ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation | 56-6000442 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
1475 Peachtree Street, NE, Atlanta, Ga. | 30309 | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer | ¨ | Accelerated filer | ¨ |
Non-accelerated filer | x (Do not check if a smaller reporting company) | Smaller reporting company | ¨ |
PART I. FINANCIAL INFORMATION | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 5. | ||
Item 6. | ||
Item 1. | Financial Statements |
As of | |||||||
September 30, 2012 | December 31, 2011 | ||||||
Assets | |||||||
Cash and due from banks | $ | 12 | $ | 6 | |||
Interest-bearing deposits (including deposits with other FHLBank of $2 as of September 30, 2012 and December 31, 2011) | 1,005 | 1,203 | |||||
Securities purchased under agreements to resell | 250 | — | |||||
Federal funds sold | 7,014 | 12,630 | |||||
Trading securities (includes other FHLBank’s bond of $80 and $82 as of September 30, 2012 and December 31, 2011, respectively) | 2,393 | 3,120 | |||||
Available-for-sale securities | 2,770 | 2,942 | |||||
Held-to-maturity securities (fair value of $16,475 and $16,242 as of September 30, 2012 and December 31, 2011, respectively) | 16,286 | 16,243 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans of $10 and $6 as of September 30, 2012 and December 31, 2011, respectively | 1,335 | 1,633 | |||||
Advances | 80,543 | 86,971 | |||||
Accrued interest receivable | 264 | 314 | |||||
Premises and equipment, net | 32 | 35 | |||||
Derivative assets | 40 | 18 | |||||
Other assets | 134 | 155 | |||||
Total assets | $ | 112,078 | $ | 125,270 | |||
Liabilities | |||||||
Interest-bearing deposits | $ | 2,061 | $ | 2,655 | |||
Consolidated obligations, net: | |||||||
Discount notes | 21,767 | 24,330 | |||||
Bonds | 81,434 | 90,662 | |||||
Total consolidated obligations, net | 103,201 | 114,992 | |||||
Mandatorily redeemable capital stock | 42 | 286 | |||||
Accrued interest payable | 299 | 286 | |||||
Affordable Housing Program payable | 93 | 109 | |||||
Derivative liabilities | 160 | 241 | |||||
Other liabilities | 127 | 140 | |||||
Total liabilities | 105,983 | 118,709 | |||||
Commitments and contingencies (Note 13) | |||||||
Capital | |||||||
Capital stock Class B putable ($100 par value) issued and outstanding shares: | |||||||
Subclass B1 issued and outstanding shares: 12 as of September 30, 2012 and December 31, 2011 | 1,156 | 1,250 | |||||
Subclass B2 issued and outstanding shares: 36 and 45 as of September 30, 2012 and December 31, 2011, respectively | 3,635 | 4,468 | |||||
Total capital stock Class B putable | 4,791 | 5,718 | |||||
Retained earnings: | |||||||
Restricted | 60 | 19 | |||||
Unrestricted | 1,341 | 1,235 | |||||
Total retained earnings | 1,401 | 1,254 | |||||
Accumulated other comprehensive loss | (97 | ) | (411 | ) | |||
Total capital | 6,095 | 6,561 | |||||
Total liabilities and capital | $ | 112,078 | $ | 125,270 | |||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Interest income | |||||||||||||||
Advances | $ | 74 | $ | 51 | $ | 216 | $ | 181 | |||||||
Prepayment fees on advances, net | 1 | 2 | 6 | 7 | |||||||||||
Interest-bearing deposits | 2 | 1 | 5 | 3 | |||||||||||
Federal funds sold | 4 | 6 | 14 | 18 | |||||||||||
Trading securities | 28 | 37 | 90 | 118 | |||||||||||
Available-for-sale securities | 40 | 42 | 125 | 131 | |||||||||||
Held-to-maturity securities | 71 | 95 | 232 | 309 | |||||||||||
Mortgage loans held for portfolio | 18 | 24 | 59 | 75 | |||||||||||
Total interest income | 238 | 258 | 747 | 842 | |||||||||||
Interest expense | |||||||||||||||
Consolidated obligations: | |||||||||||||||
Discount notes | 6 | 4 | 15 | 15 | |||||||||||
Bonds | 140 | 144 | 449 | 472 | |||||||||||
Deposits | — | — | 1 | 1 | |||||||||||
Mandatorily redeemable capital stock | 1 | 1 | 3 | 3 | |||||||||||
Total interest expense | 147 | 149 | 468 | 491 | |||||||||||
Net interest income | 91 | 109 | 279 | 351 | |||||||||||
Provision for credit losses | 1 | — | 4 | — | |||||||||||
Net interest income after provision for credit losses | 90 | 109 | 275 | 351 | |||||||||||
Noninterest income (loss) | |||||||||||||||
Total other-than-temporary impairment losses | — | (8 | ) | — | (45 | ) | |||||||||
Net amount of impairment losses reclassified from other comprehensive loss | (1 | ) | (11 | ) | (16 | ) | (63 | ) | |||||||
Net impairment losses recognized in earnings | (1 | ) | (19 | ) | (16 | ) | (108 | ) | |||||||
Net (losses) gains on trading securities | (9 | ) | 36 | (42 | ) | 22 | |||||||||
Net gains (losses) on derivatives and hedging activities | 30 | (67 | ) | 83 | (41 | ) | |||||||||
Letters of credit fees | 5 | 6 | 14 | 14 | |||||||||||
Other | (1 | ) | — | 2 | 2 | ||||||||||
Total noninterest income (loss) | 24 | (44 | ) | 41 | (111 | ) | |||||||||
Noninterest expense | |||||||||||||||
Compensation and benefits | 15 | 15 | 46 | 50 | |||||||||||
Other operating expenses | 11 | 10 | 29 | 29 | |||||||||||
Finance Agency | 2 | 2 | 8 | 8 | |||||||||||
Office of Finance | 2 | 1 | 4 | 4 | |||||||||||
Other | — | 1 | — | (8 | ) | ||||||||||
Total noninterest expense | 30 | 29 | 87 | 83 | |||||||||||
Income before assessments | 84 | 36 | 229 | 157 | |||||||||||
Assessments: | |||||||||||||||
Affordable Housing Program | 8 | 4 | 23 | 14 | |||||||||||
REFCORP | — | — | — | 22 | |||||||||||
Total assessments | 8 | 4 | 23 | 36 | |||||||||||
Net income | $ | 76 | $ | 32 | $ | 206 | $ | 121 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net income | $ | 76 | $ | 32 | $ | 206 | $ | 121 | |||||||
Other comprehensive income: | |||||||||||||||
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities: | |||||||||||||||
Noncredit losses transferred from held-to-maturity securities | — | (2 | ) | — | (28 | ) | |||||||||
Net change in fair value on other-than-temporary impairment available-for-sale securities | 188 | (32 | ) | 297 | 22 | ||||||||||
Reclassification of noncredit portion of impairment losses included in net income | 1 | 13 | 16 | 91 | |||||||||||
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities | 189 | (21 | ) | 313 | 85 | ||||||||||
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities: | |||||||||||||||
Noncredit losses on held-to-maturity securities | — | (2 | ) | — | (28 | ) | |||||||||
Reclassification of noncredit portion from held-to-maturity securities to available-for-sale securities | — | 2 | — | 28 | |||||||||||
Net noncredit portion of other-than-temporary impairment losses on held-to-maturity securities | — | — | — | — | |||||||||||
Pension and postretirement benefits: | |||||||||||||||
Total other comprehensive income | — | — | 1 | — | |||||||||||
Total other comprehensive income (loss) | 189 | (21 | ) | 314 | 85 | ||||||||||
Total comprehensive income | $ | 265 | $ | 11 | $ | 520 | $ | 206 |
Capital Stock Class B Putable | Retained Earnings | Accumulated Other Comprehensive Loss | Total Capital | |||||||||||||||||||||||
Shares | Par Value | Restricted | Unrestricted | Total | ||||||||||||||||||||||
Balance, December 31, 2010 | 72 | $ | 7,224 | $ | — | $ | 1,124 | $ | 1,124 | $ | (402 | ) | $ | 7,946 | ||||||||||||
Issuance of capital stock | 2 | 173 | — | — | — | — | 173 | |||||||||||||||||||
Repurchase/redemption of capital stock | (14 | ) | (1,440 | ) | — | — | — | — | (1,440 | ) | ||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (1 | ) | (47 | ) | — | — | — | — | (47 | ) | ||||||||||||||||
Comprehensive income | — | — | 6 | 115 | 121 | 85 | 206 | |||||||||||||||||||
Cash dividends on capital stock | — | — | — | (42 | ) | (42 | ) | — | (42 | ) | ||||||||||||||||
Balance, September 30, 2011 | 59 | $ | 5,910 | $ | 6 | $ | 1,197 | $ | 1,203 | $ | (317 | ) | $ | 6,796 | ||||||||||||
Balance, December 31, 2011 | 57 | $ | 5,718 | $ | 19 | $ | 1,235 | $ | 1,254 | $ | (411 | ) | $ | 6,561 | ||||||||||||
Issuance of capital stock | 8 | 799 | — | — | — | — | 799 | |||||||||||||||||||
Repurchase/redemption of capital stock | (16 | ) | (1,667 | ) | — | — | — | — | (1,667 | ) | ||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | (1 | ) | (59 | ) | — | — | — | — | (59 | ) | ||||||||||||||||
Comprehensive income | — | — | 41 | 165 | 206 | 314 | 520 | |||||||||||||||||||
Cash dividends on capital stock | — | — | — | (59 | ) | (59 | ) | — | (59 | ) | ||||||||||||||||
Balance, September 30, 2012 | 48 | $ | 4,791 | $ | 60 | $ | 1,341 | $ | 1,401 | $ | (97 | ) | $ | 6,095 |
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Operating activities | |||||||
Net income | $ | 206 | $ | 121 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Depreciation and amortization | (32 | ) | (24 | ) | |||
Provision for credit losses | 4 | — | |||||
Loss due to change in net fair value adjustment on derivative and hedging activities | 160 | 376 | |||||
Net change in fair value adjustment on trading securities | 42 | (22 | ) | ||||
Net impairment losses recognized in earnings | 16 | 108 | |||||
Loss on disposal of fixed assets and capital software costs | 1 | — | |||||
Net change in: | |||||||
Accrued interest receivable | 50 | 70 | |||||
Other assets | 14 | 31 | |||||
Affordable Housing Program payable | (18 | ) | (12 | ) | |||
Accrued interest payable | 13 | (17 | ) | ||||
Payable to REFCORP | — | (20 | ) | ||||
Other liabilities | (13 | ) | (30 | ) | |||
Total adjustments | 237 | 460 | |||||
Net cash provided by operating activities | 443 | 581 | |||||
Investing activities | |||||||
Net change in: | |||||||
Interest-bearing deposits | 280 | (1,910 | ) | ||||
Securities purchased under agreements to resell | (250 | ) | — | ||||
Federal funds sold | 5,616 | (739 | ) | ||||
Trading securities: | |||||||
Proceeds from maturities | 690 | 272 | |||||
Available-for-sale securities: | |||||||
Proceeds from maturities | 479 | 589 | |||||
Held-to-maturity securities: | |||||||
Net change in short-term | 75 | 90 | |||||
Proceeds from maturities of long-term | 3,259 | 3,394 | |||||
Purchases of long-term | (3,382 | ) | (3,634 | ) | |||
Advances: | |||||||
Proceeds from principal collected | 131,679 | 54,701 | |||||
Made | (125,387 | ) | (40,277 | ) | |||
Mortgage loans held for portfolio: | |||||||
Proceeds from principal collected | 283 | 284 | |||||
Proceeds from sale of foreclosed assets | 10 | 12 | |||||
Purchase of premise, equipment and software | (3 | ) | (4 | ) | |||
Net cash provided by investing activities | 13,349 | 12,778 | |||||
FEDERAL HOME LOAN BANK OF ATLANTA STATEMENTS OF CASH FLOWS—(Continued) (Unaudited) (In millions) | |||||||
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Financing activities | |||||||
Net change in deposits | (564 | ) | 39 | ||||
Net payments on derivatives containing a financing element | (250 | ) | (379 | ) | |||
Proceeds from issuance of consolidated obligations: | |||||||
Discount notes | 240,007 | 780,788 | |||||
Bonds | 49,297 | 61,612 | |||||
Payments for debt issuance costs | (7 | ) | (12 | ) | |||
Payments for maturing and retiring consolidated obligations: | |||||||
Discount notes | (242,574 | ) | (788,638 | ) | |||
Bonds | (58,465 | ) | (65,204 | ) | |||
Proceeds from issuance of capital stock | 799 | 173 | |||||
Payments for repurchase/redemption of capital stock | (1,667 | ) | (1,440 | ) | |||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (303 | ) | (257 | ) | |||
Cash dividends paid | (59 | ) | (42 | ) | |||
Net cash used in financing activities | (13,786 | ) | (13,360 | ) | |||
Net increase (decrease) in cash and due from banks | 6 | (1 | ) | ||||
Cash and due from banks at beginning of the period | 6 | 5 | |||||
Cash and due from banks at end of the period | $ | 12 | $ | 4 | |||
Supplemental disclosures of cash flow information: | |||||||
Cash paid for: | |||||||
Interest | $ | 476 | $ | 536 | |||
Affordable Housing Program assessments, net | $ | 40 | $ | 24 | |||
REFCORP assessments | $ | — | $ | 42 | |||
Noncash investing and financing activities: | |||||||
Net shares reclassified to mandatorily redeemable capital stock | $ | 59 | $ | 47 | |||
Transfer of held-to-maturity securities to available-for-sale securities | $ | 6 | $ | 369 | |||
Transfers of mortgage loans to real estate owned | $ | 11 | $ | 13 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Government-sponsored enterprises debt obligations | $ | 2,312 | $ | 3,035 | |||
Other FHLBank’s bond (1) | 80 | 82 | |||||
State or local housing agency debt obligations | 1 | 3 | |||||
Total | $ | 2,393 | $ | 3,120 |
(1) | The Federal Home Loan Bank of Chicago is the primary obligor of this consolidated obligation bond. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net unrealized (losses) gains on trading securities held at period end | $ | (9 | ) | $ | 36 | $ | (35 | ) | $ | 28 | |||||
Net unrealized/realized losses on trading securities sold/matured during the period | — | — | (7 | ) | (6 | ) | |||||||||
Net (losses) gains on trading securities | $ | (9 | ) | $ | 36 | $ | (42 | ) | $ | 22 |
2012 | 2011 | ||||||||||||||||||||||
Amortized Cost | Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Loss | Estimated Fair Value | Amortized Cost | Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Loss | Estimated Fair Value | ||||||||||||||||||
Transferred at March 31, | $ | 6 | $ | — | $ | 6 | $ | 322 | $ | 20 | $ | 302 | |||||||||||
Transferred at June 30, | — | — | — | 52 | 6 | 46 | |||||||||||||||||
Transferred at September 30, | — | — | — | 23 | 2 | 21 | |||||||||||||||||
Total | $ | 6 | $ | — | $ | 6 | $ | 397 | $ | 28 | $ | 369 |
As of September 30, 2012 | |||||||||||||||||||
Amortized Cost | Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Loss | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
Private-label MBS | $ | 2,855 | $ | 156 | $ | 71 | $ | — | $ | 2,770 |
As of December 31, 2011 | |||||||||||||||||||
Amortized Cost | Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Loss | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
Private-label MBS | $ | 3,340 | $ | 392 | $ | 12 | $ | 18 | $ | 2,942 |
As of September 30, 2012 | ||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Private-label MBS | 1 | $ | 1 | $ | — | 29 | $ | 1,479 | $ | 156 | 30 | $ | 1,480 | $ | 156 | |||||||||||||||||
As of December 31, 2011 | ||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Private-label MBS | 10 | $ | 635 | $ | 26 | 42 | $ | 2,053 | $ | 384 | 52 | $ | 2,688 | $ | 410 |
As of September 30, 2012 | |||||||||||||||||||
Amortized Cost | Other-than-temporary Impairment Recognized in Other Accumulated Comprehensive Loss | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
Bank of America Corporation, Charlotte, NC | $ | 1,794 | $ | 138 | $ | 40 | $ | — | $ | 1,696 | |||||||||
As of December 31, 2011 | |||||||||||||||||||
Amortized Cost | Other-than-temporary Impairment Recognized in Other Accumulated Comprehensive Loss | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
Bank of America Corporation, Charlotte, NC | $ | 2,027 | $ | 287 | $ | 1 | $ | 12 | $ | 1,729 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||
Certificates of deposit | $ | 575 | $ | — | $ | — | $ | 575 | $ | 650 | $ | — | $ | — | $ | 650 | |||||||||||||||
State or local housing agency debt obligations | 110 | 2 | — | 112 | 100 | 1 | — | 101 | |||||||||||||||||||||||
Government-sponsored enterprises debt obligations | 1,358 | 1 | — | 1,359 | 1,111 | 1 | — | 1,112 | |||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||
U.S. agency obligations-guaranteed | 673 | 8 | — | 681 | 803 | 8 | — | 811 | |||||||||||||||||||||||
Government-sponsored enterprises | 10,625 | 192 | 2 | 10,815 | 9,886 | 185 | 5 | 10,066 | |||||||||||||||||||||||
Private-label | 2,945 | 33 | 45 | 2,933 | 3,693 | 28 | 219 | 3,502 | |||||||||||||||||||||||
Total | $ | 16,286 | $ | 236 | $ | 47 | $ | 16,475 | $ | 16,243 | $ | 223 | $ | 224 | $ | 16,242 |
As of September 30, 2012 | ||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Government-sponsored enterprises debt obligations | 4 | $ | 375 | $ | — | — | $ | — | $ | — | 4 | $ | 375 | $ | — | |||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 2 | 177 | — | 3 | 90 | 2 | 5 | 267 | 2 | |||||||||||||||||||||||
Private-label | 1 | 42 | — | 56 | 1,435 | 45 | 57 | 1,477 | 45 | |||||||||||||||||||||||
Total | 7 | $ | 594 | $ | — | 59 | $ | 1,525 | $ | 47 | 66 | $ | 2,119 | $ | 47 |
As of December 31, 2011 | ||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Certificates of deposit | 3 | $ | 350 | $ | — | — | $ | — | $ | — | 3 | $ | 350 | $ | — | |||||||||||||||||
Government-sponsored enterprises debt obligations | 3 | 194 | — | — | — | — | 3 | 194 | — | |||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 9 | 1,104 | 3 | 10 | 804 | 2 | 19 | 1,908 | 5 | |||||||||||||||||||||||
Private-label | 23 | 437 | 8 | 59 | 1,656 | 211 | 82 | 2,093 | 219 | |||||||||||||||||||||||
Total | 38 | $ | 2,085 | $ | 11 | 69 | $ | 2,460 | $ | 213 | 107 | $ | 4,545 | $ | 224 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||
Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Due in one year or less | $ | 619 | $ | 619 | $ | 703 | $ | 702 | |||||||
Due after one year through five years | 1,424 | 1,427 | 1,158 | 1,161 | |||||||||||
Total non-mortgage-backed securities | 2,043 | 2,046 | 1,861 | 1,863 | |||||||||||
Mortgage-backed securities | 14,243 | 14,429 | 14,382 | 14,379 | |||||||||||
Total | $ | 16,286 | $ | 16,475 | $ | 16,243 | $ | 16,242 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||
Bank of America Corporation, Charlotte, NC | $ | 973 | $ | 11 | $ | 15 | $ | 969 | $ | 1,226 | $ | 10 | $ | 56 | $ | 1,180 |
Months | Annualized Rates (%) | |
1 to 6 | 0.00 to 2.80 | |
7 to 18 | 0.00 to 3.00 | |
19 to 24 | 1.00 to 4.00 | |
25 to 30 | 2.00 to 4.00 | |
31 to 42 | 2.00 to 5.00 | |
43 to 66 | 2.00 to 6.00 | |
Thereafter | 2.30 to 5.60 |
Significant Inputs | |||||||||||||||||
Prepayment Rate | Default Rates | Loss Severities | Current Credit Enhancement | ||||||||||||||
Year of Securitization | Weighted Average (%) | Range (%) | Weighted Average (%) | Range (%) | Weighted Average (%) | Range (%) | Weighted Average (%) | Range (%) | |||||||||
Prime: | |||||||||||||||||
2006 | 8.29 | 7.06 to 8.74 | 27.87 | 25.76 to 33.76 | 42.90 | 42.03 to 45.33 | (0.10 | ) | (0.13) to 0.00 | ||||||||
Alt-A: | |||||||||||||||||
2006 | 6.31 | 6.31 to 6.31 | 58.78 | 58.78 to 58.78 | 56.45 | 56.45 to 56.45 | 0.03 | 0.03 to 0.03 | |||||||||
2005 | 9.07 | 9.07 to 9.07 | 34.10 | 34.10 to 34.10 | 38.19 | 38.19 to 38.19 | 5.21 | 5.21 to 5.21 | |||||||||
Total Alt-A | 6.81 | 6.31 to 9.07 | 54.33 | 34.10 to 58.78 | 53.16 | 38.19 to 56.45 | 0.96 | 0.03 to 5.21 | |||||||||
Total | 7.75 | 6.31 to 9.07 | 37.59 | 25.76 to 58.78 | 46.67 | 38.19 to 56.45 | 0.29 | (0.13) to 5.21 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance of credit losses previously recognized in earnings, beginning of period | $ | 597 | $ | 553 | $ | 582 | $ | 464 | |||||||
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized | — | — | — | 10 | |||||||||||
Amount related to credit loss for which an other-than-temporary impairment was previously recognized | 1 | 19 | 16 | 98 | |||||||||||
Balance of cumulative credit losses recognized in earnings, end of period | $ | 598 | $ | 572 | $ | 598 | $ | 572 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Overdrawn demand deposit accounts | $ | — | $ | 3 | |||
Due in one year or less | 30,422 | 36,542 | |||||
Due after one year through two years | 9,992 | 11,173 | |||||
Due after two years through three years | 6,131 | 7,851 | |||||
Due after three years through four years | 4,716 | 3,881 | |||||
Due after four years through five years | 8,868 | 5,836 | |||||
Due after five years | 16,208 | 17,283 | |||||
Total par value | 76,337 | 82,569 | |||||
Discount on AHP (1) advances | (11 | ) | (12 | ) | |||
Discount on EDGE (2) advances | (9 | ) | (10 | ) | |||
Hedging adjustments | 4,232 | 4,431 | |||||
Deferred commitment fees | (6 | ) | (7 | ) | |||
Total | $ | 80,543 | $ | 86,971 |
(1) | The Affordable Housing Program |
(2) | The Economic Development and Growth Enhancement program |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Overdrawn demand deposit accounts | $ | — | $ | 3 | |||
Due or convertible in one year or less | 35,577 | 42,376 | |||||
Due or convertible after one year through two years | 9,910 | 11,946 | |||||
Due or convertible after two years through three years | 6,272 | 7,716 | |||||
Due or convertible after three years through four years | 4,302 | 3,464 | |||||
Due or convertible after four years through five years | 7,073 | 5,021 | |||||
Due or convertible after five years | 13,203 | 12,043 | |||||
Total par value | $ | 76,337 | $ | 82,569 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Fixed-rate: | |||||||
Due in one year or less | $ | 27,729 | $ | 32,389 | |||
Due after one year | 37,401 | 38,811 | |||||
Total fixed-rate | 65,130 | 71,200 | |||||
Variable-rate: | |||||||
Due in one year or less | 2,693 | 4,156 | |||||
Due after one year | 8,514 | 7,213 | |||||
Total variable-rate | 11,207 | 11,369 | |||||
Total par value | $ | 76,337 | $ | 82,569 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Fixed-rate | $ | 76,153 | $ | 84,571 | |||
Step up/down | 3,067 | 2,978 | |||||
Simple variable-rate | 1,000 | 1,850 | |||||
Variable-rate capped floater | 20 | 20 | |||||
Total par value | $ | 80,240 | $ | 89,419 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||
Amount | Weighted- average Interest Rate (%) | Amount | Weighted- average Interest Rate (%) | ||||||||
Due in one year or less | $ | 51,359 | 0.82 | $ | 48,163 | 0.57 | |||||
Due after one year through two years | 12,667 | 1.90 | 20,987 | 1.83 | |||||||
Due after two years through three years | 1,495 | 2.14 | 7,927 | 2.40 | |||||||
Due after three years through four years | 3,426 | 3.72 | 2,083 | 2.65 | |||||||
Due after four years through five years | 6,391 | 2.80 | 4,005 | 3.79 | |||||||
Due after five years | 4,902 | 2.82 | 6,254 | 3.97 | |||||||
Total par value | 80,240 | 1.41 | 89,419 | 1.46 | |||||||
Premiums | 86 | 101 | |||||||||
Discounts | (37 | ) | (38 | ) | |||||||
Hedging adjustments | 1,145 | 1,180 | |||||||||
Total | $ | 81,434 | $ | 90,662 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Noncallable | $ | 71,368 | $ | 60,794 | |||
Callable | 8,872 | 28,625 | |||||
Total par value | $ | 80,240 | $ | 89,419 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Due or callable in one year or less | $ | 55,754 | $ | 60,321 | |||
Due or callable after one year through two years | 12,007 | 17,467 | |||||
Due or callable after two years through three years | 1,035 | 3,284 | |||||
Due or callable after three years through four years | 3,088 | 1,110 | |||||
Due or callable after four years through five years | 6,061 | 2,870 | |||||
Due or callable after five years | 2,295 | 4,367 | |||||
Total par value | $ | 80,240 | $ | 89,419 |
Book Value | Par Value | Weighted- average Interest Rate (%) | |||||||
As of September 30, 2012 | $ | 21,767 | $ | 21,773 | 0.12 | ||||
As of December 31, 2011 | $ | 24,330 | $ | 24,331 | 0.03 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Risk based capital | $ | 1,705 | $ | 6,234 | $ | 1,951 | $ | 7,258 | |||||||
Total capital-to-assets ratio | 4.00 | % | 5.56 | % | 4.00 | % | 5.79 | % | |||||||
Total regulatory capital (1) | $ | 4,483 | $ | 6,234 | $ | 5,011 | $ | 7,258 | |||||||
Leverage ratio | 5.00 | % | 8.34 | % | 5.00 | % | 8.69 | % | |||||||
Leverage capital | $ | 5,604 | $ | 9,351 | $ | 6,264 | $ | 10,887 |
(1) | Mandatorily redeemable capital stock is considered capital for regulatory purposes, and “total regulatory capital” includes the Bank’s $42 and $286 in mandatorily redeemable capital stock as of September 30, 2012 and December 31, 2011, respectively. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance, beginning of period | $ | 115 | $ | 385 | $ | 286 | $ | 529 | |||||||
Capital stock subject to mandatory redemption reclassified from equity during the period due to: | |||||||||||||||
Attainment of nonmember status | 6 | 32 | 87 | 69 | |||||||||||
Withdrawal | — | — | 1 | 1 | |||||||||||
Repurchase/redemption of mandatorily redeemable capital stock | (79 | ) | (85 | ) | (303 | ) | (257 | ) | |||||||
Capital stock no longer subject to redemption due to the transfer of stock from a nonmember to a member | — | (13 | ) | (29 | ) | (23 | ) | ||||||||
Balance, end of period | $ | 42 | $ | 319 | $ | 42 | $ | 319 |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Due in one year or less | $ | — | $ | 4 | |||
Due after one year through two years | 4 | 8 | |||||
Due after two years through three years | 5 | 52 | |||||
Due after three years through four years | 2 | 122 | |||||
Due after four years through five years | 31 | 99 | |||||
Due after five years | — | 1 | |||||
Total | $ | 42 | $ | 286 |
Pension and Postretirement Benefits | Noncredit Portion of Other-than- temporary Impairment Losses on Available-for- sale Securities | Total Accumulated Other Comprehensive Loss | |||||||||
Balance, December 31, 2010 | $ | (10 | ) | $ | (392 | ) | $ | (402 | ) | ||
Current period other comprehensive income | — | 85 | 85 | ||||||||
Balance, September 30, 2011 | $ | (10 | ) | $ | (307 | ) | $ | (317 | ) | ||
Balance, December 31, 2011 | $ | (13 | ) | $ | (398 | ) | $ | (411 | ) | ||
Current period other comprehensive income | 1 | 313 | 314 | ||||||||
Balance, September 30, 2012 | $ | (12 | ) | $ | (85 | ) | $ | (97 | ) |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||||||
Derivatives in hedging relationships: | |||||||||||||||||||||||
Interest rate swaps | $ | 106,005 | $ | 1,278 | $ | (4,202 | ) | $ | 120,999 | $ | 1,344 | $ | (4,467 | ) | |||||||||
Total derivatives in hedging relationships | 106,005 | 1,278 | (4,202 | ) | 120,999 | 1,344 | (4,467 | ) | |||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||||||||
Interest rate swaps | 7,292 | 14 | (546 | ) | 6,221 | 14 | (567 | ) | |||||||||||||||
Interest rate caps or floors | 12,500 | 23 | (18 | ) | 12,500 | 64 | (53 | ) | |||||||||||||||
Total derivatives not designated as hedging instruments | 19,792 | 37 | (564 | ) | 18,721 | 78 | (620 | ) | |||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 125,797 | 1,315 | (4,766 | ) | $ | 139,720 | 1,422 | (5,087 | ) | |||||||||||||
Netting adjustments | (1,218 | ) | 1,218 | (1,377 | ) | 1,377 | |||||||||||||||||
Cash collateral and related accrued interest | (57 | ) | 3,388 | (27 | ) | 3,469 | |||||||||||||||||
Total collateral and netting adjustments (1) | (1,275 | ) | 4,606 | (1,404 | ) | 4,846 | |||||||||||||||||
Derivative assets and derivative liabilities | $ | 40 | $ | (160 | ) | $ | 18 | $ | (241 | ) |
(1) | Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same counterparties. |
Three Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||
Interest rate swaps | $ | 49 | $ | 28 | |||
Total net gains related to fair value hedge ineffectiveness | 49 | 28 | |||||
Derivatives not designated as hedging instruments: | |||||||
Interest rate swaps | 6 | (40 | ) | ||||
Interest rate caps or floors | (1 | ) | (20 | ) | |||
Net interest settlements | (24 | ) | (35 | ) | |||
Total net losses related to derivatives not designated as hedging instruments | (19 | ) | (95 | ) | |||
Net gains (losses) on derivatives and hedging activities | $ | 30 | $ | (67 | ) | ||
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Derivatives and hedged items in fair value hedging relationships: | |||||||
Interest rate swaps | $ | 136 | $ | 101 | |||
Total net gains related to fair value hedge ineffectiveness | 136 | 101 | |||||
Derivatives not designated as hedging instruments: | |||||||
Interest rate swaps | 30 | (15 | ) | ||||
Interest rate caps or floors | (5 | ) | (19 | ) | |||
Net interest settlements | (78 | ) | (108 | ) | |||
Total net losses related to derivatives not designated as hedging instruments | (53 | ) | (142 | ) | |||
Net gains (losses) on derivatives and hedging activities | $ | 83 | $ | (41 | ) |
Three Months Ended September 30, 2012 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivative | Gains (Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Advances | $ | 17 | $ | 45 | $ | 62 | $ | (337 | ) | |||||||
Consolidated obligation bonds | — | (13 | ) | (13 | ) | 140 | ||||||||||
Total | $ | 17 | $ | 32 | $ | 49 | $ | (197 | ) |
(1) | The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. |
Three Months Ended September 30, 2011 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivative | Gains (Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Advances | $ | (889 | ) | $ | 912 | $ | 23 | $ | (491 | ) | ||||||
Consolidated obligation bonds | 169 | (164 | ) | 5 | 200 | |||||||||||
Total | $ | (720 | ) | $ | 748 | $ | 28 | $ | (291 | ) |
(1) | The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. |
Nine Months Ended September 30, 2012 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivative | Gains (Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Advances | $ | 169 | $ | — | $ | 169 | $ | (1,085 | ) | |||||||
Consolidated obligation bonds | (45 | ) | 12 | (33 | ) | 429 | ||||||||||
Total | $ | 124 | $ | 12 | $ | 136 | $ | (656 | ) |
(1) | The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. |
Nine Months Ended September 30, 2011 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivative | Gains (Losses) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income (1) | ||||||||||||
Advances | $ | (508 | ) | $ | 618 | $ | 110 | $ | (1,622 | ) | ||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 162 | (171 | ) | (9 | ) | 634 | ||||||||||
Discount notes | (2 | ) | 2 | — | 2 | |||||||||||
Total | $ | (348 | ) | $ | 449 | $ | 101 | $ | (986 | ) |
(1) | The net interest on derivatives in fair value hedge relationships is presented in the interest income or expense line item of the respective hedged item. |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Total net exposure at fair value (1) | $ | 97 | $ | 45 | |||
Cash collateral held | 57 | 27 | |||||
Net positive exposure after cash collateral | 40 | 18 | |||||
Other collateral | — | 5 | |||||
Net exposure after collateral (2) | $ | 40 | $ | 13 |
(1) | Includes net accrued interest receivable of $34 and $1 as of September 30, 2012 and December 31, 2011, respectively. |
(2) | The Bank had net credit exposure of $3 and $0 at September 30, 2012 and December 31, 2011, respectively, due to instances where the Bank’s pledged collateral to a counterparty exceeds the Bank’s net position. |
As of September 30, 2012 | |||||||||||||||||||
Fair Value Measurements Using | Netting Adjustment (1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
Government-sponsored enterprises debt obligations | $ | — | $ | 2,312 | $ | — | $ | — | $ | 2,312 | |||||||||
Other FHLBank’s bond | — | 80 | — | — | 80 | ||||||||||||||
State or local housing agency debt obligations | — | 1 | — | — | 1 | ||||||||||||||
Total trading securities | — | 2,393 | — | — | 2,393 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Private-label MBS | — | — | 2,770 | — | 2,770 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate related | — | 1,315 | — | (1,275 | ) | 40 | |||||||||||||
Total assets at fair value | $ | — | $ | 3,708 | $ | 2,770 | $ | (1,275 | ) | $ | 5,203 | ||||||||
Liabilities | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest-rate related | $ | — | $ | (4,766 | ) | $ | — | $ | 4,606 | $ | (160 | ) | |||||||
Total liabilities at fair value | $ | — | $ | (4,766 | ) | $ | — | $ | 4,606 | $ | (160 | ) |
(1) | Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties. |
As of December 31, 2011 | |||||||||||||||||||
Fair Value Measurements Using | Netting Adjustment (1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
Government-sponsored enterprises debt obligations | $ | — | $ | 3,035 | $ | — | $ | — | $ | 3,035 | |||||||||
Other FHLBank’s bond | — | 82 | — | — | 82 | ||||||||||||||
State or local housing agency debt obligations | — | 3 | — | — | 3 | ||||||||||||||
Total trading securities | — | 3,120 | — | — | 3,120 | ||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Private-label MBS | — | — | 2,942 | — | 2,942 | ||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate related | — | 1,422 | — | (1,404 | ) | 18 | |||||||||||||
Total assets at fair value | $ | — | $ | 4,542 | $ | 2,942 | $ | (1,404 | ) | $ | 6,080 | ||||||||
Liabilities | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest-rate related | $ | — | $ | (5,087 | ) | $ | — | $ | 4,846 | $ | (241 | ) | |||||||
Total liabilities at fair value | $ | — | $ | (5,087 | ) | $ | — | $ | 4,846 | $ | (241 | ) |
(1) | Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties. |
Nine Months Ended September 30, | |||||||
2012 | 2011 | ||||||
Balance, beginning of period | $ | 2,942 | $ | 3,319 | |||
Transfer of private-label MBS from held-to-maturity to available-for-sale | 6 | 369 | |||||
Total (losses) gains realized and unrealized: (1) | |||||||
Included in net impairment losses recognized in earnings | (16 | ) | (101 | ) | |||
Included in other comprehensive loss (2) | 313 | 113 | |||||
Accretion of credit losses in net interest income | 4 | (9 | ) | ||||
Settlements | (479 | ) | (589 | ) | |||
Balance, end of period | $ | 2,770 | $ | 3,102 |
(1) | Related to available-for-sale securities held at period end. |
(2) | This amount is included in other comprehensive loss within the net change in fair value on other-than-temporary impairment available-for-sale securities and reclassification of noncredit portion of impairment losses included in net income. |
As of September 30, 2012 | |||||||||||||||||||||||
Estimated Fair Value | |||||||||||||||||||||||
Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | 12 | $ | 12 | $ | 12 | $ | — | $ | — | $ | — | |||||||||||
Interest bearing-deposits | 1,005 | 1,005 | — | 1,005 | — | — | |||||||||||||||||
Securities purchased under agreements to resell | 250 | 250 | — | 250 | — | — | |||||||||||||||||
Federal funds sold | 7,014 | 7,014 | — | 7,014 | — | — | |||||||||||||||||
Trading securities | 2,393 | 2,393 | — | 2,393 | — | — | |||||||||||||||||
Available-for-sale securities | 2,770 | 2,770 | — | — | 2,770 | — | |||||||||||||||||
Held-to-maturity securities | 16,286 | 16,475 | — | 13,542 | 2,933 | — | |||||||||||||||||
Mortgage loans held for portfolio, net | 1,335 | 1,483 | — | 1,483 | — | — | |||||||||||||||||
Advances | 80,543 | 81,145 | — | 81,145 | — | — | |||||||||||||||||
Accrued interest receivable | 264 | 264 | — | 264 | — | — | |||||||||||||||||
Derivative assets | 40 | 40 | — | 1,315 | — | (1,275 | ) | ||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Interest-bearing deposits | (2,061 | ) | (2,061 | ) | — | (2,061 | ) | — | — | ||||||||||||||
Consolidated obligations, net: | |||||||||||||||||||||||
Discount notes | (21,767 | ) | (21,769 | ) | — | (21,769 | ) | — | — | ||||||||||||||
Bonds | (81,434 | ) | (82,321 | ) | — | (82,321 | ) | — | — | ||||||||||||||
Mandatorily redeemable capital stock | (42 | ) | (42 | ) | (42 | ) | — | — | — | ||||||||||||||
Accrued interest payable | (299 | ) | (299 | ) | — | (299 | ) | — | — | ||||||||||||||
Derivative liabilities | (160 | ) | (160 | ) | — | (4,766 | ) | — | 4,606 |
As of December 31, 2011 | |||||||
Carrying Value | Estimated Fair Value | ||||||
Assets: | |||||||
Cash and due from banks | $ | 6 | $ | 6 | |||
Interest-bearing deposits | 1,203 | 1,203 | |||||
Federal funds sold | 12,630 | 12,629 | |||||
Trading securities | 3,120 | 3,120 | |||||
Available-for-sale securities | 2,942 | 2,942 | |||||
Held-to-maturity securities | 16,243 | 16,242 | |||||
Mortgage loans held for portfolio, net | 1,633 | 1,796 | |||||
Advances | 86,971 | 87,655 | |||||
Accrued interest receivable | 314 | 314 | |||||
Derivative assets | 18 | 18 | |||||
Liabilities: | |||||||
Interest-bearing deposits | (2,655 | ) | (2,655 | ) | |||
Consolidated obligations, net: | |||||||
Discount notes | (24,330 | ) | (24,330 | ) | |||
Bonds | (90,662 | ) | (91,839 | ) | |||
Mandatorily redeemable capital stock | (286 | ) | (286 | ) | |||
Accrued interest payable | (286 | ) | (286 | ) | |||
Derivative liabilities | (241 | ) | (241 | ) |
As of September 30, 2012 | As of December 31, 2011 | ||||||
Outstanding notional | $ | 18,572 | $ | 21,510 | |||
Original terms (1) | Less than 12 months to 20 years | Less than 12 months to 20 years | |||||
Final expiration year | 2030 | 2030 |
(1) | The Bank had three standby letters of credit for a total of $6 as of September 30, 2012, and no standby letters of credit as of December 31, 2011, that have no stated maturity date and are subject to renewal on an annual basis. |
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
• | the Bank’s business strategy and changes in operations, including, without limitation, product growth and change in product mix; |
• | future performance, including profitability, developments, or market forecasts; |
• | forward-looking accounting and financial statement effects; and |
• | those other factors identified and discussed in the Bank’s public filings with the SEC. |
As of and for the Three Months Ended | |||||||||||||||||||
September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | |||||||||||||||
Statements of Condition (at period end) | |||||||||||||||||||
Total assets | $ | 112,078 | $ | 119,440 | $ | 109,137 | $ | 125,270 | $ | 118,852 | |||||||||
Investments (1) | 29,718 | 35,701 | 34,536 | 36,138 | 41,204 | ||||||||||||||
Mortgage loans held for portfolio | 1,345 | 1,432 | 1,534 | 1,639 | 1,743 | ||||||||||||||
Allowance for credit losses on mortgage loans | (10 | ) | (9 | ) | (9 | ) | (6 | ) | (1 | ) | |||||||||
Advances | 80,543 | 81,842 | 72,441 | 86,971 | 75,363 | ||||||||||||||
Interest-bearing deposits | 2,061 | 2,133 | 3,078 | 2,655 | 3,170 | ||||||||||||||
Consolidated obligations, net: | |||||||||||||||||||
Discount notes | 21,767 | 21,427 | 16,178 | 24,330 | 16,057 | ||||||||||||||
Bonds | 81,434 | 89,079 | 81,719 | 90,662 | 91,720 | ||||||||||||||
Total consolidated obligations, net (2) | 103,201 | 110,506 | 97,897 | 114,992 | 107,777 | ||||||||||||||
Mandatorily redeemable capital stock | 42 | 115 | 328 | 286 | 319 | ||||||||||||||
Affordable Housing Program payable | 93 | 98 | 109 | 109 | 115 | ||||||||||||||
Capital stock - putable | 4,791 | 5,007 | 5,899 | 5,718 | 5,910 | ||||||||||||||
Retained earnings | 1,401 | 1,344 | 1,306 | 1,254 | 1,203 | ||||||||||||||
Accumulated other comprehensive loss | (97 | ) | (286 | ) | (285 | ) | (411 | ) | (317 | ) | |||||||||
Total capital | 6,095 | 6,065 | 6,920 | 6,561 | 6,796 | ||||||||||||||
Statements of Income (for the period ended) | |||||||||||||||||||
Net interest income | 91 | 103 | 85 | 108 | 109 | ||||||||||||||
Provision for credit losses | 1 | — | 3 | 5 | — | ||||||||||||||
Net impairment losses recognized in earnings | (1 | ) | (8 | ) | (7 | ) | (10 | ) | (19 | ) | |||||||||
Net (losses) gains on trading securities | (9 | ) | (4 | ) | (29 | ) | (20 | ) | 36 | ||||||||||
Net gains (losses) on derivatives and hedging activities | 30 | (1 | ) | 54 | 32 | (67 | ) | ||||||||||||
Letters of credit fees | 5 | 4 | 5 | 5 | 6 | ||||||||||||||
Other income (3) | (1 | ) | 3 | — | — | — | |||||||||||||
Noninterest expense | 30 | 30 | 27 | 40 | 29 | ||||||||||||||
Income before assessments | 84 | 67 | 78 | 70 | 36 | ||||||||||||||
Assessments (4) | 8 | 7 | 8 | 7 | 4 | ||||||||||||||
Net income | 76 | 60 | 70 | 63 | 32 | ||||||||||||||
Performance Ratios (%) | |||||||||||||||||||
Return on equity (5) | 5.04 | 3.76 | 4.18 | 3.85 | 1.78 | ||||||||||||||
Return on assets (6) | 0.26 | 0.20 | 0.23 | 0.21 | 0.10 | ||||||||||||||
Net interest margin (7) | 0.31 | 0.34 | 0.28 | 0.35 | 0.36 | ||||||||||||||
Regulatory capital ratio (at year end) (8) | 5.56 | 5.41 | 6.90 | 5.79 | 6.25 | ||||||||||||||
Equity to assets ratio (9) | 5.15 | 5.25 | 5.43 | 5.39 | 5.77 | ||||||||||||||
Dividend payout ratio (10) | 25.57 | 36.94 | 24.94 | 19.70 | 40.09 |
(1) | Investments consist of interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, and securities classified as trading, available-for-sale, and held-to-maturity. |
(2) | The amounts presented are the Bank’s primary obligations on consolidated obligations outstanding. The par value of the FHLBanks’ outstanding consolidated obligations for which the Bank is jointly and severally liable was as follows (in millions): |
September 30, 2012 | $ | 572,473 | |
June 30, 2012 | 575,874 | ||
March 31, 2012 | 561,317 | ||
December 31, 2011 | 578,118 | ||
September 30, 2011 | 590,231 |
(3) | Other income includes service fees and other. |
(4) | On August 5, 2011, the Finance Agency certified that the FHLBanks have satisfied their REFCORP obligation. |
(5) | Calculated as net income divided by average total equity. |
(6) | Calculated as net income divided by average total assets. |
(7) | Net interest margin is net interest income as a percentage of average earning assets. |
(8) | Regulatory capital ratio is regulatory capital stock plus retained earnings as a percentage of total assets at period end. |
(9) | Calculated as average equity divided by average total assets. |
(10) | Calculated as dividends declared during the period divided by net income during the period. |
As of September 30, 2012 | As of December 31, 2011 | Increase (Decrease) | ||||||||||||||||||
Amount | Percent of Total | Amount | Percent of Total | Amount | Percent | |||||||||||||||
Advances | $ | 80,543 | 71.87 | $ | 86,971 | 69.43 | $ | (6,428 | ) | (7.39 | ) | |||||||||
Long-term investments | 20,874 | 18.62 | 21,655 | 17.29 | (781 | ) | (3.60 | ) | ||||||||||||
Short-term investments | 8,844 | 7.89 | 14,483 | 11.56 | (5,639 | ) | (38.94 | ) | ||||||||||||
Mortgage loans, net | 1,335 | 1.19 | 1,633 | 1.30 | (298 | ) | (18.21 | ) | ||||||||||||
Other assets | 482 | 0.43 | 528 | 0.42 | (46 | ) | (8.90 | ) | ||||||||||||
Total assets | $ | 112,078 | 100.00 | $ | 125,270 | 100.00 | $ | (13,192 | ) | (10.53 | ) | |||||||||
Consolidated obligations, net: | ||||||||||||||||||||
Discount notes | $ | 21,767 | 20.54 | $ | 24,330 | 20.50 | $ | (2,563 | ) | (10.53 | ) | |||||||||
Bonds | 81,434 | 76.84 | 90,662 | 76.37 | (9,228 | ) | (10.18 | ) | ||||||||||||
Deposits | 2,061 | 1.94 | 2,655 | 2.24 | (594 | ) | (22.39 | ) | ||||||||||||
Other liabilities | 721 | 0.68 | 1,062 | 0.89 | (341 | ) | (32.09 | ) | ||||||||||||
Total liabilities | $ | 105,983 | 100.00 | $ | 118,709 | 100.00 | $ | (12,726 | ) | (10.72 | ) | |||||||||
Capital stock | $ | 4,791 | 78.61 | $ | 5,718 | 87.15 | $ | (927 | ) | (16.21 | ) | |||||||||
Retained earnings | 1,401 | 22.98 | 1,254 | 19.11 | 147 | 11.73 | ||||||||||||||
Accumulated other comprehensive loss | (97 | ) | (1.59 | ) | (411 | ) | (6.26 | ) | 314 | 76.47 | ||||||||||
Total capital | $ | 6,095 | 100.00 | $ | 6,561 | 100.00 | $ | (466 | ) | (7.10 | ) |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||
Amount | Percent of Total | Amount | Percent of Total | ||||||||
Adjustable or variable rate indexed | $ | 10,724 | 14.05 | $ | 10,977 | 13.29 | |||||
Fixed rate (1) | 30,402 | 39.83 | 37,038 | 44.86 | |||||||
Hybrid | 27,533 | 36.07 | 25,082 | 30.38 | |||||||
Convertible | 5,690 | 7.45 | 8,276 | 10.02 | |||||||
Amortizing (2) | 1,988 | 2.60 | 1,196 | 1.45 | |||||||
Total par value | $ | 76,337 | 100.00 | $ | 82,569 | 100.00 |
(1) | Includes convertible advances whose conversion options have expired. |
(2) | The Bank offers a fixed-rate advance that may be structured with principal amortization in either equal increments or similar to a mortgage. |
Increase (Decrease) | ||||||||||||||
As of September 30, 2012 | As of December 31, 2011 | Amount | Percent | |||||||||||
Short-term investments: | ||||||||||||||
Interest-bearing deposits (1) | $ | 1,005 | $ | 1,203 | $ | (198 | ) | (16.47 | ) | |||||
Certificates of deposit | 575 | 650 | (75 | ) | (11.54 | ) | ||||||||
Securities purchased under agreements to resell | 250 | — | 250 | * | ||||||||||
Federal funds sold | 7,014 | 12,630 | (5,616 | ) | (44.47 | ) | ||||||||
Total short-term investments | 8,844 | 14,483 | (5,639 | ) | (38.94 | ) | ||||||||
Long-term investments: | ||||||||||||||
State or local housing agency debt obligations | 111 | 103 | 8 | 7.73 | ||||||||||
U.S. government agency debt obligations | 3,750 | 4,228 | (478 | ) | (11.31 | ) | ||||||||
Mortgage-backed securities: | ||||||||||||||
U.S. government agency securities | 11,298 | 10,689 | 609 | 5.70 | ||||||||||
Private-label | 5,715 | 6,635 | (920 | ) | (13.86 | ) | ||||||||
Total mortgage-backed securities | 17,013 | 17,324 | (311 | ) | (1.79 | ) | ||||||||
Total long-term investments | 20,874 | 21,655 | (781 | ) | (3.60 | ) | ||||||||
Total investments | $ | 29,718 | $ | 36,138 | $ | (6,420 | ) | (17.76 | ) |
(1) | As of September 30, 2012 and December 31, 2011, interest-bearing deposits includes a $1.0 billion and $1.2 billion, respectively, business money market account with Branch Banking and Trust Company, one of the Bank’s ten largest borrowers. One of the Bank’s member directors is a senior executive vice president of Branch Banking and Trust Company. Pursuant to Finance Agency regulation, the Bank’s member directors serve as officers or directors of a Bank member, and the Bank may enter into business transactions with such members from time to time in the ordinary course of business. |
As of September 30, 2012 | As of December 31, 2011 | ||||
Percent of Total | Percent of Total | ||||
Florida | 25.25 | 23.17 | |||
South Carolina | 24.29 | 24.61 | |||
Georgia | 14.50 | 14.45 | |||
North Carolina | 11.96 | 12.99 | |||
Virginia | 8.47 | 8.90 | |||
All other | 15.53 | 15.88 | |||
Total | 100.00 | 100.00 |
• | Adequately Capitalized - FHLBank meets both risk-based and minimum capital requirements; |
• | Undercapitalized - FHLBank does not meet one or both of its risk-based or minimum capital requirements; |
• | Significantly Undercapitalized - FHLBank has less than 75 percent of one or both of its risk-based or minimum capital requirements; and |
• | Critically Undercapitalized - FHLBank total capital is two percent or less of total assets. |
Three Months Ended September 30, | Increase (Decrease) | Nine Months Ended September 30, | Increase (Decrease) | ||||||||||||||||||||||||||
2012 | 2011 | Amount | Percent | 2012 | 2011 | Amount | Percent | ||||||||||||||||||||||
Net interest income | $ | 91 | $ | 109 | $ | (18 | ) | (17.14 | ) | $ | 279 | $ | 351 | $ | (72 | ) | (20.36 | ) | |||||||||||
Provision for credit losses | 1 | — | 1 | 390.56 | 4 | — | 4 | * | |||||||||||||||||||||
Noninterest income (loss) | 24 | (44 | ) | 68 | 154.22 | 41 | (111 | ) | 152 | 136.70 | |||||||||||||||||||
Noninterest expense | 30 | 29 | 1 | 1.72 | 87 | 83 | 4 | 4.41 | |||||||||||||||||||||
Total assessments | 8 | 4 | 4 | 153.65 | 23 | 36 | (13 | ) | (35.12 | ) | |||||||||||||||||||
Net income | $ | 76 | $ | 32 | $ | 44 | 139.68 | $ | 206 | $ | 121 | $ | 85 | 70.79 |
Three Months Ended September 30, | |||||||||||||||||||
2012 | 2011 | ||||||||||||||||||
Average Balance | Interest | Yield/ Rate (%) | Average Balance | Interest | Yield/ Rate (%) | ||||||||||||||
Assets | |||||||||||||||||||
Interest-bearing deposits (1) | $ | 4,331 | $ | 2 | 0.17 | $ | 4,190 | $ | 1 | 0.12 | |||||||||
Certificates of deposit | 600 | 1 | 0.30 | 1,075 | — | 0.19 | |||||||||||||
Securities purchased under agreements to resell | 172 | — | 0.20 | — | — | — | |||||||||||||
Federal funds sold | 8,005 | 4 | 0.18 | 17,403 | 6 | 0.14 | |||||||||||||
Long-term investments (2) | 20,774 | 138 | 2.64 | 21,800 | 174 | 3.15 | |||||||||||||
Advances | 80,775 | 75 | 0.37 | 75,849 | 53 | 0.28 | |||||||||||||
Mortgage loans held for portfolio (3) | 1,389 | 18 | 5.24 | 1,786 | 24 | 5.37 | |||||||||||||
Loans to other FHLBanks | 1 | — | 0.15 | 3 | — | 0.11 | |||||||||||||
Total interest-earning assets | 116,047 | 238 | 0.81 | 122,106 | 258 | 0.84 | |||||||||||||
Allowance for credit losses on mortgage loans | (9 | ) | (1 | ) | |||||||||||||||
Other assets | 784 | 822 | |||||||||||||||||
Total assets | $ | 116,822 | $ | 122,927 | |||||||||||||||
Liabilities and Capital | |||||||||||||||||||
Deposits (4) | $ | 2,107 | — | 0.05 | $ | 2,771 | — | 0.02 | |||||||||||
Short-term borrowings | 18,825 | 6 | 0.14 | 22,182 | 4 | 0.06 | |||||||||||||
Long-term debt | 85,501 | 140 | 0.65 | 86,275 | 144 | 0.66 | |||||||||||||
Other borrowings | 80 | 1 | 1.37 | 363 | 1 | 0.70 | |||||||||||||
Total interest-bearing liabilities | 106,513 | 147 | 0.55 | 111,591 | 149 | 0.53 | |||||||||||||
Other liabilities | 4,290 | 4,237 | |||||||||||||||||
Total capital | 6,019 | 7,099 | |||||||||||||||||
Total liabilities and capital | $ | 116,822 | $ | 122,927 | |||||||||||||||
Net interest income and net yield on interest-earning assets | $ | 91 | 0.31 | $ | 109 | 0.36 | |||||||||||||
Interest rate spread | 0.26 | 0.31 | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 108.95 | 109.42 |
(1) | Includes amounts recognized for the right to reclaim cash collateral paid under master netting agreements with derivative counterparties. |
(2) | Includes trading securities at fair value and available-for-sale securities at amortized cost. |
(3) | Nonperforming loans are included in average balances used to determine average rate. |
(4) | Includes amounts recognized for the right to return cash collateral received under master netting agreements with derivative counterparties. |
Nine Months Ended September 30, | |||||||||||||||||||
2012 | 2011 | ||||||||||||||||||
Average Balance | Interest | Yield/ Rate (%) | Average Balance | Interest | Yield/ Rate (%) | ||||||||||||||
Assets | |||||||||||||||||||
Interest-bearing deposits (1) | $ | 4,352 | $ | 5 | 0.16 | $ | 3,235 | $ | 3 | 0.13 | |||||||||
Certificates of deposit | 814 | 2 | 0.31 | 904 | 1 | 0.22 | |||||||||||||
Securities purchased under agreements to resell | 58 | — | 0.20 | — | — | — | |||||||||||||
Federal funds sold | 11,028 | 14 | 0.17 | 15,220 | 18 | 0.16 | |||||||||||||
Long-term investments (2) | 21,532 | 445 | 2.76 | 22,175 | 557 | 3.36 | |||||||||||||
Advances | 80,898 | 222 | 0.37 | 80,135 | 188 | 0.31 | |||||||||||||
Mortgage loans held for portfolio (3) | 1,484 | 59 | 5.32 | 1,876 | 75 | 5.33 | |||||||||||||
Loans to other FHLBanks | 2 | — | 0.12 | 3 | — | 0.14 | |||||||||||||
Total interest-earning assets | 120,168 | 747 | 0.83 | 123,548 | 842 | 0.91 | |||||||||||||
Allowance for credit losses on mortgage loans | (8 | ) | (1 | ) | |||||||||||||||
Other assets | 730 | 888 | |||||||||||||||||
Total assets | $ | 120,890 | $ | 124,435 | |||||||||||||||
Liabilities and Capital | |||||||||||||||||||
Deposits (4) | $ | 2,595 | 1 | 0.04 | $ | 2,818 | 1 | 0.04 | |||||||||||
Short-term borrowings | 20,955 | 15 | 0.10 | 19,632 | 15 | 0.10 | |||||||||||||
Long-term debt | 86,511 | 449 | 0.69 | 89,804 | 472 | 0.70 | |||||||||||||
Other borrowings | 191 | 3 | 1.74 | 451 | 3 | 0.94 | |||||||||||||
Total interest-bearing liabilities | 110,252 | 468 | 0.57 | 112,705 | 491 | 0.58 | |||||||||||||
Other liabilities | 4,253 | 4,155 | |||||||||||||||||
Total capital | 6,385 | 7,575 | |||||||||||||||||
Total liabilities and capital | $ | 120,890 | $ | 124,435 | |||||||||||||||
Net interest income and net yield on interest-earning assets | $ | 279 | 0.31 | $ | 351 | 0.38 | |||||||||||||
Interest rate spread | 0.26 | 0.33 | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 108.99 | 109.62 |
(1) | Includes amounts recognized for the right to reclaim cash collateral paid under master netting agreements with derivative counterparties. |
(2) | Includes trading securities at fair value and available-for-sale securities at amortized cost. |
(3) | Nonperforming loans are included in average balances used to determine average rate. |
(4) | Includes amounts recognized for the right to return cash collateral received under master netting agreements with derivative counterparties. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2012 vs. 2011 | 2012 vs. 2011 | ||||||||||||||||||||||
Volume (1) | Rate (1) | Increase (Decrease) | Volume (1) | Rate (1) | Increase (Decrease) | ||||||||||||||||||
Increase (decrease) in interest income: | |||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 1 | $ | 1 | $ | 1 | $ | 1 | $ | 2 | |||||||||||
Certificates of deposit | — | 1 | 1 | — | 1 | 1 | |||||||||||||||||
Securities purchased under agreements to resell | — | — | — | — | — | — | |||||||||||||||||
Federal funds sold | (3 | ) | 1 | (2 | ) | (5 | ) | 1 | (4 | ) | |||||||||||||
Long-term investments | (8 | ) | (28 | ) | (36 | ) | (16 | ) | (96 | ) | (112 | ) | |||||||||||
Advances | 3 | 19 | 22 | 1 | 33 | 34 | |||||||||||||||||
Mortgage loans held for portfolio | (5 | ) | (1 | ) | (6 | ) | (16 | ) | — | (16 | ) | ||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||
Total | (13 | ) | (7 | ) | (20 | ) | (35 | ) | (60 | ) | (95 | ) | |||||||||||
Increase (decrease) in interest expense: | |||||||||||||||||||||||
Deposits | — | — | — | — | — | — | |||||||||||||||||
Short-term borrowings | (1 | ) | 3 | 2 | — | — | — | ||||||||||||||||
Long-term debt | (1 | ) | (3 | ) | (4 | ) | (17 | ) | (6 | ) | (23 | ) | |||||||||||
Other borrowings | (1 | ) | 1 | — | (2 | ) | 2 | — | |||||||||||||||
Total | (3 | ) | 1 | (2 | ) | (19 | ) | (4 | ) | (23 | ) | ||||||||||||
Decrease in net interest income | $ | (10 | ) | $ | (8 | ) | $ | (18 | ) | $ | (16 | ) | $ | (56 | ) | $ | (72 | ) |
(1) | Volume change is calculated as the change in volume multiplied by the previous rate, while rate change is the change in rate multiplied by the previous volume. The rate/volume change, change in rate multiplied by change in volume, is allocated between volume change and rate change at the ratio each component bears to the absolute value of its total. |
Three Months Ended September 30, | Increase (Decrease) | Nine Months Ended September 30, | Increase (Decrease) | ||||||||||||||||||||||||||
2012 | 2011 | Amount | Percent | 2012 | 2011 | Amount | Percent | ||||||||||||||||||||||
Net impairment losses recognized in earnings | $ | (1 | ) | $ | (19 | ) | $ | 18 | 92.95 | $ | (16 | ) | $ | (108 | ) | $ | 92 | 84.78 | |||||||||||
Net (losses) gains on trading securities | (9 | ) | 36 | (45 | ) | (125.83 | ) | (42 | ) | 22 | (64 | ) | (294.84 | ) | |||||||||||||||
Net gains (losses) on derivatives and hedging activities | 30 | (67 | ) | 97 | 145.53 | 83 | (41 | ) | 124 | 303.38 | |||||||||||||||||||
Letters of Credit | 5 | 6 | (1 | ) | (25.59 | ) | 14 | 14 | — | (5.36 | ) | ||||||||||||||||||
Other | (1 | ) | — | (1 | ) | (281.76 | ) | 2 | 2 | — | 23.17 | ||||||||||||||||||
Total noninterest income (loss) | $ | 24 | $ | (44 | ) | $ | 68 | 154.22 | $ | 41 | $ | (111 | ) | $ | 152 | 136.70 |
Three Months Ended September 30, 2012 | |||||||||||||||||||||||
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Balance Sheet | Total | ||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Amortization or accretion of hedging activities in net interest income (1) | $ | (53 | ) | $ | — | $ | 9 | $ | — | $ | — | $ | (44 | ) | |||||||||
Net interest settlements included in net interest income (2) | (337 | ) | — | 140 | — | — | (197 | ) | |||||||||||||||
Total effect on net interest income | $ | (390 | ) | $ | — | $ | 149 | $ | — | $ | — | $ | (241 | ) | |||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 62 | $ | — | $ | (13 | ) | $ | — | $ | — | $ | 49 | ||||||||||
(Losses) gains on derivatives not receiving hedge accounting | — | (17 | ) | 1 | — | (3 | ) | (19 | ) | ||||||||||||||
Total net gains (losses) on derivatives and hedging activities | 62 | (17 | ) | (12 | ) | — | (3 | ) | 30 | ||||||||||||||
Net losses on trading securities (3) | — | (9 | ) | — | — | — | (9 | ) | |||||||||||||||
Total effect on noninterest income (loss) | $ | 62 | $ | (26 | ) | $ | (12 | ) | $ | — | $ | (3 | ) | $ | 21 |
(1) | Represents the amortization or accretion of hedging fair value adjustments for both open and closed hedge positions. |
(2) | Represents interest income or expense on derivatives included in net interest income. |
(3) | Includes only those gains or losses on trading securities or financial instruments held at fair value that have an economic derivative “assigned,” therefore, this line item may not agree to the income statement. |
Three Months Ended September 30, 2011 | |||||||||||||||||||||||
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Balance Sheet | Total | ||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Amortization or accretion of hedging activities in net interest income (1) | $ | (55 | ) | $ | — | $ | 10 | $ | — | $ | — | $ | (45 | ) | |||||||||
Net interest settlements included in net interest income (2) | (491 | ) | — | 200 | — | — | (291 | ) | |||||||||||||||
Total effect on net interest income | $ | (546 | ) | $ | — | $ | 210 | $ | — | $ | — | $ | (336 | ) | |||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains on fair value hedges | $ | 23 | $ | — | $ | 5 | $ | — | $ | — | $ | 28 | |||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 6 | (72 | ) | 2 | — | (31 | ) | (95 | ) | ||||||||||||||
Total net gains (losses) on derivatives and hedging activities | 29 | (72 | ) | 7 | — | (31 | ) | (67 | ) | ||||||||||||||
Net gains on trading securities (3) | — | 36 | — | — | — | 36 | |||||||||||||||||
Total effect noninterest income (loss) | $ | 29 | $ | (36 | ) | $ | 7 | $ | — | $ | (31 | ) | $ | (31 | ) |
(1) | Represents the amortization or accretion of hedging fair value adjustments for both open and closed hedge positions. |
(2) | Represents interest income or expense on derivatives included in net interest income. |
(3) | Includes only those gains or losses on trading securities or financial instruments held at fair value that have an economic derivative “assigned,” therefore, this line item may not agree to the income statement. |
Nine Months Ended September 30, 2012 | |||||||||||||||||||||||
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Balance Sheet | Total | ||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Amortization or accretion of hedging activities in net interest income (1) | $ | (181 | ) | $ | — | $ | 24 | $ | — | $ | — | $ | (157 | ) | |||||||||
Net interest settlements included in net interest income (2) | (1,085 | ) | — | 429 | — | — | (656 | ) | |||||||||||||||
Total effect on net interest income | $ | (1,266 | ) | $ | — | $ | 453 | $ | — | $ | — | $ | (813 | ) | |||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 169 | $ | — | $ | (33 | ) | $ | — | $ | — | $ | 136 | ||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 1 | (46 | ) | 3 | — | (11 | ) | (53 | ) | ||||||||||||||
Total net gains (losses) on derivatives and hedging activities | 170 | (46 | ) | (30 | ) | — | (11 | ) | 83 | ||||||||||||||
Net losses on trading securities (3) | — | (42 | ) | — | — | — | (42 | ) | |||||||||||||||
Total effect on noninterest income (loss) | $ | 170 | $ | (88 | ) | $ | (30 | ) | $ | — | $ | (11 | ) | $ | 41 |
(1) | Represents the amortization or accretion of hedging fair value adjustments for both open and closed hedge positions. |
(2) | Represents interest income or expense on derivatives included in net interest income. |
(3) | Includes only those gains or losses on trading securities or financial instruments held at fair value that have an economic derivative “assigned,” therefore, this line item may not agree to the income statement. |
Nine Months Ended September 30, 2011 | |||||||||||||||||||||||
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Balance Sheet | Total | ||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Amortization or accretion of hedging activities in net interest income (1) | $ | (150 | ) | $ | — | $ | 30 | $ | — | $ | — | $ | (120 | ) | |||||||||
Net interest settlements included in net interest income (2) | (1,622 | ) | — | 634 | 2 | — | (986 | ) | |||||||||||||||
Total effect on net interest income | $ | (1,772 | ) | $ | — | $ | 664 | $ | 2 | $ | — | $ | (1,106 | ) | |||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 110 | $ | — | $ | (9 | ) | $ | — | $ | — | $ | 101 | ||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 7 | (123 | ) | 7 | — | (33 | ) | (142 | ) | ||||||||||||||
Total net gains (losses) on derivatives and hedging activities | 117 | (123 | ) | (2 | ) | — | (33 | ) | (41 | ) | |||||||||||||
Net gains on trading securities (3) | — | 22 | — | — | — | 22 | |||||||||||||||||
Total effect on noninterest income (loss) | $ | 117 | $ | (101 | ) | $ | (2 | ) | $ | — | $ | (33 | ) | $ | (19 | ) |
(1) | Represents the amortization or accretion of hedging fair value adjustments for both open and closed hedge positions. |
(2) | Represents interest income or expense on derivatives included in net interest income. |
(3) | Includes only those gains or losses on trading securities or financial instruments held at fair value that have an economic derivative “assigned,” therefore, this line item may not agree to the income statement. |
• | the Bank’s joint and several liability for all FHLBank COs; and |
• | the Bank’s outstanding commitments arising from standby letters of credit. |
• | the level of an FHLBank's exposure to insurance companies in relation to its capital structure and retained earnings; |
• | an FHLBank's control of pledged securities collateral and ensuring it has a first-priority perfected security interest; |
• | the use of funding agreements between an FHLBank and an insurance company member to document advances and whether the FHLBank would be recognized as a secured creditor with a first priority security interest in the collateral; and |
• | the FHLBank's documented framework, procedures, methodologies and standards to evaluate an insurance company member's creditworthiness and financial condition, and the value of the pledged collateral |
• | whether an FHLBank has a written plan for the liquidation of insurance company member collateral. |
As of September 30, 2012 | As of December 31, 2011 | |||||||||||||
Rating | Number of Borrowers | Outstanding Advances | Number of Borrowers | Outstanding Advances | ||||||||||
1-9 | 522 | $ | 74,223 | 536 | $ | 78,355 | ||||||||
10 | 84 | 1,854 | 117 | 3,033 |
Total Par Value of Outstanding Advances | LCV of Collateral Pledged by Members | First Mortgage Collateral (%) | Securities Collateral (%) | Other Real Estate Related Collateral (%) | |||||||||
As of September 30, 2012 | $ | 76,337 | $ | 197,496 | 64.53 | 11.13 | 24.34 | ||||||
As of December 31, 2011 | 82,569 | 188,597 | 64.36 | 10.93 | 24.71 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||
FHLBank Atlanta members | 4 | 13 | 18 | 38 | |||||||
Non-FHLBank Atlanta members | 8 | 13 | 25 | 36 | |||||||
Total FDIC-insured | 12 | 26 | 43 | 74 |
• | instruments such as common stock that represent an ownership interest in an entity, other than stock in small business investment companies or certain investments targeted to low-income people or communities; |
• | instruments issued by non-United States entities, other than those issued by United States branches and agency offices of foreign commercial banks; |
• | non-investment grade debt instruments, other than certain investments targeted to low-income people or communities and instruments that were downgraded to below an investment grade rating after purchase by the Bank; |
• | whole mortgages or other whole loans, other than (1) those acquired under the Bank’s mortgage purchase programs; (2) certain investments targeted to low-income people or communities; (3) certain marketable direct obligations of state, local, or tribal government units or agencies having at least the second highest credit rating from a NRSRO; (4) MBS or asset-backed securities backed by manufactured housing loans or home equity loans; and (5) certain foreign housing loans authorized under section 12(b) of the FHLBank Act; |
• | interest-only or principal-only stripped MBS, collateralized mortgage obligations (CMOs), collateralized debt obligations, and real estate mortgage investment conduits (REMICs); |
• | residual-interest or interest-accrual classes of CMOs and REMICs; |
• | fixed-rate or variable-rate MBS, CMOs, and REMICs that on the trade date are at rates equal to their contractual cap and that have average lives that vary by more than six years under an assumed instantaneous interest-rate change of 300 basis points; and |
• | non-U.S. dollar denominated securities. |
As of September 30, 2012 | |||||||||||||||||||
Federal Funds Sold | Interest-bearing Deposits | Certificates of Deposit | Net Derivative Exposure (1) | Total | |||||||||||||||
Australia | $ | 825 | $ | — | $ | — | $ | — | $ | 825 | |||||||||
Germany | 1,000 | — | — | 90 | 1,090 | ||||||||||||||
Japan | — | — | 575 | — | 575 | ||||||||||||||
Sweden | 1,450 | — | — | — | 1,450 | ||||||||||||||
Switzerland | 475 | — | — | — | 475 | ||||||||||||||
United Kingdom | 943 | — | — | — | 943 | ||||||||||||||
United States of America | 2,321 | 1,005 | — | 1 | 3,327 | ||||||||||||||
Total | $ | 7,014 | $ | 1,005 | $ | 575 | $ | 91 | $ | 8,685 |
(1) | Amounts do not reflect collateral; see the table under Risk Management – Credit Risk – Derivatives below for a breakdown of the credit ratings of and the Bank’s credit exposure to derivative counterparties, including net exposure after collateral. |
As of December 31, 2011 | |||||||||||||||||||
Federal Funds Sold | Interest-bearing Deposits | Certificates of Deposit | Net Derivative Exposure (1) | Total | |||||||||||||||
Australia | $ | 1,335 | $ | — | $ | — | $ | — | $ | 1,335 | |||||||||
Canada | 2,050 | — | — | — | 2,050 | ||||||||||||||
France | — | — | — | 3 | 3 | ||||||||||||||
Germany | 1,225 | — | — | 37 | 1,262 | ||||||||||||||
Japan | — | — | 650 | — | 650 | ||||||||||||||
Norway | 950 | — | — | — | 950 | ||||||||||||||
Spain | 575 | — | — | 5 | 580 | ||||||||||||||
Sweden | 3,090 | — | — | — | 3,090 | ||||||||||||||
Switzerland | 400 | — | — | — | 400 | ||||||||||||||
United Kingdom | 1,700 | — | — | — | 1,700 | ||||||||||||||
United States of America | 1,305 | 1,203 | — | — | 2,508 | ||||||||||||||
Total | $ | 12,630 | $ | 1,203 | $ | 650 | $ | 45 | $ | 14,528 |
(1) | Amounts do not reflect collateral; see the table under Risk Management – Credit Risk – Derivatives below for a breakdown of the credit ratings of and the Bank’s credit exposure to derivative counterparties, including net exposure after collateral. |
As of September 30, 2012 | |||||||||||||||||||||||||||||||||||||||
Carrying Value (1) | |||||||||||||||||||||||||||||||||||||||
Investment Grade | Below Investment Grade | ||||||||||||||||||||||||||||||||||||||
AAA | AA | A | BBB | BB | B | CCC | CC | C | D | ||||||||||||||||||||||||||||||
Short-term investments: | |||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 2 | $ | 1,003 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Certificates of deposit | — | — | 575 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | — | 250 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Federal funds sold | — | 3,386 | 3,628 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total short-term investments | — | 3,388 | 5,456 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Long-term investments: | |||||||||||||||||||||||||||||||||||||||
State or local housing agency debt obligations | — | 111 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
U.S. government agency debt obligations | — | 3,750 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||
U.S. government agency securities | — | 11,298 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Private-label | 412 | 186 | 515 | 415 | 733 | 807 | 1,195 | 431 | 476 | 545 | |||||||||||||||||||||||||||||
Total mortgage-backed securities | 412 | 11,484 | 515 | 415 | 733 | 807 | 1,195 | 431 | 476 | 545 | |||||||||||||||||||||||||||||
Total long-term investments | 412 | 15,345 | 515 | 415 | 733 | 807 | 1,195 | 431 | 476 | 545 | |||||||||||||||||||||||||||||
Total investments | $ | 412 | $ | 18,733 | $ | 5,971 | $ | 415 | $ | 733 | $ | 807 | $ | 1,195 | $ | 431 | $ | 476 | $ | 545 |
(1) | Investment amounts noted in the above table represent the carrying value and do not include related accrued interest receivable of $65 million as of September 30, 2012. |
As of December 31, 2011 | |||||||||||||||||||||||||||||||||||||||
Carrying Value (1) | |||||||||||||||||||||||||||||||||||||||
Investment Grade | Below Investment Grade | ||||||||||||||||||||||||||||||||||||||
AAA | AA | A | BBB | BB | B | CCC | CC | C | D | ||||||||||||||||||||||||||||||
Short-term investments: | |||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 2 | $ | 1,201 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Certificates of deposit | — | — | 650 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Federal funds sold | — | 5,825 | 6,805 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total short-term investments | — | 5,827 | 8,656 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Long-term investments: | |||||||||||||||||||||||||||||||||||||||
State or local housing agency debt obligations | — | 103 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
U.S. government agency debt obligations | — | 4,228 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||
U.S. government agency securities | — | 10,689 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Private-label | 664 | 314 | 757 | 559 | 689 | 891 | 1,394 | 663 | 689 | 15 | |||||||||||||||||||||||||||||
Total mortgage-backed securities | 664 | 11,003 | 757 | 559 | 689 | 891 | 1,394 | 663 | 689 | 15 | |||||||||||||||||||||||||||||
Total long-term investments | 664 | 15,334 | 757 | 559 | 689 | 891 | 1,394 | 663 | 689 | 15 | |||||||||||||||||||||||||||||
Total investments | $ | 664 | $ | 21,161 | $ | 9,413 | $ | 559 | $ | 689 | $ | 891 | $ | 1,394 | $ | 663 | $ | 689 | $ | 15 |
(1) | Investment amounts noted in the above table represent the carrying value and do not include related accrued interest receivable of $83 million as of December 31, 2011. |
Investment Ratings | Downgrades - Balances Based on Carrying Values as of September 30, 2012 | |||||||||
As of September 30, 2012 | As of October 31, 2012 | Private-label MBS | ||||||||
From | To | Carrying Value | Fair Value | |||||||
AAA | AA | $ | 18 | $ | 19 | |||||
A | 93 | 96 | ||||||||
BBB | 55 | 56 | ||||||||
AA | A | 3 | 4 | |||||||
BBB | 19 | 19 | ||||||||
A | BBB | 31 | 32 | |||||||
CCC | 19 | 20 | ||||||||
BBB | BB | 54 | 54 | |||||||
BB | B | 42 | 42 | |||||||
B | CCC | 51 | 51 | |||||||
CC | D | 80 | 80 | |||||||
C | D | 82 | 82 | |||||||
Total | $ | 547 | $ | 555 |
On Negative Watch - Balances Based on Carrying Values as of September 30, 2012 | ||||||||
Private-label MBS | ||||||||
Investment Ratings | Carrying Value | Fair Value | ||||||
AAA | $ | 246 | $ | 253 | ||||
AA | 81 | 81 | ||||||
A | 172 | 171 | ||||||
BBB | 170 | 165 | ||||||
BB | 41 | 41 | ||||||
CC | 30 | 30 | ||||||
Total | $ | 740 | $ | 741 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||||||||||
Fixed-Rate | Variable-Rate | Total | Fixed-Rate | Variable-Rate | Total | ||||||||||||||||||
Prime | $ | 560 | $ | 5,009 | $ | 5,569 | $ | 933 | $ | 5,751 | $ | 6,684 | |||||||||||
Alt-A | 363 | 479 | 842 | 451 | 529 | 980 | |||||||||||||||||
Total unpaid principal balance | $ | 923 | $ | 5,488 | $ | 6,411 | $ | 1,384 | $ | 6,280 | $ | 7,664 |
Year of Securitization - Prime | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 and Prior | Total | ||||||||||||||||||
Investment Ratings: | |||||||||||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | 17 | $ | 398 | $ | 415 | |||||||||||
AA | — | — | — | — | 183 | 183 | |||||||||||||||||
A | — | 2 | — | 161 | 240 | 403 | |||||||||||||||||
BBB | — | — | — | 19 | 200 | 219 | |||||||||||||||||
BB | — | 50 | — | 281 | 320 | 651 | |||||||||||||||||
B | — | — | 7 | 268 | 492 | 767 | |||||||||||||||||
CCC | 44 | 517 | 85 | 556 | 63 | 1,265 | |||||||||||||||||
CC | 108 | 20 | 163 | 227 | — | 518 | |||||||||||||||||
C | — | 201 | 339 | 14 | — | 554 | |||||||||||||||||
D | — | 347 | 184 | 63 | — | 594 | |||||||||||||||||
Total unpaid principal balance | $ | 152 | $ | 1,137 | $ | 778 | $ | 1,606 | $ | 1,896 | $ | 5,569 | |||||||||||
Amortized cost | $ | 134 | $ | 902 | $ | 632 | $ | 1,488 | $ | 1,878 | $ | 5,034 | |||||||||||
Gross unrealized losses | $ | — | $ | (18 | ) | $ | (18 | ) | $ | (54 | ) | $ | (46 | ) | $ | (136 | ) | ||||||
Fair value | $ | 136 | $ | 923 | $ | 638 | $ | 1,444 | $ | 1,854 | $ | 4,995 | |||||||||||
Other-than-temporary impairment (Year-to-date): | |||||||||||||||||||||||
Credit-related losses | $ | — | $ | (5 | ) | $ | (10 | ) | $ | (1 | ) | $ | — | $ | (16 | ) | |||||||
Non-credit-related losses | — | (5 | ) | (10 | ) | (1 | ) | — | (16 | ) | |||||||||||||
Total other-than-temporary impairment losses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
Weighted average percentage of fair value to unpaid principal balance | 89.59 | % | 81.12 | % | 82.01 | % | 89.91 | % | 97.78 | % | 89.68 | % | |||||||||||
Original weighted average credit support | 15.72 | % | 13.85 | % | 10.31 | % | 6.74 | % | 3.39 | % | 7.80 | % | |||||||||||
Weighted average credit support | 8.86 | % | 3.08 | % | 1.38 | % | 5.77 | % | 8.47 | % | 5.61 | % | |||||||||||
Weighted average collateral delinquency | 16.04 | % | 23.63 | % | 21.33 | % | 12.64 | % | 8.32 | % | 14.72 | % |
Year of Securitization – Alt-A | |||||||||||||||||||||||
2008 | 2007 | 2006 | 2005 | 2004 and Prior | Total | ||||||||||||||||||
Investment Ratings: | |||||||||||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | — | $ | 1 | $ | 1 | |||||||||||
AA | — | — | — | — | 5 | 5 | |||||||||||||||||
A | — | — | — | — | 113 | 113 | |||||||||||||||||
BBB | — | — | — | — | 197 | 197 | |||||||||||||||||
BB | — | — | — | — | 82 | 82 | |||||||||||||||||
B | — | — | — | — | 61 | 61 | |||||||||||||||||
CCC | — | — | — | 171 | — | 171 | |||||||||||||||||
D | — | 53 | — | 159 | — | 212 | |||||||||||||||||
Total unpaid principal balance | $ | — | $ | 53 | $ | — | $ | 330 | $ | 459 | $ | 842 | |||||||||||
Amortized cost | $ | — | $ | 39 | $ | — | $ | 267 | $ | 460 | $ | 766 | |||||||||||
Gross unrealized losses | $ | — | $ | — | $ | — | $ | (62 | ) | $ | (3 | ) | $ | (65 | ) | ||||||||
Fair value | $ | — | $ | 39 | $ | — | $ | 205 | $ | 464 | $ | 708 | |||||||||||
Other-than-temporary impairment (Year-to-date): | |||||||||||||||||||||||
Credit-related losses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
Non-credit-related losses | — | — | — | — | — | — | |||||||||||||||||
Total other-than-temporary impairment losses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||
Weighted average percentage of fair value to unpaid principal balance | 0.00 | % | 73.25 | % | 0.00 | % | 62.36 | % | 101.16 | % | 84.20 | % | |||||||||||
Original weighted average credit support | 0.00 | % | 12.29 | % | 0.00 | % | 26.28 | % | 7.33 | % | 15.06 | % | |||||||||||
Weighted average credit support | 0.00 | % | (0.90 | )% | 0.00 | % | 17.01 | % | 11.71 | % | 12.98 | % | |||||||||||
Weighted average collateral delinquency | 0.00 | % | 34.03 | % | 0.00 | % | 37.84 | % | 7.58 | % | 21.11 | % |
Significant Inputs | ||||||||||||||||
Prepayment Rate | Default Rates | Loss Severities | Current Credit Enhancement | |||||||||||||
Year of Securitization | Weighted Average (%) | Range (%) | Weighted Average (%) | Range (%) | Weighted Average (%) | Range (%) | Weighted Average (%) | Range (%) | ||||||||
Prime: | ||||||||||||||||
2008 | 9.25 | 9.25 to 9.25 | 27.88 | 27.88 to 27.88 | 43.09 | 43.09 to 43.09 | 8.86 | 7.89 to 11.24 | ||||||||
2007 | 14.06 | 9.62 to 39.69 | 18.03 | 1.76 to 22.67 | 38.30 | 21.00 to 41.35 | 4.10 | 1.27 to 8.32 | ||||||||
2006 | 9.02 | 7.06 to 37.69 | 31.05 | 7.48 to 39.56 | 42.38 | 29.95 to 47.15 | 2.12 | (0.13) to 7.22 | ||||||||
2005 | 12.39 | 7.79 to 17.03 | 12.08 | 1.83 to 23.80 | 31.46 | 20.21 to 43.69 | 6.66 | 3.27 to 13.61 | ||||||||
2004 and prior | 19.15 | 9.07 to 49.89 | 8.06 | 0.00 to 23.20 | 28.55 | 0.00 to 48.95 | 8.13 | 2.61 to 43.99 | ||||||||
Total Prime | 15.19 | 7.06 to 49.89 | 13.28 | 0.00 to 39.56 | 32.28 | 0.00 to 48.95 | 6.74 | (0.13) to 43.99 | ||||||||
Alt-A: | ||||||||||||||||
2007 | 7.15 | 5.62 to 8.89 | 52.43 | 41.60 to 61.95 | 47.44 | 44.63 to 50.94 | 2.43 | (0.09) to 5.91 | ||||||||
2006 | 7.22 | 6.31 to 8.37 | 52.08 | 44.92 to 58.78 | 51.31 | 45.71 to 56.45 | 0.64 | 0.00 to 2.83 | ||||||||
2005 | 6.99 | 2.75 to 9.44 | 47.64 | 28.09 to 75.88 | 49.32 | 38.19 to 54.32 | 9.33 | (0.08) to 32.98 | ||||||||
2004 and prior | 13.51 | 9.51 to 17.28 | 13.22 | 1.61 to 42.56 | 28.36 | 19.63 to 59.33 | 12.08 | 3.30 to 37.64 | ||||||||
Total Alt-A | 8.56 | 2.75 to 17.28 | 42.10 | 1.61 to 75.88 | 44.24 | 19.63 to 59.33 | 6.34 | (0.90) to 37.64 | ||||||||
Total | 12.53 | 2.75 to 49.89 | 24.86 | 0.00 to 75.88 | 37.08 | 0.00 to 59.33 | 6.58 | (0.09) to 43.99 |
Three Months Ended September 30, | |||||||||||||||||||||||
2012 | 2011 | ||||||||||||||||||||||
Credit Losses | Net Noncredit Losses | Total Losses | Credit Losses | Net Noncredit Losses | Total Losses | ||||||||||||||||||
Securities newly impaired during the period | $ | — | $ | — | $ | — | $ | — | $ | 2 | $ | (2 | ) | ||||||||||
Securities previously impaired prior to current period (1) | (1 | ) | (1 | ) | — | (19 | ) | (13 | ) | (6 | ) | ||||||||||||
Total | $ | (1 | ) | $ | (1 | ) | $ | — | $ | (19 | ) | $ | (11 | ) | $ | (8 | ) |
(1) | For the three months ended September 30, 2012 and 2011, “Securities previously impaired prior to current period” represents all securities that were also previously impaired prior to July 1, 2012 and 2011, respectively. |
Nine Months Ended September 30, | |||||||||||||||||||||||
2012 | 2011 | ||||||||||||||||||||||
Credit Losses | Net Noncredit Losses | Total Losses | Credit Losses | Net Noncredit Losses | Total Losses | ||||||||||||||||||
Securities newly impaired during the period | $ | — | $ | — | $ | — | $ | (10 | ) | $ | 27 | $ | (37 | ) | |||||||||
Securities previously impaired prior to current period (1) | (16 | ) | (16 | ) | — | (98 | ) | (90 | ) | (8 | ) | ||||||||||||
Total | $ | (16 | ) | $ | (16 | ) | $ | — | $ | (108 | ) | $ | (63 | ) | $ | (45 | ) |
(1) | For the nine months ended September 30, 2012 and 2011, “Securities previously impaired prior to current period” represents all securities that were also previously impaired prior to January 1, 2012 and 2011, respectively. |
Months | Annualized Rates (%) | |
1 to 6 | 0.00 to 1.90 | |
7 to 18 | 0.00 to 2.00 | |
19 to 24 | 0.70 to 2.70 | |
25 to 30 | 1.30 to 2.70 | |
31 to 42 | 1.30 to 3.40 | |
43 to 66 | 1.30 to 4.00 | |
Thereafter | 1.50 to 3.80 |
Three Months Ended September 30, 2012 | |||||||||||||||||||||
Housing Price Scenario | |||||||||||||||||||||
Base Case (2) | Adverse Case | ||||||||||||||||||||
Number of Securities | Unpaid Principal balance | Other-than- temporary Impairment Related to Credit Loss | Number of Securities | Unpaid Principal balance | Other-than- temporary Impairment Related to Credit Loss | ||||||||||||||||
Prime loans (1) | 4 | $ | 213 | $ | (1 | ) | 35 | $ | 1,631 | $ | (29 | ) | |||||||||
Alt-A (1) | — | — | — | 4 | 213 | (5 | ) | ||||||||||||||
Total | 4 | $ | 213 | $ | (1 | ) | 39 | $ | 1,844 | $ | (34 | ) |
(1) | Based on the originator’s classification of collateral at the time of origination or based on classification of collateral by an NRSRO upon issuance of the MBS. |
(2) | Represents securities and related other-than-temporary-impairment credit losses for the three months ended September 30, 2012. |
As of September 30, 2012 | ||||||||||||||||||||
Notional Amount | Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Other Collateral Pledged To (From) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||||
Non-member counterparties: | ||||||||||||||||||||
Asset positions with credit exposure: | ||||||||||||||||||||
Double-A | $ | 390 | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||||
Single-A | 17,924 | 90 | (54 | ) | — | 36 | ||||||||||||||
Liability positions with credit exposure: | ||||||||||||||||||||
Single-A | 14,878 | (572 | ) | 575 | — | 3 | ||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 33,192 | (481 | ) | 521 | — | 40 | ||||||||||||||
Member institutions (1) | 4 | — | — | — | — | |||||||||||||||
Total | $ | 33,196 | $ | (481 | ) | $ | 521 | $ | — | $ | 40 |
As of December 31, 2011 | ||||||||||||||||||||
Notional Amount | Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Other Collateral Pledged To (From) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||||
Non-member counterparties: | ||||||||||||||||||||
Asset positions with credit exposure: | ||||||||||||||||||||
Double-A | $ | 197 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Single-A | 19,505 | 40 | (27 | ) | — | 13 | ||||||||||||||
Liability positions with credit exposure | — | — | — | — | — | |||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 19,702 | 40 | (27 | ) | — | 13 | ||||||||||||||
Member institutions (1) | 39 | 5 | — | (5 | ) | — | ||||||||||||||
Total | $ | 19,741 | $ | 45 | $ | (27 | ) | $ | (5 | ) | $ | 13 |
Item 3. | Quantitative and Qualitative Disclosures About Market Risk |
As of September 30, 2012 | As of December 31, 2011 | |||||||||||
Hedged Item / Hedging Instrument | Hedging Objective | Hedge Accounting Designation | Notional Amount | Notional Amount | ||||||||
Advances | ||||||||||||
Pay fixed, receive variable interest rate swap (without options) | Converts the advance’s fixed rate to a variable rate index. | Fair value hedges | $ | 7,658 | $ | 13,160 | ||||||
Non-qualifying hedges | 100 | 100 | ||||||||||
Pay fixed, receive variable interest rate swap (with options) | Converts the advance’s fixed rate to a variable rate index and offsets option risk in the advance. | Fair value hedges | 33,225 | 32,749 | ||||||||
Non-qualifying hedges | 741 | 741 | ||||||||||
Pay variable with embedded features, receive variable interest rate swap (non-callable) | Reduces interest rate sensitivity and repricing gaps by converting the advance’s variable rate to a different variable rate index and/or offsets embedded option risk in the advance. | Fair value hedges | 3,215 | 864 | ||||||||
Pay variable, receive variable basis swap | Reduces interest rate sensitivity and repricing gaps by converting the advance’s variable rate to a different variable rate index. | Non-qualifying hedges | 228 | 248 | ||||||||
Total | 45,167 | 47,862 | ||||||||||
Investments | ||||||||||||
Pay fixed, receive variable interest rate swap | Converts the investment’s fixed rate to a variable rate index. | Non-qualifying hedges | 1,990 | 2,678 | ||||||||
Pay variable, receive variable interest rate swap | Converts the investment’s variable rate to a different variable rate index. | Non-qualifying hedges | 50 | 50 | ||||||||
Total | 2,040 | 2,728 | ||||||||||
Consolidated Obligation Bonds | ||||||||||||
Receive fixed, pay variable interest rate swap (without options) | Converts the bond’s fixed rate to a variable rate index. | Fair value hedges | 53,156 | 46,674 | ||||||||
Non-qualifying hedges | 4,050 | 1,100 | ||||||||||
Receive fixed, pay variable interest rate swap (with options) | Converts the bond’s fixed rate to a variable rate index and offsets option risk in the bond. | Fair value hedges | 8,731 | 26,403 | ||||||||
Non-qualifying hedges | — | 1,000 | ||||||||||
Receive variable with embedded features, pay variable interest rate swap (callable) | Reduces interest rate sensitivity and repricing gaps by converting the bond’s variable rate to a different variable rate index and/or offsets embedded option risk in the bond. | Fair value hedges | 20 | 20 | ||||||||
Receive variable, pay variable basis swap | Reduces interest rate sensitivity and repricing gaps by converting the bond’s variable rate to a different variable rate index. | Non-qualifying hedges | — | 100 | ||||||||
Total | 65,957 | 75,297 | ||||||||||
Consolidated Obligation Discount Notes | ||||||||||||
Receive fixed, pay variable interest rate swap | Converts the discount note’s fixed rate to a variable rate index. | Fair value hedges | — | 1,129 | ||||||||
Total | — | 1,129 |
As of September 30, 2012 | As of December 31, 2011 | |||||||||||
Hedged Item / Hedging Instrument | Hedging Objective | Hedge Accounting Designation | Notional Amount | Notional Amount | ||||||||
Balance Sheet | ||||||||||||
Pay fixed, receive variable interest rate swap | Converts the asset or liability fixed rate to a variable rate index. | Non-qualifying hedges | 125 | 125 | ||||||||
Interest rate cap or floor | Protects against changes in income of certain assets due to changes in interest rates. | Non-qualifying hedges | 12,500 | 12,500 | ||||||||
Total | 12,625 | 12,625 | ||||||||||
Intermediary Positions and Other | ||||||||||||
Pay fixed, receive variable interest rate swap, and receive-fixed, pay variable interest rate swap | To offset interest rate swaps executed with members by executing interest rate swaps with derivatives counterparties. | Non-qualifying hedges | 8 | 79 | ||||||||
Total | 8 | 79 | ||||||||||
Total notional amount | $ | 125,797 | $ | 139,720 |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||||
Up 200 Basis Points | Current | Down 200 Basis Points (1) | Up 200 Basis Points | Current | Down 200 Basis Points (1) | ||||||||||||
Assets | 0.51 | 0.35 | — | 0.56 | 0.37 | (0.03 | ) | ||||||||||
Liabilities | 0.42 | 0.48 | 0.07 | 0.45 | 0.43 | 0.06 | |||||||||||
Equity | 1.80 | (1.62 | ) | (1.04 | ) | 2.27 | (0.53 | ) | (1.33 | ) | |||||||
Effective duration gap | 0.09 | (0.13 | ) | (0.07 | ) | 0.11 | (0.06 | ) | (0.09 | ) | |||||||
(1) | The “down 200 basis points” scenarios shown above are considered to be “constrained shocks,” intended to prevent the possibility of negative interest rates when a designated low rate environment exists. |
As of September 30, 2012 | As of December 31, 2011 | ||||||||||||||||||||||
Up 200 Basis Points | Current | Down 200 Basis Points (1) | Up 200 Basis Points | Current | Down 200 Basis Points (1) | ||||||||||||||||||
Assets | $ | 107,398 | $ | 108,431 | $ | 108,761 | $ | 120,027 | $ | 121,356 | $ | 121,878 | |||||||||||
Liabilities | 101,186 | 102,106 | 102,375 | 113,610 | 114,676 | 114,904 | |||||||||||||||||
Equity | 6,212 | 6,325 | 6,386 | 6,417 | 6,680 | 6,974 | |||||||||||||||||
(1) | The “down 200 basis points” scenarios shown above are considered to be “constrained shocks,” intended to prevent the possibility of negative interest rates when a designated low rate environment exists. |
Item 4. | Controls and Procedures |
Item 1. | Legal Proceedings |
Item 1A. | Risk Factors |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
Item 3. | Defaults Upon Senior Securities |
Item 4. | Mine Safety Disclosure |
Item 5. | Other Information |
Item 6. | Exhibits |
3.1 | Amended and Restated Organization Certificate of the Federal Home Loan Bank of Atlanta (1) | |
3.2 | Bylaws of the Federal Home Loan Bank of Atlanta (Revised and Restated) (1) | |
4.1 | Capital Plan of the Federal Home Loan Bank of Atlanta (2) | |
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 Executive Vice President and Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. + | |
32.1 | Certification of the President and Chief Executive Officer and the Executive Vice President and 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 | Unaudited financial statements from the Quarterly Report on Form 10-Q of Federal Home Loan Bank of Atlanta for the quarter ended September 30, 2012, filed on November 8, 2012, formatted in XBRL: (i) Statements of Condition, (ii) Statements of Income, (iii) Statements of Comprehensive Income, (iv) Statements of Capital, (v) Statements of Cash Flows, and (vi) Notes to Financial Statements.+ | |
(1) | Filed on October 26, 2012 with the Securities and Exchange Commission in the Bank’s Form 8-K and incorporated herein by reference. |
(2) | Filed on August 5, 2011 with the Securities and Exchange Commission in the Bank’s Form 8-K and incorporated herein by reference. |
+ | Furnished herewith. |
Federal Home Loan Bank of Atlanta | |||
Date: | November 8, 2012 | By: | /s/ W. Wesley McMullan |
Name: | W. Wesley McMullan | ||
Title: | President and Chief Executive Officer | ||
By: | /s/ Kirk R. Malmberg | ||
Name: | Kirk R. Malmberg | ||
Title: | Executive Vice President and Chief Financial Officer |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Atlanta; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | November 8, 2012 | /s/ W. Wesley McMullan |
W. Wesley McMullan | ||
President and Chief Executive Officer |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Atlanta; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | November 8, 2012 | /s/ Kirk R. Malmberg |
Kirk R. Malmberg | ||
Executive Vice President and | ||
Chief Financial Officer |
1. | The Registrant’s Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | November 8, 2012 | /s/ W. Wesley McMullan |
W. Wesley McMullan | ||
President and Chief Executive Officer | ||
/s/ Kirk R. Malmberg | ||
Kirk R. Malmberg | ||
Executive Vice President and | ||
Chief Financial Officer |
Consolidated Obligations (Details) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Consolidated Obligation Bonds by Interest-Rate Payment | ||
Debt, Gross | $ 80,240 | $ 89,419 |
Fixed-Rate [Member]
|
||
Consolidated Obligation Bonds by Interest-Rate Payment | ||
Debt, Gross | 76,153 | 84,571 |
Step Up/Down [Member]
|
||
Consolidated Obligation Bonds by Interest-Rate Payment | ||
Debt, Gross | 3,067 | 2,978 |
Simple Variable-Rate [Member]
|
||
Consolidated Obligation Bonds by Interest-Rate Payment | ||
Debt, Gross | 1,000 | 1,850 |
Variable-Rate Capped Floater [Member]
|
||
Consolidated Obligation Bonds by Interest-Rate Payment | ||
Debt, Gross | $ 20 | $ 20 |
Other-than-temporary Impairment (Details 2) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|
Schedule of Roll-Forward Cumulative Credit Losses Recognized | ||||
Balance of credit losses previously recognized in earnings, beginning of period | $ 597 | $ 553 | $ 582 | $ 464 |
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized | 0 | 0 | 0 | 10 |
Amount related to credit loss for which an other-than-temporary impairment was previously recognized | 1 | 19 | 16 | 98 |
Balance of cumulative credit losses recognized in earnings, end of period | $ 598 | $ 572 | $ 598 | $ 572 |
Consolidated Obligations (Details 1) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Debt Instrument [Line Items] | ||
Debt, Gross | $ 80,240 | $ 89,419 |
Unsecured Debt | 81,434 | 90,662 |
Unsecured Debt [Member]
|
||
Debt Instrument [Line Items] | ||
Debt, Maturities, Repayments of Principal in Twelve Months | 51,359 | 48,163 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 0.82% | 0.57% |
Long-term Debt, Maturities, Repayments of Principal in Year Two | 12,667 | 20,987 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.90% | 1.83% |
Long-term Debt, Maturities, Repayments of Principal in Year Three | 1,495 | 7,927 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.14% | 2.40% |
Long-term Debt, Maturities, Repayments of Principal in Year Four | 3,426 | 2,083 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 3.72% | 2.65% |
Long-term Debt, Maturities, Repayments of Principal in Year Five | 6,391 | 4,005 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.80% | 3.79% |
Long-term Debt, Maturities, Repayments of Principal after Year Five | 4,902 | 6,254 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.82% | 3.97% |
Debt, Gross | 80,240 | 89,419 |
Long-term Debt, Weighted Average Interest Rate | 1.41% | 1.46% |
Debt Instrument, Unamortized Premium | 86 | 101 |
Debt Instrument, Unamortized Discount | (37) | (38) |
Debt Valuation Adjustment for Hedging Activities | 1,145 | 1,180 |
Unsecured Debt | $ 81,434 | $ 90,662 |
Other-than-temporary Impairment (Details)
|
Sep. 30, 2012
|
---|---|
Range, Minimum [Member]
|
|
Schedule of Projected Home Price Recovery Ranges | |
Projected Home Price Recovery Ranges One to Six Months | 0.00% |
Projected Home Price Recovery Ranges Seven to Eighteen Months | 0.00% |
Projected Home Price Recovery Ranges Nineteen to Twenty Four Months | 1.00% |
Projected Home Price Recovery Ranges Twenty Five to Thirty Months | 2.00% |
Projected Home Price Recovery Ranges Thirty One to Forty Two Months | 2.00% |
Projected Home Price Recovery Ranges Forty Three to Sixty Six Months | 2.00% |
Projected Home Price Recovery Ranges, Thereafter | 2.30% |
Range, Maximum [Member]
|
|
Schedule of Projected Home Price Recovery Ranges | |
Projected Home Price Recovery Ranges One to Six Months | 2.80% |
Projected Home Price Recovery Ranges Seven to Eighteen Months | 3.00% |
Projected Home Price Recovery Ranges Nineteen to Twenty Four Months | 4.00% |
Projected Home Price Recovery Ranges Twenty Five to Thirty Months | 4.00% |
Projected Home Price Recovery Ranges Thirty One to Forty Two Months | 5.00% |
Projected Home Price Recovery Ranges Forty Three to Sixty Six Months | 6.00% |
Projected Home Price Recovery Ranges, Thereafter | 5.60% |
Estimated Fair Values (Tables)
|
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Assets and Liabilities Measured at Fair Value on Recurring Basis | Fair Value on a Recurring Basis. The following tables present for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition:
____________
____________
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Available-For-Sale Securities Measured at Fair Value | The following table presents a reconciliation of available-for-sale securities that are measured at fair value using significant unobservable inputs (Level 3):
____________
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying Values and Estimated Fair Values | The carrying values and estimated fair values of the Bank’s financial instruments were as follows:
|
Commitments and Contingencies (Details) (USD $)
In Millions, unless otherwise specified |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2012
|
Dec. 31, 2011
|
|||||
Outstanding Standby Letters of Credit | ||||||
Number Of Outstanding Standby Letters Of Credit | 3 | 0 | ||||
Standby Letters of Credit [Member]
|
||||||
Outstanding Standby Letters of Credit | ||||||
Outstanding notional | 18,572 | 21,510 | ||||
Letter of Credit Final Expiration Year | 2030 | 2030 | ||||
Range, Maximum [Member] | Standby Letters of Credit [Member]
|
||||||
Outstanding Standby Letters of Credit | ||||||
Original terms | 20 | [1] | 20 | [1] | ||
Standby Letters of Credit [Member]
|
||||||
Outstanding Standby Letters of Credit | ||||||
Outstanding notional | 6 | |||||
|
Consolidated Obligations (Details 3) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Debt Instrument [Line Items] | ||
Total par value | $ 80,240 | $ 89,419 |
Unsecured Debt [Member]
|
||
Debt Instrument [Line Items] | ||
Due or callable in one year or less | 51,359 | 48,163 |
Due or callable after one year through two years | 12,667 | 20,987 |
Due or callable after two years through three yeras | 1,495 | 7,927 |
Due or callable after three years through four years | 3,426 | 2,083 |
Due or callable after four years through five years | 6,391 | 4,005 |
Due or callable after five years | 4,902 | 6,254 |
Total par value | 80,240 | 89,419 |
Earlier of Contractual Maturity or Next Call Date [Member] | Unsecured Debt [Member]
|
||
Debt Instrument [Line Items] | ||
Due or callable in one year or less | 55,754 | 60,321 |
Due or callable after one year through two years | 12,007 | 17,467 |
Due or callable after two years through three yeras | 1,035 | 3,284 |
Due or callable after three years through four years | 3,088 | 1,110 |
Due or callable after four years through five years | 6,061 | 2,870 |
Due or callable after five years | $ 2,295 | $ 4,367 |
Subsequent Events (Details Textual) (USD $)
In Millions, unless otherwise specified |
Oct. 25, 2012
|
Sep. 30, 2012
|
---|---|---|
Subsequent Events (Textual) [Abstract] | ||
Dividends Payable | $ 30 | |
Amount of excess capital stock outstanding | $ 239 |
Estimated Fair Values (Details 1) (USD $)
In Millions, unless otherwise specified |
9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
|||||||
Reconciliation of Available-For-Sale Securities Measured at Fair Value | ||||||||
Balance, beginning of period | $ 2,942 | $ 3,319 | ||||||
Transfer of private-label MBS from held-to-maturity to available-for-sale | 6 | 369 | ||||||
Included in net impairment losses recognized in earnings | (16) | [1] | (101) | [1] | ||||
Included in other comprehensive loss | 313 | [1],[2] | 113 | [1],[2] | ||||
Accretion of credit losses in net interest income | 4 | [1] | (9) | [1] | ||||
Settlements | (479) | (589) | ||||||
Balance, end of period | $ 2,770 | $ 3,102 | ||||||
|
Available-for-Sale Securities (Tables)
|
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Information on Private-Label MBS Transferred and Dates | The following table presents information on private-label MBS transferred. The amounts below represent the values as of the transfer date.
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities Reconciliation | Major Security Types. Available-for-sale securities were as follows:
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities with Unrealized Losses | The following tables summarize the available-for-sale securities with unrealized losses. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Available-for-Sale MBS Issued by Members or Affiliates of Members | A summary of available-for-sale MBS issued by members or affiliates of members follows:
|
Advances (Details) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
||||||
---|---|---|---|---|---|---|---|---|
Advances [Abstract] | ||||||||
Overdrawn demand deposit accounts | $ 0 | $ 3 | ||||||
Due in one year or less | 30,422 | 36,542 | ||||||
Due after one year through two years | 9,992 | 11,173 | ||||||
Due after two years through three years | 6,131 | 7,851 | ||||||
Due after three years through four years | 4,716 | 3,881 | ||||||
Due after four years through five years | 8,868 | 5,836 | ||||||
Due after five years | 16,208 | 17,283 | ||||||
Total par value | 76,337 | 82,569 | ||||||
Discount on Affordable Housing Program Advances | (11) | [1] | (12) | [1] | ||||
Discount on Economic Development and Growth Enhancement Program Advances | (9) | [2] | (10) | [2] | ||||
Hedging adjustments | 4,232 | 4,431 | ||||||
Deferred commitment fees | (6) | (7) | ||||||
Federal Home Loan Bank Advances | $ 80,543 | $ 86,971 | ||||||
|
Held-to-Maturity Securities (Details 1) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
positions
|
Dec. 31, 2011
positions
|
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of Positions, Less than 12 Months | 7 | 38 |
Number of Positions, 12 Months or More | 59 | 69 |
Total Number of Positions | 66 | 107 |
Estimated Fair Value, Less than 12 Months | $ 594 | $ 2,085 |
Estimated Fair Value, 12 Months or More | 1,525 | 2,460 |
Total Estimated Fair Value | 2,119 | 4,545 |
Gross Unrealized Losses, Less than 12 Months | 0 | 11 |
Gross Unrealized Losses, 12 Months or More | 47 | 213 |
Total Gross Unrealized Losses | 47 | 224 |
Certificates of Deposit [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of Positions, Less than 12 Months | 3 | |
Number of Positions, 12 Months or More | 0 | |
Total Number of Positions | 3 | |
Estimated Fair Value, Less than 12 Months | 350 | |
Estimated Fair Value, 12 Months or More | 0 | |
Total Estimated Fair Value | 350 | |
Gross Unrealized Losses, Less than 12 Months | 0 | |
Gross Unrealized Losses, 12 Months or More | 0 | |
Total Gross Unrealized Losses | 0 | |
Government-Sponsored Enterprises Debt Obligations [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of Positions, Less than 12 Months | 4 | 3 |
Number of Positions, 12 Months or More | 0 | 0 |
Total Number of Positions | 4 | 3 |
Estimated Fair Value, Less than 12 Months | 375 | 194 |
Estimated Fair Value, 12 Months or More | 0 | 0 |
Total Estimated Fair Value | 375 | 194 |
Gross Unrealized Losses, Less than 12 Months | 0 | 0 |
Gross Unrealized Losses, 12 Months or More | 0 | 0 |
Total Gross Unrealized Losses | 0 | 0 |
Government-sponsored enterprises [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of Positions, Less than 12 Months | 2 | 9 |
Number of Positions, 12 Months or More | 3 | 10 |
Total Number of Positions | 5 | 19 |
Estimated Fair Value, Less than 12 Months | 177 | 1,104 |
Estimated Fair Value, 12 Months or More | 90 | 804 |
Total Estimated Fair Value | 267 | 1,908 |
Gross Unrealized Losses, Less than 12 Months | 0 | 3 |
Gross Unrealized Losses, 12 Months or More | 2 | 2 |
Total Gross Unrealized Losses | 2 | 5 |
Private-label MBS [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Number of Positions, Less than 12 Months | 1 | 23 |
Number of Positions, 12 Months or More | 56 | 59 |
Total Number of Positions | 57 | 82 |
Estimated Fair Value, Less than 12 Months | 42 | 437 |
Estimated Fair Value, 12 Months or More | 1,435 | 1,656 |
Total Estimated Fair Value | 1,477 | 2,093 |
Gross Unrealized Losses, Less than 12 Months | 0 | 8 |
Gross Unrealized Losses, 12 Months or More | 45 | 211 |
Total Gross Unrealized Losses | $ 45 | $ 219 |
Transactions With Members and Their Affiliates and With Housing Associates (Details) (USD $)
In Millions, unless otherwise specified |
9 Months Ended | |
---|---|---|
Sep. 30, 2012
|
Dec. 31, 2011
|
|
Transactions with Members and their Affiliates and with Housing Associates (Textual) [Abstract] | ||
Related parties, minimum stock percent owned | 10.00% | |
Percent of capital stock held by Bank of America, National Association | 11.90% | |
Total advances outstanding to Bank of America, National Association | $ 9,989 | $ 16,039 |
Maximum deposits held in the name of Bank of America, National Association | $ 1 | $ 1 |
Available-for-Sale Securities (Details) (USD $)
In Millions, unless otherwise specified |
1 Months Ended | 3 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Mar. 31, 2012
Private-Label MBS Transferred [Member]
|
Jun. 30, 2011
Private-Label MBS Transferred [Member]
|
Mar. 31, 2011
Private-Label MBS Transferred [Member]
|
Sep. 30, 2012
Private-Label MBS Transferred [Member]
|
Jun. 30, 2012
Private-Label MBS Transferred [Member]
|
Sep. 30, 2011
Private-Label MBS Transferred [Member]
|
|
Schedule of Available-for-sale Securities [Line Items] | ||||||||
Available for sale securities transferred, Amortized Cost | $ 6 | $ 397 | $ 6 | $ 52 | $ 322 | $ 0 | $ 0 | $ 23 |
Available-for-sale Securities Transferred, Other-Than-Temporary Impairment Recognized in Accumulated Other Comprehensive Loss | 0 | 28 | 0 | 6 | 20 | 0 | 0 | 2 |
Available-for-sale Securities, Fair Value Disclosure | $ 6 | $ 369 | $ 6 | $ 46 | $ 302 | $ 0 | $ 0 | $ 21 |
Advances (Details 2) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Advances [Abstract] | ||
Due in one year or less | $ 27,729 | $ 32,389 |
Due after one year | 37,401 | 38,811 |
Total fixed-rate | 65,130 | 71,200 |
Due in one year or less | 2,693 | 4,156 |
Due after one year | 8,514 | 7,213 |
Total variable-rate | 11,207 | 11,369 |
Total par value | $ 76,337 | $ 82,569 |
Derivatives and Hedging Activities (Details 2) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | $ 17 | $ (720) | $ 124 | $ (348) | ||||||
Gain (Loss) on Hedged Item | 32 | 748 | 12 | 449 | ||||||
Net Fair Value Hedge Ineffectiveness | 49 | 28 | 136 | 101 | ||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (197) | [1] | (291) | [1] | (656) | [1] | (986) | [1] | ||
Advances [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | 17 | (889) | 169 | (508) | ||||||
Gain (Loss) on Hedged Item | 45 | 912 | 0 | 618 | ||||||
Net Fair Value Hedge Ineffectiveness | 62 | 23 | 169 | 110 | ||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (337) | [1] | (491) | [1] | (1,085) | [1] | (1,622) | [1] | ||
Unsecured Debt [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | 0 | 169 | (45) | 162 | ||||||
Gain (Loss) on Hedged Item | (13) | (164) | 12 | (171) | ||||||
Net Fair Value Hedge Ineffectiveness | (13) | 5 | (33) | (9) | ||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 140 | [1] | 200 | [1] | 429 | [1] | 634 | [1] | ||
Discount Notes [Member]
|
||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivative | (2) | |||||||||
Gain (Loss) on Hedged Item | 2 | |||||||||
Net Fair Value Hedge Ineffectiveness | 0 | |||||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ 2 | [1] | ||||||||
|
Capital and Mandatorily Redeemable Capital Stock (Details 1) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|
Activity In Mandatorily Redeemable Capital Stock | ||||
Balance, beginning of period | $ 115 | $ 385 | $ 286 | $ 529 |
Attainment of nonmember status | 6 | 32 | 87 | 69 |
Withdrawal | 0 | 0 | 1 | 1 |
Repurchase/redemption of mandatorily redeemable capital stock | (79) | (85) | (303) | (257) |
Capital stock no longer subject to redemption due to the transfer of stock from a nonmember to a member | 0 | (13) | (29) | (23) |
Balance, end of period | $ 42 | $ 319 | $ 42 | $ 319 |
Other-than-temporary Impairment (Details 1)
|
3 Months Ended |
---|---|
Sep. 30, 2012
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Weighted Average Interest Rate on Investments, prepayment rate | 7.75% |
Weighted Average Interest Rate on Investements, default rate | 37.59% |
Weighted Average Interest Rate on Investments, loss severities | 46.67% |
Weighted Average Interest Rate on Investments, current credit enhancement | 0.29% |
Range, Minimum [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 6.31% |
Range (%), default rate | 25.76% |
Range (%), loss severities rate | 38.19% |
Range (%), current credit enhancement | (0.13%) |
Range, Maximum [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 9.07% |
Range (%), default rate | 58.78% |
Range (%), loss severities rate | 56.45% |
Range (%), current credit enhancement | 5.21% |
Prime [Member] | 2006 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Weighted Average Interest Rate on Investments, prepayment rate | 8.29% |
Weighted Average Interest Rate on Investements, default rate | 27.87% |
Weighted Average Interest Rate on Investments, loss severities | 42.90% |
Weighted Average Interest Rate on Investments, current credit enhancement | (0.10%) |
Prime [Member] | Range, Minimum [Member] | 2006 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 7.06% |
Range (%), default rate | 25.76% |
Range (%), loss severities rate | 42.03% |
Range (%), current credit enhancement | (0.13%) |
Prime [Member] | Range, Maximum [Member] | 2006 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 8.74% |
Range (%), default rate | 33.76% |
Range (%), loss severities rate | 45.33% |
Range (%), current credit enhancement | 0.00% |
Alt-A [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Weighted Average Interest Rate on Investments, prepayment rate | 6.81% |
Weighted Average Interest Rate on Investements, default rate | 54.33% |
Weighted Average Interest Rate on Investments, loss severities | 53.16% |
Weighted Average Interest Rate on Investments, current credit enhancement | 0.96% |
Alt-A [Member] | 2006 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Weighted Average Interest Rate on Investments, prepayment rate | 6.31% |
Weighted Average Interest Rate on Investements, default rate | 58.78% |
Weighted Average Interest Rate on Investments, loss severities | 56.45% |
Weighted Average Interest Rate on Investments, current credit enhancement | 0.03% |
Alt-A [Member] | 2005 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Weighted Average Interest Rate on Investments, prepayment rate | 9.07% |
Weighted Average Interest Rate on Investements, default rate | 34.10% |
Weighted Average Interest Rate on Investments, loss severities | 38.19% |
Weighted Average Interest Rate on Investments, current credit enhancement | 5.21% |
Alt-A [Member] | Range, Minimum [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 6.31% |
Range (%), default rate | 34.10% |
Range (%), loss severities rate | 38.19% |
Range (%), current credit enhancement | 0.03% |
Alt-A [Member] | Range, Minimum [Member] | 2006 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 6.31% |
Range (%), default rate | 58.78% |
Range (%), loss severities rate | 56.45% |
Range (%), current credit enhancement | 0.03% |
Alt-A [Member] | Range, Minimum [Member] | 2005 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 9.07% |
Range (%), default rate | 34.10% |
Range (%), loss severities rate | 38.19% |
Range (%), current credit enhancement | 5.21% |
Alt-A [Member] | Range, Maximum [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 9.07% |
Range (%), default rate | 58.78% |
Range (%), loss severities rate | 56.45% |
Range (%), current credit enhancement | 5.21% |
Alt-A [Member] | Range, Maximum [Member] | 2006 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 6.31% |
Range (%), default rate | 58.78% |
Range (%), loss severities rate | 56.45% |
Range (%), current credit enhancement | 0.03% |
Alt-A [Member] | Range, Maximum [Member] | 2005 [Member]
|
|
Other-than-Temporary Impairment, Credit Losses Recognized in Earnings | |
Range (%), prepayment rate | 9.07% |
Range (%), default rate | 34.10% |
Range (%), loss severities rate | 38.19% |
Range (%), current credit enhancement | 5.21% |
Recently Issued and Adopted Accounting Guidance
|
9 Months Ended |
---|---|
Sep. 30, 2012
|
|
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued And Adopted Accounting Guidance | Recently Issued and Adopted Accounting Guidance Recently Issued Accounting Guidance Disclosures about Offsetting Assets and Liabilities. In December 2011, the Financial Accounting Standards Board (FASB) issued disclosure requirements that are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on an entity’s financial position. Entities are required to disclose both gross and net information about instruments and transactions eligible for offset in the statement of financial position as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, entities are required to disclose collateral received and posted in connection with master netting agreements or similar arrangements. This guidance is effective for interim and annual periods beginning on or after January 1, 2013 and will be applied retrospectively for all comparative periods presented. The adoption of this guidance will result in increased disclosures, but will have no effect on the Bank’s financial condition or results of operations. Recently Adopted Accounting Guidance Presentation of Comprehensive Income. In June 2011, the FASB issued amended guidance that eliminates the option to report other comprehensive income and its components in the statement of change in equity. The main provisions of this amended guidance provide that an entity that reports items of other comprehensive income present comprehensive income in either: (1) a single financial statement that presents the components of net income and total net income, the components of other comprehensive income and total other comprehensive income, and total comprehensive income; or (2) a two-statement approach, where the components of net income and total net income are presented in the first statement, immediately followed by a financial statement that presents the components of other comprehensive income, a total for other comprehensive income, and total comprehensive income. For public entities, this amended guidance is effective retrospectively for fiscal years, and interim periods within those years, beginning after December 15, 2011. The Bank adopted this guidance effective January 1, 2012. The adoption of this guidance did not have any effect on the Bank’s financial condition or results of operations. Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. In May 2011, the FASB issued amended guidance to converge fair value measurement and disclosure guidance in GAAP with the fair value measurement guidance concurrently issued by the International Accounting Standards Board for International Financial Reporting Standards (IFRS). The amended guidance does not extend the use of fair value but, rather, provides guidance about how fair value should be applied where it already is required or permitted under GAAP. While many of the changes are clarifications of existing guidance or wording changes to align with IFRS, the amended guidance changes some fair value measurement principles and disclosure requirements. For public entities, this guidance is effective prospectively for interim and annual periods beginning on or after December 15, 2011. The Bank adopted this guidance effective January 1, 2012. The adoption of this guidance did not have any effect on the Bank’s financial condition or results of operations. Reconsideration of Effective Control for Repurchase Agreements. In April 2011, the FASB issued guidance to improve the accounting for repurchase agreements and other agreements that both entitle and obligate a transferor to repurchase or redeem financial assets before their maturity. The new guidance removes certain criteria from the assessment of effective control. This guidance is effective for the first interim or annual periods beginning on or after December 15, 2011. This guidance should be applied prospectively to transactions or modifications of existing transactions that occur on or after the effective date. The Bank adopted this guidance effective January 1, 2012. The adoption of this guidance did not have any effect on the Bank’s financial condition or results of operations. |
Capital and Mandatorily Redeemable Capital Stock (Details 2) (USD $)
In Millions, unless otherwise specified |
Sep. 30, 2012
|
Jun. 30, 2012
|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Dec. 31, 2010
|
---|---|---|---|---|---|---|
Equity [Abstract] | ||||||
Due in one year or less | $ 0 | $ 4 | ||||
Due after one year through two years | 4 | 8 | ||||
Due after two years through three years | 5 | 52 | ||||
Due after three years through four years | 2 | 122 | ||||
Due after four years through five years | 31 | 99 | ||||
Due after five years | 0 | 1 | ||||
Mandatorily redeemable capital stock | $ 42 | $ 115 | $ 286 | $ 319 | $ 385 | $ 529 |