Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 35-6001443 (I.R.S. employer identification number) | |
8250 Woodfield Crossing Boulevard Indianapolis, IN (Address of principal executive offices) | 46240 (Zip code) |
o Large accelerated filer | o Accelerated filer |
x Non-accelerated filer (Do not check if a smaller reporting company) | o Smaller reporting company |
Shares outstanding as of July 31, 2012 | ||
Class B Stock, par value $100 | 20,593,353 |
Table of Contents | Page | |
Number | ||
PART I. | ||
Item 1. | ||
Statements of Condition as of June 30, 2012 and December 31, 2011 | ||
Statements of Income for the Three and Six Months Ended June 30, 2012 and 2011 | ||
Statements of Capital for the Six Months Ended June 30, 2011 and 2012 | ||
Statements of Cash Flows for the Six Months Ended June 30, 2012 and 2011 | ||
Item 2. | ||
Results of Operations and Changes in Financial Condition | ||
Item 3. | ||
Item 4. | ||
PART II. | ||
Item 1. | ||
Item 1A. | ||
Item 6. | ||
Exhibit 31.1 | ||
Exhibit 31.2 | ||
Exhibit 31.3 | ||
Exhibit 32 |
June 30, 2012 | December 31, 2011 | ||||||
Assets: | |||||||
Cash and Due from Banks | $ | 198,325 | $ | 512,682 | |||
Interest-Bearing Deposits | 110 | 15 | |||||
Securities Purchased Under Agreements to Resell | 1,700,000 | — | |||||
Federal Funds Sold | 2,237,000 | 3,422,000 | |||||
Available-for-Sale Securities (Notes 3 and 5) | 3,836,762 | 2,949,446 | |||||
Held-to-Maturity Securities (Estimated Fair Values of $7,663,673 and $8,972,081, respectively) (Notes 4 and 5) | 7,464,699 | 8,832,178 | |||||
Advances (Note 6) | 18,813,684 | 18,567,702 | |||||
Mortgage Loans Held for Portfolio, net (Notes 7 and 8) | 5,779,558 | 5,955,142 | |||||
Accrued Interest Receivable | 86,296 | 87,314 | |||||
Premises, Software, and Equipment, net | 12,864 | 12,626 | |||||
Derivative Assets, net (Note 9) | 425 | 493 | |||||
Other Assets | 35,513 | 35,892 | |||||
Total Assets | $ | 40,165,236 | $ | 40,375,490 | |||
Liabilities: | |||||||
Deposits: | |||||||
Interest-Bearing | $ | 771,162 | $ | 620,702 | |||
Non-Interest-Bearing | 11,783 | 8,764 | |||||
Total Deposits | 782,945 | 629,466 | |||||
Consolidated Obligations (Note 10): | |||||||
Discount Notes | 7,557,115 | 6,536,109 | |||||
Bonds | 28,719,874 | 30,358,210 | |||||
Total Consolidated Obligations | 36,276,989 | 36,894,319 | |||||
Accrued Interest Payable | 89,918 | 102,060 | |||||
Affordable Housing Program Payable | 34,550 | 32,845 | |||||
Derivative Liabilities, net (Note 9) | 188,326 | 174,573 | |||||
Mandatorily Redeemable Capital Stock (Note 11) | 450,898 | 453,885 | |||||
Other Liabilities | 264,479 | 141,154 | |||||
Total Liabilities | 38,088,105 | 38,428,302 | |||||
Commitments and Contingencies (Note 15) | |||||||
Capital (Note 11): | |||||||
Capital Stock Putable (at par value of $100 per share): | |||||||
Class B-1 issued and outstanding shares: 16,048 and 15,592, respectively | 1,604,797 | 1,559,196 | |||||
Class B-2 issued and outstanding shares: 31 and 39, respectively | 3,127 | 3,860 | |||||
Total Capital Stock Putable | 1,607,924 | 1,563,056 | |||||
Retained Earnings: | |||||||
Unrestricted | 520,819 | 484,511 | |||||
Restricted | 28,098 | 13,162 | |||||
Total Retained Earnings | 548,917 | 497,673 | |||||
Total Accumulated Other Comprehensive Income (Loss) (Note 12) | (79,710 | ) | (113,541 | ) | |||
Total Capital | 2,077,131 | 1,947,188 | |||||
Total Liabilities and Capital | $ | 40,165,236 | $ | 40,375,490 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Interest Income: | |||||||||||||||
Advances | $ | 43,544 | $ | 39,465 | $ | 88,913 | $ | 80,613 | |||||||
Prepayment Fees on Advances, net | 2,359 | 280 | 2,833 | 1,414 | |||||||||||
Interest-Bearing Deposits | 280 | 8 | 474 | 18 | |||||||||||
Securities Purchased Under Agreements to Resell | 824 | 94 | 1,460 | 683 | |||||||||||
Federal Funds Sold | 593 | 1,973 | 980 | 4,914 | |||||||||||
Available-for-Sale Securities | 10,315 | 13,113 | 20,774 | 27,990 | |||||||||||
Held-to-Maturity Securities | 40,709 | 45,458 | 84,701 | 90,971 | |||||||||||
Mortgage Loans Held for Portfolio, net | 63,887 | 76,532 | 133,118 | 156,661 | |||||||||||
Other, net | (188 | ) | 71 | 753 | 592 | ||||||||||
Total Interest Income | 162,323 | 176,994 | 334,006 | 363,856 | |||||||||||
Interest Expense: | |||||||||||||||
Consolidated Obligation Discount Notes | 1,811 | 2,082 | 2,603 | 5,281 | |||||||||||
Consolidated Obligation Bonds | 97,742 | 115,130 | 201,849 | 233,650 | |||||||||||
Deposits | 21 | 60 | 51 | 133 | |||||||||||
Mandatorily Redeemable Capital Stock | 3,326 | 3,737 | 7,237 | 8,562 | |||||||||||
Total Interest Expense | 102,900 | 121,009 | 211,740 | 247,626 | |||||||||||
Net Interest Income | 59,423 | 55,985 | 122,266 | 116,230 | |||||||||||
Provision for Credit Losses | 1,864 | 1,183 | 2,283 | 2,159 | |||||||||||
Net Interest Income After Provision for Credit Losses | 57,559 | 54,802 | 119,983 | 114,071 | |||||||||||
Other Income (Loss): | |||||||||||||||
Total Other-Than-Temporary Impairment Losses | — | — | (6 | ) | (2,972 | ) | |||||||||
Non-Credit Portion Reclassified to (from) Other Comprehensive Income (Loss), net | (292 | ) | (3,336 | ) | (3,574 | ) | (18,745 | ) | |||||||
Net Other-Than-Temporary Impairment Losses, credit portion | (292 | ) | (3,336 | ) | (3,580 | ) | (21,717 | ) | |||||||
Net Realized Losses from Sale of Available-for-Sale Securities | — | (1,943 | ) | — | (1,943 | ) | |||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (5,563 | ) | (3,406 | ) | (4,387 | ) | (3,533 | ) | |||||||
Service Fees | 254 | 265 | 487 | 528 | |||||||||||
Standby Letters of Credit Fees | 239 | 462 | 488 | 800 | |||||||||||
Loss on Extinguishment of Debt | — | — | — | (397 | ) | ||||||||||
Other, net | 228 | 239 | 505 | 421 | |||||||||||
Total Other Income (Loss) | (5,134 | ) | (7,719 | ) | (6,487 | ) | (25,841 | ) | |||||||
Other Expenses: | |||||||||||||||
Compensation and Benefits | 9,282 | 8,320 | 18,049 | 17,063 | |||||||||||
Other Operating Expenses | 4,199 | 3,686 | 8,129 | 6,516 | |||||||||||
Federal Housing Finance Agency | 826 | 860 | 1,836 | 1,776 | |||||||||||
Office of Finance | 605 | 523 | 1,280 | 1,344 | |||||||||||
Other | 227 | 259 | 425 | 514 | |||||||||||
Total Other Expenses | 15,139 | 13,648 | 29,719 | 27,213 | |||||||||||
Income Before Assessments | 37,286 | 33,435 | 83,777 | 61,017 | |||||||||||
Assessments: | |||||||||||||||
Affordable Housing Program | 4,061 | 3,111 | 9,101 | 5,855 | |||||||||||
Resolution Funding Corporation | — | 5,939 | — | 10,907 | |||||||||||
Total Assessments | 4,061 | 9,050 | 9,101 | 16,762 | |||||||||||
Net Income | $ | 33,225 | $ | 24,385 | $ | 74,676 | $ | 44,255 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Income | $ | 33,225 | $ | 24,385 | $ | 74,676 | $ | 44,255 | |||||||
Other Comprehensive Income: | |||||||||||||||
Net Change in Unrealized Gains (Losses) on Available-for-Sale Securities | (1,769 | ) | 5,886 | (5,185 | ) | 10,149 | |||||||||
Non-Credit Portion of Other-Than-Temporary Impairment Losses on Available-for-Sale Securities: | |||||||||||||||
Non-Credit Portion | — | — | — | (2,331 | ) | ||||||||||
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | 5,183 | (6,328 | ) | 31,785 | (1,062 | ) | |||||||||
Unrealized Gains (Losses) | 630 | (4,546 | ) | 4,754 | (709 | ) | |||||||||
Reclassification of Net Realized Losses From Sale to Other Income (Loss) | — | 1,943 | — | 1,943 | |||||||||||
Reclassification of Non-Credit Portion to Other Income (Loss) | 292 | 3,336 | 3,578 | 21,076 | |||||||||||
Net Non-Credit Portion of Other-Than-Temporary Impairment Losses on Available-for-Sale Securities | 6,105 | (5,595 | ) | 40,117 | 18,917 | ||||||||||
Non-Credit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities: | |||||||||||||||
Non-Credit Portion | — | — | (4 | ) | — | ||||||||||
Accretion of Non-Credit Portion | 19 | 832 | 46 | 1,902 | |||||||||||
Net Non-Credit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities | 19 | 832 | 42 | 1,902 | |||||||||||
Pension Benefits | (1,451 | ) | 1,356 | (1,143 | ) | 1,648 | |||||||||
Total Other Comprehensive Income | 2,904 | 2,479 | 33,831 | 32,616 | |||||||||||
Total Comprehensive Income | $ | 36,129 | $ | 26,864 | $ | 108,507 | $ | 76,871 |
Capital Stock Class B Putable | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | ||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | |||||||||||||||||||||||
Balance, December 31, 2010 | 16,101 | $ | 1,610,060 | $ | 427,557 | $ | — | $ | 427,557 | $ | (90,246 | ) | $ | 1,947,371 | |||||||||||||
Proceeds from Sale of Capital Stock | 349 | 34,898 | 34,898 | ||||||||||||||||||||||||
Repurchase/Redemption of Capital Stock | (1,497 | ) | (149,694 | ) | (149,694 | ) | |||||||||||||||||||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (54 | ) | (5,389 | ) | (5,389 | ) | |||||||||||||||||||||
Total Comprehensive Income | 44,255 | — | 44,255 | 32,616 | 76,871 | ||||||||||||||||||||||
Distributions on Mandatorily Redeemable Capital Stock | (11 | ) | — | (11 | ) | (11 | ) | ||||||||||||||||||||
Cash Dividends on Capital Stock (2.5% annualized) | (20,487 | ) | — | (20,487 | ) | (20,487 | ) | ||||||||||||||||||||
Balance, June 30, 2011 | 14,899 | $ | 1,489,875 | $ | 451,314 | $ | — | $ | 451,314 | $ | (57,630 | ) | $ | 1,883,559 | |||||||||||||
Balance, December 31, 2011 | 15,631 | $ | 1,563,056 | $ | 484,511 | $ | 13,162 | $ | 497,673 | $ | (113,541 | ) | $ | 1,947,188 | |||||||||||||
Proceeds from Sale of Capital Stock | 483 | 48,381 | 48,381 | ||||||||||||||||||||||||
Repurchase/Redemption of Capital Stock | — | — | — | ||||||||||||||||||||||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (35 | ) | (3,513 | ) | (3,513 | ) | |||||||||||||||||||||
Total Comprehensive Income | 59,740 | 14,936 | 74,676 | 33,831 | 108,507 | ||||||||||||||||||||||
Distributions on Mandatorily Redeemable Capital Stock | (27 | ) | — | (27 | ) | (27 | ) | ||||||||||||||||||||
Cash Dividends on Capital Stock (3.0% annualized) | (23,405 | ) | — | (23,405 | ) | (23,405 | ) | ||||||||||||||||||||
Balance, June 30, 2012 | 16,079 | $ | 1,607,924 | $ | 520,819 | $ | 28,098 | $ | 548,917 | $ | (79,710 | ) | $ | 2,077,131 |
Six Months Ended | |||||||
June 30, | |||||||
2012 | 2011 (1) | ||||||
Operating Activities: | |||||||
Net Income | $ | 74,676 | $ | 44,255 | |||
Adjustments to reconcile Net Income to Net Cash provided by Operating Activities: | |||||||
Amortization and Depreciation | 12,976 | 13,423 | |||||
Change in Net Derivative and Hedging Activities | 44,797 | 51,004 | |||||
Net Other-Than-Temporary Impairment Losses, credit portion | 3,580 | 21,717 | |||||
Loss on Extinguishment of Debt | — | 397 | |||||
Provision for Credit Losses | 2,283 | 2,159 | |||||
Net Realized Losses from Sale of Available-for-Sale Securities | — | 1,943 | |||||
Changes in: | |||||||
Accrued Interest Receivable (adjusted for capitalized interest) | 977 | 19,925 | |||||
Other Assets | 5,140 | (138 | ) | ||||
Accrued Interest Payable | (12,142 | ) | (10,176 | ) | |||
Other Liabilities | (300 | ) | (8,811 | ) | |||
Total Adjustments, net | 57,311 | 91,443 | |||||
Net Cash provided by Operating Activities | 131,987 | 135,698 | |||||
Investing Activities: | |||||||
Changes in: | |||||||
Interest-Bearing Deposits | (12,387 | ) | (10,956 | ) | |||
Securities Purchased Under Agreements to Resell | (1,700,000 | ) | 750,000 | ||||
Federal Funds Sold | 1,185,000 | 4,420,000 | |||||
Purchases of Premises, Software, and Equipment | (5,666 | ) | (894 | ) | |||
Available-for-Sale Securities: | |||||||
Proceeds from Maturities of Long-Term | 35,428 | 107,740 | |||||
Proceeds from Sales of Long-Term | — | 66,520 | |||||
Purchases of Long-Term | (777,000 | ) | — | ||||
Held-to-Maturity Securities: | |||||||
Proceeds from Maturities of Long-Term | 2,233,961 | 753,507 | |||||
Purchases of Long-Term | (842,141 | ) | (975,136 | ) | |||
Advances: | |||||||
Principal Collected | 24,083,868 | 7,986,310 | |||||
Disbursed to Members | (24,317,570 | ) | (7,174,205 | ) | |||
Mortgage Loans Held for Portfolio: | |||||||
Principal Collected | 727,263 | 664,708 | |||||
Purchases | (557,825 | ) | (248,416 | ) | |||
Other Federal Home Loan Banks: | |||||||
Principal Collected on Loans | — | 50,000 | |||||
Loans Made | — | (50,000 | ) | ||||
Net Cash provided by Investing Activities | 52,931 | 6,339,178 |
(1) | Certain amounts have been revised. See Note 1 - Summary of Significant Accounting Policies - Correction of an Error. |
Six Months Ended | |||||||
June 30, | |||||||
2012 | 2011 | ||||||
Financing Activities: | |||||||
Changes in Deposits | 153,479 | 121,672 | |||||
Net Payments on Derivative Contracts with Financing Elements | (42,481 | ) | (54,171 | ) | |||
Net Proceeds from Issuance of Consolidated Obligations: | |||||||
Discount Notes | 56,295,065 | 259,944,888 | |||||
Bonds | 11,810,870 | 9,923,131 | |||||
Payments for Matured and Retired Consolidated Obligations: | |||||||
Discount Notes | (55,274,157 | ) | (258,875,922 | ) | |||
Bonds | (13,460,500 | ) | (15,723,077 | ) | |||
Proceeds from Sale of Capital Stock | 48,381 | 34,898 | |||||
Payments for Redemption of Mandatorily Redeemable Capital Stock | (6,527 | ) | (148,633 | ) | |||
Payments for Repurchase/Redemption of Capital Stock | — | (149,694 | ) | ||||
Cash Dividends Paid on Capital Stock | (23,405 | ) | (20,487 | ) | |||
Net Cash used in Financing Activities | (499,275 | ) | (4,947,395 | ) | |||
Net Increase (Decrease) in Cash and Cash Equivalents | (314,357 | ) | 1,527,481 | ||||
Cash and Cash Equivalents at Beginning of Period | 512,682 | 11,676 | |||||
Cash and Cash Equivalents at End of Period | $ | 198,325 | $ | 1,539,157 | |||
Supplemental Disclosures: | |||||||
Interest Paid | $ | 219,689 | $ | 259,993 | |||
Affordable Housing Program Payments | 7,397 | 8,813 | |||||
Resolution Funding Corporation Assessments Paid | — | 15,302 | |||||
Capitalized Interest on Certain Held-to-Maturity Securities | 9,416 | 16,434 | |||||
Par Value of Net Shares Reclassified to Mandatorily Redeemable Capital Stock | 3,513 | 5,389 |
Six Months Ended | ||||||||
June 30, 2011 | ||||||||
As Previously Reported | As Revised | |||||||
Operating Activities: | ||||||||
Net Change in: Accrued Interest Receivable | $ | 9,051 | $ | 19,925 | ||||
Total Adjustments, net | 80,569 | 91,443 | ||||||
Net Cash provided by Operating Activities | 124,824 | 135,698 | ||||||
Investing Activities: | ||||||||
Held-to-Maturity Securities: Proceeds from Maturities of Long-Term | 764,381 | 753,507 | ||||||
Net Cash provided by Investing Activities | 6,350,052 | 6,339,178 |
Gross | Gross | |||||||||||||||||||
Amortized | Non-Credit | Unrealized | Unrealized | Estimated | ||||||||||||||||
June 30, 2012 | Cost (1) | OTTI | Gains | Losses | Fair Value | |||||||||||||||
GSE debentures | $ | 2,904,385 | $ | — | $ | 11,881 | $ | (2,181 | ) | $ | 2,914,085 | |||||||||
TLGP debentures | 319,507 | — | 195 | — | 319,702 | |||||||||||||||
Private-label RMBS | 682,132 | (81,001 | ) | 1,844 | — | 602,975 | ||||||||||||||
Total AFS securities | $ | 3,906,024 | $ | (81,001 | ) | $ | 13,920 | $ | (2,181 | ) | $ | 3,836,762 | ||||||||
December 31, 2011 | ||||||||||||||||||||
GSE debentures | $ | 2,011,882 | $ | — | $ | 14,045 | $ | (232 | ) | $ | 2,025,695 | |||||||||
TLGP debentures | 321,175 | — | 1,267 | — | 322,442 | |||||||||||||||
Private-label RMBS | 720,583 | (116,364 | ) | 343 | (3,253 | ) | 601,309 | |||||||||||||
Total AFS securities | $ | 3,053,640 | $ | (116,364 | ) | $ | 15,655 | $ | (3,485 | ) | $ | 2,949,446 |
(1) | Amortized cost of AFS securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. |
Net Unrealized Gains (Losses) on AFS Securities | June 30, 2012 | December 31, 2011 | ||||||
Gross unrealized gains included in estimated fair value | $ | 13,920 | $ | 15,655 | ||||
Gross unrealized losses included in estimated fair value | (2,181 | ) | (3,485 | ) | ||||
Less: unrealized gains (losses) on previously OTTI securities | 1,844 | (2,910 | ) | |||||
Net unrealized gains (losses) on AFS securities recognized in AOCI (Note 12) | $ | 9,895 | $ | 15,080 |
Net Non-Credit Portion of OTTI Losses on AFS Securities | June 30, 2012 | December 31, 2011 | ||||||
Non-Credit OTTI | $ | (81,001 | ) | $ | (116,364 | ) | ||
Plus: unrealized gains (losses) on previously OTTI securities | 1,844 | (2,910 | ) | |||||
Net non-credit portion of OTTI losses on AFS securities recognized in AOCI (Note 12) | $ | (79,157 | ) | $ | (119,274 | ) |
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
June 30, 2012 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE debentures | $ | 532,649 | $ | (2,181 | ) | $ | — | $ | — | $ | 532,649 | $ | (2,181 | ) | ||||||||||
TLGP debentures | — | — | — | — | — | — | ||||||||||||||||||
Total Non-MBS | 532,649 | (2,181 | ) | — | — | 532,649 | (2,181 | ) | ||||||||||||||||
Private-label RMBS | — | — | 543,536 | (81,001 | ) | 543,536 | (81,001 | ) | ||||||||||||||||
Total impaired AFS securities | $ | 532,649 | $ | (2,181 | ) | $ | 543,536 | $ | (81,001 | ) | $ | 1,076,185 | $ | (83,182 | ) | |||||||||
December 31, 2011 | ||||||||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE debentures | $ | — | $ | — | $ | 113,361 | $ | (232 | ) | $ | 113,361 | $ | (232 | ) | ||||||||||
TLGP debentures | — | — | — | — | — | — | ||||||||||||||||||
Total Non-MBS | — | — | 113,361 | (232 | ) | 113,361 | (232 | ) | ||||||||||||||||
Private-label RMBS | 88,161 | (13,121 | ) | 495,251 | (106,496 | ) | 583,412 | (119,617 | ) | |||||||||||||||
Total impaired AFS securities | $ | 88,161 | $ | (13,121 | ) | $ | 608,612 | $ | (106,728 | ) | $ | 696,773 | $ | (119,849 | ) |
June 30, 2012 | December 31, 2011 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | 319,507 | $ | 319,702 | $ | 321,175 | $ | 322,442 | ||||||||
Due after one year through five years | 1,718,735 | 1,729,286 | 941,496 | 950,264 | ||||||||||||
Due after five years through ten years | 1,100,920 | 1,101,237 | 1,070,386 | 1,075,431 | ||||||||||||
Due after ten years | 84,730 | 83,562 | — | — | ||||||||||||
Total Non-MBS | 3,223,892 | 3,233,787 | 2,333,057 | 2,348,137 | ||||||||||||
Total MBS | 682,132 | 602,975 | 720,583 | 601,309 | ||||||||||||
Total AFS securities | $ | 3,906,024 | $ | 3,836,762 | $ | 3,053,640 | $ | 2,949,446 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Sales of AFS Securities | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Proceeds from sale | $ | — | $ | 66,520 | $ | — | $ | 66,520 | ||||||||
Previously recognized OTTI credit losses including accretion | $ | — | $ | 16,585 | $ | — | $ | 16,585 | ||||||||
Gross gains | $ | — | $ | 904 | $ | — | $ | 904 | ||||||||
Gross losses | — | (2,847 | ) | — | (2,847 | ) | ||||||||||
Net Realized Losses from Sale of Available-for-Sale Securities | $ | — | $ | (1,943 | ) | $ | — | $ | (1,943 | ) |
Gross | Gross | |||||||||||||||||||||||
OTTI | Unrecognized | Unrecognized | Estimated | |||||||||||||||||||||
Amortized | Recognized | Carrying | Holding | Holding | Fair | |||||||||||||||||||
June 30, 2012 | Cost (1) | In AOCI | Value (2) | Gains (3) | Losses (3) | Value | ||||||||||||||||||
Non-MBS and ABS: | ||||||||||||||||||||||||
GSE debentures | $ | 268,995 | $ | — | $ | 268,995 | $ | 1,404 | $ | — | $ | 270,399 | ||||||||||||
TLGP debentures | 218,765 | — | 218,765 | 35 | — | 218,800 | ||||||||||||||||||
Total Non-MBS and ABS | 487,760 | — | 487,760 | 1,439 | — | 489,199 | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed RMBS | 2,893,029 | — | 2,893,029 | 70,279 | (6,779 | ) | 2,956,529 | |||||||||||||||||
GSE RMBS | 3,762,456 | — | 3,762,456 | 145,065 | (675 | ) | 3,906,846 | |||||||||||||||||
Private-label RMBS | 303,472 | — | 303,472 | 586 | (6,853 | ) | 297,205 | |||||||||||||||||
Manufactured housing loan ABS | 15,792 | — | 15,792 | — | (3,655 | ) | 12,137 | |||||||||||||||||
Home equity loan ABS | 2,540 | (350 | ) | 2,190 | — | (433 | ) | 1,757 | ||||||||||||||||
Total MBS and ABS | 6,977,289 | (350 | ) | 6,976,939 | 215,930 | (18,395 | ) | 7,174,474 | ||||||||||||||||
Total HTM securities | $ | 7,465,049 | $ | (350 | ) | $ | 7,464,699 | $ | 217,369 | $ | (18,395 | ) | $ | 7,663,673 | ||||||||||
December 31, 2011 | ||||||||||||||||||||||||
Non-MBS and ABS: | ||||||||||||||||||||||||
GSE debentures | $ | 268,994 | $ | — | $ | 268,994 | $ | 1,361 | $ | — | $ | 270,355 | ||||||||||||
TLGP debentures | 1,883,334 | — | 1,883,334 | 2,505 | (45 | ) | 1,885,794 | |||||||||||||||||
Total Non-MBS and ABS | 2,152,328 | — | 2,152,328 | 3,866 | (45 | ) | 2,156,149 | |||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed RMBS | 2,746,474 | — | 2,746,474 | 48,915 | (13,258 | ) | 2,782,131 | |||||||||||||||||
GSE RMBS | 3,511,831 | — | 3,511,831 | 118,839 | (2,537 | ) | 3,628,133 | |||||||||||||||||
Private-label RMBS | 402,464 | — | 402,464 | 227 | (12,143 | ) | 390,548 | |||||||||||||||||
Manufactured housing loan ABS | 16,757 | — | 16,757 | — | (3,482 | ) | 13,275 | |||||||||||||||||
Home equity loan ABS | 2,716 | (392 | ) | 2,324 | — | (479 | ) | 1,845 | ||||||||||||||||
Total MBS and ABS | 6,680,242 | (392 | ) | 6,679,850 | 167,981 | (31,899 | ) | 6,815,932 | ||||||||||||||||
Total HTM securities | $ | 8,832,570 | $ | (392 | ) | $ | 8,832,178 | $ | 171,847 | $ | (31,944 | ) | $ | 8,972,081 |
(1) | Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and, if applicable, OTTI recognized in earnings (credit losses). |
(2) | Carrying value of HTM securities represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
(3) | Gross unrecognized holding gains (losses) represents the difference between estimated fair value and carrying value. |
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
June 30, 2012 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses (1) | ||||||||||||||||||
Non-MBS and ABS: | ||||||||||||||||||||||||
GSE debentures | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
TLGP debentures | — | — | — | — | — | — | ||||||||||||||||||
Total Non-MBS and ABS | — | — | — | — | — | — | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | 179,214 | (149 | ) | 821,576 | (6,630 | ) | 1,000,790 | (6,779 | ) | |||||||||||||||
GSE RMBS | 83,167 | (103 | ) | 116,700 | (572 | ) | 199,867 | (675 | ) | |||||||||||||||
Private-label RMBS | 32,454 | (154 | ) | 219,012 | (6,699 | ) | 251,466 | (6,853 | ) | |||||||||||||||
Manufactured housing loan ABS | — | — | 12,137 | (3,655 | ) | 12,137 | (3,655 | ) | ||||||||||||||||
Home equity loan ABS | — | — | 1,757 | (783 | ) | 1,757 | (783 | ) | ||||||||||||||||
Total MBS and ABS | 294,835 | (406 | ) | 1,171,182 | (18,339 | ) | 1,466,017 | (18,745 | ) | |||||||||||||||
Total impaired HTM securities | $ | 294,835 | $ | (406 | ) | $ | 1,171,182 | $ | (18,339 | ) | $ | 1,466,017 | $ | (18,745 | ) | |||||||||
December 31, 2011 | ||||||||||||||||||||||||
Non-MBS and ABS: | ||||||||||||||||||||||||
GSE debentures | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
TLGP debentures | 224,955 | (45 | ) | — | — | 224,955 | (45 | ) | ||||||||||||||||
Total Non-MBS and ABS | 224,955 | (45 | ) | — | — | 224,955 | (45 | ) | ||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | 599,050 | (4,477 | ) | 548,564 | (8,781 | ) | 1,147,614 | (13,258 | ) | |||||||||||||||
GSE RMBS | 480,432 | (897 | ) | 196,632 | (1,640 | ) | 677,064 | (2,537 | ) | |||||||||||||||
Private-label RMBS | 57,366 | (677 | ) | 297,791 | (11,466 | ) | 355,157 | (12,143 | ) | |||||||||||||||
Manufactured housing loan ABS | — | — | 13,275 | (3,482 | ) | 13,275 | (3,482 | ) | ||||||||||||||||
Home equity loan ABS | — | — | 1,845 | (871 | ) | 1,845 | (871 | ) | ||||||||||||||||
Total MBS and ABS | 1,136,848 | (6,051 | ) | 1,058,107 | (26,240 | ) | 2,194,955 | (32,291 | ) | |||||||||||||||
Total impaired HTM securities | $ | 1,361,803 | $ | (6,096 | ) | $ | 1,058,107 | $ | (26,240 | ) | $ | 2,419,910 | $ | (32,336 | ) |
(1) | As a result of OTTI accounting guidance, the total unrealized losses on private-label RMBS may not agree to the gross unrecognized holding losses on private-label RMBS in the major security types table above. |
June 30, 2012 | December 31, 2011 | |||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||
Amortized | Carrying | Fair | Amortized | Carrying | Fair | |||||||||||||||||||
Year of Contractual Maturity | Cost (1) | Value (2) | Value | Cost (1) | Value (2) | Value | ||||||||||||||||||
Non-MBS and ABS: | ||||||||||||||||||||||||
Due in one year or less | $ | 218,765 | $ | 218,765 | $ | 218,800 | $ | 1,883,334 | $ | 1,883,334 | $ | 1,885,794 | ||||||||||||
Due after one year through five years | 268,995 | 268,995 | 270,399 | 268,994 | 268,994 | 270,355 | ||||||||||||||||||
Due after five years through ten years | — | — | — | — | — | — | ||||||||||||||||||
Due after ten years | — | — | — | — | — | — | ||||||||||||||||||
Total Non-MBS and ABS | 487,760 | 487,760 | 489,199 | 2,152,328 | 2,152,328 | 2,156,149 | ||||||||||||||||||
Total MBS and ABS | 6,977,289 | 6,976,939 | 7,174,474 | 6,680,242 | 6,679,850 | 6,815,932 | ||||||||||||||||||
Total HTM securities | $ | 7,465,049 | $ | 7,464,699 | $ | 7,663,673 | $ | 8,832,570 | $ | 8,832,178 | $ | 8,972,081 |
(1) | Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and, if applicable, OTTI recognized in earnings (credit losses). |
(2) | Carrying value of HTM securities represents amortized cost after adjustment for non-credit OTTI recognized in AOCI. |
Months | Recovery Range % | |||
1 - 6 | 0.0% | – | 2.8% | |
7 - 18 | 0.0% | – | 3.0% | |
19 - 24 | 1.0% | – | 4.0% | |
25 - 30 | 2.0% | – | 4.0% | |
31 - 42 | 2.0% | – | 5.0% | |
43 - 66 | 2.0% | – | 6.0% | |
Thereafter | 2.3% | – | 5.6% |
Significant Modeling Assumptions for OTTI private-label RMBS | Current Credit | |||||||||||||||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Enhancement | |||||||||||||||||||||||||||||
Weighted | Range | Range | Weighted | Range | Range | Weighted | Range | Range | Weighted | Range | Range | |||||||||||||||||||||
Average | Low | High | Average | Low | High | Average | Low | High | Average | Low | High | |||||||||||||||||||||
Year of Securitization | % | % | % | % | % | % | % | % | % | % | % | % | ||||||||||||||||||||
Prime - 2006 | 8.9 | % | 8.2 | % | 11.2 | % | 31.5 | % | 19.6 | % | 35.2 | % | 38.8 | % | 35.7 | % | 39.8 | % | 2.1 | % | 0.0 | % | 2.8 | % | ||||||||
Total OTTI private-label RMBS | 8.9 | % | 8.2 | % | 11.2 | % | 31.5 | % | 19.6 | % | 35.2 | % | 38.8 | % | 35.7 | % | 39.8 | % | 2.1 | % | 0.0 | % | 2.8 | % |
Three Months Ended | Six Months Ended | |||||||||||||||||||||||
Total | Net OTTI | OTTI | Total | Net OTTI | OTTI | |||||||||||||||||||
OTTI | Reclassified | Related to | OTTI | Reclassified | Related to | |||||||||||||||||||
June 30, 2012 | Losses | to (from) OCI | Credit Loss | Losses | to (from) OCI | Credit Loss | ||||||||||||||||||
Private-label RMBS: | ||||||||||||||||||||||||
Prime | $ | — | $ | (292 | ) | $ | (292 | ) | $ | (6 | ) | $ | (3,574 | ) | $ | (3,580 | ) | |||||||
Alt-A | — | — | — | — | — | — | ||||||||||||||||||
Total OTTI securities | $ | — | $ | (292 | ) | $ | (292 | ) | $ | (6 | ) | $ | (3,574 | ) | $ | (3,580 | ) | |||||||
June 30, 2011 | ||||||||||||||||||||||||
Private-label RMBS: | ||||||||||||||||||||||||
Prime | $ | — | $ | (2,334 | ) | $ | (2,334 | ) | $ | — | $ | (20,074 | ) | $ | (20,074 | ) | ||||||||
Alt-A | — | (1,002 | ) | (1,002 | ) | (2,972 | ) | 1,329 | (1,643 | ) | ||||||||||||||
Total OTTI securities | $ | — | $ | (3,336 | ) | $ | (3,336 | ) | $ | (2,972 | ) | $ | (18,745 | ) | $ | (21,717 | ) |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Reconciliation of Non-Credit Losses | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Reclassification of non-credit portion to Other Income (Loss) | $ | (292 | ) | $ | (3,336 | ) | $ | (3,578 | ) | $ | (21,076 | ) | ||||
Non-credit losses recognized in OCI | — | — | 4 | 2,331 | ||||||||||||
Non-Credit Portion Reclassified to (from) Other Comprehensive Income (Loss) | $ | (292 | ) | $ | (3,336 | ) | $ | (3,574 | ) | $ | (18,745 | ) |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Credit Loss Rollforward | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance at Beginning of Period | $ | 108,924 | $ | 128,238 | $ | 105,636 | $ | 110,747 | ||||||||
Additions: | ||||||||||||||||
Credit losses for which OTTI was not previously recognized | — | — | — | — | ||||||||||||
Additional credit losses for which OTTI was previously recognized | 292 | 3,336 | 3,580 | 21,717 | ||||||||||||
Reductions: | ||||||||||||||||
Credit losses on securities sold, matured, paid down or prepaid | (2 | ) | (16,585 | ) | (2 | ) | (16,585 | ) | ||||||||
Significant increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | (218 | ) | — | (1,108 | ) | ||||||||||
Balance at End of Period | $ | 109,214 | $ | 114,771 | $ | 109,214 | $ | 114,771 |
June 30, 2012 | ||||||||||||||||||||||||||||
HTM Securities | AFS Securities | |||||||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||||||
OTTI Three Months Ended | UPB | Amortized Cost | Carrying Value | Fair Value | UPB | Amortized Cost | Fair Value | |||||||||||||||||||||
Private-label RMBS - prime | $ | — | $ | — | $ | — | $ | — | $ | 74,568 | $ | 68,383 | $ | 61,181 | ||||||||||||||
Private-label RMBS - Alt-A | — | — | — | — | — | — | — | |||||||||||||||||||||
Home equity loan ABS - subprime | — | — | — | — | — | — | — | |||||||||||||||||||||
Total OTTI securities | $ | — | $ | — | $ | — | $ | — | $ | 74,568 | $ | 68,383 | $ | 61,181 | ||||||||||||||
OTTI Life-to-Date | ||||||||||||||||||||||||||||
Private-label RMBS - prime | $ | — | $ | — | $ | — | $ | — | $ | 761,538 | $ | 651,715 | $ | 581,207 | ||||||||||||||
Private-label RMBS - Alt-A | — | — | — | — | 38,106 | 30,417 | 21,768 | |||||||||||||||||||||
Home equity loan ABS - subprime | 986 | 946 | 595 | 561 | — | — | — | |||||||||||||||||||||
Total OTTI securities | $ | 986 | $ | 946 | $ | 595 | $ | 561 | $ | 799,644 | $ | 682,132 | $ | 602,975 | ||||||||||||||
Total MBS and ABS | $ | 6,977,289 | $ | 6,976,939 | $ | 7,174,474 | $ | 682,132 | $ | 602,975 |
June 30, 2012 | December 31, 2011 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR % | Amount | WAIR % | ||||||||||
Overdrawn demand and overnight deposit accounts | $ | 3,576 | 2.50 | $ | 145 | 2.49 | ||||||||
Due in 1 year or less | 3,891,272 | 1.71 | 2,535,953 | 1.81 | ||||||||||
Due after 1 year through 2 years | 1,160,317 | 2.69 | 2,413,612 | 2.55 | ||||||||||
Due after 2 years through 3 years | 2,128,236 | 2.64 | 2,050,525 | 2.63 | ||||||||||
Due after 3 years through 4 years | 2,889,713 | 3.11 | 2,488,247 | 3.51 | ||||||||||
Due after 4 years through 5 years | 3,401,583 | 2.54 | 3,357,569 | 2.71 | ||||||||||
Thereafter | 4,527,320 | 2.61 | 4,922,264 | 2.64 | ||||||||||
Total Advances, par value | 18,002,017 | 2.49 | 17,768,315 | 2.64 | ||||||||||
Unamortized discounts (including AHP) | (1,041 | ) | (1,027 | ) | ||||||||||
Hedging adjustments | 617,438 | 597,456 | ||||||||||||
Unamortized deferred prepayment fees | 195,270 | 202,958 | ||||||||||||
Total Advances | $ | 18,813,684 | $ | 18,567,702 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Put Date | |||||||||||||||
June 30, 2012 | December 31, 2011 | June 30, 2012 | December 31, 2011 | |||||||||||||
Overdrawn demand and overnight deposit accounts | $ | 3,576 | $ | 145 | $ | 3,576 | $ | 145 | ||||||||
Due in 1 year or less | 5,765,682 | 4,233,303 | 4,193,272 | 2,867,703 | ||||||||||||
Due after 1 year through 2 years | 1,133,317 | 2,513,612 | 1,166,317 | 2,395,862 | ||||||||||||
Due after 2 years through 3 years | 2,135,986 | 2,020,525 | 2,096,236 | 2,012,525 | ||||||||||||
Due after 3 years through 4 years | 2,668,713 | 2,457,247 | 2,848,213 | 2,451,747 | ||||||||||||
Due after 4 years through 5 years | 3,542,833 | 3,416,569 | 3,312,083 | 3,327,569 | ||||||||||||
Thereafter | 2,751,910 | 3,126,914 | 4,382,320 | 4,712,764 | ||||||||||||
Total Advances, par value | $ | 18,002,017 | $ | 17,768,315 | $ | 18,002,017 | $ | 17,768,315 |
By Term | June 30, 2012 | December 31, 2011 | ||||||
Fixed-rate medium-term (1) mortgages | $ | 854,333 | $ | 835,737 | ||||
Fixed-rate long-term (2) mortgages | 4,874,123 | 5,079,166 | ||||||
Total Mortgage Loans Held for Portfolio, UPB | 5,728,456 | 5,914,903 | ||||||
Unamortized premiums | 64,501 | 55,682 | ||||||
Unamortized discounts | (14,476 | ) | (16,971 | ) | ||||
Hedging adjustments | 6,077 | 4,828 | ||||||
Allowance for loan losses | (5,000 | ) | (3,300 | ) | ||||
Total Mortgage Loans Held for Portfolio, net | $ | 5,779,558 | $ | 5,955,142 |
(1) | Medium-term is defined as an original term of 15 years or less. |
(2) | Long-term is defined as an original term greater than 15 years. |
By Type | June 30, 2012 | December 31, 2011 | ||||||
Conventional | $ | 4,761,394 | $ | 4,895,073 | ||||
FHA | 967,062 | 1,019,830 | ||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 5,728,456 | $ | 5,914,903 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Rollforward of Allowance | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Allowance for loan losses on mortgage loans, beginning of period | $ | 3,500 | $ | 1,000 | $ | 3,300 | $ | 500 | ||||||||
Charge-offs | (364 | ) | (283 | ) | (583 | ) | (759 | ) | ||||||||
Provision (reversal) for loan losses | 1,864 | 1,183 | 2,283 | 2,159 | ||||||||||||
Allowance for loan losses on mortgage loans, end of period | $ | 5,000 | $ | 1,900 | $ | 5,000 | $ | 1,900 |
Allowance for Loan Losses | June 30, 2012 | December 31, 2011 | ||||||
Conventional loans collectively evaluated for impairment | $ | 3,463 | $ | 1,613 | ||||
Conventional loans individually evaluated for impairment (1) | 1,537 | 1,687 | ||||||
Total allowance for loan losses | $ | 5,000 | $ | 3,300 | ||||
Recorded Investment | ||||||||
Conventional loans collectively evaluated for impairment | $ | 4,803,880 | $ | 4,934,077 | ||||
Conventional loans individually evaluated for impairment (1) | 12,714 | 2,496 | ||||||
Total recorded investment | $ | 4,816,594 | $ | 4,936,573 |
(1) | The recorded investment in our conventional loans individually evaluated for impairment excludes potential claims by servicers as of June 30, 2012 and December 31, 2011 for any losses resulting from past or future liquidations of the underlying properties on $17,494 and $20,890, respectively, of principal that was previously paid in full by the servicers. However, the allowance for loan losses includes $1,455 and $1,678 for these potential claims as of June 30, 2012 and December 31, 2011, respectively. |
June 30, 2012 | December 31, 2011 | |||||||
Estimated losses remaining after borrower's equity, before credit enhancements | $ | (63,357 | ) | $ | (49,349 | ) | ||
Portion of estimated losses deemed recoverable from PMI | 6,967 | 6,570 | ||||||
Portion of estimated losses recoverable from LRA | 12,727 | 11,659 | ||||||
Portion of estimated losses deemed recoverable from SMI | 38,663 | 27,820 | ||||||
Allowance for loan losses | $ | (5,000 | ) | $ | (3,300 | ) |
Six Months Ended | ||||
LRA Activity | June 30, 2012 | |||
Balance of LRA, beginning of period | $ | 23,408 | ||
Additions | 7,960 | |||
Claims paid | (4,510 | ) | ||
Distributions | (523 | ) | ||
Balance of LRA, end of period | $ | 26,335 |
Mortgage Loans Held for Portfolio as of June 30, 2012 | Conventional Loans | FHA Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | 65,589 | $ | 34,835 | $ | 100,424 | ||||||
Past due 60-89 days delinquent | 21,595 | 9,663 | 31,258 | |||||||||
Past due 90 days or more delinquent | 117,148 | 3,400 | 120,548 | |||||||||
Total past due | 204,332 | 47,898 | 252,230 | |||||||||
Total current loans | 4,612,262 | 943,358 | 5,555,620 | |||||||||
Total mortgage loans, recorded investment | 4,816,594 | 991,256 | 5,807,850 | |||||||||
Net unamortized premiums | (30,533 | ) | (19,492 | ) | (50,025 | ) | ||||||
Hedging adjustments | (5,092 | ) | (985 | ) | (6,077 | ) | ||||||
Accrued interest receivable | (19,575 | ) | (3,717 | ) | (23,292 | ) | ||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 4,761,394 | $ | 967,062 | $ | 5,728,456 | ||||||
Other Delinquency Statistics as of June 30, 2012 | ||||||||||||
In process of foreclosure, included above (1) | $ | 85,838 | $ | — | $ | 85,838 | ||||||
Serious delinquency rate (2) | 2.43 | % | 0.34 | % | 2.08 | % | ||||||
Past due 90 days or more still accruing interest (3) | $ | 116,502 | $ | 3,400 | $ | 119,902 | ||||||
On non-accrual status | 2,745 | — | 2,745 | |||||||||
Mortgage Loans Held for Portfolio as of December 31, 2011 | ||||||||||||
Past due 30-59 days delinquent | $ | 77,722 | $ | 50,969 | $ | 128,691 | ||||||
Past due 60-89 days delinquent | 32,522 | 9,064 | 41,586 | |||||||||
Past due 90 days or more delinquent | 122,960 | 6,362 | 129,322 | |||||||||
Total past due | 233,204 | 66,395 | 299,599 | |||||||||
Total current loans | 4,703,369 | 980,033 | 5,683,402 | |||||||||
Total mortgage loans, recorded investment | 4,936,573 | 1,046,428 | 5,983,001 | |||||||||
Net unamortized premiums | (17,102 | ) | (21,609 | ) | (38,711 | ) | ||||||
Hedging adjustments | (3,786 | ) | (1,042 | ) | (4,828 | ) | ||||||
Accrued interest receivable | (20,612 | ) | (3,947 | ) | (24,559 | ) | ||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 4,895,073 | $ | 1,019,830 | $ | 5,914,903 | ||||||
Other Delinquency Statistics as of December 31, 2011 | ||||||||||||
In process of foreclosure, included above (1) | $ | 84,757 | $ | — | $ | 84,757 | ||||||
Serious delinquency rate (2) | 2.49 | % | 0.61 | % | 2.16 | % | ||||||
Past due 90 days or more still accruing interest (3) | $ | 122,918 | $ | 6,362 | $ | 129,280 | ||||||
On non-accrual status | 239 | — | 239 |
(1) | Includes loans for which the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status. |
(2) | Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total recorded investment in mortgage loans. The percentage excludes principal amounts that were previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Many FHA loans are repurchased by the servicers when they reach 90 days or more delinquent status similar to the rules for servicers of Ginnie Mae mortgage-backed securities, resulting in the lower serious delinquency rate for FHA loans. |
(3) | Although our past due scheduled/scheduled loans are classified as loans past due 90 days or more based on the mortgagor's payment status, we do not consider these loans to be non-accrual. |
June 30, 2012 | December 31, 2011 | |||||||||||||||||||||||
Recorded Investment | Performing | Non-Performing (1) | Total | Performing | Non-Performing (1) | Total | ||||||||||||||||||
Conventional loans | $ | 10,276 | $ | 2,438 | $ | 12,714 | $ | 2,298 | $ | 198 | $ | 2,496 |
(1) | Represents loans on non-accrual status. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2012 | June 30, 2012 | |||||||||||||||
Troubled Debt Restructurings at Modification Date | Pre-Modification | Post-Modification | Pre-Modification | Post-Modification | ||||||||||||
Conventional loans | $ | 8,273 | $ | 8,920 | $ | 9,768 | $ | 10,518 |
June 30, 2012 | December 31, 2011 | |||||||||||||||||||||||
Individually Evaluated Loan Statistics | Recorded Investment | Unpaid Principal Balance | Related Allowance for Loan Losses | Recorded Investment | Unpaid Principal Balance | Related Allowance for Loan Losses | ||||||||||||||||||
Conventional loans without allowance for loan losses | $ | 10,276 | $ | 10,190 | $ | — | $ | 2,298 | $ | 2,283 | $ | — | ||||||||||||
Conventional loans with allowance for loan losses | 2,438 | 2,416 | 82 | 198 | 193 | 9 | ||||||||||||||||||
Total | $ | 12,714 | $ | 12,606 | $ | 82 | $ | 2,496 | $ | 2,476 | $ | 9 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2012 | June 30, 2012 | |||||||||||||||
Individually Impaired Loans | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
Conventional loans without allowance for loan losses | $ | 6,778 | $ | 144 | $ | 5,211 | $ | 184 | ||||||||
Conventional loans with allowance for loan losses | 1,551 | 37 | 1,126 | 45 | ||||||||||||
Total | $ | 8,329 | $ | 181 | $ | 6,337 | $ | 229 |
Notional | Fair Value | Fair Value | ||||||||||
Amount of | of Derivative | of Derivative | ||||||||||
June 30, 2012 | Derivatives | Assets | Liabilities | |||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps | $ | 33,636,939 | $ | 70,664 | $ | 991,184 | ||||||
Total derivatives designated as hedging instruments | 33,636,939 | 70,664 | 991,184 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 90,000 | 290 | 438 | |||||||||
Interest-rate caps/floors | 340,500 | 1,417 | — | |||||||||
Interest-rate futures/forwards | 155,200 | — | 733 | |||||||||
Mortgage delivery commitments | 156,978 | 425 | 26 | |||||||||
Total derivatives not designated as hedging instruments | 742,678 | 2,132 | 1,197 | |||||||||
Total derivatives before adjustments | $ | 34,379,617 | 72,796 | 992,381 | ||||||||
Netting adjustments | (72,371 | ) | (72,371 | ) | ||||||||
Cash collateral and related accrued interest | — | (731,684 | ) | |||||||||
Total adjustments (1) | (72,371 | ) | (804,055 | ) | ||||||||
Total derivatives, net | $ | 425 | $ | 188,326 | ||||||||
December 31, 2011 | ||||||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps | $ | 33,849,773 | $ | 74,405 | $ | 969,179 | ||||||
Total derivatives designated as hedging instruments | 33,849,773 | 74,405 | 969,179 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 764,477 | 128 | 616 | |||||||||
Interest-rate caps/floors | 305,000 | 2,190 | — | |||||||||
Interest-rate futures/forwards | 70,300 | — | 763 | |||||||||
Mortgage delivery commitments | 68,069 | 417 | — | |||||||||
Total derivatives not designated as hedging instruments | 1,207,846 | 2,735 | 1,379 | |||||||||
Total derivatives before adjustments | $ | 35,057,619 | 77,140 | 970,558 | ||||||||
Netting adjustments | (76,647 | ) | (76,647 | ) | ||||||||
Cash collateral and related accrued interest | — | (719,338 | ) | |||||||||
Total adjustments (1) | (76,647 | ) | (795,985 | ) | ||||||||
Total derivatives, net | $ | 493 | $ | 174,573 |
(1) | Amounts represent the effect of legally enforceable master netting agreements that allow us to net settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same counterparties. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Type of Hedge | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Net gain (loss) related to fair-value hedge ineffectiveness: | ||||||||||||||||
Interest-rate swaps | $ | (2,882 | ) | $ | (2,915 | ) | $ | (452 | ) | $ | (2,830 | ) | ||||
Interest-rate futures/forwards | — | — | — | (45 | ) | |||||||||||
Total net gain (loss) related to fair-value hedge ineffectiveness | (2,882 | ) | (2,915 | ) | (452 | ) | (2,875 | ) | ||||||||
Net gain (loss) for derivatives not designated as hedging instruments: | ||||||||||||||||
Economic hedges: | ||||||||||||||||
Interest-rate swaps | 19 | 239 | 203 | 407 | ||||||||||||
Interest-rate caps/floors | (874 | ) | (713 | ) | (1,276 | ) | (1,046 | ) | ||||||||
Interest-rate futures/forwards | (4,113 | ) | (666 | ) | (4,548 | ) | (597 | ) | ||||||||
Net interest settlements | (1 | ) | 380 | (6 | ) | 403 | ||||||||||
Mortgage delivery commitments | 2,288 | 269 | 1,692 | 175 | ||||||||||||
Total net gain (loss) for derivatives not designated as hedging instruments | (2,681 | ) | (491 | ) | (3,935 | ) | (658 | ) | ||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | $ | (5,563 | ) | $ | (3,406 | ) | $ | (4,387 | ) | $ | (3,533 | ) |
Gain (Loss) | Gain (Loss) | Net Fair- | Effect on | ||||||||||||||
on | on Hedged | Value Hedge | Net Interest | ||||||||||||||
Three Months Ended June 30, 2012 | Derivative | Item | Ineffectiveness | Income (1) | |||||||||||||
Advances | $ | (66,062 | ) | $ | 62,367 | $ | (3,695 | ) | $ | (59,674 | ) | ||||||
CO Bonds | 3,582 | (2,822 | ) | 760 | 15,506 | ||||||||||||
Mortgage Loans (2) | — | — | — | — | |||||||||||||
AFS securities | (36,070 | ) | 36,123 | 53 | (18,789 | ) | |||||||||||
Total | $ | (98,550 | ) | $ | 95,668 | $ | (2,882 | ) | $ | (62,957 | ) | ||||||
Three Months Ended June 30, 2011 | |||||||||||||||||
Advances | $ | (92,518 | ) | $ | 88,697 | $ | (3,821 | ) | $ | (76,214 | ) | ||||||
CO Bonds | 15,147 | (14,036 | ) | 1,111 | 31,406 | ||||||||||||
Mortgage Loans (2) | — | — | — | (685 | ) | ||||||||||||
AFS securities | (40,437 | ) | 40,232 | (205 | ) | (17,752 | ) | ||||||||||
Total | $ | (117,808 | ) | $ | 114,893 | $ | (2,915 | ) | $ | (63,245 | ) | ||||||
Six Months Ended June 30, 2012 | |||||||||||||||||
Advances | $ | (31,647 | ) | $ | 30,618 | $ | (1,029 | ) | $ | (120,343 | ) | ||||||
CO Bonds | 11,936 | (12,307 | ) | (371 | ) | 29,827 | |||||||||||
Mortgage Loans (2) | — | — | — | — | |||||||||||||
AFS securities | (20,484 | ) | 21,432 | 948 | (35,838 | ) | |||||||||||
Total | $ | (40,195 | ) | $ | 39,743 | $ | (452 | ) | $ | (126,354 | ) | ||||||
Six Months Ended June 30, 2011 | |||||||||||||||||
Advances | $ | (30,271 | ) | $ | 27,086 | $ | (3,185 | ) | $ | (157,608 | ) | ||||||
CO Bonds | (6,682 | ) | 7,074 | 392 | 63,580 | ||||||||||||
Mortgage Loans (2) | (422 | ) | 377 | (45 | ) | (966 | ) | ||||||||||
AFS securities | (20,273 | ) | 20,236 | (37 | ) | (35,516 | ) | ||||||||||
Total | $ | (57,648 | ) | $ | 54,773 | $ | (2,875 | ) | $ | (130,510 | ) |
(1) | The net interest on derivatives in fair-value hedging relationships is recorded in the Interest Income / Interest Expense line item of the respective hedged item, which results in fully offsetting amounts, except to the extent of any hedge ineffectiveness. |
(2) | The effect on Net Interest Income includes both fair-value and economic hedging relationships. |
Credit Risk Exposure | June 30, 2012 | December 31, 2011 | ||||||
Total net exposure at fair value | $ | 425 | $ | 493 | ||||
Cash collateral held | — | — | ||||||
Net positive exposure after cash collateral | 425 | 493 | ||||||
Other collateral | — | — | ||||||
Net exposure after collateral | $ | 425 | $ | 493 |
Discount Notes | June 30, 2012 | December 31, 2011 | ||||||
Book value | $ | 7,557,115 | $ | 6,536,109 | ||||
Par value | 7,558,437 | 6,536,400 | ||||||
Weighted average effective interest rate | 0.14 | % | 0.07 | % |
June 30, 2012 | December 31, 2011 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | ||||||||||
Due in 1 year or less | $ | 15,927,000 | 0.51 | $ | 17,071,550 | 0.54 | ||||||||
Due after 1 year through 2 years | 3,906,625 | 1.14 | 3,346,675 | 1.60 | ||||||||||
Due after 2 years through 3 years | 1,469,000 | 2.59 | 1,448,150 | 2.67 | ||||||||||
Due after 3 years through 4 years | 761,100 | 2.60 | 790,400 | 2.60 | ||||||||||
Due after 4 years through 5 years | 1,099,250 | 2.12 | 796,400 | 3.15 | ||||||||||
Thereafter | 5,476,450 | 3.83 | 6,839,150 | 3.88 | ||||||||||
Total CO Bonds, par value | 28,639,425 | 1.45 | 30,292,325 | 1.63 | ||||||||||
Unamortized bond premiums | 42,036 | 41,393 | ||||||||||||
Unamortized bond discounts | (18,685 | ) | (20,374 | ) | ||||||||||
Hedging adjustments | 57,098 | 44,866 | ||||||||||||
Total CO Bonds | $ | 28,719,874 | $ | 30,358,210 |
Redemption Feature | June 30, 2012 | December 31, 2011 | ||||||
Non-callable | $ | 24,718,425 | $ | 22,156,325 | ||||
Callable | 3,921,000 | 8,136,000 | ||||||
Total CO Bonds, par value | $ | 28,639,425 | $ | 30,292,325 |
Year of Contractual Maturity or Next Call Date | June 30, 2012 | December 31, 2011 | ||||||
Due in 1 year or less | $ | 19,631,000 | $ | 22,188,550 | ||||
Due after 1 year through 2 years | 3,918,625 | 3,145,675 | ||||||
Due after 2 years through 3 years | 1,387,000 | 1,137,150 | ||||||
Due after 3 years through 4 years | 590,100 | 540,400 | ||||||
Due after 4 years through 5 years | 360,250 | 475,400 | ||||||
Thereafter | 2,752,450 | 2,805,150 | ||||||
Total CO Bonds, par value | $ | 28,639,425 | $ | 30,292,325 |
June 30, 2012 | December 31, 2011 | |||||||||||||||
Regulatory Capital Requirements | Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 697,929 | $ | 2,607,739 | $ | 624,220 | $ | 2,514,614 | ||||||||
Regulatory permanent capital-to-asset ratio | 4.00 | % | 6.49 | % | 4.00 | % | 6.23 | % | ||||||||
Regulatory permanent capital | $ | 1,606,609 | $ | 2,607,739 | $ | 1,615,020 | $ | 2,514,614 | ||||||||
Leverage ratio | 5.00 | % | 9.74 | % | 5.00 | % | 9.34 | % | ||||||||
Leverage capital | $ | 2,008,262 | $ | 3,911,609 | $ | 2,018,774 | $ | 3,771,921 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Distributions | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Recorded as Interest Expense | $ | 3,326 | $ | 3,737 | $ | 7,237 | $ | 8,562 | ||||||||
Recorded as distributions from Retained Earnings | — | 11 | 27 | 11 | ||||||||||||
Total | $ | 3,326 | $ | 3,748 | $ | 7,264 | $ | 8,573 |
Unrealized Gains (Losses) on AFS Securities (Note 3) | Non-Credit OTTI on AFS Securities (Note 3) | Non-Credit OTTI on HTM Securities (Note 4) | Pension Benefits | Total AOCI | ||||||||||||||||
Balance, December 31, 2010 | $ | (4,615 | ) | $ | (68,806 | ) | $ | (7,056 | ) | $ | (9,769 | ) | $ | (90,246 | ) | |||||
Other Comprehensive Income (Loss) | 10,149 | 18,917 | 1,902 | 1,648 | 32,616 | |||||||||||||||
Balance, June 30, 2011 | $ | 5,534 | $ | (49,889 | ) | $ | (5,154 | ) | $ | (8,121 | ) | $ | (57,630 | ) | ||||||
Balance, December 31, 2011 | $ | 15,080 | $ | (119,274 | ) | $ | (392 | ) | $ | (8,955 | ) | $ | (113,541 | ) | ||||||
Other Comprehensive Income (Loss) | (5,185 | ) | 40,117 | 42 | (1,143 | ) | 33,831 | |||||||||||||
Balance, June 30, 2012 | $ | 9,895 | $ | (79,157 | ) | $ | (350 | ) | $ | (10,098 | ) | $ | (79,710 | ) |
• | Traditional, which includes credit services (such as Advances, letters of credit, and lines of credit), investments (including Federal Funds Sold, Securities Purchased Under Agreements to Resell, AFS securities, and HTM securities), and deposits; and |
• | Mortgage Loans, which consists of mortgage loans purchased from our members and participation interests in mortgage loans purchased by the FHLBank of Topeka from its members under the MPF program. |
Three Months Ended | Six Months Ended | |||||||||||||||||||||||
June 30, 2012 | Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | ||||||||||||||||||
Net Interest Income | $ | 42,874 | $ | 16,549 | $ | 59,423 | $ | 83,647 | $ | 38,619 | $ | 122,266 | ||||||||||||
Provision for Credit Losses | — | 1,864 | 1,864 | — | 2,283 | 2,283 | ||||||||||||||||||
Other Income (Loss) | (3,308 | ) | (1,826 | ) | (5,134 | ) | (3,631 | ) | (2,856 | ) | (6,487 | ) | ||||||||||||
Other Expenses | 13,811 | 1,328 | 15,139 | 27,157 | 2,562 | 29,719 | ||||||||||||||||||
Income Before Assessments | 25,755 | 11,531 | 37,286 | 52,859 | 30,918 | 83,777 | ||||||||||||||||||
Total Assessments | 2,908 | 1,153 | 4,061 | 6,009 | 3,092 | 9,101 | ||||||||||||||||||
Net Income | $ | 22,847 | $ | 10,378 | $ | 33,225 | $ | 46,850 | $ | 27,826 | $ | 74,676 | ||||||||||||
June 30, 2011 | ||||||||||||||||||||||||
Net Interest Income | $ | 32,661 | $ | 23,324 | $ | 55,985 | $ | 67,340 | $ | 48,890 | $ | 116,230 | ||||||||||||
Provision for Credit Losses | — | 1,183 | 1,183 | — | 2,159 | 2,159 | ||||||||||||||||||
Other Income (Loss) | (7,322 | ) | (397 | ) | (7,719 | ) | (25,374 | ) | (467 | ) | (25,841 | ) | ||||||||||||
Other Expenses | 12,417 | 1,231 | 13,648 | 24,651 | 2,562 | 27,213 | ||||||||||||||||||
Income Before Assessments | 12,922 | 20,513 | 33,435 | 17,315 | 43,702 | 61,017 | ||||||||||||||||||
Total Assessments, net | 3,608 | 5,442 | 9,050 | 5,168 | 11,594 | 16,762 | ||||||||||||||||||
Net Income | $ | 9,314 | $ | 15,071 | $ | 24,385 | $ | 12,147 | $ | 32,108 | $ | 44,255 |
By Date | Traditional | Mortgage Loans | Total | |||||||||
June 30, 2012 | $ | 34,385,678 | $ | 5,779,558 | $ | 40,165,236 | ||||||
December 31, 2011 | 34,420,348 | 5,955,142 | 40,375,490 |
June 30, 2012 | ||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and Due from Banks | $ | 198,325 | $ | 198,325 | $ | 198,325 | $ | — | $ | — | $ | — | ||||||||||||
Interest-Bearing Deposits | 110 | 110 | — | 110 | — | — | ||||||||||||||||||
Securities Purchased Under Agreements to Resell | 1,700,000 | 1,700,000 | — | 1,700,000 | — | — | ||||||||||||||||||
Federal Funds Sold | 2,237,000 | 2,237,000 | — | 2,237,000 | — | — | ||||||||||||||||||
AFS securities | 3,836,762 | 3,836,762 | — | 3,233,787 | 602,975 | — | ||||||||||||||||||
HTM securities | 7,464,699 | 7,663,673 | — | 7,352,574 | 311,099 | — | ||||||||||||||||||
Advances | 18,813,684 | 18,994,028 | — | 18,994,028 | — | — | ||||||||||||||||||
Mortgage Loans Held for Portfolio, net | 5,779,558 | 6,147,688 | — | 6,064,811 | 82,877 | — | ||||||||||||||||||
Accrued Interest Receivable | 86,296 | 86,296 | — | 86,296 | — | — | ||||||||||||||||||
Derivative Assets, net | 425 | 425 | — | 72,796 | — | (72,371 | ) | |||||||||||||||||
Grantor Trust Assets (included in Other Assets) | 13,769 | 13,769 | 13,769 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 782,945 | 782,890 | — | 782,890 | — | — | ||||||||||||||||||
Consolidated Obligations: | ||||||||||||||||||||||||
Discount Notes | 7,557,115 | 7,558,437 | — | 7,558,437 | — | — | ||||||||||||||||||
CO Bonds | 28,719,874 | 29,498,109 | — | 29,498,109 | — | — | ||||||||||||||||||
Accrued Interest Payable | 89,918 | 89,918 | — | 89,918 | — | — | ||||||||||||||||||
Derivative Liabilities, net | 188,326 | 188,326 | — | 992,381 | — | (804,055 | ) | |||||||||||||||||
MRCS | 450,898 | 450,898 | 450,898 | — | — | — |
(1) | Amounts represent the effect of legally enforceable master netting agreements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same counterparties. |
December 31, 2011 | ||||||||
Carrying | Estimated | |||||||
Financial Instruments | Value | Fair Value | ||||||
Assets: | ||||||||
Cash and Due from Banks | $ | 512,682 | $ | 512,682 | ||||
Interest-Bearing Deposits | 15 | 15 | ||||||
Securities Purchased Under Agreements to Resell | — | — | ||||||
Federal Funds Sold | 3,422,000 | 3,422,019 | ||||||
AFS securities | 2,949,446 | 2,949,446 | ||||||
HTM securities | 8,832,178 | 8,972,081 | ||||||
Advances | 18,567,702 | 18,787,663 | ||||||
Mortgage Loans Held for Portfolio, net | 5,955,142 | 6,378,449 | ||||||
Accrued Interest Receivable | 87,314 | 87,314 | ||||||
Derivative Assets, net | 493 | 493 | ||||||
Grantor Trust Assets (included in Other Assets) | 13,016 | 13,016 | ||||||
Liabilities: | ||||||||
Deposits | 629,466 | 629,466 | ||||||
Consolidated Obligations: | ||||||||
Discount Notes | 6,536,109 | 6,536,249 | ||||||
CO Bonds | 30,358,210 | 31,083,104 | ||||||
Accrued Interest Payable | 102,060 | 102,060 | ||||||
Derivative Liabilities, net | 174,573 | 174,573 | ||||||
MRCS | 453,885 | 453,885 |
• | LIBOR Swap Curve. We use the LIBOR swap curve, which represents the fixed rates where fixed rate payments are swapped in exchange for payments of three-month LIBOR, based on our use of the LIBOR swap curve to determine current Advance rates. |
• | Volatility assumption. To estimate the fair value of Advances with optionality, we use market-based expectations of future interest rate volatility implied from current market prices for certain benchmark options. |
• | Spread adjustment. Represents an adjustment to the LIBOR swap curve. The spreads are calculated for various structures of Advances using current Advance pricing indications provided by internal Treasury personnel. |
Netting | ||||||||||||||||||||
June 30, 2012 | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | |||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE debentures | $ | 2,914,085 | $ | — | $ | 2,914,085 | $ | — | $ | — | ||||||||||
TLGP debentures | 319,702 | — | 319,702 | — | — | |||||||||||||||
Private-label RMBS | 602,975 | — | — | 602,975 | — | |||||||||||||||
Total AFS securities | 3,836,762 | — | 3,233,787 | 602,975 | — | |||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest-rate related | — | — | 72,371 | — | (72,371 | ) | ||||||||||||||
Interest-rate futures/forwards | — | — | — | — | — | |||||||||||||||
Mortgage delivery commitments | 425 | — | 425 | — | — | |||||||||||||||
Total Derivative Assets, net | 425 | — | 72,796 | — | (72,371 | ) | ||||||||||||||
Grantor Trust Assets (included in Other Assets) | 13,769 | 13,769 | — | — | — | |||||||||||||||
Total recurring assets at estimated fair value | $ | 3,850,956 | $ | 13,769 | $ | 3,306,583 | $ | 602,975 | $ | (72,371 | ) | |||||||||
Derivative Liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 187,567 | $ | — | $ | 991,622 | $ | — | $ | (804,055 | ) | |||||||||
Interest-rate futures/forwards | 733 | — | 733 | — | — | |||||||||||||||
Mortgage delivery commitments | 26 | — | 26 | — | — | |||||||||||||||
Total Derivative Liabilities, net | 188,326 | — | 992,381 | — | (804,055 | ) | ||||||||||||||
Total recurring liabilities at estimated fair value | $ | 188,326 | $ | — | $ | 992,381 | $ | — | $ | (804,055 | ) | |||||||||
December 31, 2011 | ||||||||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE debentures | $ | 2,025,695 | $ | — | $ | 2,025,695 | $ | — | $ | — | ||||||||||
TLGP debentures | 322,442 | — | 322,442 | — | — | |||||||||||||||
Private-label RMBS | 601,309 | — | — | 601,309 | — | |||||||||||||||
Total AFS securities | 2,949,446 | — | 2,348,137 | 601,309 | — | |||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest-rate related | 76 | — | 76,723 | — | (76,647 | ) | ||||||||||||||
Interest-rate futures/forwards | — | — | — | — | — | |||||||||||||||
Mortgage delivery commitments | 417 | — | 417 | — | — | |||||||||||||||
Total Derivative Assets, net | 493 | — | 77,140 | — | (76,647 | ) | ||||||||||||||
Grantor Trust Assets (included in Other Assets) | 13,016 | 13,016 | — | — | — | |||||||||||||||
Total recurring assets at estimated fair value | $ | 2,962,955 | $ | 13,016 | $ | 2,425,277 | $ | 601,309 | $ | (76,647 | ) | |||||||||
Derivative Liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 173,810 | $ | — | $ | 969,795 | $ | — | $ | (795,985 | ) | |||||||||
Interest-rate futures/forwards | 763 | — | 763 | — | — | |||||||||||||||
Mortgage delivery commitments | — | — | — | — | — | |||||||||||||||
Total Derivative Liabilities, net | 174,573 | — | 970,558 | — | (795,985 | ) | ||||||||||||||
Total recurring liabilities at estimated fair value | $ | 174,573 | $ | — | $ | 970,558 | $ | — | $ | (795,985 | ) |
(1) | Amounts represent the effect of legally enforceable master netting agreements that allow us to net settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same counterparties. |
Estimated Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | Three Months Ended June 30, 2012 | Six Months Ended June 30, 2012 | ||||||
Balance, beginning of period | $ | 614,530 | $ | 601,309 | ||||
Total realized and unrealized gains (losses): | ||||||||
Net realized losses from sale of AFS securities | — | — | ||||||
Accretion of credit losses in Net Interest Income | 180 | 555 | ||||||
Net gains (losses) on changes in fair value in Other Income (Loss) | (292 | ) | (3,578 | ) | ||||
Net change in fair value not in excess of cumulative non-credit losses in OCI | 5,183 | 31,785 | ||||||
Unrealized gains (losses) in OCI | 630 | 4,754 | ||||||
Reclassification of non-credit portion to Other Income (Loss) in OCI | 292 | 3,578 | ||||||
Purchases, issuances, sales and settlements: | ||||||||
Sales | — | — | ||||||
Settlements | (17,548 | ) | (35,428 | ) | ||||
Balance, end of period | $ | 602,975 | $ | 602,975 | ||||
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ | (112 | ) | $ | (3,023 | ) |
Estimated Fair Value Measurements Using Significant Unobservable Inputs (Level 3) | Three Months Ended June 30, 2011 | Six Months Ended June 30, 2011 | ||||||
Balance, beginning of period | $ | 932,839 | $ | 982,541 | ||||
Total realized and unrealized gains (losses): | ||||||||
Net realized losses from sale of AFS securities | (1,943 | ) | (1,943 | ) | ||||
Net gains (losses) on changes in fair value in Other Income (Loss) | (2,523 | ) | (19,684 | ) | ||||
Included in OCI | (8,415 | ) | 16,097 | |||||
Purchases, issuances, sales and settlements: | ||||||||
Sales | (63,700 | ) | (63,700 | ) | ||||
Settlements | (50,687 | ) | (107,740 | ) | ||||
Balance, end of period | $ | 805,571 | $ | 805,571 | ||||
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ | (2,519 | ) | $ | (18,199 | ) |
December 31, 2011 | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Home equity loan ABS | $ | 588 | $ | — | $ | — | $ | 588 | ||||||||
Total nonrecurring assets at estimated fair value | $ | 588 | $ | — | $ | — | $ | 588 |
June 30, 2012 | December 31, 2011 | |||||||||||||||||||||||
By Commitment | Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | ||||||||||||||||||
Standby letters of credit outstanding | $ | 178,906 | $ | 258,611 | $ | 437,517 | $ | 240,599 | $ | 271,567 | $ | 512,166 | ||||||||||||
Unused lines of credit | 800,370 | — | 800,370 | 780,409 | — | 780,409 | ||||||||||||||||||
Commitments to fund additional Advances (1) | 19,045 | — | 19,045 | 12,052 | — | 12,052 | ||||||||||||||||||
Commitment to fund or purchase mortgage loans | 156,978 | — | 156,978 | 68,069 | — | 68,069 | ||||||||||||||||||
Unsettled CO Bonds, at par (2) | 894,000 | — | 894,000 | 275,000 | — | 275,000 |
(1) | Commitments to fund additional Advances are generally for periods up to six months, and includes $0 of outstanding commitments to issue standby letters of credit at June 30, 2012 and December 31, 2011. |
(2) | Unsettled CO Bonds of $350,000 and $250,000 at June 30, 2012 and December 31, 2011, respectively, were hedged with associated interest-rate swaps. |
Capital Stock, including MRCS | Advances | Mortgage Loans Held for Portfolio | |||||||||||||||||||
June 30, 2012 | Balance, par value | % of Total | Balance, par value | % of Total | Balance, UPB | % of Total | |||||||||||||||
Flagstar Bank, FSB | $ | 301,737 | 15 | % | $ | 3,400,000 | 19 | % | $ | 712,425 | 12 | % | |||||||||
Bank of America, N.A. (former member) | 224,921 | 11 | % | 300,000 | 2 | % | 1,410,621 | 25 | % | ||||||||||||
Total | $ | 526,658 | 26 | % | $ | 3,700,000 | 21 | % | $ | 2,123,046 | 37 | % | |||||||||
December 31, 2011 | |||||||||||||||||||||
Flagstar Bank, FSB | $ | 301,737 | 15 | % | $ | 3,953,000 | 22 | % | $ | 752,284 | 13 | % | |||||||||
Bank of America, N.A. (former member) | 224,921 | 11 | % | 400,000 | 2 | % | 1,641,156 | 27 | % | ||||||||||||
Total | $ | 526,658 | 26 | % | $ | 4,353,000 | 24 | % | $ | 2,393,440 | 40 | % |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Related Party | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Flagstar Bank, FSB | $ | (191,000 | ) | $ | 6,571 | $ | (553,000 | ) | $ | (319,906 | ) | |||||
Bank of America, N.A. (former member) | $ | (100,000 | ) | $ | (500,000 | ) | $ | (100,000 | ) | $ | (500,000 | ) |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Related Party | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Flagstar Bank, FSB | $ | — | $ | — | $ | — | $ | 81,260 |
Capital Stock, including MRCS | Advances | Mortgage Loans Held for Portfolio | |||||||||||||||||||
Date | Balance, par value | % of Total | Balance, par value | % of Total | Balance, UPB | % of Total | |||||||||||||||
June 30, 2012 | $ | 66,652 | 3 | % | $ | 540,524 | 3 | % | $ | 49,174 | 1 | % | |||||||||
December 31, 2011 | 66,652 | 3 | % | 543,309 | 3 | % | 42,746 | 1 | % |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Transaction | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Advances to (repayments from) directors' financial institutions | $ | 1,175 | $ | (19,837 | ) | $ | (2,786 | ) | $ | (44,347 | ) | |||||
Mortgage loans acquired from directors' financial institutions | $ | 7,438 | $ | 1,787 | $ | 12,339 | $ | 4,041 |
• | economic and market conditions, including the timing and volume of market activity, inflation or deflation, changes in the value of global currencies, and changes in the financial condition of market participants; |
• | volatility of market prices, rates, and indices that could affect the value of collateral we hold as security for the obligations of our members and counterparties; |
• | demand for our Advances and purchases of mortgage loans under our MPP or participation interests in mortgage loans purchased from other FHLBanks under the MPF program resulting from: |
◦ | changes in our members' deposit flows and credit demands; |
◦ | membership changes, including, but not limited to, mergers, acquisitions and consolidations of charters; |
◦ | changes in the general level of housing activity in the United States, the level of refinancing activity and consumer product preferences; and |
◦ | competitive forces, including, without limitation, other sources of funding available to our members; |
• | changes in mortgage asset prepayment patterns, delinquency rates and housing values; |
• | our ability to introduce new products and services and successfully manage the risks associated with our products and services, including new types of collateral securing Advances; |
• | political events, including legislative, regulatory, or other developments, and judicial rulings that affect us, our status as a secured creditor, our members, counterparties, one or more of the FHLBanks and/or investors in the Consolidated Obligations of the 12 FHLBanks; |
• | changes in our ability to raise capital market funding, including changes in credit ratings and the level of government guarantees provided to other United States and international financial institutions; and competition from other entities borrowing funds in the capital markets; |
• | negative adjustments in the FHLBanks' credit ratings that could adversely impact the pricing and marketability of our Consolidated Obligations, products, or services; |
• | risk of loss should one or more of the FHLBanks be unable to repay its participation in the Consolidated Obligations, or otherwise be unable to meet its financial obligations; |
• | ability to attract and retain skilled individuals; |
• | ability to develop and support technology and information systems sufficient to effectively manage the risks of our business; |
• | changes in terms of interest-rate exchange agreements and similar agreements; |
• | risk of loss arising from natural disasters, acts of war or acts of terrorism; and |
• | changes in or differing interpretations of accounting guidance. |
• | Traditional, which includes credit services (such as Advances, letters of credit, and lines of credit), investments (including Federal Funds Sold, Securities Purchased Under Agreements to Resell, AFS securities, and HTM securities), correspondent services and deposits; and |
• | Mortgage Loans, which consists of (i) mortgage loans purchased from our members through our MPP and (ii) participation interests purchased from other FHLBanks in mortgage loans that were purchased by those FHLBanks from their respective PFI members under the MPF program. See Analysis of Financial Condition - Mortgage Loans Held for Portfolio - Reactivation of our Participation in the MPF Program for more information. |
As of and for the Three Months Ended | ||||||||||||||||||||
June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | June 30, 2011 | ||||||||||||||||
Statement of Condition: | ||||||||||||||||||||
Total Assets | $ | 40,165 | $ | 39,469 | $ | 40,375 | $ | 40,950 | $ | 40,059 | ||||||||||
Advances | 18,814 | 18,042 | 18,568 | 18,564 | 17,476 | |||||||||||||||
Investments (1) | 15,239 | 15,149 | 15,203 | 15,828 | 14,624 | |||||||||||||||
Mortgage Loans Held for Portfolio | 5,785 | 5,843 | 5,958 | 6,110 | 6,283 | |||||||||||||||
Allowance for loan losses | (5 | ) | (3 | ) | (3 | ) | (3 | ) | (2 | ) | ||||||||||
Discount Notes | 7,557 | 5,969 | 6,536 | 6,981 | 9,993 | |||||||||||||||
CO Bonds | 28,720 | 29,337 | 30,358 | 29,855 | 26,068 | |||||||||||||||
Total Consolidated Obligations | 36,277 | 35,306 | 36,894 | 36,836 | 36,061 | |||||||||||||||
MRCS | 451 | 457 | 454 | 483 | 515 | |||||||||||||||
Capital Stock, Class B Putable | 1,608 | 1,565 | 1,563 | 1,553 | 1,490 | |||||||||||||||
Retained Earnings | 549 | 527 | 498 | 472 | 451 | |||||||||||||||
AOCI | (80 | ) | (82 | ) | (114 | ) | (85 | ) | (57 | ) | ||||||||||
Total Capital | 2,077 | 2,010 | 1,947 | 1,940 | 1,884 | |||||||||||||||
Statement of Income: | ||||||||||||||||||||
Net Interest Income | 60 | 62 | 59 | 56 | 56 | |||||||||||||||
Provision for Credit Losses | 2 | — | 1 | 2 | 1 | |||||||||||||||
Net OTTI credit losses | — | (3 | ) | (1 | ) | (5 | ) | (3 | ) | |||||||||||
Other Income (Loss), excluding net OTTI credit losses | (5 | ) | 2 | (1 | ) | — | (5 | ) | ||||||||||||
Other Expenses | 15 | 15 | 15 | 16 | 14 | |||||||||||||||
Total Assessments | 4 | 5 | 5 | 3 | 9 | |||||||||||||||
Net Income | 34 | 41 | 36 | 30 | 24 | |||||||||||||||
Selected Financial Ratios: | ||||||||||||||||||||
Return on average equity (2) | 6.53 | % | 8.42 | % | 7.27 | % | 6.19 | % | 4.96 | % | ||||||||||
Return on average assets | 0.33 | % | 0.41 | % | 0.34 | % | 0.29 | % | 0.23 | % | ||||||||||
Dividend payout ratio (3) | 35.05 | % | 28.37 | % | 26.90 | % | 32.76 | % | 40.72 | % | ||||||||||
Net interest margin (4) | 0.59 | % | 0.62 | % | 0.57 | % | 0.54 | % | 0.53 | % | ||||||||||
Total capital ratio (5) | 5.17 | % | 5.09 | % | 4.82 | % | 4.74 | % | 4.70 | % | ||||||||||
Total regulatory capital ratio (6) | 6.49 | % | 6.46 | % | 6.23 | % | 6.12 | % | 6.13 | % | ||||||||||
Average equity to average assets | 5.02 | % | 4.83 | % | 4.65 | % | 4.67 | % | 4.63 | % | ||||||||||
Weighted average dividend rate, Class B stock (7) | 3.00 | % | 3.00 | % | 2.50 | % | 2.50 | % | 2.50 | % | ||||||||||
Par amount of outstanding Consolidated Obligations for all 12 FHLBanks | $ | 685,195 | $ | 658,015 | $ | 691,868 | $ | 696,606 | $ | 727,475 |
(1) | Investments consist of Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, Federal Funds Sold, AFS securities, HTM securities, and loans to other FHLBanks. |
(2) | Return on average equity is Net Income expressed as a percentage of average total capital. |
(3) | The dividend payout ratio is calculated by dividing dividends paid in cash during the period by Net Income for the period. |
(4) | Net interest margin is Net Interest Income expressed as a percentage of average interest-earning assets. |
(5) | Total capital ratio is Capital Stock plus Retained Earnings and AOCI expressed as a percentage of Total Assets. |
(6) | Total regulatory capital ratio is Capital Stock plus Retained Earnings and MRCS expressed as a percentage of Total Assets. |
(7) | The weighted average dividend rate is calculated by dividing dividends paid in cash during the period by the average of Class B Capital Stock eligible for dividends (i.e., excludes MRCS). |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
$ | % | $ | % | |||||||||||||||||||||||||||
Comparative Highlights | 2012 | 2011 | Change | Change | 2012 | 2011 | Change | Change | ||||||||||||||||||||||
Net Interest Income After Provision for Credit Losses | $ | 58 | $ | 55 | $ | 3 | 5 | % | $ | 120 | $ | 114 | $ | 6 | 5 | % | ||||||||||||||
Other Income (Loss) | (5 | ) | (8 | ) | 3 | 33 | % | (6 | ) | (26 | ) | 20 | 75 | % | ||||||||||||||||
Other Expenses | 15 | 14 | 1 | 11 | % | 30 | 27 | 3 | 9 | % | ||||||||||||||||||||
Income Before Assessments | 38 | 33 | 5 | 12 | % | 84 | 61 | 23 | 37 | % | ||||||||||||||||||||
Total Assessments | 4 | 9 | (5 | ) | (55 | %) | 9 | 17 | (8 | ) | (46 | %) | ||||||||||||||||||
Net Income | $ | 34 | $ | 24 | $ | 10 | 36 | % | $ | 75 | $ | 44 | $ | 31 | 69 | % |
Condensed Statements of Condition | June 30, 2012 | December 31, 2011 | $ Change | % Change | |||||||||||
Advances | $ | 18,814 | $ | 18,568 | $ | 246 | 1 | % | |||||||
Mortgage Loans Held for Portfolio, net | 5,780 | 5,955 | (175 | ) | (3 | %) | |||||||||
Investments (1) | 15,239 | 15,203 | 36 | — | % | ||||||||||
Other Assets | 332 | 649 | (317 | ) | (49 | %) | |||||||||
Total Assets | $ | 40,165 | $ | 40,375 | $ | (210 | ) | (1 | %) | ||||||
Consolidated Obligations | $ | 36,277 | $ | 36,894 | $ | (617 | ) | (2 | %) | ||||||
Mandatorily Redeemable Capital Stock | 451 | 454 | (3 | ) | (1 | %) | |||||||||
Other Liabilities | 1,360 | 1,080 | 280 | 26 | % | ||||||||||
Total Liabilities | 38,088 | 38,428 | (340 | ) | (1 | %) | |||||||||
Capital Stock, Class B Putable | 1,608 | 1,563 | 45 | 3 | % | ||||||||||
Retained Earnings | 549 | 498 | 51 | 10 | % | ||||||||||
Accumulated Other Comprehensive Income (Loss) | (80 | ) | (114 | ) | 34 | 30 | % | ||||||||
Total Capital | 2,077 | 1,947 | 130 | 7 | % | ||||||||||
Total Liabilities and Capital | $ | 40,165 | $ | 40,375 | $ | (210 | ) | (1 | %) | ||||||
Total Regulatory Capital (2) | $ | 2,608 | $ | 2,515 | $ | 93 | 4 | % |
(1) | Includes HTM Securities, AFS Securities, Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold. |
(2) | Total Regulatory Capital is Total Capital plus MRCS less AOCI. |
• | wider spreads on Advances, short-term investments, and investment securities, primarily due to lower funding costs; |
• | higher average balances of Advances; and |
• | higher Prepayment Fees on Advances. |
• | lower average balances of short-term investments and Mortgage Loans Held for Portfolio; |
• | narrower spreads on Mortgage Loans Held for Portfolio; and |
• | an increase in the Provision for Credit Losses on Mortgage Loans Held for Portfolio. |
• | wider spreads on Advances, short-term investments, and investment securities, primarily due to lower funding costs; and |
• | higher average balances of Advances. |
• | lower average balances of short-term investments, Mortgage Loans Held for Portfolio; and |
• | narrower spreads on Mortgage Loans Held for Portfolio. |
Three Months Ended June 30, | |||||||||||||||||||||
2012 | 2011 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (6) | Average Balance | Interest Income/ Expense | Average Yield (6) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | $ | 3,638 | $ | 1 | 0.16 | % | $ | 6,639 | $ | 1 | 0.12 | % | |||||||||
Investment securities (1) | 11,454 | 52 | 1.79 | % | 11,837 | 59 | 1.98 | % | |||||||||||||
Advances (2) | 18,805 | 46 | 0.98 | % | 17,346 | 40 | 0.92 | % | |||||||||||||
Mortgage Loans Held for Portfolio (2) | 5,809 | 64 | 4.42 | % | 6,373 | 77 | 4.82 | % | |||||||||||||
Other Assets (interest-earning) (3) (4) | 739 | — | 0.05 | % | 47 | — | 0.67 | % | |||||||||||||
Total interest-earning assets | 40,445 | 163 | 1.61 | % | 42,242 | 177 | 1.68 | % | |||||||||||||
Other Assets (5) | 310 | 325 | |||||||||||||||||||
Total Assets | $ | 40,755 | $ | 42,567 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-Bearing Deposits | $ | 846 | — | 0.01 | % | $ | 834 | — | 0.03 | % | |||||||||||
Discount Notes | 7,099 | 2 | 0.10 | % | 8,786 | 2 | 0.10 | % | |||||||||||||
CO Bonds (2) | 29,108 | 98 | 1.35 | % | 29,315 | 115 | 1.58 | % | |||||||||||||
MRCS | 454 | 3 | 2.95 | % | 614 | 4 | 2.44 | % | |||||||||||||
Other borrowings | — | — | — | % | — | — | — | % | |||||||||||||
Total interest-bearing liabilities | 37,507 | 103 | 1.10 | % | 39,549 | 121 | 1.23 | % | |||||||||||||
Other Liabilities | 1,202 | 1,046 | |||||||||||||||||||
Total Capital | 2,046 | 1,972 | |||||||||||||||||||
Total Liabilities and Capital | $ | 40,755 | $ | 42,567 | |||||||||||||||||
Net Interest Income and net spread on interest-earning assets less interest-bearing liabilities | $ | 60 | 0.51 | % | $ | 56 | 0.45 | % | |||||||||||||
Net interest margin | 0.59 | % | 0.53 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.08 | 1.07 |
Six Months Ended June 30, | |||||||||||||||||||||
2012 | 2011 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (6) | Average Balance | Interest Income/ Expense | Average Yield (6) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | $ | 3,626 | $ | 2 | 0.14 | % | $ | 7,265 | $ | 5 | 0.16 | % | |||||||||
Investment securities (1) | 11,640 | 106 | 1.82 | % | 11,801 | 119 | 2.03 | % | |||||||||||||
Advances (2) | 18,727 | 92 | 0.99 | % | 17,633 | 82 | 0.94 | % | |||||||||||||
Mortgage Loans Held for Portfolio (2) | 5,848 | 133 | 4.58 | % | 6,484 | 157 | 4.87 | % | |||||||||||||
Other Assets (interest-earning) (3) (4) | 748 | 1 | 0.33 | % | 43 | 1 | 2.84 | % | |||||||||||||
Total interest-earning assets | 40,589 | 334 | 1.65 | % | 43,226 | 364 | 1.70 | % | |||||||||||||
Other Assets (5) | 305 | 327 | |||||||||||||||||||
Total Assets | $ | 40,894 | $ | 43,553 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-Bearing Deposits | $ | 1,019 | — | 0.01 | % | $ | 767 | — | 0.03 | % | |||||||||||
Discount Notes | 6,741 | 3 | 0.08 | % | 8,699 | 5 | 0.12 | % | |||||||||||||
CO Bonds (2) | 29,465 | 202 | 1.38 | % | 30,406 | 234 | 1.55 | % | |||||||||||||
MRCS | 454 | 7 | 3.21 | % | 636 | 9 | 2.72 | % | |||||||||||||
Other borrowings | — | — | — | % | — | — | — | % | |||||||||||||
Total interest-bearing liabilities | 37,679 | 212 | 1.13 | % | 40,508 | 248 | 1.23 | % | |||||||||||||
Other Liabilities | 1,202 | 1,071 | |||||||||||||||||||
Total Capital | 2,013 | 1,974 | |||||||||||||||||||
Total Liabilities and Capital | $ | 40,894 | $ | 43,553 | |||||||||||||||||
Net Interest Income and net spread on interest-earning assets less interest-bearing liabilities | $ | 122 | 0.52 | % | $ | 116 | 0.47 | % | |||||||||||||
Net interest margin | 0.60 | % | 0.54 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.08 | 1.07 |
(1) | The average balances of Investment securities are reflected at amortized cost; therefore, the resulting yields do not reflect changes in estimated fair value of AFS securities that are reflected as a component of OCI, nor do they include the effect of OTTI-related non-credit losses. Interest income/expense includes the effect of associated interest-rate exchange agreements. |
(2) | Interest income/expense and average yield include all other components of interest, including the impact of net interest payments or receipts on derivatives, hedge accounting amortization, and Advance prepayment fees. |
(3) | Other Assets (interest-earning) consists of Interest-Bearing Deposits, loans to other FHLBanks (if applicable), and grantor trust assets that are carried at estimated fair value. |
(4) | Includes the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(5) | Includes changes in estimated fair value of AFS securities and the effect of OTTI-related non-credit losses on AFS and HTM securities for purposes of the table. |
(6) | Annualized. |
Three Months Ended | Six Months Ended | ||||||||||||||||||||||
June 30, | June 30, | ||||||||||||||||||||||
2012 vs. 2011 | 2012 vs. 2011 | ||||||||||||||||||||||
Components | Volume | Rate | Total | Volume | Rate | Total | |||||||||||||||||
Increase (Decrease) in Interest Income: | |||||||||||||||||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | $ | — | $ | — | $ | — | $ | (2 | ) | $ | (1 | ) | $ | (3 | ) | ||||||||
Investment securities | (2 | ) | (5 | ) | (7 | ) | (2 | ) | (11 | ) | (13 | ) | |||||||||||
Advances | 3 | 3 | 6 | 5 | 5 | 10 | |||||||||||||||||
Mortgage Loans Held for Portfolio | (7 | ) | (6 | ) | (13 | ) | (15 | ) | (9 | ) | (24 | ) | |||||||||||
Other Assets, net | 2 | (2) | — | 2 | (2) | — | |||||||||||||||||
Total | (4 | ) | (10 | ) | (14 | ) | (12 | ) | (18 | ) | (30 | ) | |||||||||||
Increase (Decrease) in Interest Expense: | |||||||||||||||||||||||
Interest-Bearing Deposits | — | — | — | — | — | — | |||||||||||||||||
Discount Notes | — | — | — | (1 | ) | (1 | ) | (2 | ) | ||||||||||||||
CO Bonds | (1 | ) | (16 | ) | (17 | ) | (8 | ) | (24 | ) | (32 | ) | |||||||||||
MRCS | (1 | ) | — | (1 | ) | (2 | ) | — | (2 | ) | |||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total | (2 | ) | (16 | ) | (18 | ) | (11 | ) | (25 | ) | (36 | ) | |||||||||||
Increase (Decrease) in Net Interest Income Before Provision for Credit Losses | $ | (2 | ) | $ | 6 | $ | 4 | $ | (1 | ) | $ | 7 | $ | 6 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Components | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | (3 | ) | |||||||
Portion of Impairment Losses Reclassified to (from) Other Comprehensive Income (Loss) | — | (3 | ) | (3 | ) | (18 | ) | |||||||||
Net OTTI credit losses | — | (3 | ) | (3 | ) | (21 | ) | |||||||||
Net Realized Losses from Sale of Available-for-Sale Securities | — | (2 | ) | — | (2 | ) | ||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (5 | ) | (4 | ) | (4 | ) | (4 | ) | ||||||||
Other, net | — | 1 | 1 | 1 | ||||||||||||
Total Other Income (Loss) | $ | (5 | ) | $ | (8 | ) | $ | (6 | ) | $ | (26 | ) |
Total OTTI | Portion Reclassified | OTTI Credit | ||||||||||
Three Months Ended June 30, 2012 | Losses | to (from) OCI | Losses | |||||||||
Impairment on securities for which OTTI was not previously recognized | $ | — | $ | — | $ | — | ||||||
Additional impairment on securities for which OTTI was previously recognized | — | — | — | |||||||||
Total | $ | — | $ | — | $ | — | ||||||
Three Months Ended June 30, 2011 | ||||||||||||
Impairment on securities for which OTTI was not previously recognized | $ | — | $ | — | $ | — | ||||||
Additional impairment on securities for which OTTI was previously recognized | — | (3 | ) | (3 | ) | |||||||
Total | $ | — | $ | (3 | ) | $ | (3 | ) | ||||
Six Months Ended June 30, 2012 | ||||||||||||
Impairment on securities for which OTTI was not previously recognized | $ | — | $ | — | $ | — | ||||||
Additional impairment on securities for which OTTI was previously recognized | — | (3 | ) | (3 | ) | |||||||
Total | $ | — | $ | (3 | ) | $ | (3 | ) | ||||
Six Months Ended June 30, 2011 | ||||||||||||
Impairment on securities for which OTTI was not previously recognized | $ | — | $ | — | $ | — | ||||||
Additional impairment on securities for which OTTI was previously recognized | (3 | ) | (18 | ) | (21 | ) | ||||||
Total | $ | (3 | ) | $ | (18 | ) | $ | (21 | ) |
Three Months Ended June 30, 2012 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||||
Net interest settlements included in net interest income (2) | (59 | ) | (23 | ) | — | 15 | — | (67 | ) | |||||||||||||||
Total Net Interest Income | (59 | ) | (19 | ) | — | 15 | — | (63 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (4 | ) | 1 | — | 1 | — | (2 | ) | ||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | (1 | ) | (2 | ) | — | — | (3 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (4 | ) | — | (2 | ) | 1 | — | (5 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (63 | ) | $ | (19 | ) | $ | (2 | ) | $ | 16 | $ | — | $ | (68 | ) | ||||||||
Three Months Ended June 30, 2011 | ||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 4 | $ | (1 | ) | $ | 1 | $ | — | $ | 4 | |||||||||||
Net interest settlements included in net interest income (2) | (76 | ) | (21 | ) | — | 30 | — | (67 | ) | |||||||||||||||
Total Net Interest Income | (76 | ) | (17 | ) | (1 | ) | 31 | — | (63 | ) | ||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (4 | ) | — | — | 1 | — | (3 | ) | ||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | (1 | ) | — | — | — | (1 | ) | ||||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (4 | ) | (1 | ) | — | 1 | — | (4 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (80 | ) | $ | (18 | ) | $ | (1 | ) | $ | 32 | $ | — | $ | (67 | ) |
Six Months Ended June 30, 2012 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 7 | $ | — | $ | 1 | $ | — | $ | 8 | ||||||||||||
Net interest settlements included in net interest income (2) | (120 | ) | (43 | ) | — | 29 | — | (134 | ) | |||||||||||||||
Total Net Interest Income | (120 | ) | (36 | ) | — | 30 | — | (126 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (1 | ) | 1 | — | — | — | — | |||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | (1 | ) | (3 | ) | — | — | (4 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (1 | ) | — | (3 | ) | — | — | (4 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (121 | ) | $ | (36 | ) | $ | (3 | ) | $ | 30 | $ | — | $ | (130 | ) | ||||||||
Six Months Ended June 30, 2011 | ||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 7 | $ | (1 | ) | $ | 1 | $ | — | $ | 7 | |||||||||||
Net interest settlements included in net interest income (2) | (157 | ) | (42 | ) | — | 62 | — | (137 | ) | |||||||||||||||
Total Net Interest Income | (157 | ) | (35 | ) | (1 | ) | 63 | — | (130 | ) | ||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (3 | ) | — | — | — | — | (3 | ) | ||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | (1 | ) | — | — | — | (1 | ) | ||||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (3 | ) | (1 | ) | — | — | — | (4 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (160 | ) | $ | (36 | ) | $ | (1 | ) | $ | 63 | $ | — | $ | (134 | ) |
(1) | Represents the amortization/accretion of hedging fair value adjustments for both current and discontinued hedge positions. |
(2) | Represents interest income/expense on derivatives included in Net Interest Income. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Components | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Compensation and Benefits | $ | 9 | $ | 8 | $ | 18 | $ | 17 | ||||||||
Other Operating Expenses | 4 | 4 | 8 | 6 | ||||||||||||
Finance Agency and Office of Finance Expenses | 2 | 2 | 4 | 4 | ||||||||||||
Other | — | — | — | — | ||||||||||||
Total Other Expenses | $ | 15 | $ | 14 | $ | 30 | $ | 27 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Traditional Business Segment | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Interest Income | $ | 43 | $ | 33 | $ | 83 | $ | 68 | ||||||||
Provision for Credit Losses | — | — | — | — | ||||||||||||
Other Income (Loss) | (3 | ) | (8 | ) | (3 | ) | (26 | ) | ||||||||
Other Expenses | 13 | 12 | 27 | 24 | ||||||||||||
Income Before Assessments | 27 | 13 | 53 | 18 | ||||||||||||
Total Assessments | 3 | 4 | 6 | 5 | ||||||||||||
Net Income | $ | 24 | $ | 9 | $ | 47 | $ | 13 |
• | an increase in Net Interest Income primarily resulting from wider spreads mainly due to lower funding costs; and |
• | an increase in Other Income (Loss) primarily resulting from lower net OTTI credit losses on certain private-label RMBS. |
• | an increase in Other Income (Loss) that substantially resulted from lower OTTI credit losses on certain private-label RMBS; and |
• | an increase in Net Interest Income primarily resulting from wider spreads mainly due to lower funding costs. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Mortgage Loans Business Segment | 2012 | 2011 | 2012 | 2011 | ||||||||||||
Net Interest Income | $ | 17 | $ | 23 | $ | 39 | $ | 48 | ||||||||
Provision for Credit Losses | 2 | 1 | 2 | 2 | ||||||||||||
Other Income (Loss) | (2 | ) | — | (3 | ) | — | ||||||||||
Other Expenses | 2 | 2 | 3 | 3 | ||||||||||||
Income Before Assessments | 11 | 20 | 31 | 43 | ||||||||||||
Total Assessments | 1 | 5 | 3 | 12 | ||||||||||||
Net Income | $ | 10 | $ | 15 | $ | 28 | $ | 31 |
June 30, 2012 | December 31, 2011 | |||||||||||||
% of | % of | |||||||||||||
Type of Financial Institution | Par Value | Total | Par Value | Total | ||||||||||
Commercial banks | $ | 3,885 | 21 | % | $ | 4,077 | 23 | % | ||||||
Thrifts | 4,134 | 23 | % | 4,803 | 27 | % | ||||||||
Insurance Companies | 8,439 | 47 | % | 7,230 | 40 | % | ||||||||
Credit Unions | 1,037 | 6 | % | 1,036 | 6 | % | ||||||||
CDFI's | — | — | % | — | — | % | ||||||||
Total Member Advances | 17,495 | 97 | % | 17,146 | 96 | % | ||||||||
Non-member borrowers | 507 | 3 | % | 622 | 4 | % | ||||||||
Housing Associates | — | — | % | — | — | % | ||||||||
Total Advances, par value | $ | 18,002 | 100 | % | $ | 17,768 | 100 | % |
June 30, 2012 | December 31, 2011 | |||||||||||||
% of | % of | |||||||||||||
By Primary Product Type | Amount | Total | Amount | Total | ||||||||||
Fixed-rate | ||||||||||||||
Fixed-rate (1) | $ | 12,611 | 70 | % | $ | 11,800 | 67 | % | ||||||
Amortizing/mortgage matched (2) | 1,735 | 10 | % | 1,806 | 10 | % | ||||||||
Other | 578 | 3 | % | 570 | 3 | % | ||||||||
Total fixed-rate | 14,924 | 83 | % | 14,176 | 80 | % | ||||||||
Adjustable/variable-rate indexed | 3,078 | 17 | % | 3,592 | 20 | % | ||||||||
Total Advances, par value | 18,002 | 100 | % | 17,768 | 100 | % | ||||||||
Total adjustments (unamortized discounts, hedging and other) | 812 | 800 | ||||||||||||
Total Advances | $ | 18,814 | $ | 18,568 |
(1) | Includes fixed-rate bullet and putable Advances |
(2) | Includes fixed-rate amortizing Advances |
Components of Cash and Investments | June 30, 2012 | December 31, 2011 | Change | |||||||||
Cash and short-term investments: | ||||||||||||
Cash and Due from Banks | $ | 198 | $ | 513 | $ | (315 | ) | |||||
Interest-Bearing Deposits | — | — | — | |||||||||
Securities Purchased Under Agreements to Resell | 1,700 | — | 1,700 | |||||||||
Federal Funds Sold | 2,237 | 3,422 | (1,185 | ) | ||||||||
Total cash and short-term investments | 4,135 | 3,935 | 200 | |||||||||
Investment securities: | ||||||||||||
AFS securities: | ||||||||||||
GSE debentures | 2,914 | 2,026 | 888 | |||||||||
TLGP debentures | 320 | 322 | (2 | ) | ||||||||
Private-label MBS | 603 | 601 | 2 | |||||||||
Total AFS securities | 3,837 | 2,949 | 888 | |||||||||
HTM securities: | ||||||||||||
GSE debentures | 269 | 269 | — | |||||||||
TLGP debentures | 219 | 1,883 | (1,664 | ) | ||||||||
Other U.S. obligations - guaranteed RMBS | 2,893 | 2,747 | 146 | |||||||||
GSE RMBS | 3,763 | 3,512 | 251 | |||||||||
Private-label MBS | 303 | 402 | (99 | ) | ||||||||
Manufactured housing loan ABS | 16 | 17 | (1 | ) | ||||||||
Home equity loan ABS | 2 | 2 | — | |||||||||
Total HTM securities | 7,465 | 8,832 | (1,367 | ) | ||||||||
Total investment securities | 11,302 | 11,781 | (479 | ) | ||||||||
Total Cash and Investments, carrying value | $ | 15,437 | $ | 15,716 | $ | (279 | ) |
Components of Excess Stock | June 30, 2012 | December 31, 2011 | ||||||
Member capital stock not subject to outstanding redemption requests | $ | 372 | $ | 339 | ||||
Member capital stock subject to outstanding redemption requests (1) | 101 | 100 | ||||||
MRCS subject to redemption (1) | 421 | 418 | ||||||
Total excess capital stock | $ | 894 | $ | 857 |
(1) | This amount does not include capital stock or MRCS that is still supporting outstanding credit products. |
• | OTTI analysis (see Notes to Financial Statements - Note 5 - Other-Than-Temporary Impairment Analysis for more detail); |
• | Allowance for credit losses (see Notes to Financial Statements - Note 8 - Allowance for Credit Losses for more detail); |
• | Derivatives and hedging activities (see Notes to Financial Statements - Note 9 - Derivatives and Hedging Activities for more detail); |
• | Fair value estimates (see Notes to Financial Statements - Note 14 - Estimated Fair Values for more detail); and |
• | Premiums and discounts and other costs associated with originating or acquiring mortgage loans, MBS, and ABS (see Notes to Financial Statements - Note 1 - Summary of Significant Accounting Policies in the 2011 Form 10-K for more detail). |
Months | Recovery Range % | |||
1 - 6 | 0.0% | – | 1.9% | |
7 - 18 | 0.0% | – | 2.0% | |
19 - 24 | 0.7% | – | 2.7% | |
25 - 30 | 1.3% | – | 2.7% | |
31 - 42 | 1.3% | – | 3.4% | |
43 - 66 | 1.3% | – | 4.0% | |
Thereafter | 1.5% | – | 3.8% |
Three Months Ended June 30, 2012 | ||||||||||||||||||||||
As Reported | Using Adverse Housing Price Scenario | |||||||||||||||||||||
Number of | Impairment | Number of | Impairment | |||||||||||||||||||
Securities | Related to | Securities | Related to | |||||||||||||||||||
Classification | Impaired | UPB | Credit Loss | Impaired | UPB | Credit Loss | ||||||||||||||||
Prime | 2 | $ | 75 | $ | — | 6 | $ | 254 | $ | (6 | ) | |||||||||||
Alt-A | — | — | — | 1 | 35 | (1 | ) | |||||||||||||||
Total | 2 | $ | 75 | $ | — | 7 | $ | 289 | $ | (7 | ) |
• | a first stage that will identify those nonbank financial companies that have $50 billion or more of total consolidated assets (as of June 30, 2012, we had $40.2 billion in total assets) and exceed any one of five threshold indicators of interconnectedness or susceptibility to material financial distress, including whether a company has $20 billion or more in total debt outstanding (as of June 30, 2012, we had $36.3 billion in total outstanding Consolidated Obligations, our principal form of outstanding debt); |
• | a second stage involving a robust analysis of the potential threat that the subject nonbank financial company could pose to United States financial stability based on additional quantitative and qualitative factors that are both industry and company specific; and |
• | a third stage analyzing the subject nonbank financial company using information collected directly from it. |
• | implement the Basel Committee's capital standards related to minimum requirements, regulatory capital, and additional capital buffers; |
• | revise the methodologies for calculating risk-weighted assets in the general risk-based capital rules; and |
• | revise the approach by which large banks determine their capital adequacy. |
• | Executive Management Committee |
◦ | Focuses on our strategic direction |
◦ | Facilitates planning, coordination and communication among the Bank's operating divisions and the other committees |
◦ | Focuses on leadership, teamwork and Bank resources to best serve organizational priorities |
◦ | Generally oversees the other committees' activities |
• | Member Services Committee |
◦ | Focuses on member business activities and our product offerings |
• | Capital Markets Committee |
◦ | Focuses on risk-taking business activities in relation to how certain market conditions affect the Bank's business decisions |
• | Risk Committee |
◦ | Responsible for risk measurement, monitoring, and evaluation |
June 30, 2012 | AA | A | Total | |||||||||
Domestic | $ | 517 | $ | — | $ | 517 | ||||||
Canada | 690 | — | 690 | |||||||||
Sweden | 690 | — | 690 | |||||||||
Australia | 100 | — | 100 | |||||||||
Norway | — | 240 | 240 | |||||||||
Total unsecured credit exposure | $ | 1,997 | $ | 240 | $ | 2,237 |
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
June 30, 2012 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||
Interest-Bearing Deposits | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities Purchased Under Agreements to Resell | — | 1,700 | — | — | — | 1,700 | ||||||||||||||||||
Federal Funds Sold | — | 1,997 | 240 | — | — | 2,237 | ||||||||||||||||||
Total short-term investments | — | 3,697 | 240 | — | — | 3,937 | ||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE debentures | — | 2,914 | — | — | — | 2,914 | ||||||||||||||||||
TLGP debentures | — | 320 | — | — | — | 320 | ||||||||||||||||||
Private-label MBS | — | — | — | — | 603 | 603 | ||||||||||||||||||
Total AFS securities | — | 3,234 | — | — | 603 | 3,837 | ||||||||||||||||||
HTM securities: | ||||||||||||||||||||||||
GSE debentures | — | 269 | — | — | — | 269 | ||||||||||||||||||
TLGP debentures | — | 219 | — | — | — | 219 | ||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,893 | — | — | — | 2,893 | ||||||||||||||||||
GSE RMBS | — | 3,763 | — | — | — | 3,763 | ||||||||||||||||||
Private-label MBS | 115 | 29 | — | 65 | 94 | 303 | ||||||||||||||||||
Private-label ABS | — | 16 | — | — | 2 | 18 | ||||||||||||||||||
Total HTM securities | 115 | 7,189 | — | 65 | 96 | 7,465 | ||||||||||||||||||
Total investments, carrying value | $ | 115 | $ | 14,120 | $ | 240 | $ | 65 | $ | 699 | $ | 15,239 | ||||||||||||
Percentage of total | 1 | % | 93 | % | 2 | % | — | % | 4 | % | 100 | % | ||||||||||||
December 31, 2011 | ||||||||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||
Interest-Bearing Deposits | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities Purchased Under Agreements to Resell | — | — | — | — | — | — | ||||||||||||||||||
Federal Funds Sold | — | 2,095 | 1,327 | — | — | 3,422 | ||||||||||||||||||
Total short-term investments | — | 2,095 | 1,327 | — | — | 3,422 | ||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE debentures | — | 2,026 | — | — | — | 2,026 | ||||||||||||||||||
TLGP debentures | — | 322 | — | — | — | 322 | ||||||||||||||||||
Private-label MBS | — | — | — | — | 601 | 601 | ||||||||||||||||||
Total AFS securities | — | 2,348 | — | — | 601 | 2,949 | ||||||||||||||||||
HTM securities: | ||||||||||||||||||||||||
GSE debentures | — | 269 | — | — | — | 269 | ||||||||||||||||||
TLGP debentures | — | 1,883 | — | — | — | 1,883 | ||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,747 | — | — | — | 2,747 | ||||||||||||||||||
GSE RMBS | — | 3,512 | — | — | — | 3,512 | ||||||||||||||||||
Private-label MBS | 187 | 13 | 9 | 76 | 117 | 402 | ||||||||||||||||||
Private-label ABS | — | 17 | — | — | 2 | 19 | ||||||||||||||||||
Total HTM securities | 187 | 8,441 | 9 | 76 | 119 | 8,832 | ||||||||||||||||||
Total investments, carrying value | $ | 187 | $ | 12,884 | $ | 1,336 | $ | 76 | $ | 720 | $ | 15,203 | ||||||||||||
Percentage of total | 1 | % | 85 | % | 9 | % | — | % | 5 | % | 100 | % |
Year of Securitization | ||||||||||||||||||||
2004 | ||||||||||||||||||||
and | ||||||||||||||||||||
Prime | prior | 2005 | 2006 | 2007 | Total | |||||||||||||||
Private-label RMBS: | ||||||||||||||||||||
AAA | $ | 115 | $ | — | $ | — | $ | — | $ | 115 | ||||||||||
AA | 22 | — | — | — | 22 | |||||||||||||||
A | — | — | — | — | — | |||||||||||||||
BBB | 39 | 16 | — | — | 55 | |||||||||||||||
Below investment grade: | ||||||||||||||||||||
BB | 34 | 17 | — | — | 51 | |||||||||||||||
B | — | 33 | — | — | 33 | |||||||||||||||
CCC | — | 198 | — | — | 198 | |||||||||||||||
CC | — | 200 | — | 49 | 249 | |||||||||||||||
C | — | — | 92 | 110 | 202 | |||||||||||||||
D | — | 38 | 18 | 57 | 113 | |||||||||||||||
Total below investment grade | 34 | 486 | 110 | 216 | 846 | |||||||||||||||
Total UPB | $ | 210 | $ | 502 | $ | 110 | $ | 216 | $ | 1,038 | ||||||||||
Amortized cost | $ | 210 | $ | 458 | $ | 101 | $ | 159 | $ | 928 | ||||||||||
Unrealized losses (1) | (5 | ) | (56 | ) | (8 | ) | (9 | ) | (78 | ) | ||||||||||
Estimated fair value | 206 | 402 | 93 | 151 | 852 | |||||||||||||||
OTTI (year-to-date) (2): | ||||||||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Portion reclassified to (from) OCI | — | — | (1 | ) | (2 | ) | (3 | ) | ||||||||||||
OTTI credit losses | $ | — | $ | — | $ | (1 | ) | $ | (2 | ) | $ | (3 | ) | |||||||
Weighted average percentage of estimated fair value to UPB | 98 | % | 80 | % | 85 | % | 70 | % | 82 | % | ||||||||||
Original weighted average credit support | 3 | % | 8 | % | 6 | % | 10 | % | 7 | % | ||||||||||
Current weighted average credit support | 12 | % | 6 | % | 2 | % | 2 | % | 6 | % | ||||||||||
Weighted average collateral delinquency (3) | 7 | % | 13 | % | 17 | % | 21 | % | 14 | % |
(1) | Unrealized losses represent the difference between estimated fair value and amortized cost where estimated fair value is less than amortized cost. These amounts exclude unrealized gains. |
(2) | Amounts include OTTI losses for securities held at June 30, 2012 only. |
(3) | Includes delinquencies of 60 days or more, foreclosures, real estate owned and bankruptcies, weighted by the UPB of the individual securities in the category based on their respective collateral delinquency. |
Year of Securitization | ||||||||||||||||||||
2004 | ||||||||||||||||||||
and | ||||||||||||||||||||
Alt-A | prior | 2005 | 2006 | 2007 | Total | |||||||||||||||
Private-label RMBS: | ||||||||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
AA | 7 | — | — | — | 7 | |||||||||||||||
A | — | — | — | — | — | |||||||||||||||
BBB | 10 | — | — | — | 10 | |||||||||||||||
Below investment grade: | ||||||||||||||||||||
BB | 8 | — | — | — | 8 | |||||||||||||||
B | 3 | — | — | — | 3 | |||||||||||||||
CCC | — | — | — | — | — | |||||||||||||||
CC | — | 4 | — | — | 4 | |||||||||||||||
C | — | — | — | — | — | |||||||||||||||
D | — | 34 | — | — | 34 | |||||||||||||||
Total below investment grade: | 11 | 38 | — | — | 49 | |||||||||||||||
Total UPB | $ | 28 | $ | 38 | $ | — | $ | — | $ | 66 | ||||||||||
Amortized cost | $ | 28 | $ | 30 | $ | — | $ | — | $ | 58 | ||||||||||
Unrealized losses (1) | (1 | ) | (9 | ) | — | — | (10 | ) | ||||||||||||
Estimated fair value | 27 | 22 | — | — | 49 | |||||||||||||||
OTTI (year-to-date) (2): | ||||||||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Portion reclassified to (from) OCI | — | — | — | — | — | |||||||||||||||
OTTI credit losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Weighted average percentage of estimated fair value to UPB | 95 | % | 57 | % | — | % | — | % | 73 | % | ||||||||||
Original weighted average credit support | 3 | % | 7 | % | — | % | — | % | 5 | % | ||||||||||
Current weighted average credit support | 11 | % | — | % | — | % | — | % | 5 | % | ||||||||||
Weighted average collateral delinquency (3) | 7 | % | 18 | % | — | % | — | % | 13 | % |
(1) | Unrealized losses represent the difference between estimated fair value and amortized cost where estimated fair value is less than amortized cost. These amounts exclude unrealized gains. |
(2) | Amounts include OTTI losses for securities held at June 30, 2012 only. |
(3) | Includes delinquencies of 60 days or more, foreclosures, real estate owned and bankruptcies, weighted by the UPB of the individual securities in the category based on their respective collateral delinquency. |
Year of Securitization | ||||||||||||||||||||
2004 | ||||||||||||||||||||
and | ||||||||||||||||||||
Subprime | prior | 2005 | 2006 | 2007 | Total | |||||||||||||||
Private-label ABS - home equity loans: | ||||||||||||||||||||
Below investment grade: | ||||||||||||||||||||
B | $ | 3 | $ | — | $ | — | $ | — | $ | 3 | ||||||||||
Total UPB | $ | 3 | $ | — | $ | — | $ | — | $ | 3 | ||||||||||
Amortized cost | $ | 3 | $ | — | $ | — | $ | — | $ | 3 | ||||||||||
Unrealized losses (1) | (1 | ) | — | — | — | (1 | ) | |||||||||||||
Estimated fair value | 2 | — | — | — | 2 | |||||||||||||||
OTTI (year-to-date) (2): | ||||||||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Portion reclassified to (from) OCI | — | — | — | — | — | |||||||||||||||
OTTI credit losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Weighted average percentage of estimated fair value to UPB | 68 | % | — | % | — | % | — | % | 68 | % | ||||||||||
Original weighted average credit support (3) | 100 | % | — | % | — | % | — | % | 100 | % | ||||||||||
Current weighted average credit support (3) | 100 | % | — | % | — | % | — | % | 100 | % | ||||||||||
Weighted average collateral delinquency (4) | 31 | % | — | % | — | % | — | % | 31 | % | ||||||||||
Private-label ABS - manufactured housing loans: | ||||||||||||||||||||
AA | $ | 16 | $ | — | $ | — | $ | — | $ | 16 | ||||||||||
Total UPB | $ | 16 | $ | — | $ | — | $ | — | $ | 16 | ||||||||||
Amortized cost | $ | 16 | $ | — | $ | — | $ | — | $ | 16 | ||||||||||
Unrealized losses (1) | (4 | ) | — | — | — | (4 | ) | |||||||||||||
Estimated fair value | 12 | — | — | — | 12 | |||||||||||||||
OTTI (year-to-date) (2): | ||||||||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Portion reclassified to (from) OCI | — | — | — | — | — | |||||||||||||||
OTTI credit losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Weighted average percentage of estimated fair value to UPB | 77 | % | — | % | — | % | — | % | 77 | % | ||||||||||
Original weighted average credit support | 28 | % | — | % | — | % | — | % | 28 | % | ||||||||||
Current weighted average credit support | 30 | % | — | % | — | % | — | % | 30 | % | ||||||||||
Weighted average collateral delinquency (4) | 3 | % | — | % | — | % | — | % | 3 | % |
(1) | Unrealized losses represent the difference between estimated fair value and amortized cost where estimated fair value is less than amortized cost. These amounts exclude unrealized gains. |
(2) | Amounts include OTTI losses for securities held at June 30, 2012 only. |
(3) | The credit support for the home equity loans is provided by MBIA Insurance Corporation. |
(4) | Includes delinquencies of 60 days or more, foreclosures, real estate owned and bankruptcies, weighted by the UPB of the individual securities in the category based on their respective collateral delinquency. |
June 30, 2012 | December 31, 2011 | |||||||||||||||||||||||
Fixed | Variable | Fixed | Variable | |||||||||||||||||||||
By Loan Type (1) | Rate | Rate (2)(3) | Total | Rate | Rate (2)(3) | Total | ||||||||||||||||||
RMBS: | ||||||||||||||||||||||||
Prime loans | $ | 297 | $ | 741 | $ | 1,038 | $ | 405 | $ | 757 | $ | 1,162 | ||||||||||||
Alt-A loans | 66 | — | 66 | 78 | — | 78 | ||||||||||||||||||
Total RMBS | 363 | 741 | 1,104 | 483 | 757 | 1,240 | ||||||||||||||||||
ABS - home equity loans: | ||||||||||||||||||||||||
Subprime loans | — | 3 | 3 | — | 3 | 3 | ||||||||||||||||||
Total ABS - home equity loans | — | 3 | 3 | — | 3 | 3 | ||||||||||||||||||
ABS - manufactured housing loans: | ||||||||||||||||||||||||
Subprime loans | 16 | — | 16 | 17 | — | 17 | ||||||||||||||||||
Total ABS - manufactured housing loans | 16 | — | 16 | 17 | — | 17 | ||||||||||||||||||
Total private-label MBS and ABS, at UPB | $ | 379 | $ | 744 | $ | 1,123 | $ | 500 | $ | 760 | $ | 1,260 |
(1) | We classify our private-label RMBS and ABS as prime, Alt-A and subprime based on the originator's classification at the time of origination or based on classification by an NRSRO upon issuance. |
(2) | Variable-rate private-label MBS and ABS include those with a contractual coupon rate that, prior to contractual maturity, is either scheduled to change or is subject to change. |
(3) | All variable-rate RMBS prime loans are hybrid adjustable-rate mortgage securities. |
July 31, 2012 Ratings Based on | |||||||||||||||||||||||||||||||
June 30, 2012 | June 30, 2012 UPB (3) (4) | ||||||||||||||||||||||||||||||
Gross | Collateral | Other | Below | ||||||||||||||||||||||||||||
Amortized | Unrealized | Delinquency | Investment | Investment | |||||||||||||||||||||||||||
By Collateral Type (1) | UPB | Cost | Losses | Rate (2) | AAA (3) | AAA | Grade | Grade | Watchlist | ||||||||||||||||||||||
Private-label RMBS backed by: | |||||||||||||||||||||||||||||||
Prime - 1st lien | $ | 921 | $ | 825 | $ | (78 | ) | 14 | % | 8 | % | 8 | % | 8 | % | 84 | % | — | % | ||||||||||||
Alt-A - 1st lien | 66 | 58 | (10 | ) | 13 | % | — | % | — | % | 26 | % | 74 | % | — | % | |||||||||||||||
Total private-label RMBS | 987 | 883 | (88 | ) | 14 | % | 7 | % | 7 | % | 10 | % | 83 | % | — | % | |||||||||||||||
Subprime ABS - manufactured housing loans backed by: | |||||||||||||||||||||||||||||||
1st lien | 16 | 16 | (4 | ) | 3 | % | — | % | — | % | 100 | % | — | % | — | % | |||||||||||||||
Total subprime ABS - manufactured housing loans | 16 | 16 | (4 | ) | 3 | % | — | % | — | % | 100 | % | — | % | — | % | |||||||||||||||
Subprime ABS - home equity loans backed by: (5) | |||||||||||||||||||||||||||||||
2nd lien | 3 | 3 | (1 | ) | 31 | % | — | % | — | % | — | % | 100 | % | 38 | % | |||||||||||||||
Total subprime ABS - home equity loans | 3 | 3 | (1 | ) | 31 | % | — | % | — | % | — | % | 100 | % | 38 | % | |||||||||||||||
Total private-label MBS and ABS | $ | 1,006 | $ | 902 | $ | (93 | ) | 14 | % | 7 | % | 7 | % | 11 | % | 82 | % | — | % |
(1) | We classify our private-label RMBS and ABS as prime, Alt-A and subprime based on the originator's classification at the time of origination or based on classification by an NRSRO upon issuance. |
(2) | Includes delinquencies of 60 days or more, foreclosures, real estate owned and bankruptcies, weighted by the UPB of the individual securities in the category based on their respective collateral delinquency. |
(3) | Represents the lowest ratings available for each security based on the lowest of Moody's, S&P or comparable Fitch ratings. |
(4) | Excludes paydowns in full subsequent to June 30, 2012. |
(5) | The credit support for the home equity loans is provided by MBIA Insurance Corporation. This insurance company had a credit rating of B as of July 31, 2012, based on the lower of Moody's and S&P ratings. |
Significant Modeling Assumptions for all Private-label RMBS | Current Credit | |||||||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Enhancement | |||||||||||||||||||||
Weighted | Weighted | Weighted | Weighted | |||||||||||||||||||||
Average | Range | Average | Range | Average | Range | Average | Range | |||||||||||||||||
Year of Securitization | UPB | % | % | % | % | % | % | % | % | |||||||||||||||
Prime: | ||||||||||||||||||||||||
2007 | $ | 216 | 6.6 | 6.1 - 6.9 | 39.1 | 34.0 - 42.0 | 44.0 | 39.2 - 48.7 | 2.0 | 0.0 - 7.2 | ||||||||||||||
2006 | 95 | 9.6 | 8.2 - 12.0 | 29.3 | 18.7 - 35.2 | 39.4 | 35.7 - 41.7 | 1.8 | 0.0 - 2.8 | |||||||||||||||
2005 | 502 | 9.7 | 8.4 - 23.0 | 23.5 | 2.4 - 26.8 | 37.7 | 19.9 - 44.5 | 6.1 | 0.0 - 11.8 | |||||||||||||||
2004 and prior | 210 | 21.3 | 4.2 - 39.0 | 8.0 | 0.0 - 15.6 | 28.5 | 0.0 - 39.4 | 12.4 | 3.3 - 59.7 | |||||||||||||||
Total Prime | 1,023 | 11.4 | 4.2 - 39.0 | 24.2 | 0.0 - 42.0 | 37.3 | 0.0 - 48.7 | 6.1 | 0.0 - 59.7 | |||||||||||||||
Alt-A: | ||||||||||||||||||||||||
2006 | 15 | 10.2 | 10.2 - 10.2 | 31.7 | 31.7 - 31.7 | 47.8 | 47.8 - 47.8 | 2.5 | 2.5 - 2.5 | |||||||||||||||
2005 | 38 | 8.5 | 8.4 - 9.9 | 35.8 | 26.0 - 36.8 | 42.0 | 34.5 - 42.8 | 0.0 | 0.0 - 0.4 | |||||||||||||||
2004 and prior | 28 | 16.1 | 11.4 - 17.7 | 7.8 | 1.4 - 14.6 | 27.4 | 19.9 - 41.6 | 11.4 | 4.8 - 15.2 | |||||||||||||||
Total Alt-A | 81 | 11.5 | 8.4 - 17.7 | 25.3 | 1.4 - 36.8 | 38.0 | 19.9 - 47.8 | 4.4 | 0.0 - 15.2 | |||||||||||||||
Total private-label RMBS | $ | 1,104 | 11.4 | 4.2 - 39.0 | 24.3 | 0.0 - 42.0 | 37.3 | 0.0 - 48.7 | 6.0 | 0.0 - 59.7 |
Significant Modeling Assumptions for all ABS - Home Equity Loans | Current Credit | |||||||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | Enhancement | |||||||||||||||||
Weighted | Weighted | Weighted | Weighted | |||||||||||||||||
Average | Range | Average | Range | Average | Range | Average | Range | |||||||||||||
Year of Securitization | UPB | % | % | % | % | % | % | % | % | |||||||||||
Subprime 2004 and prior (1) | $ | 3 | 5.9 | 5.7 - 6.0 | 25.3 | 22.3 - 27.2 | 48.8 | 37.8 - 55.5 | 100 | 100 - 100 | ||||||||||
Total ABS - home equity loans | $ | 3 | 5.9 | 5.7 - 6.0 | 25.3 | 22.3 - 27.2 | 48.8 | 37.8 - 55.5 | 100 | 100 - 100 |
(1) | These securities are insured by monoline bond insurers. |
• | PMI (when applicable for the purchase of mortgages with an initial loan-to-value ratio of over 80% at the time of purchase); |
• | LRA; and |
• | SMI (as applicable) purchased by the seller from a third-party provider naming us as the beneficiary. |
Seriously Delinquent Loans (2) | ||||||||||||
Credit | ||||||||||||
Credit | Rating | PMI Coverage | ||||||||||
Mortgage Insurance Company | Rating (1) | Outlook (1) | UPB | Outstanding | ||||||||
Mortgage Guaranty Insurance Corporation | B | Negative | $ | 7 | $ | 2 | ||||||
Republic Mortgage Insurance Company (3) | R | N/A | 5 | 1 | ||||||||
Radian Guaranty, Inc. | B | Negative | 5 | 1 | ||||||||
Genworth Mortgage Insurance Corporation Corporation | B | Negative | 4 | 1 | ||||||||
United Guaranty Residential Insurance Corporation | BBB | Stable | 2 | 1 | ||||||||
All Others (4) | R, NR | N/A | 2 | 1 | ||||||||
Total | $ | 25 | $ | 7 |
(1) | Represents the lowest credit rating and outlook of S&P, Moody's and Fitch stated in terms of the S&P equivalent as of July 31, 2012. R signifies regulatory supervision, while NR indicates the insurer is unrated. |
(2) | Seriously delinquent loans include loans that are 90 days or more past due or in the process of foreclosure. |
(3) | On August 3, 2011, we announced that we would no longer accept Republic Mortgage Insurance Company as a provider of PMI, effective with mandatory delivery contracts committed on or after August 1, 2011. On January 20, 2012, the North Carolina Department of Insurance took possession and control of Republic Mortgage Insurance Company, a subsidiary of Old Republic International Corporation, and, beginning January 19, 2012, Republic Mortgage Insurance Company will pay only 50% of its claim amounts with the remaining amount to be paid at a future date when funds become available. |
(4) | On October 20, 2011, the Arizona Department of Insurance took possession and control of PMI Mortgage Insurance Co. Beginning October 24, 2011, PMI Mortgage Insurance Co. will pay only 50% of its claim amounts with the remaining amount deferred until the company is liquidated. |
Mortgage Insurance Company | June 30, 2012 | December 31, 2011 | ||||||
Mortgage Guaranty Insurance Corporation | $ | 37 | $ | 36 | ||||
Genworth Mortgage Insurance Corporation | 18 | 21 | ||||||
Total | $ | 55 | $ | 57 |
• | Mortgage characteristics: |
◦ | must be qualifying 5- to 30-year conforming conventions, fixed rate, fully amortizing mortgage loans; and |
◦ | secured by first liens on owner-occupied 1- to 4-unit single-family residential properties and single-unit second homes. |
• | Loan-to-value ratio and PMI: |
◦ | the maximum loan-to-value for conventional MPF loans is 95%; and |
◦ | conventional MPF loans with loan-to-value greater than 80% are insured by PMI from a mortgage guaranty insurance company that has successfully passed an internal credit review and is approved under the MPF Program. |
• | Documentation and compliance: |
◦ | mortgage documents and transactions are required to comply with all applicable laws; |
◦ | mortgage loans are documented using standard Fannie Mae/Freddie Mac uniform instruments. |
• | Government loans: |
◦ | have substantially the same parameters as conventional MPF loans except that their loan-to-value may not exceed the loan-to-value limits set by the applicable government agency; and |
◦ | they must meet all requirements to be insured or guaranteed by the applicable government agency. |
• | Ineligible mortgage loans include: |
◦ | loans unable to be rated by S&P; |
◦ | loans not meeting eligibility requirements; |
◦ | loans classified as high cost, high rate, high risk; and |
◦ | Home Ownership and Equity Protection Act loans or loans in similar categories defined under predatory or abusive lending laws, or subprime, non-traditional, or higher-priced mortgage loans. |
Product Name | Size of the FHLBank's First Loss Account | PFI Credit Enhancement Description | Credit Enhancement Fee Paid to PFI | Credit Enhancement Fee Offset (1) | Servicing Fee to PFI | |||||
Original MPF | 4 basis points per year against unpaid balance, accrued monthly | After the first loss account, to bring to the equivalent of "AA" | 10 basis points per year, paid monthly, guaranteed | No | 25 basis points per year, paid monthly | |||||
MPF 125 | 100 basis points fixed based on gross fundings at closing | After the first loss account, to bring to the equivalent of "AA" | 7 to 10 basis points per year, paid monthly, performance based | Yes, to the extent recoverable in future years | 25 basis points per year, paid monthly | |||||
Original MPF for Government Loans | n/a | n/a (unreimbursed servicing expenses only) | n/a (2) | n/a | 44 basis points per year, paid monthly |
(1) | Future payouts of performance-based credit enhancement fees are reduced when losses are allocated to the first loss account. The offset is limited to fees payable in a given year but could be reduced in subsequent years. The overall reduction is limited to the first loss account amount for the life of the pool of loans covered by a master commitment agreement. |
(2) | One government master commitment, which expires in August 2012, has been grandfathered and paid a credit enhancement fee of 2 bps/year. All other government master commitments are not paid a credit enhancement fee. |
Credit Exposure | Other | |||||||||||||||
Total | Net of Cash | Collateral | Net Credit | |||||||||||||
June 30, 2012 | Notional | Collateral | Held | Exposure | ||||||||||||
AA | $ | 5,488 | $ | — | $ | — | $ | — | ||||||||
A | 25,146 | — | — | — | ||||||||||||
BBB | 3,589 | — | — | — | ||||||||||||
Unrated | — | — | — | — | ||||||||||||
Subtotal | 34,223 | — | — | — | ||||||||||||
Member institutions (1) | 157 | — | — | — | ||||||||||||
Total | $ | 34,380 | $ | — | $ | — | $ | — | ||||||||
December 31, 2011 | ||||||||||||||||
AA | $ | 13,359 | $ | — | $ | — | $ | — | ||||||||
A | 21,561 | — | — | — | ||||||||||||
Unrated | 70 | — | — | — | ||||||||||||
Subtotal | 34,990 | — | — | — | ||||||||||||
Member institutions (1) | 68 | — | — | — | ||||||||||||
Total | $ | 35,058 | $ | — | $ | — | $ | — |
(1) | Includes mortgage delivery commitments. |
• | movements in interest rates over time; |
• | movements in prepayment speeds over time; |
• | the change in the relationship between short-term and long-term interest rates (i.e., the slope of the Consolidated Obligation and LIBOR yield curves); |
• | the change in the relationship of FHLBank System debt spreads to other indices, primarily LIBOR (commonly referred to as "basis" risk); and |
• | the change in the relationship between fixed rates and variable rates. |
Date | -200 basis points* | 0 basis points | +200 basis points | |||
June 30, 2012 | (4.4) years | 0.6 years | 0.6 years | |||
December 31, 2011 | (6.9) years | (1.5) years | 2.4 years |
* | Our internal policy guidelines provide for the calculation of the duration of equity in a low-rate environment to be based on the Finance Agency Advisory Bulletin 03-09, as modified September 3, 2008. Under these guidelines, our duration of equity was 0.6 years at June 30, 2012 and (1.5) years at December 31, 2011. |
Date | VaR | |||
June 30, 2012 | $ | 180 | ||
December 31, 2011 | 136 |
Date | -200 basis points | +200 basis points | ||||
June 30, 2012 | (2.4 | )% | 0.3 | % | ||
December 31, 2011 | (3.0 | )% | 0.4 | % |
• | third-party providers of credit enhancements on the MBS investments that we hold in our investment portfolios, including mortgage insurers, bond insurers and financial guarantors; |
• | servicers for mortgage loans we hold as collateral on Advances; and |
• | servicers for mortgage loans purchased under our MPP or through participation interests in mortgage loans purchased from other FHLBanks under our MPF program. |
Exhibit Number | Description | |
3.1* | Organization Certificate of the Federal Home Loan Bank of Indianapolis, incorporated by reference to our Registration Statement on Form 10 filed on February 14, 2006 | |
3.2* | Bylaws of the Federal Home Loan Bank of Indianapolis, incorporated by reference to Exhibit 3.2 of our Current Report on Form 8-K filed on May 21, 2010 | |
4* | Capital Plan of the Federal Home Loan Bank of Indianapolis, effective September 5, 2011, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on August 5, 2011 | |
10.1*+ | Federal Home Loan Bank of Indianapolis 2009 Executive Incentive Compensation Plan, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on August 13, 2009 | |
10.2*+ | Form of Key Employee Severance Agreement for Executive Officers, incorporated by reference to our Current Report on Form 8-K, filed on November 20, 2007 | |
10.3*+ | Directors' Compensation and Travel Expense Reimbursement Policy effective January 1, 2012, as amended on May 18, 2012, incorporated by reference to Exhibit 10.1 of our Current Report on Form 8-K filed on May 22, 2012 | |
10.4*+ | Federal Home Loan Bank of Indianapolis 2011 Long Term Incentive Plan, effective January 1, 2011, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on August 3, 2011 | |
10.5*+ | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement, incorporated by reference to Exhibit 10.1 of our Current Report on Form 8-K filed on June 27, 2006 | |
10.6*+ | Federal Home Loan Bank 2009 Long Term Incentive Plan, incorporated by reference to our Annual Report on Form 10-K filed on March 16, 2009 | |
10.7*+ | Federal Home Loan Bank of Indianapolis 2011 Executive Incentive Compensation Plan (STI), effective January 1, 2011, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on August 3, 2011 | |
10.8*+ | Form of Key Employee Severance Agreement for Principal Executive Officer, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on May 24, 2010 | |
10.9*+ | Form of Key Employee Severance Agreement for Executive Officers, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on February 4, 2011 | |
10.10* | Joint Capital Enhancement Agreement dated August 5, 2011, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on August 5, 2011 | |
10.11*+ | Federal Home Loan Bank of Indianapolis Incentive Plan, effective January 1, 2012, with technical amendments made on March 19, 2012 and additional amendments made on May 18, 2012, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on May 22, 2012 | |
Exhibit Number | Description | |
31.1 | Certification of the President - Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.2 | Certification of the Executive Vice President - Chief Operating Officer - Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.3 | Certification of the Senior Vice President - Chief Accounting Officer pursuant to Section 302 of the Sarbanes - Oxley Act of 2002 | |
32 | Certification of the President - Chief Executive Officer, Executive Vice President - Chief Operating Officer - Chief Financial Officer, and Senior Vice President - Chief Accounting Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||
August 10, 2012 | By: | /s/ MILTON J. MILLER II |
Name: | Milton J. Miller II | |
Title: | President - Chief Executive Officer | |
August 10, 2012 | By: | /s/ CINDY L. KONICH |
Name: | Cindy L. Konich | |
Title: | Executive Vice President - Chief Operating Officer - Chief Financial Officer | |
August 10, 2012 | By: | /s/ K. LOWELL SHORT, JR. |
Name: | K. Lowell Short, Jr. | |
Title: | Senior Vice President - Chief Accounting Officer |
(1) | The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Bank. |
Commitments and Contingencies (Tables)
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6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
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Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments [Table Text Block] | The following table presents our off-balance-sheet commitments at their notional amounts:
|
Held-to-Maturity Securities (Major Security Types) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
||||||||
---|---|---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | $ 7,465,049 | [1] | $ 8,832,570 | [1] | ||||||
OTTI Recognized in AOCI | (350) | (392) | ||||||||
Carrying Value | 7,464,699 | [2] | 8,832,178 | [2] | ||||||
Gross Unrecognized Holding Gains | 217,369 | [3] | 171,847 | [3] | ||||||
Gross Unrecognized Holding Losses | (18,395) | [3] | (31,944) | [3] | ||||||
Estimated Fair Value | 7,663,673 | 8,972,081 | ||||||||
GSE Debentures [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 268,995 | [1] | 268,994 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 268,995 | [2] | 268,994 | [2] | ||||||
Gross Unrecognized Holding Gains | 1,404 | [3] | 1,361 | [3] | ||||||
Gross Unrecognized Holding Losses | 0 | [3] | 0 | [3] | ||||||
Estimated Fair Value | 270,399 | 270,355 | ||||||||
TLGP Debentures [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 218,765 | [1] | 1,883,334 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 218,765 | [2] | 1,883,334 | [2] | ||||||
Gross Unrecognized Holding Gains | 35 | [3] | 2,505 | [3] | ||||||
Gross Unrecognized Holding Losses | 0 | [3] | (45) | [3] | ||||||
Estimated Fair Value | 218,800 | 1,885,794 | ||||||||
Non-MBS and ABS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 487,760 | [1] | 2,152,328 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 487,760 | [2] | 2,152,328 | [2] | ||||||
Gross Unrecognized Holding Gains | 1,439 | [3] | 3,866 | [3] | ||||||
Gross Unrecognized Holding Losses | 0 | [3] | (45) | [3] | ||||||
Estimated Fair Value | 489,199 | 2,156,149 | ||||||||
Other US Obligations - Guaranteed RMBS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 2,893,029 | [1] | 2,746,474 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 2,893,029 | [2] | 2,746,474 | [2] | ||||||
Gross Unrecognized Holding Gains | 70,279 | [3] | 48,915 | [3] | ||||||
Gross Unrecognized Holding Losses | (6,779) | [3] | (13,258) | [3] | ||||||
Estimated Fair Value | 2,956,529 | 2,782,131 | ||||||||
GSE RMBS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 3,762,456 | [1] | 3,511,831 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 3,762,456 | [2] | 3,511,831 | [2] | ||||||
Gross Unrecognized Holding Gains | 145,065 | [3] | 118,839 | [3] | ||||||
Gross Unrecognized Holding Losses | (675) | [3] | (2,537) | [3] | ||||||
Estimated Fair Value | 3,906,846 | 3,628,133 | ||||||||
Private-Label RMBS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 303,472 | [1] | 402,464 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 303,472 | [2] | 402,464 | [2] | ||||||
Gross Unrecognized Holding Gains | 586 | [3] | 227 | [3] | ||||||
Gross Unrecognized Holding Losses | (6,853) | [3] | (12,143) | [3] | ||||||
Estimated Fair Value | 297,205 | 390,548 | ||||||||
Manufactured Housing Loan ABS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 15,792 | [1] | 16,757 | [1] | ||||||
OTTI Recognized in AOCI | 0 | 0 | ||||||||
Carrying Value | 15,792 | [2] | 16,757 | [2] | ||||||
Gross Unrecognized Holding Gains | 0 | [3] | 0 | [3] | ||||||
Gross Unrecognized Holding Losses | (3,655) | [3] | (3,482) | [3] | ||||||
Estimated Fair Value | 12,137 | 13,275 | ||||||||
Home Equity Loan ABS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 2,540 | [1] | 2,716 | [1] | ||||||
OTTI Recognized in AOCI | (350) | (392) | ||||||||
Carrying Value | 2,190 | [2] | 2,324 | [2] | ||||||
Gross Unrecognized Holding Gains | 0 | [3] | 0 | [3] | ||||||
Gross Unrecognized Holding Losses | (433) | [3] | (479) | [3] | ||||||
Estimated Fair Value | 1,757 | 1,845 | ||||||||
MBS and ABS [Member]
|
||||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||||
Amortized Cost | 6,977,289 | [1] | 6,680,242 | [1] | ||||||
OTTI Recognized in AOCI | (350) | (392) | ||||||||
Carrying Value | 6,976,939 | [2] | 6,679,850 | [2] | ||||||
Gross Unrecognized Holding Gains | 215,930 | [3] | 167,981 | [3] | ||||||
Gross Unrecognized Holding Losses | (18,395) | [3] | (31,899) | [3] | ||||||
Estimated Fair Value | $ 7,174,474 | $ 6,815,932 | ||||||||
|
Derivative and Hedging Activities (Narrative) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
---|---|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative, Net Liability Position, Aggregate Fair Value | $ 919,251 |
Collateral Already Posted, Aggregate Fair Value | 731,684 |
Derivative, Net Liability Position, Aggregate Fair Value, Not Subject to Credit Support Agreement | 759 |
Additional Collateral, Aggregate Fair Value | $ 30,875 |
Other-Than-Temporary Impairments Analysis (Credit and Non-credit Losses) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||||
---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Total OTTI Losses | $ 0 | $ 0 | $ (6) | $ (2,972) | |||
Net OTTI Reclassified to (from) OCI | (292) | (3,336) | (3,574) | (18,745) | |||
OTTI Related to Credit Loss | (292) | (3,336) | (3,580) | (21,717) | [1] | ||
Reclassification of non-credit portion to Other Income (Loss) | (292) | (3,336) | (3,578) | (21,076) | |||
Non-Credit Losses Recognized in OCI | 0 | 0 | 4 | 2,331 | |||
Private-Label RMBS [Member]
|
|||||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Total OTTI Losses | 0 | 0 | (6) | (2,972) | |||
Net OTTI Reclassified to (from) OCI | (292) | (3,336) | (3,574) | (18,745) | |||
OTTI Related to Credit Loss | (292) | (3,336) | (3,580) | (21,717) | |||
Prime [Member] | Private-Label RMBS [Member]
|
|||||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Total OTTI Losses | 0 | 0 | (6) | 0 | |||
Net OTTI Reclassified to (from) OCI | (292) | (2,334) | (3,574) | (20,074) | |||
OTTI Related to Credit Loss | (292) | (2,334) | (3,580) | (20,074) | |||
Alt-A [Member] | Private-Label RMBS [Member]
|
|||||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Total OTTI Losses | 0 | 0 | 0 | (2,972) | |||
Net OTTI Reclassified to (from) OCI | 0 | (1,002) | 0 | 1,329 | |||
OTTI Related to Credit Loss | $ 0 | $ (1,002) | $ 0 | $ (1,643) | |||
|
Estimated Fair Values (Estimated Fair Value on a Nonrecurring Basis) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
Level 1 [Member]
|
Jun. 30, 2012
Level 2 [Member]
|
Jun. 30, 2012
Level 3 [Member]
|
Dec. 31, 2011
Fair Value, Measurements, Nonrecurring [Member]
|
Dec. 31, 2011
Fair Value, Measurements, Nonrecurring [Member]
Level 1 [Member]
|
Dec. 31, 2011
Fair Value, Measurements, Nonrecurring [Member]
Level 2 [Member]
|
Dec. 31, 2011
Fair Value, Measurements, Nonrecurring [Member]
Level 3 [Member]
|
Dec. 31, 2011
Home Equity Loan ABS [Member]
Fair Value, Measurements, Nonrecurring [Member]
|
Dec. 31, 2011
Home Equity Loan ABS [Member]
Fair Value, Measurements, Nonrecurring [Member]
Level 1 [Member]
|
Dec. 31, 2011
Home Equity Loan ABS [Member]
Fair Value, Measurements, Nonrecurring [Member]
Level 2 [Member]
|
Dec. 31, 2011
Home Equity Loan ABS [Member]
Fair Value, Measurements, Nonrecurring [Member]
Level 3 [Member]
|
---|---|---|---|---|---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||
Held-to-maturity Securities | $ 0 | $ 7,352,574 | $ 311,099 | $ 588 | $ 0 | $ 0 | $ 588 | ||||
Total nonrecurring assets at estimated fair value | $ 588 | $ 0 | $ 0 | $ 588 |
Derivative and Hedging Activities (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
|
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Derivative Instruments [Table Text Block] | The following table presents the fair value of derivative instruments. For purposes of this disclosure, the derivative values include the related accrued interest.
|
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Components of Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | The following table presents the components of Net Gains (Losses) on Derivatives and Hedging Activities reported in Other Income (Loss):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Effect of Fair Value Hedge-Related Derivative Instruments [Table Text Block] | The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedging relationships and the effect of those derivatives on Net Interest Income:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Risk Exposure on Derivative Instruments [Table Text Block] | The following table presents our credit risk exposure on derivative instruments, excluding circumstances in which a counterparty's pledged collateral to us exceeds our net position. Amounts represent the effect of legally enforceable master netting agreements that allow us to settle positive and negative positions and also cash collateral held or placed with the same counterparties.
|
Accumulated Other Comprehensive Income (Loss) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
|
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Begining | $ (113,541) | |||
Other Comprehensive Income (Loss) | 2,904 | 2,479 | 33,831 | 32,616 |
AOCI Balance, End | (79,710) | (79,710) | ||
Accumulated Other Comprehensive Income (Loss) [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Begining | (113,541) | (90,246) | ||
Other Comprehensive Income (Loss) | 33,831 | 32,616 | ||
AOCI Balance, End | (79,710) | (57,630) | (79,710) | (57,630) |
Unrealized Gains (Losses) on Investments [Member] | Available-for-sale Securities [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Begining | 15,080 | (4,615) | ||
Other Comprehensive Income (Loss) | (5,185) | 10,149 | ||
AOCI Balance, End | 9,895 | 5,534 | 9,895 | 5,534 |
Non-Credit OTTI [Member] | Available-for-sale Securities [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Begining | (119,274) | (68,806) | ||
Other Comprehensive Income (Loss) | 40,117 | 18,917 | ||
AOCI Balance, End | (79,157) | (49,889) | (79,157) | (49,889) |
Non-Credit OTTI [Member] | Held-to-maturity Securities [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Begining | (392) | (7,056) | ||
Other Comprehensive Income (Loss) | 42 | 1,902 | ||
AOCI Balance, End | (350) | (5,154) | (350) | (5,154) |
Pension Benefits [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Begining | (8,955) | (9,769) | ||
Other Comprehensive Income (Loss) | (1,143) | 1,648 | ||
AOCI Balance, End | $ (10,098) | $ (8,121) | $ (10,098) | $ (8,121) |
Other-Than-Temporary Impairments Analysis (Securities with OTTI Losses) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
Dec. 31, 2011
|
Jun. 30, 2012
Total MBS and ABS [Member]
|
Jun. 30, 2012
Held-to-maturity Securities [Member]
|
Jun. 30, 2012
Available-for-sale Securities [Member]
|
Jun. 30, 2012
Prime [Member]
Held-to-maturity Securities [Member]
Private-Label RMBS [Member]
|
Jun. 30, 2012
Prime [Member]
Available-for-sale Securities [Member]
Private-Label RMBS [Member]
|
Jun. 30, 2012
Alt-A [Member]
Held-to-maturity Securities [Member]
Private-Label RMBS [Member]
|
Jun. 30, 2012
Alt-A [Member]
Available-for-sale Securities [Member]
Private-Label RMBS [Member]
|
Jun. 30, 2012
Subprime [Member]
Held-to-maturity Securities [Member]
Home Equity Loan ABS [Member]
|
Jun. 30, 2012
Subprime [Member]
Available-for-sale Securities [Member]
Home Equity Loan ABS [Member]
|
Jun. 30, 2012
Private-Label RMBS [Member]
|
Dec. 31, 2011
Private-Label RMBS [Member]
|
|||||||||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||||||||||||||||||
OTTI During Period, UPB | $ 0 | $ 74,568 | $ 0 | $ 74,568 | $ 0 | $ 0 | $ 0 | $ 0 | |||||||||||||||
OTTI During Period, Amortized Cost | 0 | 68,383 | 0 | 68,383 | 0 | 0 | 0 | 0 | |||||||||||||||
OTTI During Period, Carrying Value | 0 | 0 | 0 | 0 | |||||||||||||||||||
OTTI During Period, Estimated Fair Value | 0 | 61,181 | 0 | 61,181 | 0 | 0 | 0 | 0 | |||||||||||||||
OTTI Life-to-Date, UPB | 986 | 799,644 | 0 | 761,538 | 0 | 38,106 | 986 | 0 | |||||||||||||||
OTTI Life-to-Date, Amortized Cost | 946 | 682,132 | 0 | 651,715 | 0 | 30,417 | 946 | 0 | |||||||||||||||
OTTI Life-to-Date, Carrying Value | 595 | 0 | 0 | 595 | |||||||||||||||||||
OTTI Life-to-Date, Estimated Fair Value | 561 | 602,975 | 0 | 581,207 | 0 | 21,768 | 561 | 0 | |||||||||||||||
HTM Securities, Amortized Cost | 7,465,049 | [1] | 8,832,570 | [1] | 6,977,289 | ||||||||||||||||||
HTM Securities, Carrying Value | 7,464,699 | [2] | 8,832,178 | [2] | 6,976,939 | ||||||||||||||||||
HTM Securities, Estimated Fair Value | 7,663,673 | 8,972,081 | 7,174,474 | ||||||||||||||||||||
Available-for-sale Debt Securities, Amortized Cost Basis | 3,906,024 | [3] | 3,053,640 | [3] | 682,132 | 682,132 | [3] | 720,583 | [3] | ||||||||||||||
Available-for-sale Securities | $ 3,836,762 | $ 2,949,446 | $ 602,975 | $ 602,975 | $ 601,309 | ||||||||||||||||||
|
Estimated Fair Values (Estimated Fair Value on a Recurring Basis) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
||||||
---|---|---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | $ 2,132 | $ 2,735 | ||||||
Derivative Assets, net | 425 | 493 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 1,197 | 1,379 | ||||||
Mortgage Delivery Commitments [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 425 | 417 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 26 | 0 | ||||||
Level 1 [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | |||||||
Derivative Assets, net | 0 | |||||||
Grantor Trust Assets (included in Other Assets) | 13,769 | |||||||
Total Derivative Liabilities, net | 0 | |||||||
Level 2 [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,233,787 | |||||||
Derivative Assets, net | 72,796 | |||||||
Grantor Trust Assets (included in Other Assets) | 0 | |||||||
Total Derivative Liabilities, net | 992,381 | |||||||
Level 3 [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 602,975 | |||||||
Derivative Assets, net | 0 | |||||||
Grantor Trust Assets (included in Other Assets) | 0 | |||||||
Total Derivative Liabilities, net | 0 | |||||||
Netting Adjustment [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | [1] | ||||||
Derivative Assets, net | (72,371) | [1] | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | [1] | ||||||
Total Derivative Liabilities, net | (804,055) | [1] | ||||||
Recurring [Member] | Fair Value [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,836,762 | 2,949,446 | ||||||
Derivative Assets - Interest-rate related | 0 | 76 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 0 | ||||||
Derivative Assets, net | 425 | 493 | ||||||
Grantor Trust Assets (included in Other Assets) | 13,769 | 13,016 | ||||||
Total recurring assets at estimated fair value | 3,850,956 | 2,962,955 | ||||||
Derivative Liabilities - Interest-rate related | 187,567 | 173,810 | ||||||
Derivative Liabilities - Interest-rate futures/forwards | 733 | 763 | ||||||
Total Derivative Liabilities, net | 188,326 | 174,573 | ||||||
Total recurring liabilities at estimated fair value | 188,326 | 174,573 | ||||||
Recurring [Member] | Fair Value [Member] | Mortgage Delivery Commitments [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 425 | 417 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 26 | 0 | ||||||
Recurring [Member] | Fair Value [Member] | GSE Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 2,914,085 | 2,025,695 | ||||||
Recurring [Member] | Fair Value [Member] | TLGP Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 319,702 | 322,442 | ||||||
Recurring [Member] | Fair Value [Member] | Private-Label RMBS [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 602,975 | 601,309 | ||||||
Recurring [Member] | Level 1 [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Derivative Assets - Interest-rate related | 0 | 0 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 0 | ||||||
Derivative Assets, net | 0 | 0 | ||||||
Grantor Trust Assets (included in Other Assets) | 13,769 | 13,016 | ||||||
Total recurring assets at estimated fair value | 13,769 | 13,016 | ||||||
Derivative Liabilities - Interest-rate related | 0 | 0 | ||||||
Derivative Liabilities - Interest-rate futures/forwards | 0 | 0 | ||||||
Total Derivative Liabilities, net | 0 | 0 | ||||||
Total recurring liabilities at estimated fair value | 0 | 0 | ||||||
Recurring [Member] | Level 1 [Member] | Mortgage Delivery Commitments [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 0 | 0 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 0 | 0 | ||||||
Recurring [Member] | Level 1 [Member] | GSE Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 1 [Member] | TLGP Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 1 [Member] | Private-Label RMBS [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 2 [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,233,787 | 2,348,137 | ||||||
Derivative Assets - Interest-rate related | 72,371 | 76,723 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 0 | ||||||
Derivative Assets, net | 72,796 | 77,140 | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | 0 | ||||||
Total recurring assets at estimated fair value | 3,306,583 | 2,425,277 | ||||||
Derivative Liabilities - Interest-rate related | 991,622 | 969,795 | ||||||
Derivative Liabilities - Interest-rate futures/forwards | 733 | 763 | ||||||
Total Derivative Liabilities, net | 992,381 | 970,558 | ||||||
Total recurring liabilities at estimated fair value | 992,381 | 970,558 | ||||||
Recurring [Member] | Level 2 [Member] | Mortgage Delivery Commitments [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 425 | 417 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 26 | 0 | ||||||
Recurring [Member] | Level 2 [Member] | GSE Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 2,914,085 | 2,025,695 | ||||||
Recurring [Member] | Level 2 [Member] | TLGP Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 319,702 | 322,442 | ||||||
Recurring [Member] | Level 2 [Member] | Private-Label RMBS [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 3 [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 602,975 | 601,309 | ||||||
Derivative Assets - Interest-rate related | 0 | 0 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 0 | ||||||
Derivative Assets, net | 0 | 0 | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | 0 | ||||||
Total recurring assets at estimated fair value | 602,975 | 601,309 | ||||||
Derivative Liabilities - Interest-rate related | 0 | 0 | ||||||
Derivative Liabilities - Interest-rate futures/forwards | 0 | 0 | ||||||
Total Derivative Liabilities, net | 0 | 0 | ||||||
Total recurring liabilities at estimated fair value | 0 | 0 | ||||||
Recurring [Member] | Level 3 [Member] | Mortgage Delivery Commitments [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 0 | 0 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 0 | 0 | ||||||
Recurring [Member] | Level 3 [Member] | GSE Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 3 [Member] | TLGP Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 3 [Member] | Private-Label RMBS [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 602,975 | 601,309 | ||||||
Recurring [Member] | Netting Adjustment [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | [2] | 0 | [2] | ||||
Derivative Assets - Interest-rate related | (72,371) | [2] | (76,647) | [2] | ||||
Derivative Assets - Interest-rate futures/forwards | 0 | [2] | 0 | [2] | ||||
Derivative Assets, net | (72,371) | [2] | (76,647) | [2] | ||||
Grantor Trust Assets (included in Other Assets) | 0 | [2] | 0 | [2] | ||||
Total recurring assets at estimated fair value | (72,371) | [2] | (76,647) | [2] | ||||
Derivative Liabilities - Interest-rate related | (804,055) | [2] | (795,985) | [2] | ||||
Derivative Liabilities - Interest-rate futures/forwards | 0 | [2] | 0 | [2] | ||||
Total Derivative Liabilities, net | (804,055) | [2] | (795,985) | [2] | ||||
Total recurring liabilities at estimated fair value | (804,055) | [2] | (795,985) | [2] | ||||
Recurring [Member] | Netting Adjustment [Member] | Mortgage Delivery Commitments [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 0 | [2] | 0 | [2] | ||||
Derivative Liabilities - Mortgage delivery commitments | 0 | [2] | 0 | [2] | ||||
Recurring [Member] | Netting Adjustment [Member] | GSE Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | [2] | 0 | [2] | ||||
Recurring [Member] | Netting Adjustment [Member] | TLGP Debentures [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | [2] | 0 | [2] | ||||
Recurring [Member] | Netting Adjustment [Member] | Private-Label RMBS [Member]
|
||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | $ 0 | [2] | $ 0 | [2] | ||||
|
Estimated Fair Values (Level 3 Reconciliation) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Net realized losses from sale of AFS securities | $ 0 | $ (1,943) | $ 0 | $ (1,943) |
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | 5,183 | (6,328) | 31,785 | (1,062) |
Reclassification of non-credit portion to Other Income (Loss) in OCI | 292 | 3,336 | 3,578 | 21,076 |
Recurring [Member] | Level 3 [Member] | Private-Label RMBS [Member]
|
||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 614,530 | 932,839 | 601,309 | 982,541 |
Net realized losses from sale of AFS securities | 0 | (1,943) | 0 | (1,943) |
Accretion of credit losses in Net Interest Income | 180 | 555 | ||
Net gains (losses) on changes in fair value in Other Income (Loss) | (292) | (2,523) | (3,578) | (19,684) |
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | 5,183 | 31,785 | ||
Unrealized gains (losses) in OCI | 630 | 4,754 | ||
Reclassification of non-credit portion to Other Income (Loss) in OCI | 292 | 3,578 | ||
Included in OCI | (8,415) | 16,097 | ||
Sales | 0 | (63,700) | 0 | (63,700) |
Settlements | (17,548) | (50,687) | (35,428) | (107,740) |
Balance, end of period | 602,975 | 805,571 | 602,975 | 805,571 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ (112) | $ (2,519) | $ (3,023) | $ (18,199) |
Consolidated Obligations (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
Banks
|
Dec. 31, 2011
|
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Number of Federal Home Loan Banks | 12 | |
Discount Note [Abstract] | ||
Book value | $ 7,557,115 | $ 6,536,109 |
CO Bonds [Abstract] | ||
Total CO Bonds | 28,719,874 | 30,358,210 |
CO Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated obligations | 28,639,425 | 30,292,325 |
CO Bonds [Abstract] | ||
Due in 1 year or less, Amount | 15,927,000 | 17,071,550 |
Due after 1 year through 2 years, Amount | 3,906,625 | 3,346,675 |
Due after 2 years through 3 years, Amount | 1,469,000 | 1,448,150 |
Due after 3 years through 4 years, Amount | 761,100 | 790,400 |
Due after 4 years through 5 years, Amount | 1,099,250 | 796,400 |
Thereafter, Amount | 5,476,450 | 6,839,150 |
Due in 1 year or less, WAIR % | 0.51% | 0.54% |
Due after 1 year through 2 years, WAIR % | 1.14% | 1.60% |
Due after 2 years through 3 years, WAIR % | 2.59% | 2.67% |
Due after 3 years through 4 years, WAIR % | 2.60% | 2.60% |
Due after 4 years through 5 years, WAIR % | 2.12% | 3.15% |
Thereafter, WAIR % | 3.83% | 3.88% |
Total WAIR% | 1.45% | 1.63% |
Unamortized bond premium | 42,036 | 41,393 |
Unamortized bond discount | (18,685) | (20,374) |
Hedging adjustments | 57,098 | 44,866 |
Earlier of Contractual Maturity or Next Call Date [Member] | CO Bonds [Member]
|
||
CO Bonds [Abstract] | ||
Due in 1 year or less, Amount | 19,631,000 | 22,188,550 |
Due after 1 year through 2 years, Amount | 3,918,625 | 3,145,675 |
Due after 2 years through 3 years, Amount | 1,387,000 | 1,137,150 |
Due after 3 years through 4 years, Amount | 590,100 | 540,400 |
Due after 4 years through 5 years, Amount | 360,250 | 475,400 |
Thereafter, Amount | 2,752,450 | 2,805,150 |
Non Callable [Member] | CO Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated obligations | 24,718,425 | 22,156,325 |
Callable [Member] | CO Bonds [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated obligations | 3,921,000 | 8,136,000 |
Discount Notes [Member]
|
||
Discount Note [Abstract] | ||
Par value | 7,558,437 | 6,536,400 |
Weighted average effective interest rate | 0.14% | 0.07% |
FHLBanks [Member]
|
||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par value of consolidated obligations | $ 685,200,000 | $ 691,900,000 |
Summary of Significant Accounting Policies (Policies)
|
6 Months Ended |
---|---|
Jun. 30, 2012
|
|
Accounting Policies [Abstract] | |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates. The preparation of financial statements in accordance with GAAP requires us to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Actual results could differ significantly from these estimates. |
Marketable Securities, Policy [Policy Text Block] | We evaluate our individual AFS and HTM securities that have been previously OTTI or are in an unrealized loss position for OTTI on a quarterly basis. As part of our evaluation, we consider whether we intend to sell each security and whether it is more likely than not that we will be required to sell the security before its anticipated recovery. If either of these conditions is met, we recognize an OTTI loss equal to the entire difference between the security's amortized cost basis and its estimated fair value at the Statement of Condition date. For those securities that meet neither of these conditions, we perform a cash flow analysis to determine whether we expect to recover the entire amortized cost basis of the security as described in Note 7 - Other-Than-Temporary Impairment Analysis in our 2011 Form 10-K. |
Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block] | When a borrower prepays an Advance, future income will be lower if the principal portion of the prepaid Advance is reinvested in lower-yielding assets that continue to be funded by higher-costing debt. To protect against this risk, we generally charge a prepayment fee. In cases in which we fund a new Advance concurrent with or within a short period of time before or after the prepayment of an existing Advance and the Advance meets the accounting criteria to qualify as a modification of the prepaid Advance, the net prepayment fee on the prepaid Advance is deferred, recorded in the basis of the modified Advance, and amortized into Interest Income over the life of the modified Advance using the level-yield method. |
Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | Government-Guaranteed or Insured. The servicer provides and maintains insurance or a guaranty from the FHA. Any losses incurred on such loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees. Based upon our assessment of our servicers, we did not establish an allowance for credit losses for government-guaranteed or -insured mortgage loans at June 30, 2012 or December 31, 2011. Further, due to the government guarantee or insurance, these mortgage loans are not placed on non-accrual status. Conventional. Our allowance for loan losses is based on our best estimate of probable losses over the loss emergence period. After conducting a study and updating our analysis in the second quarter, we have increased the loss emergence period from 12 months to 24 months, which, after consideration of the recoverable credit enhancements, resulted in an immaterial increase in the allowance. We use the MPP portfolio's delinquency migration to determine whether a loss event is probable. Once a loss event is deemed to be probable, we utilize a systematic methodology that incorporates all credit enhancements and servicer advances to establish the allowance for loan losses. Our methodology also incorporates a calculation of the potential effect of various adverse scenarios on the allowance. We assess whether the likelihood of incurring the losses resulting from the adverse scenarios during the next 24 months is probable. As a result of our methodology, our allowance for loan losses reflects our best estimate of the inherent losses in our MPP portfolio (including MPP Advantage). Credit Enhancements. Our allowance for loan losses considers the credit enhancements associated with conventional mortgage loans under the MPP, which includes the original program and MPP Advantage. Any estimated losses that would be recovered from the credit enhancements are not reserved as part of our allowance for loan losses. However, we included a provision for loss on the amounts recoverable from the PMI/SMI providers. The credit enhancements are applied to the estimated losses in the following order: any remaining borrower's equity, any applicable PMI up to coverage limits, any available funds remaining in the LRA, and any SMI coverage (not applicable to the MPP Advantage) up to the policy limits. Since we would bear any remaining loss, an estimate of the remaining loss is included in our allowance for loan losses. |
Loans and Leases Receivable, Valuation, Policy [Policy Text Block] | Collectively Evaluated Mortgage Loans. The measurement of our allowance for loan losses includes evaluating (i) homogeneous pools of delinquent residential mortgage loans; and (ii) the current portion of the loan portfolio. Our loan loss analysis includes collectively evaluating conventional loans for impairment within each pool purchased under the MPP. This loan loss analysis considers MPP pool-specific attribute data, estimated liquidation value of real estate collateral held, estimated costs associated with maintaining and disposing of the collateral, and credit enhancements. Delinquency reports are used to determine the population of loans incorporated into the quarterly allowance for loan loss analysis. Individually Evaluated Mortgage Loans. Certain conventional mortgage loans that are impaired, primarily troubled debt restructurings, although not considered collateral dependent, may be specifically identified for purposes of calculating the allowance for loan losses. The estimated loan losses on impaired loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual loan basis. The measurement of our allowance for loans individually evaluated for loan loss considers loan-specific attribute data similar to loans reviewed on a collective basis. We also individually evaluate any remaining exposure to loans paid in full by the servicers. Foreclosed properties, provided monthly by the SMI providers, are used to determine the population of loans incorporated into the quarterly allowance for loan loss analysis. Monthly remittance reports are monitored by management to determine the population of delinquent loans not reported by SMI providers. The resulting incurred loss, if any, is equal to the estimated cost associated with maintaining and disposing of the property (which includes the UPB, interest owed on the delinquent loan to date, and estimated costs associated with disposing the collateral) less the estimated fair value of the collateral (net of estimated selling costs) and the amount of other credit enhancements including the PMI, LRA and SMI. |
Troubled Debt Restructuring Policy [Policy Text Block] | Troubled Debt Restructurings. Troubled debt restructurings related to mortgage loans are considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties and that concession would not have been otherwise considered. Although we do not participate in government-sponsored loan modification programs, we do consider certain conventional loan modifications to be a troubled debt restructuring when the modification agreement permits the recapitalization of past due amounts, generally up to the original loan amount. Under this type of modification, no other terms of the original loan are modified, except for the possible extension of the contractual maturity date on a case by case basis. In no event does the borrower's original interest rate change. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | We record AFS securities, Derivative Assets, grantor trust assets (publicly-traded mutual funds), and Derivative Liabilities at estimated fair value. The fair value hierarchy requires us to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of market observability of the estimated fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs. Quoted prices (unadjusted) for identical assets or liabilities in an active market that we can access on the measurement date. Level 2 Inputs. Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (iv) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs. Unobservable inputs for the asset or liability. |
Fair Value Transfer, Policy [Policy Text Block] | We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in/out at estimated fair value as of the beginning of the quarter in which the changes occur. |
Held-to-Maturity Securities (Redemption Terms)(Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
||||||
---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | $ 7,465,049 | [1] | $ 8,832,570 | [1] | ||||
Carrying Value | 7,464,699 | [2] | 8,832,178 | [2] | ||||
Estimated Fair Value | 7,663,673 | 8,972,081 | ||||||
Non-MBS and ABS [Member]
|
||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Due in One Year or Less, Amortized Cost | 218,765 | [1] | 1,883,334 | [1] | ||||
Due in One Year or Less, Carrying Amount | 218,765 | [2] | 1,883,334 | [2] | ||||
Due in One Year or Less, Estimated Fair Value | 218,800 | 1,885,794 | ||||||
Due After One Year Through Five Years, Amortized Cost | 268,995 | [1] | 268,994 | [1] | ||||
Due After One Year Through Five Years, Carrying Amount | 268,995 | [2] | 268,994 | [2] | ||||
Due After One Year Through Five Years, Estimated Fair Value | 270,399 | 270,355 | ||||||
Due After Five Through Ten Years, Amortized Cost | 0 | [1] | 0 | [1] | ||||
Due After Five Through Ten Years, Carrying Amount | 0 | [2] | 0 | [2] | ||||
Due After Five Through Ten Years, Estimated Fair Value | 0 | 0 | ||||||
Due After Ten Years, Amortized Cost | 0 | [1] | 0 | [1] | ||||
Due After Ten Years, Carrying Amount | 0 | [2] | 0 | [2] | ||||
Due After Ten Years, Estimated Fair Value | 0 | 0 | ||||||
Amortized Cost | 487,760 | [1] | 2,152,328 | [1] | ||||
Carrying Value | 487,760 | [2] | 2,152,328 | [2] | ||||
Estimated Fair Value | 489,199 | 2,156,149 | ||||||
MBS and ABS [Member]
|
||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | 6,977,289 | [1] | 6,680,242 | [1] | ||||
Carrying Value | 6,976,939 | [2] | 6,679,850 | [2] | ||||
Estimated Fair Value | $ 7,174,474 | $ 6,815,932 | ||||||
|
Available-for-Sale Securities (Narrative) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Available-for-sale Securities [Line Items] | ||
Net unamortized discounts on OTTI securities | $ 117,512 | $ 116,699 |
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
Assets: | |||||
Interest-Bearing Deposits | $ 110 | $ 15 | |||
Derivative Assets, net | 425 | 493 | |||
Level 1 [Member]
|
|||||
Assets: | |||||
Cash and Due from Banks | 198,325 | ||||
Interest-Bearing Deposits | 0 | ||||
Securities Purchased Under Agreements to Resell | 0 | ||||
Federal Funds Sold | 0 | ||||
AFS securities | 0 | ||||
HTM securities | 0 | ||||
Advances | 0 | ||||
Mortgage Loans Held for Portfolio, net | 0 | ||||
Accrued Interest Receivable | 0 | ||||
Derivative Assets, net | 0 | ||||
Grantor Trust Assets (included in Other Assets) | 13,769 | ||||
Liabilities: | |||||
Deposits | 0 | ||||
Accrued Interest Payable | 0 | ||||
Derivative Liabilities, net | 0 | ||||
MRCS | 450,898 | ||||
Level 2 [Member]
|
|||||
Assets: | |||||
Cash and Due from Banks | 0 | ||||
Interest-Bearing Deposits | 110 | ||||
Securities Purchased Under Agreements to Resell | 1,700,000 | ||||
Federal Funds Sold | 2,237,000 | ||||
AFS securities | 3,233,787 | ||||
HTM securities | 7,352,574 | ||||
Advances | 18,994,028 | ||||
Mortgage Loans Held for Portfolio, net | 6,064,811 | ||||
Accrued Interest Receivable | 86,296 | ||||
Derivative Assets, net | 72,796 | ||||
Grantor Trust Assets (included in Other Assets) | 0 | ||||
Liabilities: | |||||
Deposits | 782,890 | ||||
Accrued Interest Payable | 89,918 | ||||
Derivative Liabilities, net | 992,381 | ||||
MRCS | 0 | ||||
Level 3 [Member]
|
|||||
Assets: | |||||
Cash and Due from Banks | 0 | ||||
Interest-Bearing Deposits | 0 | ||||
Securities Purchased Under Agreements to Resell | 0 | ||||
Federal Funds Sold | 0 | ||||
AFS securities | 602,975 | ||||
HTM securities | 311,099 | ||||
Advances | 0 | ||||
Mortgage Loans Held for Portfolio, net | 82,877 | ||||
Accrued Interest Receivable | 0 | ||||
Derivative Assets, net | 0 | ||||
Grantor Trust Assets (included in Other Assets) | 0 | ||||
Liabilities: | |||||
Deposits | 0 | ||||
Accrued Interest Payable | 0 | ||||
Derivative Liabilities, net | 0 | ||||
MRCS | 0 | ||||
Netting Adjustment [Member]
|
|||||
Assets: | |||||
Cash and Due from Banks | 0 | [1] | |||
Interest-Bearing Deposits | 0 | [1] | |||
Securities Purchased Under Agreements to Resell | 0 | [1] | |||
Federal Funds Sold | 0 | [1] | |||
AFS securities | 0 | [1] | |||
HTM securities | 0 | [1] | |||
Advances | 0 | [1] | |||
Mortgage Loans Held for Portfolio, net | 0 | [1] | |||
Accrued Interest Receivable | 0 | [1] | |||
Derivative Assets, net | (72,371) | [1] | |||
Grantor Trust Assets (included in Other Assets) | 0 | [1] | |||
Liabilities: | |||||
Deposits | 0 | [1] | |||
Accrued Interest Payable | 0 | [1] | |||
Derivative Liabilities, net | (804,055) | [1] | |||
MRCS | 0 | [1] | |||
Carrying Value [Member]
|
|||||
Assets: | |||||
Cash and Due from Banks | 198,325 | 512,682 | |||
Interest-Bearing Deposits | 110 | 15 | |||
Securities Purchased Under Agreements to Resell | 1,700,000 | 0 | |||
Federal Funds Sold | 2,237,000 | 3,422,000 | |||
AFS securities | 3,836,762 | 2,949,446 | |||
HTM securities | 7,464,699 | 8,832,178 | |||
Advances | 18,813,684 | 18,567,702 | |||
Mortgage Loans Held for Portfolio, net | 5,779,558 | 5,955,142 | |||
Accrued Interest Receivable | 86,296 | 87,314 | |||
Derivative Assets, net | 425 | 493 | |||
Grantor Trust Assets (included in Other Assets) | 13,769 | 13,016 | |||
Liabilities: | |||||
Deposits | 782,945 | 629,466 | |||
Accrued Interest Payable | 89,918 | 102,060 | |||
Derivative Liabilities, net | 188,326 | 174,573 | |||
MRCS | 450,898 | 453,885 | |||
Fair Value [Member]
|
|||||
Assets: | |||||
Cash and Due from Banks | 198,325 | 512,682 | |||
Interest-Bearing Deposits | 110 | 15 | |||
Securities Purchased Under Agreements to Resell | 1,700,000 | 0 | |||
Federal Funds Sold | 2,237,000 | 3,422,019 | |||
AFS securities | 3,836,762 | 2,949,446 | |||
HTM securities | 7,663,673 | 8,972,081 | |||
Advances | 18,994,028 | 18,787,663 | |||
Mortgage Loans Held for Portfolio, net | 6,147,688 | 6,378,449 | |||
Accrued Interest Receivable | 86,296 | 87,314 | |||
Derivative Assets, net | 425 | 493 | |||
Grantor Trust Assets (included in Other Assets) | 13,769 | 13,016 | |||
Liabilities: | |||||
Deposits | 782,890 | 629,466 | |||
Accrued Interest Payable | 89,918 | 102,060 | |||
Derivative Liabilities, net | 188,326 | 174,573 | |||
MRCS | 450,898 | 453,885 | |||
Discount Notes [Member] | Level 1 [Member]
|
|||||
Liabilities: | |||||
Consolidated Obligations - Discount Notes | 0 | ||||
Discount Notes [Member] | Level 2 [Member]
|
|||||
Liabilities: | |||||
Consolidated Obligations - Discount Notes | 7,558,437 | ||||
Discount Notes [Member] | Level 3 [Member]
|
|||||
Liabilities: | |||||
Consolidated Obligations - Discount Notes | 0 | ||||
Discount Notes [Member] | Netting Adjustment [Member]
|
|||||
Liabilities: | |||||
Consolidated Obligations - Discount Notes | 0 | [1] | |||
Discount Notes [Member] | Carrying Value [Member]
|
|||||
Liabilities: | |||||
Consolidated Obligations - Discount Notes | 7,557,115 | 6,536,109 | |||
Discount Notes [Member] | Fair Value [Member]
|
|||||
Liabilities: | |||||
Consolidated Obligations - Discount Notes | 7,558,437 | 6,536,249 | |||
CO Bonds [Member] | Level 1 [Member]
|
|||||
Liabilities: | |||||
CO Bonds | 0 | ||||
CO Bonds [Member] | Level 2 [Member]
|
|||||
Liabilities: | |||||
CO Bonds | 29,498,109 | ||||
CO Bonds [Member] | Level 3 [Member]
|
|||||
Liabilities: | |||||
CO Bonds | 0 | ||||
CO Bonds [Member] | Netting Adjustment [Member]
|
|||||
Liabilities: | |||||
CO Bonds | 0 | [1] | |||
CO Bonds [Member] | Carrying Value [Member]
|
|||||
Liabilities: | |||||
CO Bonds | 28,719,874 | 30,358,210 | |||
CO Bonds [Member] | Fair Value [Member]
|
|||||
Liabilities: | |||||
CO Bonds | $ 29,498,109 | $ 31,083,104 | |||
|
Segment Information (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2012
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Performance by Operating Segment [Table Text Block] | The following table presents our financial performance by operating segment:
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Segment Assets by Segment [Table Text Block] | The following table presents asset balances by segment:
|
Other-Than-Temporary Impairments Analysis (Narratives) (Details)
|
6 Months Ended | |
---|---|---|
Jun. 30, 2012
|
Mar. 31, 2012
|
|
Minimum [Member]
|
||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Period Assumed For Housing Markets That Have Reached Trough | 3 months | |
Projected house price decline rate over 3-months period | 1.00% | |
Maximum [Member]
|
||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Period Assumed For Housing Markets That Have Reached Trough | 9 months | |
Projected house price decline rate over 3-months period | 4.00% | |
Private-Label RMBS [Member] | Minimum [Member]
|
||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Forecasted current-to-trough home price declines range over 3 to 9-months | 0.00% | |
Private-Label RMBS [Member] | Maximum [Member]
|
||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Forecasted current-to-trough home price declines range over 3 to 9-months | 6.00% |
Derivative and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair-value hedge ineffectiveness | $ (2,882) | $ (2,915) | $ (452) | $ (2,875) |
Total net gain (loss) for derivatives not designated as hedging instruments | (2,681) | (491) | (3,935) | (658) |
Net Gains (Losses) on Derivatives and Hedging Activities | (5,563) | (3,406) | (4,387) | (3,533) |
Interest Rate Swaps [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair-value hedge ineffectiveness | (2,882) | (2,915) | (452) | (2,830) |
Total net gain (loss) for derivatives not designated as hedging instruments | 19 | 239 | 203 | 407 |
Interest Rate Futures / Forwards [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair-value hedge ineffectiveness | 0 | 0 | 0 | (45) |
Total net gain (loss) for derivatives not designated as hedging instruments | (4,113) | (666) | (4,548) | (597) |
Interest Rate Caps / Floors [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) for derivatives not designated as hedging instruments | (874) | (713) | (1,276) | (1,046) |
Net Interest Settlements [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) for derivatives not designated as hedging instruments | (1) | 380 | (6) | 403 |
Mortgage Delivery Commitments [Member]
|
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) for derivatives not designated as hedging instruments | $ 2,288 | $ 269 | $ 1,692 | $ 175 |
Allowance for Credit Losses (Allowance) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
|
Jun. 30, 2012
|
Jun. 30, 2011
|
Dec. 31, 2011
|
|||||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||||||||
Allowance for loan losses on mortgage loans, beginning of period | $ 3,500 | $ 1,000 | $ 3,300 | $ 500 | |||||||||
Charge-offs | (364) | (283) | (583) | (759) | |||||||||
Provision (reversal) for loan losses | 1,864 | 1,183 | 2,283 | 2,159 | [1] | ||||||||
Allowance for loan losses on mortgage loans, end of period | 5,000 | 1,900 | 5,000 | 1,900 | |||||||||
Total recorded investment | 5,807,850 | 5,807,850 | 5,983,001 | ||||||||||
Conventional Loan [Member]
|
|||||||||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||||||||
Allowance for loan losses on mortgage loans, beginning of period | 3,300 | ||||||||||||
Allowance for loan losses on mortgage loans, end of period | 5,000 | 5,000 | 3,300 | ||||||||||
Conventional loans collectively evaluated for impairment | 3,463 | 3,463 | 1,613 | ||||||||||
Conventional loans individually evaluated for impairment | 1,537 | [2] | 1,537 | [2] | 1,687 | [2] | |||||||
Conventional loans collectively evaluated for impairment | 4,803,880 | 4,803,880 | 4,934,077 | ||||||||||
Conventional loans individually evaluated for impairment | 12,714 | [2] | 12,714 | [2] | 2,496 | [2] | |||||||
Total recorded investment | 4,816,594 | 4,816,594 | 4,936,573 | ||||||||||
Principal paid in full by servicers | 17,494 | 17,494 | 20,890 | ||||||||||
Potential claims included in allowance | $ 1,455 | $ 1,455 | $ 1,678 | ||||||||||
|
Available-for-Sale Securities (Realized Gains and Losses) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||||
---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2011
securities
|
Jun. 30, 2012
|
Jun. 30, 2011
|
||||
Available-for-sale Securities [Abstract] | |||||||
Number of Available-for-sale Securities Sold | 2 | ||||||
Proceeds from sale | $ 0 | $ 66,520 | $ 0 | $ 66,520 | [1] | ||
Previously recognized OTTI credit losses including accretion | 0 | 16,585 | 0 | 16,585 | |||
Gross gains | 0 | 904 | 0 | 904 | |||
Gross losses | 0 | (2,847) | 0 | (2,847) | |||
Net Realized Losses from Sale of Available-for-Sale Securities | $ 0 | $ (1,943) | $ 0 | $ (1,943) | |||
|
Summary of Significant Accounting Policies
|
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies Basis of Presentation. The accompanying interim financial statements of the Federal Home Loan Bank of Indianapolis have been prepared in accordance with GAAP for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the SEC. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. The interim financial statements presented herein should be read in conjunction with our audited financial statements and notes thereto, which are included in our 2011 Form 10-K. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of our financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period. Our significant accounting policies and certain other disclosures are set forth in Note 1 - Summary of Significant Accounting Policies in our 2011 Form 10-K. There have been no significant changes to these policies through June 30, 2012. We use certain acronyms and terms throughout these financial statements, which are defined in the Glossary of Terms located on page 40. Unless the context otherwise requires, the terms "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis. Reclassifications. We have reclassified certain amounts from the prior periods to conform to the current period presentation. These reclassifications had no effect on Net Income, Total Comprehensive Income, Total Assets, or Total Capital. Correction of an Error. During the preparation of the third quarter 2011 Form 10-Q, as previously disclosed in the September 30, 2011 Form 10-Q, we determined that, in periods prior to September 30, 2011, we incorrectly included the effects of certain non-cash transactions related to capitalized interest on Other U.S. obligations - guaranteed RMBS in the Operating Activities and Investing Activities sections of the Statements of Cash Flows. Such non-cash transactions should have had no impact on those sections; however, the effects of the error were fully offsetting in total. We have evaluated the effects of these errors and concluded that none of them are material to any of our previously issued interim or annual financial statements. Nevertheless, we have elected to revise our previously issued Statements of Cash Flows in these financial statements to correct for the effect of these errors. The revision does not affect the net change in cash and cash equivalents for any of the periods, and has no effect on our Statements of Condition, Income, Comprehensive Income, or Capital. The amounts on previously issued Statements of Cash Flows that have been revised are presented below:
Use of Estimates. The preparation of financial statements in accordance with GAAP requires us to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Actual results could differ significantly from these estimates. |
Allowance for Credit Losses (Credit Enhancements) (Details) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2012
|
Jun. 30, 2012
Conventional Loan [Member]
|
Dec. 31, 2011
Conventional Loan [Member]
|
Jun. 30, 2012
Conventional Loan [Member]
MPP Program [Member]
|
Dec. 31, 2011
Conventional Loan [Member]
MPP Program [Member]
|
Jun. 30, 2012
Conventional Loan [Member]
PMI [Member]
MPP Program [Member]
|
Dec. 31, 2011
Conventional Loan [Member]
PMI [Member]
MPP Program [Member]
|
Jun. 30, 2012
Conventional Loan [Member]
LRA [Member]
MPP Program [Member]
|
Dec. 31, 2011
Conventional Loan [Member]
LRA [Member]
MPP Program [Member]
|
Jun. 30, 2012
Conventional Loan [Member]
SMI [Member]
MPP Program [Member]
|
Dec. 31, 2011
Conventional Loan [Member]
SMI [Member]
MPP Program [Member]
|
|
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||||
Estimated losses remaining after borrower's equity, before credit enhancements | $ (63,357) | $ (49,349) | |||||||||
Portion of estimated losses deemed recoverable | 6,967 | 6,570 | 12,727 | 11,659 | 38,663 | 27,820 | |||||
Allowance for loan losses | (82) | (9) | (5,000) | (3,300) | |||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||
Balance of LRA, beginning of period | 23,408 | ||||||||||
Additions | 7,960 | ||||||||||
Claim paid | (4,510) | ||||||||||
Distributions | (523) | ||||||||||
Balance of LRA, end of period | $ 26,335 |