 30, 2015 | |||||||||||
Recorded Investment in Conventional Mortgage Loans | Recorded Investment in Government Mortgage Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 22,754 | $ | 14,277 | $ | 37,031 | |||||
Past due 60-89 days delinquent | 9,914 | 4,679 | 14,593 | ||||||||
Past due 90 days or more delinquent | 23,582 | 9,116 | 32,698 | ||||||||
Total past due | 56,250 | 28,072 | 84,322 | ||||||||
Total current loans | 3,111,048 | 404,084 | 3,515,132 | ||||||||
Total mortgage loans | $ | 3,167,298 | $ | 432,156 | $ | 3,599,454 | |||||
Other delinquency statistics | |||||||||||
In process of foreclosure, included above (1) | $ | 11,457 | $ | 3,046 | $ | 14,503 | |||||
Serious delinquency rate (2) | 0.79 | % | 2.11 | % | 0.95 | % | |||||
Past due 90 days or more still accruing interest | $ | — | $ | 9,116 | $ | 9,116 | |||||
Loans on nonaccrual status (3) | $ | 24,092 | $ | — | $ | 24,092 |
(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 as well as loans modified within the previous six months under our temporary loan modification plan. |
December 31, 2014 | |||||||||||
Recorded Investment in Conventional Mortgage Loans | Recorded Investment in Government Mortgage Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 32,068 | $ | 19,811 | $ | 51,879 | |||||
Past due 60-89 days delinquent | 9,834 | 4,591 | 14,425 | ||||||||
Past due 90 days or more delinquent | 37,927 | 7,467 | 45,394 | ||||||||
Total past due | 79,829 | 31,869 | 111,698 | ||||||||
Total current loans | 2,986,749 | 405,808 | 3,392,557 | ||||||||
Total mortgage loans | $ | 3,066,578 | $ | 437,677 | $ | 3,504,255 | |||||
Other delinquency statistics | |||||||||||
In process of foreclosure, included above (1) | $ | 13,709 | $ | 2,786 | $ | 16,495 | |||||
Serious delinquency rate (2) | 1.27 | % | 1.71 | % | 1.32 | % | |||||
Past due 90 days or more still accruing interest | $ | — | $ | 7,467 | $ | 7,467 | |||||
Loans on nonaccrual status (3) | $ | 38,832 | $ | — | $ | 38,832 |
(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 as well as loans modified within the previous six months under our temporary loan modification plan. |
As of September 30, 2015 | As of December 31, 2014 | |||||||||||||||||||||||
Recorded Investment | Par Value | Related Allowance | Recorded Investment | Par Value | Related Allowance | |||||||||||||||||||
Individually evaluated impaired mortgage loans with no related allowance | $ | 29,050 | $ | 29,010 | $ | — | $ | 6,679 | $ | 6,654 | $ | — | ||||||||||||
Individually evaluated impaired mortgage loans with a related allowance | — | — | — | 3,097 | 3,073 | 544 | ||||||||||||||||||
Total individually evaluated impaired mortgage loans | $ | 29,050 | $ | 29,010 | $ | — | $ | 9,776 | $ | 9,727 | $ | 544 |
For the Three Months Ended September 30, | ||||||||||||||||
2015 | 2014 | |||||||||||||||
Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||||
Individually evaluated impaired mortgage loans with no related allowance | $ | 30,295 | $ | 105 | $ | 4,930 | $ | 38 | ||||||||
Individually evaluated impaired mortgage loans with a related allowance | — | — | 2,760 | 2 | ||||||||||||
Total individually evaluated impaired mortgage loans | $ | 30,295 | $ | 105 | $ | 7,690 | $ | 40 | ||||||||
For the Nine Months Ended September 30, | ||||||||||||||||
2015 | 2014 | |||||||||||||||
Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | |||||||||||||
Individually evaluated impaired mortgage loans with no related allowance | $ | 31,907 | $ | 354 | $ | 4,304 | $ | 130 | ||||||||
Individually evaluated impaired mortgage loans with a related allowance | — | — | 2,868 | 15 | ||||||||||||
Total individually evaluated impaired mortgage loans | $ | 31,907 | $ | 354 | $ | 7,172 | $ | 145 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
Allowance for credit losses | |||||||||||||||
Balance, beginning of period | $ | 1,100 | $ | 2,042 | $ | 2,012 | $ | 2,221 | |||||||
Charge-offs, net of recoveries | 59 | (48 | ) | (570 | ) | (148 | ) | ||||||||
(Reduction of) provision for credit losses | (159 | ) | 373 | (442 | ) | 294 | |||||||||
Balance, end of period | $ | 1,000 | $ | 2,367 | $ | 1,000 | $ | 2,367 | |||||||
Ending balance, individually evaluated for impairment | $ | — | $ | 490 | $ | — | $ | 490 | |||||||
Ending balance, collectively evaluated for impairment | $ | 1,000 | $ | 1,877 | $ | 1,000 | $ | 1,877 | |||||||
Recorded investment, end of period (1) | |||||||||||||||
Individually evaluated for impairment | $ | 29,050 | $ | 7,944 | $ | 29,050 | $ | 7,944 | |||||||
Collectively evaluated for impairment | $ | 3,138,248 | $ | 2,977,650 | $ | 3,138,248 | $ | 2,977,650 |
(1) | These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed above under — Government Mortgage Loans Held for Portfolio. |
September 30, 2015 | December 31, 2014 | ||||||||||||||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||||||
Derivatives designated as hedging instruments | |||||||||||||||||||||||
Interest-rate swaps | $ | 15,529,877 | $ | 50,087 | $ | (541,949 | ) | $ | 12,579,525 | $ | 26,381 | $ | (553,967 | ) | |||||||||
Forward-start interest-rate swaps | 552,800 | — | (38,592 | ) | 1,096,800 | — | (42,209 | ) | |||||||||||||||
Total derivatives designated as hedging instruments | 16,082,677 | 50,087 | (580,541 | ) | 13,676,325 | 26,381 | (596,176 | ) | |||||||||||||||
Derivatives not designated as hedging instruments | |||||||||||||||||||||||
Economic hedges: | |||||||||||||||||||||||
Interest-rate swaps | 488,000 | 30 | (22,372 | ) | 423,000 | 31 | (19,849 | ) | |||||||||||||||
Interest-rate caps or floors | 300,000 | — | — | 300,000 | — | — | |||||||||||||||||
Mortgage-delivery commitments (1) | 27,796 | 135 | — | 26,927 | 71 | (8 | ) | ||||||||||||||||
Total derivatives not designated as hedging instruments | 815,796 | 165 | (22,372 | ) | 749,927 | 102 | (19,857 | ) | |||||||||||||||
Total notional amount of derivatives | $ | 16,898,473 | $ | 14,426,252 | |||||||||||||||||||
Total derivatives before netting and collateral adjustments | 50,252 | (602,913 | ) | 26,483 | (616,033 | ) | |||||||||||||||||
Netting adjustments and cash collateral including related accrued interest (2) | (9,014 | ) | 122,716 | (11,935 | ) | 57,144 | |||||||||||||||||
Derivative assets and derivative liabilities | $ | 41,238 | $ | (480,197 | ) | $ | 14,548 | $ | (558,889 | ) |
(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 with the same counterparty. Cash collateral and related accrued interest posted was $115.9 million and $45.5 million at September 30, 2015, and December 31, 2014, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral and related accrued interest received was $2.2 million and $290,000 at September 30, 2015, and December 31, 2014, respectively. |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest-rate swaps | $ | (4,690 | ) | $ | 334 | $ | (6,405 | ) | $ | 1,793 | ||||||
Forward-start interest-rate swaps | (205 | ) | (78 | ) | (101 | ) | (248 | ) | ||||||||
Total net (losses) gains related to derivatives designated as hedging instruments | (4,895 | ) | 256 | (6,506 | ) | 1,545 | ||||||||||
Derivatives not designated as hedging instruments: | ||||||||||||||||
Economic hedges: | ||||||||||||||||
Interest-rate swaps | (3,313 | ) | 1,062 | (5,988 | ) | (3,581 | ) | |||||||||
Interest-rate caps or floors | — | (1 | ) | — | (43 | ) | ||||||||||
Mortgage-delivery commitments | 555 | 94 | 340 | 815 | ||||||||||||
Total net (losses) gains related to derivatives not designated as hedging instruments | (2,758 | ) | 1,155 | (5,648 | ) | (2,809 | ) | |||||||||
Net (losses) gains on derivatives and hedging activities | $ | (7,653 | ) | $ | 1,411 | $ | (12,154 | ) | $ | (1,264 | ) |
For the Three Months Ended September 30, 2015 | |||||||||||||||
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 | $ | (21,993 | ) | $ | 21,422 | $ | (571 | ) | $ | (32,932 | ) | ||||
Investments | (39,947 | ) | 40,227 | 280 | (9,405 | ) | |||||||||
COs – bonds | 13,107 | (17,506 | ) | (4,399 | ) | 18,475 | |||||||||
Total | $ | (48,833 | ) | $ | 44,143 | $ | (4,690 | ) | $ | (23,862 | ) | ||||
For the Three Months Ended September 30, 2014 | |||||||||||||||
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 | $ | 48,280 | $ | (48,158 | ) | $ | 122 | $ | (32,487 | ) | |||||
Investments | (2,683 | ) | 3,040 | 357 | (9,496 | ) | |||||||||
Deposits | (362 | ) | 362 | — | 357 | ||||||||||
COs – bonds | (17,834 | ) | 17,689 | (145 | ) | 14,856 | |||||||||
Total | $ | 27,401 | $ | (27,067 | ) | $ | 334 | $ | (26,770 | ) |
For the Nine Months Ended September 30, 2015 | |||||||||||||||
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 | $ | 11,318 | $ | (11,456 | ) | $ | (138 | ) | $ | (97,442 | ) | ||||
Investments | (12,702 | ) | 13,859 | 1,157 | (28,326 | ) | |||||||||
COs – bonds | 17,376 | (24,800 | ) | (7,424 | ) | 49,438 | |||||||||
Total | $ | 15,992 | $ | (22,397 | ) | $ | (6,405 | ) | $ | (76,330 | ) | ||||
For the Nine Months Ended September 30, 2014 | |||||||||||||||
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 | $ | 78,389 | $ | (78,039 | ) | $ | 350 | $ | (98,917 | ) | |||||
Investments | (55,952 | ) | 56,825 | 873 | (28,494 | ) | |||||||||
Deposits | (1,143 | ) | 1,143 | — | 1,151 | ||||||||||
COs – bonds | 2,921 | (2,351 | ) | 570 | 38,629 | ||||||||||
Total | $ | 24,215 | $ | (22,422 | ) | $ | 1,793 | $ | (87,631 | ) |
(1) | The net interest on derivatives in fair-value hedge relationships is presented in the statement of operations as interest income or interest expense of the respective hedged item. |
Derivatives and Hedged Items in Cash Flow Hedging Relationships | Losses Recognized in Other Comprehensive Loss on Derivatives (Effective Portion) | Location of Gains (Losses) Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) | Losses Reclassified from Accumulated Other Comprehensive Loss into Net Income (Effective Portion) | Losses Recognized in Net Losses on Derivatives and Hedging Activities (Ineffective Portion) | ||||||||||
Interest-rate swaps - CO bonds | ||||||||||||||
For the Three Months Ended September 30, 2015 | $ | (15,959 | ) | Interest expense | $ | (6,227 | ) | $ | (205 | ) | ||||
For the Three Months Ended September 30, 2014 | (1,482 | ) | Interest expense | (3,145 | ) | (78 | ) | |||||||
For the Nine Months Ended September 30, 2015 | (15,329 | ) | Interest expense | (16,747 | ) | (101 | ) | |||||||
For the Nine Months Ended September 30, 2014 | (21,222 | ) | Interest expense | (3,865 | ) | (248 | ) |
Post-Haircut Value of Incremental Collateral to be Delivered as of September 30, 2015 | ||||||
Ratings Downgrade (1) | ||||||
From | To | Incremental Collateral(2) | ||||
AA+ | AA or AA- | $ | 31,372 | |||
AA- | A+, A or A- | 26,313 | ||||
A- | below A- | 32,548 |
(1) | Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. |
(2) | Additional collateral of $1.1 million could be called by counterparties as of September 30, 2015, 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. |
September 30, 2015 | December 31, 2014 | |||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||
Derivatives meeting netting requirements | ||||||||||||||||
Gross recognized amount | ||||||||||||||||
Bilateral derivatives | $ | 19,552 | $ | (515,834 | ) | $ | 20,083 | $ | (578,073 | ) | ||||||
Cleared derivatives | 30,565 | (87,079 | ) | 6,329 | (37,952 | ) | ||||||||||
Total gross recognized amount | 50,117 | (602,913 | ) | 26,412 | (616,025 | ) | ||||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||||||||||
Bilateral derivatives | (17,895 | ) | 35,637 | (19,481 | ) | 19,191 | ||||||||||
Cleared derivatives | 8,881 | 87,079 | 7,546 | 37,953 | ||||||||||||
Total gross amounts of netting adjustments and cash collateral | (9,014 | ) | 122,716 | (11,935 | ) | 57,144 | ||||||||||
Net amounts after netting adjustments and cash collateral | ||||||||||||||||
Bilateral derivatives | 1,657 | (480,197 | ) | 602 | (558,882 | ) | ||||||||||
Cleared derivatives | 39,446 | — | 13,875 | 1 | ||||||||||||
Total net amounts after netting adjustments and cash collateral | 41,103 | (480,197 | ) | 14,477 | (558,881 | ) | ||||||||||
Derivatives not meeting netting requirements | ||||||||||||||||
Mortgage delivery commitments | 135 | — | 71 | (8 | ) | |||||||||||
Total derivative assets and total derivative liabilities | ||||||||||||||||
Bilateral derivatives | 1,657 | (480,197 | ) | 602 | (558,882 | ) | ||||||||||
Cleared derivatives | 39,446 | — | 13,875 | 1 | ||||||||||||
Mortgage delivery commitments | 135 | — | 71 | (8 | ) | |||||||||||
Total derivative assets and total derivative liabilities presented in the statement of condition | 41,238 | (480,197 | ) | 14,548 | (558,889 | ) | ||||||||||
Non-cash collateral received or pledged not offset (1) | ||||||||||||||||
Can be sold or repledged | ||||||||||||||||
Bilateral derivatives | (231 | ) | 78,000 | — | 66,056 | |||||||||||
Cannot be sold or repledged | ||||||||||||||||
Bilateral derivatives | — | 341,366 | — | 392,944 | ||||||||||||
Total non-cash collateral received or pledged, not offset | (231 | ) | 419,366 | — | 459,000 | |||||||||||
Net amount | ||||||||||||||||
Bilateral derivatives | 1,426 | (60,831 | ) | 602 | (99,882 | ) | ||||||||||
Cleared derivatives | 39,446 | — | 13,875 | 2 | ||||||||||||
Mortgage delivery commitments | 135 | — | 71 | (8 | ) | |||||||||||
Total net amount | $ | 41,007 | $ | (60,831 | ) | $ | 14,548 | $ | (99,888 | ) |
(1) | Includes non-cash collateral at fair value. Any overcollateralization with a counterparty is not included in the determination of the net amount. At September 30, 2015, and December 31, 2014, we had additional net credit exposure of $3.2 million and $4.0 million, respectively, due to instances where our collateral pledged to a counterparty exceeded our net derivative liability position. |
September 30, 2015 | December 31, 2014 | ||||||
Interest-bearing | |||||||
Demand and overnight | $ | 470,983 | $ | 340,441 | |||
Other | 3,291 | 5,120 | |||||
Noninterest-bearing | |||||||
Other | 21,597 | 23,770 | |||||
Total deposits | $ | 495,871 | $ | 369,331 |
September 30, 2015 | December 31, 2014 | ||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Rate (1) | Amount | Weighted Average Rate (1) | |||||||||
Due in one year or less | $ | 8,330,130 | 1.19 | % | $ | 6,675,745 | 1.41 | % | |||||
Due after one year through two years | 5,757,005 | 1.40 | 5,573,745 | 1.46 | |||||||||
Due after two years through three years | 4,299,915 | 1.84 | 4,842,570 | 1.91 | |||||||||
Due after three years through four years | 2,493,480 | 1.73 | 2,392,380 | 1.77 | |||||||||
Due after four years through five years | 1,879,590 | 2.15 | 2,244,815 | 1.95 | |||||||||
Thereafter | 3,483,920 | 2.88 | 3,599,085 | 2.79 | |||||||||
Total par value | 26,244,040 | 1.69 | % | 25,328,340 | 1.79 | % | |||||||
Premiums | 162,312 | 199,628 | |||||||||||
Discounts | (15,630 | ) | (19,386 | ) | |||||||||
Hedging adjustments | 21,992 | (2,808 | ) | ||||||||||
$ | 26,412,714 | $ | 25,505,774 |
(1) | The CO bonds' weighted-average rate excludes concession fees. |
September 30, 2015 | December 31, 2014 | ||||||
Par value of CO bonds | |||||||
Noncallable and nonputable | $ | 21,709,040 | $ | 20,853,340 | |||
Callable | 4,535,000 | 4,475,000 | |||||
Total par value | $ | 26,244,040 | $ | 25,328,340 |
Year of Contractual Maturity or Next Call Date | September 30, 2015 | December 31, 2014 | ||||||
Due in one year or less | $ | 12,542,130 | $ | 10,805,745 | ||||
Due after one year through two years | 5,365,005 | 4,928,745 | ||||||
Due after two years through three years | 3,174,915 | 4,252,570 | ||||||
Due after three years through four years | 2,028,480 | 2,027,380 | ||||||
Due after four years through five years | 1,326,590 | 1,619,815 | ||||||
Thereafter | 1,806,920 | 1,694,085 | ||||||
Total par value | $ | 26,244,040 | $ | 25,328,340 |
September 30, 2015 | December 31, 2014 | ||||||
Par value of CO bonds | |||||||
Fixed-rate | $ | 22,967,040 | $ | 22,513,340 | |||
Simple variable-rate | 2,445,000 | 1,970,000 | |||||
Step-up | 832,000 | 845,000 | |||||
Total par value | $ | 26,244,040 | $ | 25,328,340 |
Book Value | Par Value | Weighted Average Rate (1) | ||||||||
September 30, 2015 | $ | 26,538,537 | $ | 26,542,724 | 0.15 | % | ||||
December 31, 2014 | $ | 25,309,608 | $ | 25,312,040 | 0.08 | % |
(1) | The CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
September 30, 2015 | December 31, 2014 | ||||||
Balance at beginning of year | $ | 66,993 | $ | 62,591 | |||
AHP expense for the period | 23,882 | 17,623 | |||||
AHP direct grant disbursements | (14,080 | ) | (12,012 | ) | |||
AHP subsidy for AHP advance disbursements | (625 | ) | (1,321 | ) | |||
Return of previously disbursed grants and subsidies | 79 | 112 | |||||
Balance at end of period | $ | 76,249 | $ | 66,993 |
1. | Risk-based capital. We are required to maintain at all times permanent capital, defined as Class B stock, including Class B stock classified as mandatorily redeemable capital stock, and retained earnings, in an amount at least equal to the sum of our credit-risk capital requirement, market-risk capital requirement, and operations-risk capital requirement, calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. Only permanent capital satisfies the risk-based capital requirement. |
2. | Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least four percent. Total regulatory capital is the sum of permanent capital, the amount paid-in for Class A stock, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses. We have never issued Class A stock. |
3. | Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least five percent. Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor. |
Risk-Based Capital Requirements | September 30, 2015 | December 31, 2014 | |||||
Permanent capital | |||||||
Class B capital stock | $ | 2,542,598 | $ | 2,413,114 | |||
Mandatorily redeemable capital stock | 42,643 | 298,599 | |||||
Retained earnings | 1,074,178 | 901,658 | |||||
Total permanent capital | $ | 3,659,419 | $ | 3,613,371 | |||
Risk-based capital requirement | |||||||
Credit-risk capital | $ | 394,271 | $ | 414,765 | |||
Market-risk capital | 57,167 | 75,560 | |||||
Operations-risk capital | 135,431 | 147,097 | |||||
Total risk-based capital requirement | $ | 586,869 | $ | 637,422 | |||
Permanent capital in excess of risk-based capital requirement | $ | 3,072,550 | $ | 2,975,949 |
September 30, 2015 | December 31, 2014 | |||||||||||||||
Required | Actual | Required | Actual | |||||||||||||
Capital Ratio | ||||||||||||||||
Risk-based capital | $ | 586,869 | $ | 3,659,419 | $ | 637,422 | $ | 3,613,371 | ||||||||
Total regulatory capital | $ | 2,295,895 | $ | 3,659,419 | $ | 2,204,267 | $ | 3,613,371 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 6.38 | % | 4.00 | % | 6.56 | % | ||||||||
Leverage Ratio | ||||||||||||||||
Leverage capital | $ | 2,869,869 | $ | 5,489,129 | $ | 2,755,334 | $ | 5,420,057 | ||||||||
Leverage capital-to-assets ratio | 5.00 | % | 9.56 | % | 5.00 | % | 9.84 | % |
Net Unrealized Loss on Available-for-sale Securities | 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, June 30, 2014 | $ | (72,094 | ) | $ | (299,324 | ) | $ | (70,605 | ) | $ | (3,364 | ) | $ | (445,387 | ) | |||||
Other comprehensive income (loss) before reclassifications: | ||||||||||||||||||||
Net unrealized losses | (9,274 | ) | — | (1,482 | ) | — | (10,756 | ) | ||||||||||||
Accretion of noncredit loss | — | 12,531 | — | — | 12,531 | |||||||||||||||
Net actuarial loss | — | — | — | (185 | ) | (185 | ) | |||||||||||||
Reclassifications from other comprehensive income to net income | ||||||||||||||||||||
Noncredit other-than-temporary impairment losses reclassified to credit loss (1) | — | 68 | — | — | 68 | |||||||||||||||
Amortization - hedging activities (2) | — | — | 3,149 | — | 3,149 | |||||||||||||||
Amortization - pension and postretirement benefits (3) | — | — | — | 118 | 118 | |||||||||||||||
Other comprehensive (loss) income | (9,274 | ) | 12,599 | 1,667 | (67 | ) | 4,925 | |||||||||||||
Balance, September 30, 2014 | $ | (81,368 | ) | $ | (286,725 | ) | $ | (68,938 | ) | $ | (3,431 | ) | $ | (440,462 | ) | |||||
Balance, June 30, 2015 | $ | (67,827 | ) | $ | (251,294 | ) | $ | (70,271 | ) | $ | (5,671 | ) | $ | (395,063 | ) | |||||
Other comprehensive income (loss) before reclassifications: | ||||||||||||||||||||
Net unrealized losses | (1,962 | ) | — | (15,959 | ) | — | (17,921 | ) | ||||||||||||
Accretion of noncredit loss | — | 10,072 | — | — | 10,072 | |||||||||||||||
Net actuarial loss | — | — | — | (4 | ) | (4 | ) | |||||||||||||
Reclassifications from other comprehensive income to net income | ||||||||||||||||||||
Noncredit other-than-temporary impairment losses reclassified to credit loss (1) | — | 823 | — | — | 823 | |||||||||||||||
Amortization - hedging activities (4) | — | — | 6,231 | — | 6,231 | |||||||||||||||
Amortization - pension and postretirement benefits (3) | — | — | — | 166 | 166 | |||||||||||||||
Other comprehensive (loss) income | (1,962 | ) | 10,895 | (9,728 | ) | 162 | (633 | ) | ||||||||||||
Balance, September 30, 2015 | $ | (69,789 | ) | $ | (240,399 | ) | $ | (79,999 | ) | $ | (5,509 | ) | $ | (395,696 | ) |
(1) | Recorded in net amount of impairment losses reclassified from accumulated other comprehensive loss in the statement of operations. |
(2) | Amortization of hedging activities includes $3.1 million recorded in CO bond interest expense and $4,000 recorded in net losses on derivatives and hedging activities in the statement of operations. |
(3) | Recorded in other operating expenses in the statement of operations. |
(4) | Amortization of hedging activities includes $6.2 million recorded in CO bond interest expense and $4,000 recorded in net losses on derivatives and hedging activities in the statement of operations. |
Net Unrealized Loss on Available-for-sale Securities | 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, 2013 | $ | (101,765 | ) | $ | (324,928 | ) | $ | (51,594 | ) | $ | (3,229 | ) | $ | (481,516 | ) | |||||
Other comprehensive income (loss) before reclassifications: | ||||||||||||||||||||
Net unrealized gains (losses) | 20,397 | — | (21,222 | ) | — | (825 | ) | |||||||||||||
Accretion of noncredit loss | — | 37,278 | — | — | 37,278 | |||||||||||||||
Net actuarial loss | — | — | — | (558 | ) | (558 | ) | |||||||||||||
Reclassifications from other comprehensive income to net income | ||||||||||||||||||||
Noncredit other-than-temporary impairment losses reclassified to credit loss (1) | — | 925 | — | — | 925 | |||||||||||||||
Amortization - hedging activities (2) | — | — | 3,878 | — | 3,878 | |||||||||||||||
Amortization - pension and postretirement benefits (3) | — | — | — | 356 | 356 | |||||||||||||||
Other comprehensive income (loss) | 20,397 | 38,203 | (17,344 | ) | (202 | ) | 41,054 | |||||||||||||
Balance, September 30, 2014 | $ | (81,368 | ) | $ | (286,725 | ) | $ | (68,938 | ) | $ | (3,431 | ) | $ | (440,462 | ) | |||||
Balance, December 31, 2014 | $ | (73,623 | ) | $ | (275,942 | ) | $ | (81,428 | ) | $ | (5,993 | ) | $ | (436,986 | ) | |||||
Other comprehensive income (loss) before reclassifications: | ||||||||||||||||||||
Net unrealized gains (losses) | 3,834 | — | (15,329 | ) | — | (11,495 | ) | |||||||||||||
Accretion of noncredit loss | — | 33,525 | — | — | 33,525 | |||||||||||||||
Net actuarial loss | — | — | — | (12 | ) | (12 | ) | |||||||||||||
Reclassifications from other comprehensive income to net income | ||||||||||||||||||||
Noncredit other-than-temporary impairment losses reclassified to credit loss (1) | — | 2,018 | — | — | 2,018 | |||||||||||||||
Amortization - hedging activities (4) | — | — | 16,758 | — | 16,758 | |||||||||||||||
Amortization - pension and postretirement benefits (3) | — | — | — | 496 | 496 | |||||||||||||||
Other comprehensive income | 3,834 | 35,543 | 1,429 | 484 | 41,290 | |||||||||||||||
Balance, September 30, 2015 | $ | (69,789 | ) | $ | (240,399 | ) | $ | (79,999 | ) | $ | (5,509 | ) | $ | (395,696 | ) |
(1) | Recorded in net amount of impairment losses reclassified from accumulated other comprehensive loss in the statement of operations. |
(2) | Amortization of hedging activities includes $3.9 million recorded in CO bond interest expense and $11,000 recorded in net losses on derivatives and hedging activities in the statement of operations. |
(3) | Recorded in other operating expenses in the statement of operations. |
(4) | Amortization of hedging activities includes $16.7 million recorded in CO bond interest expense and $11,000 recorded in net losses on derivatives and hedging activities in the statement of operations. |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
Qualified Defined Benefit Multiemployer Plan - Pentegra Defined Benefit Plan | $ | 122 | $ | 871 | $ | 5,327 | $ | 2,397 | |||||||
Qualified Defined Contribution Plan - Pentegra Defined Contribution Plan | 237 | 222 | 765 | 726 | |||||||||||
Nonqualified Defined Contribution Plan - Thrift Benefit Equalization Plan | 12 | 18 | 131 | 124 |
Nonqualified Supplemental Defined Benefit Retirement Plan for the Three Months Ended September 30, | Postretirement Benefits for the Three Months Ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Net Periodic Benefit Cost | ||||||||||||||||
Service cost | $ | 171 | $ | 138 | $ | 9 | $ | 6 | ||||||||
Interest cost | 121 | 116 | 7 | 8 | ||||||||||||
Amortization of net actuarial loss | 163 | 118 | 3 | — | ||||||||||||
Net periodic benefit cost | $ | 455 | $ | 372 | $ | 19 | $ | 14 | ||||||||
Nonqualified Supplemental Defined Benefit Retirement Plan For the Nine Months Ended September 30, | Postretirement Benefits for the Nine Months Ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Net Periodic Benefit Cost | ||||||||||||||||
Service cost | $ | 514 | $ | 414 | $ | 28 | $ | 18 | ||||||||
Interest cost | 363 | 347 | 23 | 24 | ||||||||||||
Amortization of net actuarial loss | 489 | 355 | 7 | 1 | ||||||||||||
Net periodic benefit cost | $ | 1,366 | $ | 1,116 | $ | 58 | $ | 43 |
September 30, 2015 | |||||||||||||||||||||||
Carrying Value | Total Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral | ||||||||||||||||||
Financial instruments | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 320,281 | $ | 320,281 | $ | 320,281 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 238 | 238 | 238 | — | — | — | |||||||||||||||||
Securities purchased under agreements to resell | 7,650,000 | 7,649,890 | — | 7,649,890 | — | — | |||||||||||||||||
Federal funds sold | 2,425,000 | 2,424,991 | — | 2,424,991 | — | — | |||||||||||||||||
Trading securities(1) | 236,322 | 236,322 | — | 236,322 | — | — | |||||||||||||||||
Available-for-sale securities(1) | 6,272,640 | 6,272,640 | — | 6,272,640 | — | — | |||||||||||||||||
Held-to-maturity securities | 2,792,023 | 3,090,905 | — | 1,683,952 | 1,406,953 | — | |||||||||||||||||
Advances | 33,954,689 | 34,137,678 | — | 34,137,678 | — | — | |||||||||||||||||
Mortgage loans, net | 3,580,269 | 3,686,333 | — | 3,652,029 | 34,304 | — | |||||||||||||||||
Accrued interest receivable | 74,881 | 74,881 | — | 74,881 | — | — | |||||||||||||||||
Derivative assets(1) | 41,238 | 41,238 | — | 50,252 | — | (9,014 | ) | ||||||||||||||||
Other assets (1) | 14,935 | 14,935 | 6,097 | 8,838 | — | — | |||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | (495,871 | ) | (495,870 | ) | — | (495,870 | ) | — | — | ||||||||||||||
COs: | |||||||||||||||||||||||
Bonds | (26,412,714 | ) | (26,700,582 | ) | — | (26,700,582 | ) | — | — | ||||||||||||||
Discount notes | (26,538,537 | ) | (26,540,444 | ) | — | (26,540,444 | ) | — | — | ||||||||||||||
Mandatorily redeemable capital stock | (42,643 | ) | (42,643 | ) | (42,643 | ) | — | — | — | ||||||||||||||
Accrued interest payable | (99,382 | ) | (99,381 | ) | — | (99,381 | ) | — | — | ||||||||||||||
Derivative liabilities(1) | (480,197 | ) | (480,197 | ) | — | (602,913 | ) | — | 122,716 | ||||||||||||||
Other: | |||||||||||||||||||||||
Commitments to extend credit for advances | — | 518 | — | 518 | — | — | |||||||||||||||||
Standby letters of credit | (882 | ) | (882 | ) | — | (882 | ) | — | — |
(1) | Carried at fair value on a recurring basis. |
December 31, 2014 | |||||||||||||||||||||||
Carrying Value | Total Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral | ||||||||||||||||||
Financial instruments | |||||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 1,124,536 | $ | 1,124,536 | $ | 1,124,536 | $ | — | $ | — | $ | — | |||||||||||
Interest-bearing deposits | 163 | 163 | 163 | — | — | — | |||||||||||||||||
Securities purchased under agreements to resell | 5,250,000 | 5,249,941 | — | 5,249,941 | — | — | |||||||||||||||||
Federal funds sold | 2,550,000 | 2,549,982 | — | 2,549,982 | — | — | |||||||||||||||||
Trading securities(1) | 244,969 | 244,969 | — | 244,969 | — | — | |||||||||||||||||
Available-for-sale securities(1) | 5,481,978 | 5,481,978 | — | 5,481,978 | — | — | |||||||||||||||||
Held-to-maturity securities | 3,352,189 | 3,710,815 | — | 2,176,268 | 1,534,547 | — | |||||||||||||||||
Advances | 33,482,074 | 33,618,345 | — | 33,618,345 | — | — | |||||||||||||||||
Mortgage loans, net | 3,483,948 | 3,612,078 | — | 3,612,078 | — | — | |||||||||||||||||
Accrued interest receivable | 77,411 | 77,411 | — | 77,411 | — | — | |||||||||||||||||
Derivative assets(1) | 14,548 | 14,548 | — | 26,483 | — | (11,935 | ) | ||||||||||||||||
Other assets(1) | 11,200 | 11,200 | 5,682 | 5,518 | — | — | |||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | (369,331 | ) | (369,330 | ) | — | (369,330 | ) | — | — | ||||||||||||||
COs: | |||||||||||||||||||||||
Bonds | (25,505,774 | ) | (25,741,697 | ) | — | (25,741,697 | ) | — | — | ||||||||||||||
Discount notes | (25,309,608 | ) | (25,310,307 | ) | — | (25,310,307 | ) | — | — | ||||||||||||||
Mandatorily redeemable capital stock | (298,599 | ) | (298,599 | ) | (298,599 | ) | — | — | — | ||||||||||||||
Accrued interest payable | (91,225 | ) | (91,225 | ) | — | (91,225 | ) | — | — | ||||||||||||||
Derivative liabilities(1) | (558,889 | ) | (558,889 | ) | — | (616,033 | ) | — | 57,144 | ||||||||||||||
Other: | |||||||||||||||||||||||
Commitments to extend credit for advances | — | 430 | — | 430 | — | — | |||||||||||||||||
Standby letters of credit | (745 | ) | (745 | ) | — | (745 | ) | — | — |
(1) | Carried at fair value on a recurring basis. |
September 30, 2015 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting Adjustment (1) | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. government-guaranteed – single-family MBS | $ | — | $ | 10,765 | $ | — | $ | — | $ | 10,765 | |||||||||
GSEs – single-family MBS | — | 1,651 | — | — | 1,651 | ||||||||||||||
GSEs – multifamily MBS | — | 223,906 | — | — | 223,906 | ||||||||||||||
Total trading securities | — | 236,322 | — | — | 236,322 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Supranational institutions | — | 448,260 | — | — | 448,260 | ||||||||||||||
U.S. government-owned corporations | — | 276,509 | — | — | 276,509 | ||||||||||||||
GSEs | — | 120,345 | — | — | 120,345 | ||||||||||||||
U.S. government guaranteed – single-family MBS | — | 166,976 | — | — | 166,976 | ||||||||||||||
U.S. government guaranteed – multifamily MBS | — | 761,374 | — | — | 761,374 | ||||||||||||||
GSEs – single-family MBS | — | 4,499,176 | — | — | 4,499,176 | ||||||||||||||
Total available-for-sale securities | — | 6,272,640 | — | — | 6,272,640 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate-exchange agreements | — | 50,117 | — | (9,014 | ) | 41,103 | |||||||||||||
Mortgage delivery commitments | — | 135 | — | — | 135 | ||||||||||||||
Total derivative assets | — | 50,252 | — | (9,014 | ) | 41,238 | |||||||||||||
Other assets | 6,097 | 8,838 | — | — | 14,935 | ||||||||||||||
Total assets at fair value | $ | 6,097 | $ | 6,568,052 | $ | — | $ | (9,014 | ) | $ | 6,565,135 | ||||||||
Liabilities: | |||||||||||||||||||
Derivative liabilities | |||||||||||||||||||
Interest-rate-exchange agreements | $ | — | $ | (602,913 | ) | $ | — | $ | 122,716 | $ | (480,197 | ) | |||||||
Total liabilities at fair value | $ | — | $ | (602,913 | ) | $ | — | $ | 122,716 | $ | (480,197 | ) |
(1) | These amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
December 31, 2014 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting Adjustment (1) | Total | |||||||||||||||
Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. government-guaranteed – single-family MBS | $ | — | $ | 12,235 | $ | — | $ | — | $ | 12,235 | |||||||||
GSEs – single-family MBS | — | 2,300 | — | — | 2,300 | ||||||||||||||
GSEs – multifamily MBS | — | 230,434 | — | — | 230,434 | ||||||||||||||
Total trading securities | — | 244,969 | — | — | 244,969 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Supranational institutions | — | 447,685 | — | — | 447,685 | ||||||||||||||
U.S. government-owned corporations | — | 284,997 | — | — | 284,997 | ||||||||||||||
GSEs | — | 123,453 | — | — | 123,453 | ||||||||||||||
U.S. government guaranteed – single-family MBS | — | 206,028 | — | — | 206,028 | ||||||||||||||
U.S. government guaranteed – multifamily MBS | — | 871,423 | — | — | 871,423 | ||||||||||||||
GSEs – single-family MBS | — | 3,548,392 | — | — | 3,548,392 | ||||||||||||||
Total available-for-sale securities | — | 5,481,978 | — | — | 5,481,978 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate-exchange agreements | — | 26,412 | — | (11,935 | ) | 14,477 | |||||||||||||
Mortgage delivery commitments | — | 71 | — | — | 71 | ||||||||||||||
Total derivative assets | — | 26,483 | — | (11,935 | ) | 14,548 | |||||||||||||
Other assets | 5,682 | 5,518 | — | — | 11,200 | ||||||||||||||
Total assets at fair value | $ | 5,682 | $ | 5,758,948 | $ | — | $ | (11,935 | ) | $ | 5,752,695 | ||||||||
Liabilities: | |||||||||||||||||||
Derivative liabilities | |||||||||||||||||||
Interest-rate-exchange agreements | $ | — | $ | (616,025 | ) | $ | — | $ | 57,144 | $ | (558,881 | ) | |||||||
Mortgage delivery commitments | — | (8 | ) | — | — | (8 | ) | ||||||||||||
Total liabilities at fair value | $ | — | $ | (616,033 | ) | $ | — | $ | 57,144 | $ | (558,889 | ) |
(1) | These amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
For the Nine Months Ended September 30, 2015 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Held-to-maturity securities: | |||||||||||||||
Private-label residential MBS | $ | — | $ | — | $ | 8,977 | $ | 8,977 | |||||||
Mortgage loans held for portfolio | — | — | 6,638 | 6,638 | |||||||||||
REO | — | — | 1,803 | 1,803 | |||||||||||
Total assets recorded at fair value on a nonrecurring basis | $ | — | $ | — | $ | 17,418 | $ | 17,418 |
December 31, 2014 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Held-to-maturity securities: | |||||||||||||||
Private-label residential MBS | $ | — | $ | — | $ | 23,259 | $ | 23,259 | |||||||
REO | — | — | 843 | 843 | |||||||||||
Total assets recorded at fair value on a nonrecurring basis | $ | — | $ | — | $ | 24,102 | $ | 24,102 |
September 30, 2015 | December 31, 2014 | |||||||||||||||||||||||
Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | |||||||||||||||||||
Standby letters of credit outstanding (1) | $ | 4,161,362 | $ | 138,331 | $ | 4,299,693 | $ | 4,065,555 | $ | 125,381 | $ | 4,190,936 | ||||||||||||
Commitments for unused lines of credit - advances (2) | 1,267,399 | — | 1,267,399 | 1,255,445 | — | 1,255,445 | ||||||||||||||||||
Commitments to make additional advances | 79,766 | 36,741 | 116,507 | 592,430 | 63,185 | 655,615 | ||||||||||||||||||
Commitments to invest in mortgage loans | 27,796 | — | 27,796 | 26,927 | — | 26,927 | ||||||||||||||||||
Unsettled CO bonds, at par (3) | 30,500 | — | 30,500 | 15,000 | — | 15,000 | ||||||||||||||||||
Unsettled CO discount notes, at par | 142,044 | — | 142,044 | 500,000 | — | 500,000 |
(1) | The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit that expire within one year. At September 30, 2015, and December 31, 2014, these amounts totaled $10.1 million and $26.2 million, respectively. Also excluded are commitments to issue standby letters of credit that expire after one year totaling $736,000 at September 30, 2015. |
(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. |
(3) | We had $15.0 million in unsettled CO bonds that were hedged with associated interest-rate swaps at both September 30, 2015, and December 31, 2014. |
Capital Stock Outstanding | Percent of Total | 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, 2015 | ||||||||||||||||||||
Citizens Bank, N.A. | $ | 317,502 | 12.3 | % | $ | 5,516,317 | 16.3 | % | $ | 608 | 1.8 | % | ||||||||
As of December 31, 2014 | ||||||||||||||||||||
Citizens Bank, N.A. | $ | 317,502 | 11.7 | % | $ | 5,768,096 | 17.3 | % | $ | 283 | 1.0 | % |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
Citizens Bank, N.A. | 2015 | 2014 | 2015 | 2014 | ||||||||||||
Interest income on advances | $ | 2,802 | $ | 3,755 | $ | 9,965 | $ | 9,505 | ||||||||
Fees on letters of credit | 862 | 1,133 | 2,901 | 2,791 |
Capital Stock Outstanding | Percent of Total | 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, 2015 | $ | 89,706 | 3.5 | % | $ | 1,043,591 | 3.1 | % | $ | 1,200 | 3.6 | % | ||||||||
As of December 31, 2014 | 79,386 | 2.9 | 918,127 | 2.8 | 1,227 | 4.2 |
• | income, retained earnings, and dividend payouts; |
• | repurchases of stock in excess of a shareholder’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 minimum 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 or ratings of the U.S. federal government; |
• | changes in demand for our advances and other products; |
• | the willingness of our members to do business with us; |
• | changes in the financial health of our members; |
• | changes in borrower defaults on mortgage loans; |
• | changes in the credit performance and loss severities of our investments; |
• | changes in prepayment rates on advances and investments; |
• | the value of collateral we hold as security for obligations of our members and counterparties; |
• | issues and events across the FHLBank System and in the political arena that may lead to legislative, regulatory, judicial, or other developments impacting demand for 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 our 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 members due to, among other ways, member withdrawals, mergers and acquisitions; |
• | changes in investor demand for COs; |
• | changes in the terms or availability of derivatives and other agreements we enter into in support of our business operations; |
• | 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; |
• | our ability to introduce new (or adequately adapt current) products and services and successfully manage the risks associated with our products and services, including new types of collateral used to secure advances; |
• | losses arising from litigation filed against us or one or more of the other FHLBanks; |
• | gains resulting from legal claims we have; |
• | losses arising from our joint and several liability on COs; |
• | significant business disruptions resulting from vendor or third-party failure, natural or other disasters, cyberincidents, acts of war, or terrorism; and |
• | new accounting standards. |
SELECTED FINANCIAL DATA | ||||||||||||||||||||
STATEMENT OF CONDITION | ||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | September 30, 2014 | ||||||||||||||||
Statement of Condition | ||||||||||||||||||||
Total assets | $ | 57,397,372 | $ | 56,449,865 | $ | 53,065,843 | $ | 55,106,677 | $ | 51,904,866 | ||||||||||
Investments(1) | 19,376,223 | 17,768,044 | 17,501,603 | 16,879,299 | 15,165,427 | |||||||||||||||
Advances | 33,954,689 | 34,105,443 | 31,179,231 | 33,482,074 | 31,409,529 | |||||||||||||||
Mortgage loans held for portfolio, net(2) | 3,580,269 | 3,574,835 | 3,537,841 | 3,483,948 | 3,403,883 | |||||||||||||||
Deposits and other borrowings | 495,871 | 402,066 | 429,343 | 369,331 | 520,864 | |||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds | 26,412,714 | 26,075,429 | 25,416,779 | 25,505,774 | 25,011,037 | |||||||||||||||
Discount notes | 26,538,537 | 25,972,593 | 23,451,068 | 25,309,608 | 22,559,486 | |||||||||||||||
Total consolidated obligations | 52,951,251 | 52,048,022 | 48,867,847 | 50,815,382 | 47,570,523 | |||||||||||||||
Mandatorily redeemable capital stock | 42,643 | 57,268 | 57,281 | 298,599 | 244,045 | |||||||||||||||
Class B capital stock outstanding-putable(3) | 2,542,598 | 2,482,244 | 2,440,386 | 2,413,114 | 2,393,508 | |||||||||||||||
Unrestricted retained earnings | 894,676 | 890,443 | 781,261 | 764,888 | 746,329 | |||||||||||||||
Restricted retained earnings | 179,502 | 173,411 | 143,484 | 136,770 | 129,863 | |||||||||||||||
Total retained earnings | 1,074,178 | 1,063,854 | 924,745 | 901,658 | 876,192 | |||||||||||||||
Accumulated other comprehensive loss | (395,696 | ) | (395,063 | ) | (411,829 | ) | (436,986 | ) | (440,462 | ) | ||||||||||
Total capital | 3,221,080 | 3,151,035 | 2,953,302 | 2,877,786 | 2,829,238 | |||||||||||||||
Other Information | ||||||||||||||||||||
Total regulatory capital ratio(4) | 6.38 | % | 6.38 | % | 6.45 | % | 6.56 | % | 6.77 | % |
(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 $1.0 million, $1.1 million, $1.4 million, $2.0 million, and $2.4 million, for the quarters ended September 30, 2015, June 30, 2015, March 31, 2015, December 31, 2014, and September 30, 2014, respectively. |
(3) | Capital stock is putable at the option of a member, subject to applicable restrictions. |
(4) | Total regulatory capital ratio is capital stock (including mandatorily redeemable capital stock) plus total retained earnings as a percentage of total assets. See Item 1 — Notes to the Financial Statements — Note 14 — Capital. |
SELECTED FINANCIAL DATA | ||||||||||||||||||||
RESULTS OF OPERATIONS AND OTHER INFORMATION | ||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Results of Operations for the Three Months Ended | ||||||||||||||||||||
September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | September 30, 2014 | ||||||||||||||||
Net interest income | $ | 56,156 | $ | 56,187 | $ | 54,463 | $ | 57,072 | $ | 51,604 | ||||||||||
(Reduction of) provision for credit losses | (159 | ) | (223 | ) | (60 | ) | (233 | ) | 373 | |||||||||||
Net impairment losses on held-to-maturity securities recognized in earnings | (1,053 | ) | (1,429 | ) | (346 | ) | (411 | ) | (311 | ) | ||||||||||
Litigation settlements | — | 134,690 | 23 | (12 | ) | 17,543 | ||||||||||||||
Other (loss) income | (4,738 | ) | (1,908 | ) | (278 | ) | (1,721 | ) | 553 | |||||||||||
Other expense | 16,631 | 21,450 | 16,584 | 16,655 | 15,673 | |||||||||||||||
AHP assessments | 3,437 | 16,678 | 3,767 | 3,969 | 5,470 | |||||||||||||||
Net income | $ | 30,456 | $ | 149,635 | $ | 33,571 | $ | 34,537 | $ | 47,873 | ||||||||||
Other Information | ||||||||||||||||||||
Dividends declared | $ | 20,132 | $ | 10,525 | $ | 10,484 | $ | 9,071 | $ | 9,240 | ||||||||||
Dividend payout ratio | 66.10 | % | 7.03 | % | 31.23 | % | 26.26 | % | 19.30 | % | ||||||||||
Weighted-average dividend rate(1) | 3.28 | 1.76 | 1.74 | 1.49 | 1.48 | |||||||||||||||
Return on average equity(2) | 3.80 | 19.57 | 4.67 | 4.80 | 6.70 | |||||||||||||||
Return on average assets | 0.22 | 1.11 | 0.24 | 0.26 | 0.35 | |||||||||||||||
Net interest margin(3) | 0.41 | 0.42 | 0.40 | 0.43 | 0.38 | |||||||||||||||
Average equity to average assets | 5.79 | 5.66 | 5.20 | 5.40 | 5.24 |
(1) | Weighted-average dividend rate is the dividend amount declared divided by the average daily balance of capital stock eligible for dividends during the preceding quarter. |
(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 total 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, | ||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||
Average Balance | Interest Income / Expense | Average Yield(1) | Average Balance | Interest Income / Expense | Average Yield(1) | |||||||||||||||||
Assets | ||||||||||||||||||||||
Advances | $ | 31,731,983 | $ | 60,669 | 0.76 | % | $ | 30,637,647 | $ | 58,635 | 0.76 | % | ||||||||||
Securities purchased under agreements to resell | 4,679,891 | 1,366 | 0.12 | 5,526,087 | 886 | 0.06 | ||||||||||||||||
Federal funds sold | 5,331,685 | 1,669 | 0.12 | 5,368,696 | 1,027 | 0.08 | ||||||||||||||||
Investment securities(2) | 9,232,488 | 49,613 | 2.13 | 8,976,404 | 48,632 | 2.15 | ||||||||||||||||
Mortgage loans | 3,579,328 | 30,392 | 3.37 | 3,376,618 | 30,918 | 3.63 | ||||||||||||||||
Other earning assets | 27,831 | 18 | 0.26 | 9,792 | 3 | 0.12 | ||||||||||||||||
Total interest-earning assets | 54,583,206 | 143,727 | 1.04 | 53,895,244 | 140,101 | 1.03 | ||||||||||||||||
Other non-interest-earning assets | 441,780 | 381,364 | ||||||||||||||||||||
Fair-value adjustments on investment securities | (45,997 | ) | (126,308 | ) | ||||||||||||||||||
Total assets | $ | 54,978,989 | $ | 143,727 | 1.04 | % | $ | 54,150,300 | $ | 140,101 | 1.03 | % | ||||||||||
Liabilities and capital | ||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||
Discount notes | $ | 23,910,270 | $ | 6,391 | 0.11 | % | $ | 25,300,156 | $ | 4,620 | 0.07 | % | ||||||||||
Bonds | 26,666,807 | 80,695 | 1.20 | 24,397,442 | 82,489 | 1.34 | ||||||||||||||||
Deposits | 404,010 | 13 | 0.01 | 427,861 | 29 | 0.03 | ||||||||||||||||
Mandatorily redeemable capital stock | 56,314 | 472 | 3.33 | 361,418 | 1,358 | 1.49 | ||||||||||||||||
Other borrowings | 653 | — | 0.24 | 1,840 | 1 | 0.22 | ||||||||||||||||
Total interest-bearing liabilities | 51,038,054 | 87,571 | 0.68 | 50,488,717 | 88,497 | 0.70 | ||||||||||||||||
Other non-interest-bearing liabilities | 759,257 | 826,799 | ||||||||||||||||||||
Total capital | 3,181,678 | 2,834,784 | ||||||||||||||||||||
Total liabilities and capital | $ | 54,978,989 | $ | 87,571 | 0.63 | % | $ | 54,150,300 | $ | 88,497 | 0.65 | % | ||||||||||
Net interest income | $ | 56,156 | $ | 51,604 | ||||||||||||||||||
Net interest spread | 0.36 | % | 0.33 | % | ||||||||||||||||||
Net interest margin | 0.41 | % | 0.38 | % |
(1) | Yields are annualized. |
(2) | The average balances of held-to-maturity securities and available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized other-than-temporary impairment reflected in accumulated other comprehensive loss. |
Net Interest Spread and Margin (dollars in thousands) | ||||||||||||||||||||||
For the Nine Months Ended September 30, | ||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||
Average Balance | Interest Income / Expense | Average Yield(1) | Average Balance | Interest Income / Expense | Average Yield(1) | |||||||||||||||||
Assets | ||||||||||||||||||||||
Advances | $ | 31,820,526 | $ | 180,539 | 0.76 | % | $ | 29,853,588 | $ | 174,589 | 0.78 | % | ||||||||||
Securities purchased under agreements to resell | 4,781,806 | 3,273 | 0.09 | 5,291,941 | 2,267 | 0.06 | ||||||||||||||||
Federal funds sold | 5,427,249 | 4,519 | 0.11 | 4,418,432 | 2,416 | 0.07 | ||||||||||||||||
Investment securities(2) | 9,053,267 | 147,794 | 2.18 | 8,496,878 | 140,201 | 2.21 | ||||||||||||||||
Mortgage loans | 3,547,026 | 91,633 | 3.45 | 3,360,072 | 94,136 | 3.75 | ||||||||||||||||
Other earning assets | 30,071 | 43 | 0.19 | 5,483 | 5 | 0.12 | ||||||||||||||||
Total interest-earning assets | 54,659,945 | 427,801 | 1.05 | % | 51,426,394 | 413,614 | 1.08 | % | ||||||||||||||
Other non-interest-earning assets | 423,795 | 369,058 | ||||||||||||||||||||
Fair-value adjustments on investment securities | (29,749 | ) | (166,983 | ) | ||||||||||||||||||
Total assets | $ | 55,053,991 | $ | 427,801 | 1.04 | % | $ | 51,628,469 | $ | 413,614 | 1.07 | % | ||||||||||
Liabilities and capital | ||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||
Discount notes | $ | 24,730,894 | $ | 16,813 | 0.09 | % | $ | 22,474,754 | $ | 11,515 | 0.07 | % | ||||||||||
Bonds | 25,979,023 | 242,859 | 1.25 | 24,261,430 | 238,193 | 1.31 | ||||||||||||||||
Deposits | 401,199 | 46 | 0.02 | 491,259 | 50 | 0.01 | ||||||||||||||||
Mandatorily redeemable capital stock | 63,519 | 1,275 | 2.68 | 686,409 | 7,632 | 1.49 | ||||||||||||||||
Other borrowings | 2,556 | 2 | 0.10 | 3,677 | 4 | 0.15 | ||||||||||||||||
Total interest-bearing liabilities | 51,177,191 | 260,995 | 0.68 | % | 47,917,529 | 257,394 | 0.72 | % | ||||||||||||||
Other non-interest-bearing liabilities | 821,959 | 852,769 | ||||||||||||||||||||
Total capital | 3,054,841 | 2,858,171 | ||||||||||||||||||||
Total liabilities and capital | $ | 55,053,991 | $ | 260,995 | 0.63 | % | $ | 51,628,469 | $ | 257,394 | 0.67 | % | ||||||||||
Net interest income | $ | 166,806 | $ | 156,220 | ||||||||||||||||||
Net interest spread | 0.37 | % | 0.36 | % | ||||||||||||||||||
Net interest margin | 0.41 | % | 0.41 | % |
(1) | Yields are annualized. |
(2) | The average balances of held-to-maturity securities and available-for-sale securities are reflected at amortized cost; therefore the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized other-than-temporary impairment reflected in accumulated other comprehensive loss. |
Rate and Volume Analysis (dollars in thousands) | ||||||||||||||||||||||||
For the Three Months Ended September 30, 2015 vs. 2014 | For the Nine Months Ended September 30, 2015 vs. 2014 | |||||||||||||||||||||||
Increase (Decrease) due to | Increase (Decrease) due to | |||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 2,092 | $ | (58 | ) | $ | 2,034 | $ | 11,267 | $ | (5,317 | ) | $ | 5,950 | ||||||||||
Securities purchased under agreements to resell | (153 | ) | 633 | 480 | (237 | ) | 1,243 | 1,006 | ||||||||||||||||
Federal funds sold | (7 | ) | 649 | 642 | 639 | 1,464 | 2,103 | |||||||||||||||||
Investment securities | 1,379 | (398 | ) | 981 | 9,097 | (1,504 | ) | 7,593 | ||||||||||||||||
Mortgage loans | 1,795 | (2,321 | ) | (526 | ) | 5,068 | (7,571 | ) | (2,503 | ) | ||||||||||||||
Other earning assets | 9 | 6 | 15 | 34 | 4 | 38 | ||||||||||||||||||
Total interest income | 5,115 | (1,489 | ) | 3,626 | 25,868 | (11,681 | ) | 14,187 | ||||||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | (266 | ) | 2,037 | 1,771 | 1,245 | 4,053 | 5,298 | |||||||||||||||||
Bonds | 7,294 | (9,088 | ) | (1,794 | ) | 16,382 | (11,716 | ) | 4,666 | |||||||||||||||
Deposits | (2 | ) | (14 | ) | (16 | ) | (10 | ) | 6 | (4 | ) | |||||||||||||
Mandatorily redeemable capital stock | (1,720 | ) | 834 | (886 | ) | (9,881 | ) | 3,524 | (6,357 | ) | ||||||||||||||
Other borrowings | (1 | ) | — | (1 | ) | (1 | ) | (1 | ) | (2 | ) | |||||||||||||
Total interest expense | 5,305 | (6,231 | ) | (926 | ) | 7,735 | (4,134 | ) | 3,601 | |||||||||||||||
Change in net interest income | $ | (190 | ) | $ | 4,742 | $ | 4,552 | $ | 18,133 | $ | (7,547 | ) | $ | 10,586 |
Average Balance of Advances Outstanding by Product Type (dollars in thousands) | ||||||||
For the Nine Months Ended September 30, | ||||||||
2015 | 2014 | |||||||
Fixed-rate advances—par value | ||||||||
Long-term | $ | 12,831,168 | $ | 10,594,690 | ||||
Short-term | 9,619,496 | 9,996,162 | ||||||
Putable | 2,090,742 | 2,357,067 | ||||||
Overnight | 935,806 | 757,572 | ||||||
Amortizing | 869,974 | 871,378 | ||||||
All other fixed-rate advances | 72,483 | 72,000 | ||||||
26,419,669 | 24,648,869 | |||||||
Variable-rate indexed advances—par value | ||||||||
Simple variable | 5,107,421 | 4,819,799 | ||||||
Putable | 49,392 | 68,385 | ||||||
All other variable-rate indexed advances | 48,267 | 38,393 | ||||||
5,205,080 | 4,926,577 | |||||||
Total average par value | 31,624,749 | 29,575,446 | ||||||
Net premiums | 13,016 | 22,184 | ||||||
Market value of bifurcated derivatives | 2,117 | 1,373 | ||||||
Hedging adjustments | 180,644 | 254,585 | ||||||
Total average balance of advances | $ | 31,820,526 | $ | 29,853,588 |
For the Three Months Ended September 30, 2015 | |||||||||||||||||||||
Net Effect of Derivatives and Hedging Activities | Advances | Investments | Mortgage Loans | CO Bonds | Total | ||||||||||||||||
Net interest income | |||||||||||||||||||||
Amortization / accretion of hedging activities in net interest income (1) | $ | (1,124 | ) | $ | — | $ | (152 | ) | $ | (1,478 | ) | $ | (2,754 | ) | |||||||
Net interest settlements included in net interest income (2) | (32,932 | ) | (9,405 | ) | — | 18,475 | (23,862 | ) | |||||||||||||
Total net interest income | (34,056 | ) | (9,405 | ) | (152 | ) | 16,997 | (26,616 | ) | ||||||||||||
Net gains (losses) on derivatives and hedging activities | |||||||||||||||||||||
(Losses) gains on fair-value hedges | (571 | ) | 280 | — | (4,399 | ) | (4,690 | ) | |||||||||||||
Losses on cash-flow hedges | — | — | — | (205 | ) | (205 | ) | ||||||||||||||
(Losses) gains on derivatives not receiving hedge accounting | (5 | ) | (3,342 | ) | — | 34 | (3,313 | ) | |||||||||||||
Mortgage delivery commitments | — | — | 555 | — | 555 | ||||||||||||||||
Net (losses) gains on derivatives and hedging activities | (576 | ) | (3,062 | ) | 555 | (4,570 | ) | (7,653 | ) | ||||||||||||
Subtotal | (34,632 | ) | (12,467 | ) | 403 | 12,427 | (34,269 | ) | |||||||||||||
Net gains on trading securities | — | 780 | — | — | 780 | ||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (34,632 | ) | $ | (11,687 | ) | $ | 403 | $ | 12,427 | $ | (33,489 | ) |
(1) | Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
For the Three Months Ended September 30, 2014 | ||||||||||||||||||||||||
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) | $ | (1,331 | ) | $ | — | $ | (68 | ) | $ | — | $ | 1,383 | $ | (16 | ) | |||||||||
Net interest settlements included in net interest income (2) | (32,487 | ) | (9,496 | ) | — | 357 | 14,856 | (26,770 | ) | |||||||||||||||
Total net interest income | (33,818 | ) | (9,496 | ) | (68 | ) | 357 | 16,239 | (26,786 | ) | ||||||||||||||
Net gains (losses) on derivatives and hedging activities | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | 122 | 356 | — | — | (144 | ) | 334 | |||||||||||||||||
Losses on cash-flow hedges | — | — | — | — | (78 | ) | (78 | ) | ||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | — | 1,091 | — | — | (30 | ) | 1,061 | |||||||||||||||||
Mortgage delivery commitments | — | — | 94 | — | — | 94 | ||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 122 | 1,447 | 94 | — | (252 | ) | 1,411 | |||||||||||||||||
Subtotal | (33,696 | ) | (8,049 | ) | 26 | 357 | 15,987 | (25,375 | ) | |||||||||||||||
Net losses on trading securities | — | (2,387 | ) | — | — | — | (2,387 | ) | ||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (33,696 | ) | $ | (10,436 | ) | $ | 26 | $ | 357 | $ | 15,987 | $ | (27,762 | ) |
(1) | Represents the amortization/accretion of hedging fair-value adjustments. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
For the Nine Months Ended September 30, 2015 | |||||||||||||||||||||
Net Effect of Derivatives and Hedging Activities | Advances | Investments | Mortgage Loans | CO Bonds | Total | ||||||||||||||||
Net interest income | |||||||||||||||||||||
Amortization / accretion of hedging activities in net interest income (1) | $ | (3,585 | ) | $ | — | $ | (461 | ) | $ | (3,133 | ) | $ | (7,179 | ) | |||||||
Net interest settlements included in net interest income (2) | (97,442 | ) | (28,326 | ) | — | 49,438 | (76,330 | ) | |||||||||||||
Total net interest income | (101,027 | ) | (28,326 | ) | (461 | ) | 46,305 | (83,509 | ) | ||||||||||||
Net gains (losses) on derivatives and hedging activities | |||||||||||||||||||||
(Losses) gains on fair-value hedges | (138 | ) | 1,157 | — | (7,424 | ) | (6,405 | ) | |||||||||||||
Losses on cash-flow hedges | — | — | — | (101 | ) | (101 | ) | ||||||||||||||
(Losses) gains on derivatives not receiving hedge accounting | (4 | ) | (6,115 | ) | — | 131 | (5,988 | ) | |||||||||||||
Mortgage delivery commitments | — | — | 340 | — | 340 | ||||||||||||||||
Net (losses) gains on derivatives and hedging activities | (142 | ) | (4,958 | ) | 340 | (7,394 | ) | (12,154 | ) | ||||||||||||
Subtotal | (101,169 | ) | (33,284 | ) | (121 | ) | 38,911 | (95,663 | ) | ||||||||||||
Net losses on trading securities | — | (332 | ) | — | — | (332 | ) | ||||||||||||||
Total net effect of derivatives and hedging activities | $ | (101,169 | ) | $ | (33,616 | ) | $ | (121 | ) | $ | 38,911 | $ | (95,995 | ) |
(1) | Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
For the Nine Months Ended September 30, 2014 | ||||||||||||||||||||||||
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) | $ | (4,712 | ) | $ | — | $ | (174 | ) | $ | — | $ | 10,838 | $ | 5,952 | ||||||||||
Net interest settlements included in net interest income (2) | (98,917 | ) | (28,494 | ) | — | 1,151 | 38,629 | (87,631 | ) | |||||||||||||||
Total net interest income | (103,629 | ) | (28,494 | ) | (174 | ) | 1,151 | 49,467 | (81,679 | ) | ||||||||||||||
Net gains (losses) on derivatives and hedging activities | ||||||||||||||||||||||||
Gains on fair-value hedges | 350 | 873 | — | — | 570 | 1,793 | ||||||||||||||||||
Losses on cash-flow hedges | — | — | — | — | (248 | ) | (248 | ) | ||||||||||||||||
(Losses) gains on derivatives not receiving hedge accounting | — | (3,646 | ) | — | — | 22 | (3,624 | ) | ||||||||||||||||
Mortgage delivery commitments | — | — | 815 | — | — | 815 | ||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 350 | (2,773 | ) | 815 | — | 344 | (1,264 | ) | ||||||||||||||||
Subtotal | (103,279 | ) | (31,267 | ) | 641 | 1,151 | 49,811 | (82,943 | ) | |||||||||||||||
Net gains on trading securities | — | 576 | — | — | — | 576 | ||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (103,279 | ) | $ | (30,691 | ) | $ | 641 | $ | 1,151 | $ | 49,811 | $ | (82,367 | ) |
(1) | Represents the amortization/accretion of hedging fair-value adjustments and cash-flow hedge amortization reclassified from accumulated other comprehensive loss. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
Other Income (Loss) (dollars in thousands) | ||||||||||||||||
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Gains (losses) on derivatives and hedging activities: | ||||||||||||||||
Net (losses) gains related to fair-value hedge ineffectiveness | $ | (4,690 | ) | $ | 334 | $ | (6,405 | ) | $ | 1,793 | ||||||
Net losses related to cash-flow hedge ineffectiveness | (205 | ) | (78 | ) | (101 | ) | (248 | ) | ||||||||
Net unrealized (losses) gains related to derivatives not receiving hedge accounting associated with: | ||||||||||||||||
Advances | 8 | (61 | ) | 56 | (215 | ) | ||||||||||
Trading securities | (1,593 | ) | 2,869 | (822 | ) | 1,760 | ||||||||||
Mortgage delivery commitments | 555 | 94 | 340 | 815 | ||||||||||||
Net interest-accruals related to derivatives not receiving hedge accounting | (1,728 | ) | (1,747 | ) | (5,222 | ) | (5,169 | ) | ||||||||
Net (losses) gains on derivatives and hedging activities | (7,653 | ) | 1,411 | (12,154 | ) | (1,264 | ) | |||||||||
Net other-than-temporary impairment credit losses on held-to-maturity securities recognized in income | (1,053 | ) | (311 | ) | (2,828 | ) | (1,168 | ) | ||||||||
Litigation settlements | — | 17,543 | 134,713 | 22,012 | ||||||||||||
Loss on early extinguishment of debt | (82 | ) | (163 | ) | (211 | ) | (2,755 | ) | ||||||||
Service-fee income | 2,094 | 1,874 | 6,102 | 5,159 | ||||||||||||
Net unrealized gains (losses) on trading securities | 780 | (2,387 | ) | (332 | ) | 576 | ||||||||||
Other | 123 | (182 | ) | (329 | ) | (581 | ) | |||||||||
Total other (losses) income | $ | (5,791 | ) | $ | 17,785 | $ | 124,961 | $ | 21,979 |
Advances Outstanding by Product Type (dollars in thousands) | |||||||||||||
September 30, 2015 | December 31, 2014 | ||||||||||||
Par Value | Percent of Total | Par Value | Percent of Total | ||||||||||
Fixed-rate advances | |||||||||||||
Long-term | $ | 13,337,972 | 39.5 | % | $ | 12,029,059 | 36.2 | % | |||||
Short-term | 10,125,962 | 30.0 | 10,526,292 | 31.6 | |||||||||
Putable | 1,919,700 | 5.6 | 2,180,225 | 6.6 | |||||||||
Overnight | 1,245,986 | 3.7 | 1,545,869 | 4.6 | |||||||||
Amortizing | 909,808 | 2.7 | 883,106 | 2.7 | |||||||||
All other fixed-rate advances | 94,000 | 0.3 | 72,000 | 0.2 | |||||||||
27,633,428 | 81.8 | 27,236,551 | 81.9 | ||||||||||
Variable-rate advances | |||||||||||||
Simple variable | 5,979,375 | 17.7 | 5,915,000 | 17.8 | |||||||||
Putable | 95,000 | 0.3 | 74,000 | 0.2 | |||||||||
All other variable-rate indexed advances | 54,021 | 0.2 | 49,163 | 0.1 | |||||||||
6,128,396 | 18.2 | 6,038,163 | 18.1 | ||||||||||
Total par value | $ | 33,761,824 | 100.0 | % | $ | 33,274,714 | 100.0 | % |
• | 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. We also place housing associates and non-member borrowers in Category-3. |
Advances Outstanding by Borrower Credit Status Category As of September 30, 2015 (dollars in thousands) | |||||||||||||
Number of Borrowers | Par Value of Advances Outstanding | Discounted Collateral | Ratio of Discounted Collateral to Advances | ||||||||||
Category-1 | 278 | $ | 30,257,917 | $ | 71,795,423 | 237.3 | % | ||||||
Category-2 | 19 | 611,812 | 1,138,720 | 186.1 | |||||||||
Category-3 | 17 | 735,859 | 1,004,004 | 136.4 | |||||||||
Insurance companies | 20 | 2,156,236 | 2,301,667 | 106.7 | |||||||||
Total | 334 | $ | 33,761,824 | $ | 76,239,814 | 225.8 | % |
Collateral by Pledge Type (dollars in thousands) | |||
Discounted Collateral | |||
Collateral not specifically listed and identified | $ | 31,951,519 | |
Collateral specifically listed and identified | 39,062,194 | ||
Collateral delivered to us | 9,139,507 |
Top Five Advance-Borrowing Institutions (dollars in thousands) | |||||||||||||||||
September 30, 2015 | |||||||||||||||||
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, 2015 | Advances Interest Income for the Nine Months Ended September 30, 2015 | ||||||||||||
Citizens Bank, N.A. | $ | 5,516,317 | 16.3 | % | 0.30 | % | $ | 2,802 | $ | 9,965 | |||||||
Webster Bank, N.A. | 2,609,185 | 7.7 | 0.66 | 3,865 | 10,080 | ||||||||||||
People's United Bank, N.A. | 1,905,275 | 5.7 | 0.30 | 1,387 | 3,704 | ||||||||||||
Berkshire Bank | 1,209,951 | 3.6 | 0.46 | 1,287 | 3,773 | ||||||||||||
Massachusetts Mutual Life Insurance Company | 1,100,000 | 3.3 | 2.22 | 4,245 | 12,174 | ||||||||||||
Total of top five advance-borrowing institutions | $ | 12,340,728 | 36.6 | % | $ | 13,586 | $ | 39,696 |
(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 we may use as hedging instruments. |
Mortgage-Backed Securities | |||||
September 30, 2015 | December 31, 2014 | ||||
Single-family MBS - U.S. government-guaranteed and GSE | 70.9 | % | 64.8 | % | |
Multifamily MBS - U.S. government-guaranteed and GSE | 17.1 | 21.9 | |||
Private-label residential MBS | 11.8 | 13.1 | |||
ABS backed by home-equity loans | 0.2 | 0.2 | |||
Total MBS | 100.0 | % | 100.0 | % |
Credit Ratings of Investments at Carrying Value As of September 30, 2015 (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 | $ | — | $ | 238 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities purchased under agreements to resell | — | 3,250,000 | 1,500,000 | 2,900,000 | — | — | ||||||||||||||||||
Federal funds sold | — | 700,000 | 1,725,000 | — | — | — | ||||||||||||||||||
Total money-market instruments | — | 3,950,238 | 3,225,000 | 2,900,000 | — | — | ||||||||||||||||||
Investment securities: | ||||||||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
U.S. agency obligations | — | 4,235 | — | — | — | — | ||||||||||||||||||
U.S. government-owned corporations | — | 276,509 | — | — | — | — | ||||||||||||||||||
GSEs | — | 120,345 | — | — | — | — | ||||||||||||||||||
Supranational institutions | 448,260 | — | — | — | — | — | ||||||||||||||||||
HFA securities | 21,355 | 39,860 | 110,548 | — | — | 2,021 | ||||||||||||||||||
Total non-MBS | 469,615 | 440,949 | 110,548 | — | — | 2,021 | ||||||||||||||||||
MBS: | ||||||||||||||||||||||||
U.S. government guaranteed - single-family (2) | — | 194,677 | — | — | — | — | ||||||||||||||||||
U.S. government guaranteed - multifamily(2) | — | 787,649 | — | — | — | — | ||||||||||||||||||
GSE – single-family (2) | — | 5,675,507 | — | — | — | — | ||||||||||||||||||
GSE – multifamily (2) | — | 624,211 | — | — | — | — | ||||||||||||||||||
Private-label – residential | — | 250 | 46,800 | 60,581 | 872,993 | 6 | ||||||||||||||||||
ABS backed by home-equity loans | 572 | 1,136 | 7,149 | 2,209 | 4,112 | — | ||||||||||||||||||
Total MBS | 572 | 7,283,430 | 53,949 | 62,790 | 877,105 | 6 | ||||||||||||||||||
Total investment securities | 470,187 | 7,724,379 | 164,497 | 62,790 | 877,105 | 2,027 | ||||||||||||||||||
Total investments | $ | 470,187 | $ | 11,674,617 | $ | 3,389,497 | $ | 2,962,790 | $ | 877,105 | $ | 2,027 |
(1) | Ratings are obtained from Moody's, Fitch, Inc. (Fitch), and S&P and are each as of September 30, 2015. 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. |
Issuers / Counterparties Representing Greater Than 10 Percent of Total Unsecured Credit Related to Money-Market Instruments and to Debentures As of September 30, 2015 | |||
Issuer / counterparty | Percent | ||
Nordea Bank Finland PLC (1) | 21.3 | % | |
Rabobank Nederland (1) | 17.5 | ||
Landesbank Baden-Wuerttemberg (1) | 17.5 | ||
Bank of Nova Scotia (1) | 17.5 | ||
Inter-American Development Bank (a supranational institution) | 13.8 |
(1) | Overnight federal funds sold. We sold federal funds to either the U.S. branch or agency office of the named foreign commercial bank. |
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, 2015 | December 31, 2014 | ||||||||||||||||||||||
Private-label MBS | Fixed Rate (1) | Variable Rate (1) | Total | Fixed Rate (1) | Variable Rate (1) | Total | |||||||||||||||||
Private-label residential MBS | |||||||||||||||||||||||
Prime | $ | 10,858 | $ | 133,295 | $ | 144,153 | $ | 12,334 | $ | 152,296 | $ | 164,630 | |||||||||||
Alt-A | 24,318 | 1,407,912 | 1,432,230 | 27,447 | 1,532,827 | 1,560,274 | |||||||||||||||||
Total private-label residential MBS | 35,176 | 1,541,207 | 1,576,383 | 39,781 | 1,685,123 | 1,724,904 | |||||||||||||||||
ABS backed by home equity loans | |||||||||||||||||||||||
Subprime | — | 16,302 | 16,302 | — | 17,440 | 17,440 | |||||||||||||||||
Total par value of private-label MBS | $ | 35,176 | $ | 1,557,509 | $ | 1,592,685 | $ | 39,781 | $ | 1,702,563 | $ | 1,742,344 |
(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 At September 30, 2015 (dollars in thousands) | |||||||||||||||||||
Year of Securitization | |||||||||||||||||||
Total | 2007 | 2006 | 2005 | 2004 and prior | |||||||||||||||
Par value by credit rating | |||||||||||||||||||
Triple-A | $ | 598 | $ | — | $ | — | $ | — | $ | 598 | |||||||||
Double-A | 1,386 | — | — | — | 1,386 | ||||||||||||||
Single-A | 53,949 | — | — | 34,267 | 19,682 | ||||||||||||||
Triple-B | 62,958 | — | — | 12,558 | 50,400 | ||||||||||||||
Below Investment Grade | |||||||||||||||||||
Double-B | 65,137 | — | — | 32,437 | 32,700 | ||||||||||||||
Single-B | 48,191 | 15,050 | — | 27,077 | 6,064 | ||||||||||||||
Triple-C | 726,288 | 136,255 | 410,936 | 165,258 | 13,839 | ||||||||||||||
Double-C | 315,030 | 115,940 | 154,712 | 43,679 | 699 | ||||||||||||||
Single-C | 52,871 | 6,961 | 16,490 | 29,420 | — | ||||||||||||||
Single-D | 266,271 | 98,107 | 70,959 | 97,205 | — | ||||||||||||||
Unrated | 6 | — | — | — | 6 | ||||||||||||||
Total | $ | 1,592,685 | $ | 372,313 | $ | 653,097 | $ | 441,901 | $ | 125,374 | |||||||||
Amortized cost | $ | 1,236,207 | $ | 264,264 | $ | 462,481 | $ | 385,171 | $ | 124,291 | |||||||||
Gross unrealized gains | 67,656 | 26,151 | 29,761 | 11,552 | 192 | ||||||||||||||
Gross unrealized losses | (46,301 | ) | (7,996 | ) | (10,819 | ) | (20,631 | ) | (6,855 | ) | |||||||||
Fair value | $ | 1,257,562 | $ | 282,419 | $ | 481,423 | $ | 376,092 | $ | 117,628 | |||||||||
Other-than-temporary impairment for the nine months ended September 30, 2015: | |||||||||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | $ | (810 | ) | $ | (769 | ) | $ | — | $ | — | $ | (41 | ) | ||||||
Net amount of impairment losses reclassified from accumulated other comprehensive loss | (2,018 | ) | (579 | ) | (1,270 | ) | (169 | ) | — | ||||||||||
Net impairment losses on held-to-maturity securities recognized in income | $ | (2,828 | ) | $ | (1,348 | ) | $ | (1,270 | ) | $ | (169 | ) | $ | (41 | ) | ||||
Weighted average percentage of fair value to par value | 78.96 | % | 75.86 | % | 73.71 | % | 85.11 | % | 93.82 | % | |||||||||
Original weighted average credit support | 26.71 | 28.85 | 28.92 | 26.24 | 10.48 | ||||||||||||||
Weighted average credit support | 9.25 | 4.89 | 5.00 | 15.45 | 22.48 | ||||||||||||||
Weighted average collateral delinquency (1) | 25.81 | 29.56 | 28.32 | 21.94 | 15.18 |
(1) | Represents loans that are 60 days or more delinquent. |
State Concentrations by Outstanding Principal Balance | |||||
Percentage of Total Outstanding Principal Balance of Conventional Mortgage Loans | |||||
September 30, 2015 | December 31, 2014 | ||||
Massachusetts | 45 | % | 44 | % | |
Maine | 12 | 11 | |||
Wisconsin | 11 | 10 | |||
Connecticut | 7 | 7 | |||
New Hampshire | 5 | 5 | |||
All others | 20 | 23 | |||
Total | 100 | % | 100 | % |
Delinquent Mortgage Loans (dollars in thousands) | |||||||
September 30, 2015 | December 31, 2014 | ||||||
Total par value past due 90 days or more and still accruing interest | $ | 8,783 | $ | 7,191 | |||
Nonaccrual loans, par value | 24,045 | 38,658 | |||||
Troubled debt restructurings (not included above) | 6,361 | 3,045 |
Hedged Item and Hedge-Accounting Treatment (dollars in thousands) | ||||||||||||||||||||
September 30, 2015 | December 31, 2014 | |||||||||||||||||||
Hedged Item | Derivative | Designation | Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||
Advances (1) | Swaps | Fair value | $ | 7,227,127 | $ | (181,539 | ) | $ | 4,771,265 | $ | (192,873 | ) | ||||||||
Swaps | Economic | 259,500 | (3,062 | ) | 190,500 | (1,473 | ) | |||||||||||||
Total associated with advances | 7,486,627 | (184,601 | ) | 4,961,765 | (194,346 | ) | ||||||||||||||
Available-for-sale securities | Swaps | Fair value | 611,915 | (332,659 | ) | 611,915 | (318,895 | ) | ||||||||||||
Caps | Economic | 300,000 | — | 300,000 | — | |||||||||||||||
Total associated with available-for-sale securities | 911,915 | (332,659 | ) | 911,915 | (318,895 | ) | ||||||||||||||
Trading securities | Swaps | Economic | 210,000 | (18,589 | ) | 210,000 | (17,766 | ) | ||||||||||||
COs | Swaps | Fair value | 7,690,835 | 32,599 | 7,196,345 | 3,736 | ||||||||||||||
Swaps | Economic | 18,500 | 26 | 22,500 | (33 | ) | ||||||||||||||
Forward starting swaps | Cash Flow | 552,800 | (38,592 | ) | 1,096,800 | (42,209 | ) | |||||||||||||
Total associated with COs | 8,262,135 | (5,967 | ) | 8,315,645 | (38,506 | ) | ||||||||||||||
Total | 16,870,677 | (541,816 | ) | 14,399,325 | (569,513 | ) | ||||||||||||||
Mortgage delivery commitments | 27,796 | 135 | 26,927 | 63 | ||||||||||||||||
Total derivatives | $ | 16,898,473 | (541,681 | ) | $ | 14,426,252 | (569,450 | ) | ||||||||||||
Accrued interest | (10,980 | ) | (20,100 | ) | ||||||||||||||||
Cash collateral and accrued interest | 113,702 | 45,209 | ||||||||||||||||||
Net derivatives | $ | (438,959 | ) | $ | (544,341 | ) | ||||||||||||||
Derivative asset | $ | 41,238 | $ | 14,548 | ||||||||||||||||
Derivative liability | (480,197 | ) | (558,889 | ) | ||||||||||||||||
Net derivatives | $ | (438,959 | ) | $ | (544,341 | ) |
(1) | As of September 30, 2015, and December 31, 2014, embedded derivatives separated from the advance contract with notional amounts of $259.5 million and $190.5 million, respectively, and fair values of $3.1 million and $1.5 million, respectively, are not included in the table. |
Fair-Value Hedge Relationships of Advances By Year of Contractual Maturity As of September 30, 2015 (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 | $ | 1,106,795 | $ | (7,258 | ) | $ | 1,106,795 | $ | 7,256 | 1.71 | % | 0.32 | % | 1.53 | % | 0.50 | % | ||||||||||
Due after one year through two years | 2,074,905 | (71,060 | ) | 2,074,905 | 70,388 | 2.93 | 0.31 | 2.75 | 0.49 | ||||||||||||||||||
Due after two years through three years | 1,519,435 | (53,079 | ) | 1,519,435 | 52,968 | 2.51 | 0.31 | 2.31 | 0.51 | ||||||||||||||||||
Due after three years through four years | 601,861 | (13,611 | ) | 601,861 | 13,564 | 2.22 | 0.33 | 1.79 | 0.76 | ||||||||||||||||||
Due after four years through five years | 1,041,540 | (15,117 | ) | 1,041,540 | 14,881 | 1.88 | 0.31 | 1.62 | 0.57 | ||||||||||||||||||
Thereafter | 882,590 | (21,414 | ) | 882,590 | 21,041 | 2.39 | 0.32 | 1.94 | 0.77 | ||||||||||||||||||
Total | $ | 7,227,126 | $ | (181,539 | ) | $ | 7,227,126 | $ | 180,098 | 2.38 | % | 0.32 | % | 2.13 | % | 0.57 | % |
(1) | Included in the advances hedged amount are $2.0 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, 2015. |
Fair-Value Hedge Relationships of Consolidated Obligations By Year of Contractual Maturity As of September 30, 2015 (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 | $ | 2,123,000 | $ | 2,963 | $ | 2,123,000 | $ | (3,020 | ) | 0.69 | % | 0.76 | % | 0.25 | % | 0.18 | % | ||||||||||
Due after one year through two years | 2,501,745 | 9,719 | 2,501,745 | (9,838 | ) | 0.84 | 0.88 | 0.24 | 0.20 | ||||||||||||||||||
Due after two years through three years | 1,543,200 | 14,102 | 1,543,200 | (14,162 | ) | 1.34 | 1.35 | 0.18 | 0.17 | ||||||||||||||||||
Due after three years through four years | 470,405 | 2,258 | 470,405 | (2,291 | ) | 1.38 | 1.38 | 0.16 | 0.16 | ||||||||||||||||||
Due after four years through five years | 604,485 | 3,624 | 604,485 | (4,098 | ) | 1.73 | 1.74 | 0.15 | 0.14 | ||||||||||||||||||
Thereafter | 448,000 | (67 | ) | 448,000 | 157 | 1.67 | 1.67 | 0.10 | 0.10 | ||||||||||||||||||
Total | $ | 7,690,835 | $ | 32,599 | $ | 7,690,835 | $ | (33,252 | ) | 1.05 | % | 1.08 | % | 0.21 | % | 0.18 | % |
(1) | Included in the CO bonds hedged amount are $3.1 billion 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, plus remaining unamortized premiums or discounts on hedged CO bonds where applicable. |
(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, 2015. |
Derivatives Counterparty Current Credit Exposure As of September 30, 2015 (dollars in thousands) | ||||||||||||||||||||
Credit Rating (1) | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To /(From) Counterparty | Non-cash Collateral Pledged To Counterparty | Net Credit Exposure to Counterparties | |||||||||||||||
Asset positions with credit exposure: | ||||||||||||||||||||
Bilateral derivatives | ||||||||||||||||||||
Double-A | $ | 25,000 | $ | 94 | $ | — | $ | — | $ | 94 | ||||||||||
Single-A | 1,043,500 | 3,382 | (2,130 | ) | — | 1,252 | ||||||||||||||
Liability positions with credit exposure: | ||||||||||||||||||||
Bilateral derivatives | ||||||||||||||||||||
Single-A | 3,168,855 | (76,489 | ) | 3,850 | 75,924 | 3,285 | ||||||||||||||
Cleared derivatives | 8,228,272 | (56,514 | ) | 95,960 | — | 39,446 | ||||||||||||||
Total derivative positions with nonmember counterparties to which we had credit exposure | 12,465,627 | (129,527 | ) | 97,680 | 75,924 | 44,077 | ||||||||||||||
Mortgage delivery commitments (2) | 27,796 | 135 | — | — | 135 | |||||||||||||||
Total | $ | 12,493,423 | $ | (129,392 | ) | $ | 97,680 | $ | 75,924 | $ | 44,212 | |||||||||
Derivative positions without credit exposure: (3) | ||||||||||||||||||||
Double-A | $ | 703,000 | ||||||||||||||||||
Single-A | 2,134,595 | |||||||||||||||||||
Triple-B | 1,567,455 | |||||||||||||||||||
Total derivative positions without credit exposure | $ | 4,405,050 |
(1) | Bilateral derivatives counterparty ratings are obtained from Moody's, Fitch, and S&P. Each rating classification includes all rating levels within that category. 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 derivatives. 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. |
(3) | These represent derivatives positions with counterparties for which we are in a net liability position and for which we have delivered securities collateral to the counterparty in an amount equal to or less than the net derivative liability, or derivative positions with counterparties for which we are in a net asset position and for which the counterparty has delivered collateral to us in an amount that exceeds our net derivative asset. |
• | all maturing advances are renewed; |
• | member overnight deposits are withdrawn at a rate of 50 percent per day; |
• | outstanding standby letters of credit are drawn down at a rate of 50 percent spread equally over 86 days; |
• | uncommitted lines of credit are drawn upon at a rate of 10 percent of the previous day's balance; and |
• | MPF master commitments are funded at a rate of 10 percent of the previous days' total amount on the first day and at a rate of one percent on each day thereafter. |
• | if structural liquidity is less than negative $1.0 billion on or before the fifth business day following the measurement date; and |
• | if projected net cash flow falls below zero on or before the 21st day following the measurement date. |
Projected Net Cash Flow and Structural Liquidity As of September 30, 2015 (dollars in thousands) | ||||||||
5 Business Days | 21 Days | |||||||
Uses of funds | ||||||||
Interest payable | $ | 4,607 | $ | 18,738 | ||||
Maturing liabilities and expected exercise of bond call options | 2,221,065 | 8,206,715 | ||||||
Committed asset settlements | 47,220 | 47,220 | ||||||
Capital outflow | 148,000 | 148,000 | ||||||
MPF delivery commitments | 27,796 | 27,796 | ||||||
Gross uses of funds | 2,448,688 | 8,448,469 | ||||||
Sources of funds | ||||||||
Interest receivable | 29,242 | 51,328 | ||||||
Maturing or projected amortization of assets | 10,399,830 | 17,387,901 | ||||||
Committed liability settlements | 157,556 | 172,556 | ||||||
Cash and due from banks | 320,281 | 320,281 | ||||||
Other | 711 | 711 | ||||||
Gross sources of funds | 10,907,620 | 17,932,777 | ||||||
Projected net cash flow | 8,458,932 | 9,484,308 | ||||||
Less: Secondary uses of funds | ||||||||
Deposit runoff | 442,268 | 456,521 | ||||||
Drawdown of standby letters of credit and lines of credit | 644,002 | 1,381,424 | ||||||
Rollover of all maturing advances | 2,658,252 | 7,168,362 | ||||||
Projected funding of MPF master commitments | 196,250 | 316,009 | ||||||
Total secondary uses of funds | 3,940,772 | 9,322,316 | ||||||
Structural liquidity | $ | 4,518,160 | $ | 161,992 |
• | marketable securities with a maturity greater than one week and less than one year that can be sold; |
• | self-liquidating assets with a maturity of seven days or less; |
• | assets that are generally accepted as collateral in the repurchase agreement market, for which we include 50 percent of unencumbered marketable securities with a maturity greater than one year; and |
• | irrevocable lines of credit from financial institutions rated not lower than the second highest rating category by an NRSRO. |
Contingency Liquidity As of September 30, 2015 (dollars in thousands) | ||||
5 Business Days | ||||
Cumulative uses of funds | ||||
Interest payable | $ | 4,607 | ||
Maturing liabilities | 2,221,065 | |||
Committed asset settlements | 47,220 | |||
Drawdown of standby letters of credit | 124,992 | |||
Gross uses of funds | 2,397,884 | |||
Cumulative sources of funds | ||||
Interest receivable | 29,242 | |||
Maturing or amortizing advances | 2,658,252 | |||
Committed liability settlements | 157,556 | |||
Other | 711 | |||
Gross sources of funds | 2,845,761 | |||
Plus: sources of contingency liquidity | ||||
Marketable securities | 2,350,000 | |||
Self-liquidating assets | 7,725,000 | |||
Cash and due from banks | 320,281 | |||
Marketable securities available for repo | 4,037,650 | |||
Total sources of contingency liquidity | 14,432,931 | |||
Net contingency liquidity | $ | 14,880,808 |
Expiry of Redemption Period | September 30, 2015 | December 31, 2014 | ||||||
Past redemption date (1) | $ | 629 | $ | 697 | ||||
Due in one year or less | — | — | ||||||
Due after one year through two years | 207 | 25,383 | ||||||
Due after two years through three years | 5,164 | 207 | ||||||
Due after three years through four years | 338 | 217,420 | ||||||
Due after four years through five years | 36,305 | 54,892 | ||||||
Total | $ | 42,643 | $ | 298,599 |
(1) | Amount represents mandatorily redeemable capital stock that has reached the end of the five-year redemption period but the member-related activity remains outstanding. Accordingly, these shares of stock will not be redeemed until the activity is no longer outstanding. |
Membership Stock Investment Requirement | Activity-Based Stock Investment Requirement | Total Stock Investment Requirement (1) | Outstanding Class B Capital Stock (2) | Excess Class B Capital Stock | |||||||||||||||
September 30, 2015 | $ | 653,477 | $ | 1,473,446 | $ | 2,126,946 | $ | 2,585,241 | $ | 458,295 | |||||||||
December 31, 2014 | 632,454 | 1,446,248 | 2,078,725 | 2,711,713 | 632,988 |
(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. |
• | commitments that obligate us for additional advances; |
• | standby letters of credit; |
• | commitments for unused lines-of-credit advances; and |
• | unsettled COs. |
• | when the ratio is 70 percent or higher, the strategic plan should include an assessment of the FHLBank’s prospects for maintaining at least this level; |
• | when the ratio is between 55 percent and 70 percent, the strategic plan should explain the FHLBank’s plan to increase its mission focus; and |
• | when the ratio is below 55 percent, the strategic plan should include an explanation of the circumstances that caused the ratio to be at that level and detailed plans to increase the ratio. The advisory bulletin provides that if an FHLBank maintains a ratio below 55 percent over the course of several consecutive reviews, then the FHLBank’s board of directors should consider possible strategic alternatives. |
• | the issuance of COs that can be used to match interest-rate-risk exposures of our assets (at both September 30, 2015 and December 31, 2014, fixed-rate noncallable debt, not hedged by interest-rate swaps, amounted to $14.6 billion. |
• | the use of derivatives and/or COs with embedded call options to hedge the interest-rate risk of our debt (at September 30, 2015, fixed-rate callable debt not hedged by interest-rate swaps amounted to $1.5 billion compared with $1.6 billion at December 31, 2014); |
• | the issuance of CO bonds together with interest-rate swaps that receive a coupon that offsets the bond coupon and any optionality embedded in the bond, thereby effectively creating a floating-rate liability (total CO bond debt used in conjunction with interest-rate-exchange agreements, was $7.7 billion, or 29.3 percent of our total outstanding CO bonds at September 30, 2015, compared with $7.2 billion, or 28.4 percent of total outstanding CO bonds, at December 31, 2014); |
• | contractual provisions for certain advances that require borrowers to pay us prepayment fees, to make us financially indifferent if the borrower prepays such advances prior to maturity; 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 MVE to the market value of assets, which we refer to as the economic capital ratio; |
• | VaR, which measures the change in our MVE to a 99th percent confidence interval, based on a set of stress scenarios (VaR 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 1992; |
• | duration of equity, which measures percentage change to market value for a 100 basis point shift in rates; |
• | MVE sensitivity, which is the percent change in MVE in various shocked interest rate scenarios vs. base case MVE; |
• | 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 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, 2015 | At December 31, 2014 | Target, Limit or Management Action Trigger at December 31, 2014 | |||
MVE | $3.4 billion | $3.5 billion | None | |||
MVE/BVE | 94.0% | 97.1% | None | |||
MVE/Par Stock | 133.1% | 129.3% | 102% (management action trigger) and 100% or higher (limit) | |||
Economic Capital Ratio | 5.9% | 6.3% | Maintain above 4.5% (management action trigger) and 4.0% (limit) | |||
VaR | $57.2 million | $75.6 million | Maintain below $225.0 million (management action trigger) and $275.0 million (limit) | |||
Duration of Equity | +0.03 years | +0.01 years | Maintain between +/- 3.5 years (management action trigger) and +/- 4.0 years (limit) | |||
MVE Sensitivity in a +/- 200 basis point parallel rate shock | (4.4)% | (3.1)% | Maintain above -10% (management action trigger) and -15% (limit) | |||
Duration Gap | +0.02 months | +0.01 months | None | |||
MPF Portfolio VaR | $51.9 million | $49.6 million | Maintain below 25% of the VaR limit (management action trigger) | |||
Income Simulation based on an instantaneous rise in interest rates of 300 basis points | Return on regulatory capital is 185 basis points above the average yield on three-month LIBOR | Return on regulatory capital is 184 basis points above the average yield on three-month LIBOR | Maintain projected return on regulatory capital above three-month LIBOR over the following 12 month horizon (management action trigger) |
Value-at-Risk (Gain) Loss Exposure | ||||||||||||||
September 30, 2015 | December 31, 2014 | |||||||||||||
Confidence Level | % of MVE (1) | $ million | % of MVE (1) | $ million | ||||||||||
50% | 0.08 | % | $ | 2.9 | 0.09 | % | $ | 3.2 | ||||||
75% | 0.20 | 6.9 | 0.32 | 11.1 | ||||||||||
95% | 0.84 | 28.9 | 1.10 | 38.5 | ||||||||||
99% | 1.66 | 57.2 | 2.15 | 75.6 |
(1) | Loss exposure is expressed as a percentage of base MVE. |
September 30, 2015 | ||||||||||||||
Down 300(1) | Down 200(1) | Down 100(1) | Base | Up 100 | Up 200 | Up 300 | ||||||||
MVE | $3,341 | $3,316 | $3,418 | $3,441 | $3,399 | $3,291 | $3,151 | |||||||
Percent change in MVE from base | (2.9)% | (3.6)% | (0.7)% | —% | (1.2)% | (4.4)% | (8.4)% | |||||||
MVE/BVE | 91.3% | 90.6% | 93.4% | 94.0% | 92.9% | 89.9% | 86.1% | |||||||
MVE/Par Stock | 129.2% | 128.3% | 132.2% | 133.1% | 131.5% | 127.3% | 121.9% | |||||||
Duration of Equity | +1.00 years | -1.15 years | -1.82 years | +0.03 years | +2.32 years | +3.77 years | +4.61 years | |||||||
Return on Regulatory Capital less 3-month LIBOR | 3.0% | 2.9% | 3.1% | 2.9% | 2.8% | 2.4% | 1.9% | |||||||
Net income percent change from base | (12.8)% | (15.5)% | (10.8)% | —% | 24.5% | 42.1% | 56.7% |
(1) | Given the current environment of low interest rates, downward rate shocks are floored at zero, and therefore may not be fully representative of the indicated rate shock. |
December 31, 2014 | ||||||||||||||
Down 300(1) | Down 200(1) | Down 100(1) | Base | Up 100 | Up 200 | Up 300 | ||||||||
MVE | $3,512 | $3,465 | $3,486 | $3,507 | $3,487 | $3,400 | $3,273 | |||||||
Percent change in MVE from base | 0.1% | (1.2)% | (0.6)% | —% | (0.6)% | (3.1)% | (6.7)% | |||||||
MVE/BVE | 97.2% | 95.9% | 96.5% | 97.1% | 96.5% | 94.1% | 90.6% | |||||||
MVE/Par Stock | 129.5% | 127.8% | 128.6% | 129.3% | 128.6% | 125.4% | 120.7% | |||||||
Duration of Equity | +1.39 years | +0.37 years | -0.67 years | +0.01 years | +1.63 years | +3.15 years | +4.11 years | |||||||
Return on Regulatory Capital less 3-month LIBOR | 3.1% | 2.9% | 3.0% | 3.2% | 2.8% | 2.4% | 1.8% | |||||||
Net Income percent change from base | (16.3)% | (21.0)% | (19.2)% | —% | 19.0% | 34.8% | 47.4% |
(1) | Given the current environment of low interest rates, downward rate shocks are floored at zero, and therefore may not be fully representative of the indicated rate shock. |
Number | Exhibit Description | |
10.1 | The Federal Home Loan Bank of Boston 2016 Director Compensation Policy * (incorporated by reference to Exhibit 10.1 to our Form 8-K/A filed with the SEC on October 28, 2015) | |
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 10, 2015 | By: | /s/ | Edward A. Hjerpe III | |||
Edward A. Hjerpe III President and Chief Executive Officer | ||||||
November 10, 2015 | By: | /s/ | Frank Nitkiewicz | |||
Frank Nitkiewicz Executive Vice President and Chief Financial Officer |
Date: | November 10, 2015 | /s/ Edward A. Hjerpe III |
Edward A. Hjerpe III | ||
President and Chief Executive Officer |
Date: | November 10, 2015 | /s/ Frank Nitkiewicz |
Frank Nitkiewicz | ||
Executive Vice President and Chief Financial Officer |
Date: | November 10, 2015 | /s/ Edward A. Hjerpe III |
Edward A. Hjerpe III | ||
President and Chief Executive Officer |
Date: | November 10, 2015 | /s/ Frank Nitkiewicz |
Frank Nitkiewicz | ||
Executive Vice President and Chief Financial Officer |
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