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 April 30, 2013 | ||
Class B Stock, par value $100 | 18,704,829 |
Table of Contents | Page | |
Number | ||
PART I. | ||
Item 1. | ||
Statements of Condition as of March 31, 2013 and December 31, 2012 | ||
Statements of Income for the Three Months Ended March 31, 2013 and 2012 | ||
Statements of Capital for the Three Months Ended March 31, 2013 and 2012 | ||
Statements of Cash Flows for the Three Months Ended March 31, 2013 and 2012 | ||
Note 1 - Summary of Significant Accounting Policies | ||
Note 2 - Recently Adopted and Issued Accounting Guidance | ||
Note 3 - Available-for-Sale Securities | ||
Note 4 - Held-to-Maturity Securities | ||
Note 5 - Other-Than-Temporary Impairment Analysis | ||
Note 6 - Advances | ||
Note 7 - Mortgage Loans Held for Portfolio | ||
Note 8 - Allowance for Credit Losses | ||
Note 9 - Derivatives and Hedging Activities | ||
Note 10 - Deposits | ||
Note 11 - Consolidated Obligations | ||
Note 12 - Affordable Housing Program | ||
Note 13 - Capital | ||
Note 14 - Accumulated Other Comprehensive Income (Loss) | ||
Note 15 - Segment Information | ||
Note 16 - Estimated Fair Values | ||
Note 17 - Commitments and Contingencies | ||
Note 18 - Transactions with Related Parties | ||
Note 19 - Subsequent Events | ||
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 |
March 31, 2013 | December 31, 2012 | ||||||
Assets: | |||||||
Cash and Due from Banks | $ | 37,381 | $ | 105,472 | |||
Interest-Bearing Deposits | 211 | 48 | |||||
Securities Purchased Under Agreements to Resell | 2,100,000 | 3,250,000 | |||||
Federal Funds Sold | 1,121,000 | 2,110,000 | |||||
Available-for-Sale Securities (Notes 3 and 5) | 3,979,103 | 3,980,580 | |||||
Held-to-Maturity Securities (Estimated Fair Values of $7,479,309 and $7,738,596, respectively) (Notes 4 and 5) | 7,262,618 | 7,504,643 | |||||
Advances (Note 6) | 18,949,756 | 18,129,458 | |||||
Mortgage Loans Held for Portfolio, net of allowance for credit losses of $(5,250) and $(10,000), respectively (Notes 7 and 8) | 6,093,325 | 6,001,405 | |||||
Accrued Interest Receivable | 85,732 | 87,455 | |||||
Premises, Software, and Equipment, net | 30,477 | 28,144 | |||||
Derivative Assets, net (Note 9) | 1,979 | 821 | |||||
Other Assets | 31,004 | 29,610 | |||||
Total Assets | $ | 39,692,586 | $ | 41,227,636 | |||
Liabilities: | |||||||
Deposits (Note 10): | |||||||
Interest-Bearing | $ | 832,732 | $ | 706,488 | |||
Non-Interest-Bearing | 612,266 | 1,080,663 | |||||
Total Deposits | 1,444,998 | 1,787,151 | |||||
Consolidated Obligations (Note 11): | |||||||
Discount Notes | 7,937,470 | 8,924,085 | |||||
Bonds | 27,416,084 | 27,407,530 | |||||
Total Consolidated Obligations | 35,353,554 | 36,331,615 | |||||
Accrued Interest Payable | 98,132 | 87,777 | |||||
Affordable Housing Program Payable (Note 12) | 37,167 | 34,362 | |||||
Derivative Liabilities, net (Note 9) | 193,798 | 201,115 | |||||
Mandatorily Redeemable Capital Stock (Note 13) | 160,499 | 450,716 | |||||
Other Liabilities | 67,125 | 119,058 | |||||
Total Liabilities | 37,355,273 | 39,011,794 | |||||
Commitments and Contingencies (Note 17) | |||||||
Capital (Note 13): | |||||||
Capital Stock Putable (at par value of $100 per share): | |||||||
Class B-1 issued and outstanding shares: 16,764 and 16,327, respectively | 1,676,393 | 1,632,720 | |||||
Class B-2 issued and outstanding shares: 16 and 16, respectively | 1,613 | 1,580 | |||||
Total Capital Stock Putable | 1,678,006 | 1,634,300 | |||||
Retained Earnings: | |||||||
Unrestricted | 567,005 | 549,773 | |||||
Restricted | 49,716 | 41,827 | |||||
Total Retained Earnings | 616,721 | 591,600 | |||||
Total Accumulated Other Comprehensive Income (Loss) (Note 14) | 42,586 | (10,058 | ) | ||||
Total Capital | 2,337,313 | 2,215,842 | |||||
Total Liabilities and Capital | $ | 39,692,586 | $ | 41,227,636 |
Three Months Ended | |||||||
March 31, | |||||||
2013 | 2012 | ||||||
Interest Income: | |||||||
Advances | $ | 32,852 | $ | 45,369 | |||
Prepayment Fees on Advances, net | 982 | 474 | |||||
Interest-Bearing Deposits | 225 | 194 | |||||
Securities Purchased Under Agreements to Resell | 555 | 636 | |||||
Federal Funds Sold | 638 | 387 | |||||
Available-for-Sale Securities | 9,062 | 10,459 | |||||
Held-to-Maturity Securities | 35,942 | 43,992 | |||||
Mortgage Loans Held for Portfolio, net | 63,134 | 69,231 | |||||
Other, net | 742 | 941 | |||||
Total Interest Income | 144,132 | 171,683 | |||||
Interest Expense: | |||||||
Consolidated Obligation Discount Notes | 2,244 | 792 | |||||
Consolidated Obligation Bonds | 79,506 | 104,107 | |||||
Deposits | 22 | 30 | |||||
Mandatorily Redeemable Capital Stock | 2,408 | 3,911 | |||||
Total Interest Expense | 84,180 | 108,840 | |||||
Net Interest Income | 59,952 | 62,843 | |||||
Provision for (Reversal of) Credit Losses | (4,356 | ) | 419 | ||||
Net Interest Income After Provision for Credit Losses | 64,308 | 62,424 | |||||
Other Income (Loss): | |||||||
Total Other-Than-Temporary Impairment Losses | — | (6 | ) | ||||
Non-Credit Portion Reclassified to (from) Other Comprehensive Income, net | (1,924 | ) | (3,282 | ) | |||
Net Other-Than-Temporary Impairment Losses, credit portion | (1,924 | ) | (3,288 | ) | |||
Net Gains (Losses) on Derivatives and Hedging Activities | (3,772 | ) | 1,176 | ||||
Service Fees | 228 | 233 | |||||
Standby Letters of Credit Fees | 166 | 249 | |||||
Other, net | 304 | 277 | |||||
Total Other Income (Loss) | (4,998 | ) | (1,353 | ) | |||
Other Expenses: | |||||||
Compensation and Benefits | 9,322 | 8,767 | |||||
Other Operating Expenses | 4,008 | 3,930 | |||||
Federal Housing Finance Agency | 820 | 1,010 | |||||
Office of Finance | 807 | 675 | |||||
Other | 258 | 198 | |||||
Total Other Expenses | 15,215 | 14,580 | |||||
Income Before Assessments | 44,095 | 46,491 | |||||
Assessments: | |||||||
Affordable Housing Program | 4,650 | 5,040 | |||||
Total Assessments | 4,650 | 5,040 | |||||
Net Income | $ | 39,445 | $ | 41,451 |
Three Months Ended | |||||||
March 31, | |||||||
2013 | 2012 | ||||||
Net Income | $ | 39,445 | $ | 41,451 | |||
Other Comprehensive Income: | |||||||
Net Change in Unrealized Gains (Losses) on Available-for-Sale Securities | 16,935 | (3,416 | ) | ||||
Non-Credit Portion of Other-Than-Temporary Impairment Losses on Available-for-Sale Securities: | |||||||
Reclassification of Non-Credit Portion to Other Income | 1,924 | 3,286 | |||||
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | 15,838 | 26,602 | |||||
Unrealized Gains | 17,500 | 4,124 | |||||
Net Non-Credit Portion of Other-Than-Temporary Impairment Losses on Available-for-Sale Securities | 35,262 | 34,012 | |||||
Non-Credit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities: | |||||||
Reclassification of Non-Credit Portion from Other Income (Loss) | — | (4 | ) | ||||
Accretion of Non-Credit Portion | 20 | 27 | |||||
Net Non-Credit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities | 20 | 23 | |||||
Pension Benefits | 427 | 308 | |||||
Total Other Comprehensive Income | 52,644 | 30,927 | |||||
Total Comprehensive Income | $ | 92,089 | $ | 72,378 |
Capital Stock Class B Putable | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | ||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | |||||||||||||||||||||||
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 | 54 | 5,377 | 5,377 | ||||||||||||||||||||||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (35 | ) | (3,513 | ) | (3,513 | ) | |||||||||||||||||||||
Total Comprehensive Income | 33,161 | 8,290 | 41,451 | 30,927 | 72,378 | ||||||||||||||||||||||
Distributions on Mandatorily Redeemable Capital Stock | (27 | ) | — | (27 | ) | (27 | ) | ||||||||||||||||||||
Cash Dividends on Capital Stock (3.00% annualized) | (11,760 | ) | — | (11,760 | ) | (11,760 | ) | ||||||||||||||||||||
Balance, March 31, 2012 | 15,650 | $ | 1,564,920 | $ | 505,885 | $ | 21,452 | $ | 527,337 | $ | (82,614 | ) | $ | 2,009,643 | |||||||||||||
Balance, December 31, 2012 | 16,343 | $ | 1,634,300 | $ | 549,773 | $ | 41,827 | $ | 591,600 | $ | (10,058 | ) | $ | 2,215,842 | |||||||||||||
Proceeds from Sale of Capital Stock | 437 | 43,706 | 43,706 | ||||||||||||||||||||||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | — | — | — | ||||||||||||||||||||||||
Total Comprehensive Income | 31,556 | 7,889 | 39,445 | 52,644 | 92,089 | ||||||||||||||||||||||
Distributions on Mandatorily Redeemable Capital Stock | — | — | — | — | |||||||||||||||||||||||
Cash Dividends on Capital Stock (3.50% annualized) | (14,324 | ) | — | (14,324 | ) | (14,324 | ) | ||||||||||||||||||||
Balance, March 31, 2013 | 16,780 | $ | 1,678,006 | $ | 567,005 | $ | 49,716 | $ | 616,721 | $ | 42,586 | $ | 2,337,313 |
Three Months Ended | |||||||
March 31, | |||||||
2013 | 2012 | ||||||
Operating Activities: | |||||||
Net Income | $ | 39,445 | $ | 41,451 | |||
Adjustments to reconcile Net Income to Net Cash provided by Operating Activities: | |||||||
Amortization and Depreciation | 17,497 | 13,595 | |||||
Swap termination fees associated with modified Advances | (4,850 | ) | (19,188 | ) | |||
Change in Net Derivative and Hedging Activities | 11,366 | 16,728 | |||||
Net Other-Than-Temporary Impairment Losses, credit portion | 1,924 | 3,288 | |||||
Provision for (Reversal of) Credit Losses | (4,356 | ) | 419 | ||||
Changes in: | |||||||
Accrued Interest Receivable (adjusted for capitalized interest) | 1,767 | (1,489 | ) | ||||
Other Assets | (729 | ) | (519 | ) | |||
Accrued Interest Payable | 10,354 | 1,082 | |||||
Other Liabilities | (12,430 | ) | (1,836 | ) | |||
Total Adjustments, net | 20,543 | 12,080 | |||||
Net Cash provided by Operating Activities | 59,988 | 53,531 | |||||
Investing Activities: | |||||||
Changes in: | |||||||
Interest-Bearing Deposits | 74,863 | 26,620 | |||||
Securities Purchased Under Agreements to Resell | 1,150,000 | (1,750,000 | ) | ||||
Federal Funds Sold | 989,000 | 1,317,000 | |||||
Purchases of Premises, Software, and Equipment | (2,889 | ) | (169 | ) | |||
Available-for-Sale Securities: | |||||||
Proceeds from Maturities of Long-Term | 17,020 | 17,880 | |||||
Purchases of Long-Term | — | (375,000 | ) | ||||
Held-to-Maturity Securities: | |||||||
Proceeds from Maturities of Long-Term | 279,198 | 1,195,448 | |||||
Purchases of Long-Term | (76,558 | ) | (357,553 | ) | |||
Advances: | |||||||
Principal Collected | 9,269,257 | 11,430,444 | |||||
Disbursed to Members | (10,172,999 | ) | (10,942,276 | ) | |||
Mortgage Loans Held for Portfolio: | |||||||
Principal Collected | 382,087 | 341,303 | |||||
Purchases of Loans and Participation Interests | (472,048 | ) | (227,920 | ) | |||
Net Cash provided by Investing Activities | 1,436,931 | 675,777 |
Three Months Ended | |||||||
March 31, | |||||||
2013 | 2012 | ||||||
Financing Activities: | |||||||
Changes in Deposits | (342,153 | ) | 682,816 | ||||
Net Payments on Derivative Contracts with Financing Elements | (19,951 | ) | (20,476 | ) | |||
Net Proceeds from Issuance of Consolidated Obligations: | |||||||
Discount Notes | 23,049,704 | 29,251,337 | |||||
Bonds | 6,494,257 | 6,441,808 | |||||
Payments for Matured and Retired Consolidated Obligations: | |||||||
Discount Notes | (24,036,482 | ) | (29,818,225 | ) | |||
Bonds | (6,449,550 | ) | (7,471,500 | ) | |||
Proceeds from Sale of Capital Stock | 43,706 | 5,377 | |||||
Payments for Redemption of Mandatorily Redeemable Capital Stock | (290,217 | ) | — | ||||
Cash Dividends Paid on Capital Stock | (14,324 | ) | (11,760 | ) | |||
Net Cash used in Financing Activities | (1,565,010 | ) | (940,623 | ) | |||
Net Increase (Decrease) in Cash and Cash Equivalents | (68,091 | ) | (211,315 | ) | |||
Cash and Cash Equivalents at Beginning of Period | 105,472 | 512,682 | |||||
Cash and Cash Equivalents at End of Period | $ | 37,381 | $ | 301,367 | |||
Supplemental Disclosures: | |||||||
Interest Paid | $ | 75,420 | $ | 104,126 | |||
Affordable Housing Program Payments | 1,845 | 2,287 | |||||
Capitalized Interest on Certain Held-to-Maturity Securities | 3,296 | 5,288 | |||||
Par Value of Net Shares Reclassified to Mandatorily Redeemable Capital Stock | — | 3,513 |
Gross | Gross | |||||||||||||||||||
Amortized | Non-Credit | Unrealized | Unrealized | Estimated | ||||||||||||||||
March 31, 2013 | Cost (1) | OTTI | Gains | Losses | Fair Value | |||||||||||||||
GSE and TVA debentures | $ | 3,293,305 | $ | — | $ | 29,489 | $ | (219 | ) | $ | 3,322,575 | |||||||||
Private-label RMBS | 630,950 | (2,364 | ) | 27,942 | — | 656,528 | ||||||||||||||
Total AFS securities | $ | 3,924,255 | $ | (2,364 | ) | $ | 57,431 | $ | (219 | ) | $ | 3,979,103 | ||||||||
December 31, 2012 | ||||||||||||||||||||
GSE and TVA debentures | $ | 3,328,103 | $ | — | $ | 13,007 | $ | (672 | ) | $ | 3,340,438 | |||||||||
Private-label RMBS | 649,826 | (20,126 | ) | 10,442 | — | 640,142 | ||||||||||||||
Total AFS securities | $ | 3,977,929 | $ | (20,126 | ) | $ | 23,449 | $ | (672 | ) | $ | 3,980,580 |
(1) | Amortized cost of AFS securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, and, if applicable, OTTI recognized in earnings (credit losses) and fair-value hedge accounting adjustments. |
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
March 31, 2013 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE and TVA debentures | $ | 24,090 | $ | (219 | ) | $ | — | $ | — | $ | 24,090 | $ | (219 | ) | ||||||||||
Total Non-MBS | 24,090 | (219 | ) | — | — | 24,090 | (219 | ) | ||||||||||||||||
Private-label RMBS | — | — | 191,081 | (2,364 | ) | 191,081 | (2,364 | ) | ||||||||||||||||
Total impaired AFS securities | $ | 24,090 | $ | (219 | ) | $ | 191,081 | $ | (2,364 | ) | $ | 215,171 | $ | (2,583 | ) | |||||||||
December 31, 2012 | ||||||||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE and TVA debentures | $ | 398,265 | $ | (672 | ) | $ | — | $ | — | $ | 398,265 | $ | (672 | ) | ||||||||||
Total Non-MBS | 398,265 | (672 | ) | — | — | 398,265 | (672 | ) | ||||||||||||||||
Private-label RMBS | — | — | 471,359 | (20,126 | ) | 471,359 | (20,126 | ) | ||||||||||||||||
Total impaired AFS securities | $ | 398,265 | $ | (672 | ) | $ | 471,359 | $ | (20,126 | ) | $ | 869,624 | $ | (20,798 | ) |
March 31, 2013 | December 31, 2012 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 2,018,709 | 2,032,786 | 2,038,791 | 2,048,429 | ||||||||||||
Due after five years through ten years | 1,184,878 | 1,198,758 | 1,197,884 | 1,200,979 | ||||||||||||
Due after ten years | 89,718 | 91,031 | 91,428 | 91,030 | ||||||||||||
Total Non-MBS | 3,293,305 | 3,322,575 | 3,328,103 | 3,340,438 | ||||||||||||
Total MBS | 630,950 | 656,528 | 649,826 | 640,142 | ||||||||||||
Total AFS securities | $ | 3,924,255 | $ | 3,979,103 | $ | 3,977,929 | $ | 3,980,580 |
Gross | Gross | |||||||||||||||||||||||
Unrecognized | Unrecognized | Estimated | ||||||||||||||||||||||
Amortized | Non-Credit | Carrying | Holding | Holding | Fair | |||||||||||||||||||
March 31, 2013 | Cost (1) | OTTI | Value (2) | Gains (3) | Losses (3) | Value | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE debentures | $ | 268,997 | $ | — | $ | 268,997 | $ | 505 | $ | — | $ | 269,502 | ||||||||||||
Total Non-MBS | 268,997 | — | 268,997 | 505 | — | 269,502 | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed RMBS | 3,080,053 | — | 3,080,053 | 79,472 | (2,671 | ) | 3,156,854 | |||||||||||||||||
GSE RMBS | 3,690,400 | — | 3,690,400 | 142,172 | (13 | ) | 3,832,559 | |||||||||||||||||
Private-label RMBS | 206,771 | — | 206,771 | 1,093 | (1,641 | ) | 206,223 | |||||||||||||||||
Manufactured housing loan ABS | 14,338 | — | 14,338 | — | (2,030 | ) | 12,308 | |||||||||||||||||
Home equity loan ABS | 2,351 | (292 | ) | 2,059 | 56 | (252 | ) | 1,863 | ||||||||||||||||
Total MBS and ABS | 6,993,913 | (292 | ) | 6,993,621 | 222,793 | (6,607 | ) | 7,209,807 | ||||||||||||||||
Total HTM securities | $ | 7,262,910 | $ | (292 | ) | $ | 7,262,618 | $ | 223,298 | $ | (6,607 | ) | $ | 7,479,309 | ||||||||||
December 31, 2012 | ||||||||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
GSE debentures | $ | 268,996 | $ | — | $ | 268,996 | $ | 357 | $ | — | $ | 269,353 | ||||||||||||
Total Non-MBS | 268,996 | — | 268,996 | 357 | — | 269,353 | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed RMBS | 3,123,784 | — | 3,123,784 | 84,169 | (1,345 | ) | 3,206,608 | |||||||||||||||||
GSE RMBS | 3,859,172 | — | 3,859,172 | 155,044 | (76 | ) | 4,014,140 | |||||||||||||||||
Private-label RMBS | 235,778 | — | 235,778 | 992 | (2,577 | ) | 234,193 | |||||||||||||||||
Manufactured housing loan ABS | 14,779 | — | 14,779 | — | (2,276 | ) | 12,503 | |||||||||||||||||
Home equity loan ABS | 2,446 | (312 | ) | 2,134 | 5 | (340 | ) | 1,799 | ||||||||||||||||
Total MBS and ABS | 7,235,959 | (312 | ) | 7,235,647 | 240,210 | (6,614 | ) | 7,469,243 | ||||||||||||||||
Total HTM securities | $ | 7,504,955 | $ | (312 | ) | $ | 7,504,643 | $ | 240,567 | $ | (6,614 | ) | $ | 7,738,596 |
(1) | Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, 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 | |||||||||||||||||||
March 31, 2013 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses (1) | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | $ | 238,368 | $ | (500 | ) | $ | 454,516 | $ | (2,171 | ) | $ | 692,884 | $ | (2,671 | ) | |||||||||
GSE RMBS | — | — | 10,688 | (13 | ) | 10,688 | (13 | ) | ||||||||||||||||
Private-label RMBS | 11,636 | (42 | ) | 102,839 | (1,599 | ) | 114,475 | (1,641 | ) | |||||||||||||||
Manufactured housing loan ABS | — | — | 12,308 | (2,030 | ) | 12,308 | (2,030 | ) | ||||||||||||||||
Home equity loan ABS | — | — | 1,863 | (488 | ) | 1,863 | (488 | ) | ||||||||||||||||
Total MBS and ABS | 250,004 | (542 | ) | 582,214 | (6,301 | ) | 832,218 | (6,843 | ) | |||||||||||||||
Total impaired HTM securities | $ | 250,004 | $ | (542 | ) | $ | 582,214 | $ | (6,301 | ) | $ | 832,218 | $ | (6,843 | ) | |||||||||
December 31, 2012 | ||||||||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | $ | 274,784 | $ | (432 | ) | $ | 460,152 | $ | (913 | ) | $ | 734,936 | $ | (1,345 | ) | |||||||||
GSE RMBS | 124,225 | (76 | ) | — | — | 124,225 | (76 | ) | ||||||||||||||||
Private-label RMBS | 7,258 | (36 | ) | 155,651 | (2,541 | ) | 162,909 | (2,577 | ) | |||||||||||||||
Manufactured housing loan ABS | — | — | 12,503 | (2,276 | ) | 12,503 | (2,276 | ) | ||||||||||||||||
Home equity loan ABS | — | — | 1,799 | (647 | ) | 1,799 | (647 | ) | ||||||||||||||||
Total MBS and ABS | 406,267 | (544 | ) | 630,105 | (6,377 | ) | 1,036,372 | (6,921 | ) | |||||||||||||||
Total impaired HTM securities | $ | 406,267 | $ | (544 | ) | $ | 630,105 | $ | (6,377 | ) | $ | 1,036,372 | $ | (6,921 | ) |
(1) | As a result of OTTI accounting guidance, the total unrealized losses on home equity loan ABS may not agree to the gross unrecognized holding losses on home equity loan ABS in the major security types table above. |
March 31, 2013 | December 31, 2012 | |||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||
Amortized | Carrying | Fair | Amortized | Carrying | Fair | |||||||||||||||||||
Year of Contractual Maturity | Cost (1) | Value (2) | Value | Cost (1) | Value (2) | Value | ||||||||||||||||||
Non-MBS: | ||||||||||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Due after one year through five years | 268,997 | 268,997 | 269,502 | 268,996 | 268,996 | 269,353 | ||||||||||||||||||
Due after five years through ten years | — | — | — | — | — | — | ||||||||||||||||||
Due after ten years | — | — | — | — | — | — | ||||||||||||||||||
Total Non-MBS | 268,997 | 268,997 | 269,502 | 268,996 | 268,996 | 269,353 | ||||||||||||||||||
Total MBS and ABS | 6,993,913 | 6,993,621 | 7,209,807 | 7,235,959 | 7,235,647 | 7,469,243 | ||||||||||||||||||
Total HTM securities | $ | 7,262,910 | $ | 7,262,618 | $ | 7,479,309 | $ | 7,504,955 | $ | 7,504,643 | $ | 7,738,596 |
(1) | Amortized cost includes adjustments made to the cost basis of an investment for accretion, amortization, collection of principal, 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. |
Three Months Ended | |||||||||
March 31, | |||||||||
Credit Loss Rollforward | 2013 | 2012 | |||||||
Balance at beginning of period | $ | 109,169 | $ | 105,636 | |||||
Additions: | |||||||||
Additional credit losses for which OTTI was previously recognized | 1,924 | 3,288 | |||||||
Reductions: | |||||||||
Unamortized life-to-date credit losses on security that we intend to sell before recovery of its amortized cost basis | (8,300 | ) | — | ||||||
Balance at end of period | $ | 102,793 | $ | 108,924 |
March 31, 2013 | ||||||||||||||||||||||||||||
HTM Securities | AFS Securities | |||||||||||||||||||||||||||
Estimated | Estimated | |||||||||||||||||||||||||||
OTTI Life-to-Date | UPB | Amortized Cost | Carrying Value | Fair Value | UPB | Amortized Cost | Fair Value | |||||||||||||||||||||
Private-label RMBS - prime | $ | — | $ | — | $ | — | $ | — | $ | 706,750 | $ | 605,483 | $ | 630,786 | ||||||||||||||
Private-label RMBS - Alt-A | — | — | — | — | 34,292 | 25,467 | 25,742 | |||||||||||||||||||||
Home equity loan ABS - subprime | 943 | 905 | 613 | 669 | — | — | — | |||||||||||||||||||||
Total OTTI securities | $ | 943 | $ | 905 | $ | 613 | $ | 669 | $ | 741,042 | $ | 630,950 | $ | 656,528 |
March 31, 2013 | December 31, 2012 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR % | Amount | WAIR % | ||||||||||
Overdrawn demand and overnight deposit accounts | $ | — | — | $ | 15,004 | 2.50 | ||||||||
Due in 1 year or less | 3,749,796 | 1.33 | 3,761,551 | 1.57 | ||||||||||
Due after 1 year through 2 years | 1,567,182 | 2.07 | 1,365,251 | 2.66 | ||||||||||
Due after 2 years through 3 years | 2,752,528 | 2.76 | 2,287,033 | 3.11 | ||||||||||
Due after 3 years through 4 years | 3,645,783 | 2.70 | 3,435,097 | 2.61 | ||||||||||
Due after 4 years through 5 years | 2,544,001 | 1.94 | 2,448,083 | 2.22 | ||||||||||
Thereafter | 4,026,669 | 2.33 | 4,070,200 | 2.49 | ||||||||||
Total Advances, par value | 18,285,959 | 2.19 | 17,382,219 | 2.38 | ||||||||||
Unamortized discounts (including AHP) | (1,226 | ) | (1,284 | ) | ||||||||||
Hedging adjustments | 500,344 | 577,225 | ||||||||||||
Unamortized swap termination fees associated with modified Advances | 164,679 | 171,298 | ||||||||||||
Total Advances | $ | 18,949,756 | $ | 18,129,458 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Put Date | |||||||||||||||
March 31, 2013 | December 31, 2012 | March 31, 2013 | December 31, 2012 | |||||||||||||
Overdrawn demand and overnight deposit accounts | $ | — | $ | 15,004 | $ | — | $ | 15,004 | ||||||||
Due in 1 year or less | 5,827,161 | 5,800,961 | 3,973,796 | 4,070,551 | ||||||||||||
Due after 1 year through 2 years | 1,565,182 | 1,348,251 | 1,554,182 | 1,327,251 | ||||||||||||
Due after 2 years through 3 years | 2,544,278 | 2,163,783 | 2,736,028 | 2,250,533 | ||||||||||||
Due after 3 years through 4 years | 4,014,783 | 3,539,097 | 3,605,783 | 3,405,097 | ||||||||||||
Due after 4 years through 5 years | 2,241,251 | 2,310,333 | 2,439,501 | 2,328,583 | ||||||||||||
Thereafter | 2,093,304 | 2,204,790 | 3,976,669 | 3,985,200 | ||||||||||||
Total Advances, par value | $ | 18,285,959 | $ | 17,382,219 | $ | 18,285,959 | $ | 17,382,219 |
March 31, 2013 | ||||||||||||
By Term | MPP | MPF | Total | |||||||||
Fixed-rate medium-term (1) mortgages | $ | 1,012,634 | $ | 60,467 | $ | 1,073,101 | ||||||
Fixed-rate long-term (2) mortgages | 4,634,413 | 296,216 | 4,930,629 | |||||||||
Total Mortgage Loans Held for Portfolio, UPB | 5,647,047 | 356,683 | 6,003,730 | |||||||||
Unamortized premiums | 90,013 | 8,346 | 98,359 | |||||||||
Unamortized discounts | (11,988 | ) | — | (11,988 | ) | |||||||
Hedging adjustments | 7,904 | 570 | 8,474 | |||||||||
Allowance for loan losses | (5,000 | ) | (250 | ) | (5,250 | ) | ||||||
Total Mortgage Loans Held for Portfolio, net | $ | 5,727,976 | $ | 365,349 | $ | 6,093,325 |
December 31, 2012 | ||||||||||||
By Term | MPP | MPF | Total | |||||||||
Fixed-rate medium-term (1) mortgages | $ | 960,944 | $ | 41,014 | $ | 1,001,958 | ||||||
Fixed-rate long-term (2) mortgages | 4,735,020 | 189,166 | 4,924,186 | |||||||||
Total Mortgage Loans Held for Portfolio, UPB | 5,695,964 | 230,180 | 5,926,144 | |||||||||
Unamortized premiums | 81,459 | 6,323 | 87,782 | |||||||||
Unamortized discounts | (12,266 | ) | — | (12,266 | ) | |||||||
Hedging adjustments | 8,859 | 886 | 9,745 | |||||||||
Allowance for loan losses | (9,850 | ) | (150 | ) | (10,000 | ) | ||||||
Total Mortgage Loans Held for Portfolio, net | $ | 5,764,166 | $ | 237,239 | $ | 6,001,405 |
March 31, 2013 | ||||||||||||
By Type | MPP | MPF | Total | |||||||||
Conventional | $ | 4,804,665 | $ | 281,290 | $ | 5,085,955 | ||||||
Government | 842,382 | 75,393 | 917,775 | |||||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 5,647,047 | $ | 356,683 | $ | 6,003,730 |
December 31, 2012 | ||||||||||||
By Type | MPP | MPF | Total | |||||||||
Conventional | $ | 4,810,269 | $ | 177,204 | $ | 4,987,473 | ||||||
Government | 885,695 | 52,976 | 938,671 | |||||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 5,695,964 | $ | 230,180 | $ | 5,926,144 |
(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. |
MPP Credit Waterfall | March 31, 2013 | December 31, 2012 | ||||||
Estimated losses remaining after borrower's equity, before credit enhancements | $ | 47,947 | $ | 51,465 | ||||
Portion of estimated losses recoverable from PMI | (6,023 | ) | (6,494 | ) | ||||
Portion of estimated losses recoverable from LRA | (7,384 | ) | (7,750 | ) | ||||
Portion of estimated losses recoverable from SMI | (31,414 | ) | (33,438 | ) | ||||
Allowance for unrecoverable PMI/SMI | 1,874 | 6,067 | ||||||
Allowance for MPP loan losses | $ | 5,000 | $ | 9,850 |
Three months ended March 31, | ||||||||
LRA Activity | 2013 | 2012 | ||||||
Balance of LRA, beginning of period | $ | 33,693 | $ | 23,408 | ||||
Additions | 4,481 | 3,434 | ||||||
Claims paid | (959 | ) | (2,318 | ) | ||||
Distributions | (93 | ) | (345 | ) | ||||
Balance of LRA, end of period | $ | 37,122 | $ | 24,179 |
MPP | MPF | |||||||||||
Rollforward of Allowance | Conventional | Conventional | Total | |||||||||
Allowance for loan losses on mortgage loans, December 31, 2012 | $ | 9,850 | $ | 150 | $ | 10,000 | ||||||
Charge-offs | (394 | ) | — | (394 | ) | |||||||
Provision for (Reversal of) loan losses | (4,456 | ) | 100 | (4,356 | ) | |||||||
Allowance for loan losses on mortgage loans, March 31, 2013 | $ | 5,000 | $ | 250 | $ | 5,250 | ||||||
Allowance for loan losses on mortgage loans, December 31, 2011 | $ | 3,300 | $ | — | $ | 3,300 | ||||||
Charge-offs | (219 | ) | — | (219 | ) | |||||||
Provision for (Reversal of) loan losses | 419 | — | 419 | |||||||||
Allowance for loan losses on mortgage loans, March 31, 2012 | $ | 3,500 | $ | — | $ | 3,500 |
Allowance for Loan Losses, March 31, 2013 | ||||||||||||
Loans collectively evaluated for impairment | $ | 4,178 | $ | 250 | $ | 4,428 | ||||||
Loans individually evaluated for impairment (1) | 822 | — | 822 | |||||||||
Total allowance for loan losses | $ | 5,000 | $ | 250 | $ | 5,250 | ||||||
Allowance for Loan Losses, December 31, 2012 | ||||||||||||
Loans collectively evaluated for impairment | $ | 8,814 | $ | 150 | $ | 8,964 | ||||||
Loans individually evaluated for impairment (1) | 1,036 | — | 1,036 | |||||||||
Total allowance for loan losses | $ | 9,850 | $ | 150 | $ | 10,000 | ||||||
Recorded Investment, March 31, 2013 | ||||||||||||
Loans collectively evaluated for impairment | $ | 4,873,445 | $ | 289,600 | $ | 5,163,045 | ||||||
Loans individually evaluated for impairment (1) | 16,154 | — | 16,154 | |||||||||
Total recorded investment | $ | 4,889,599 | $ | 289,600 | $ | 5,179,199 | ||||||
Recorded Investment, December 31, 2012 | ||||||||||||
Loans collectively evaluated for impairment | $ | 4,871,579 | $ | 183,399 | $ | 5,054,978 | ||||||
Loans individually evaluated for impairment (1) | 16,817 | — | 16,817 | |||||||||
Total recorded investment | $ | 4,888,396 | $ | 183,399 | $ | 5,071,795 |
(1) | The recorded investment in our MPP conventional loans individually evaluated for impairment excludes potential claims by servicers as of March 31, 2013 and December 31, 2012 for any losses resulting from past or future liquidations of the underlying properties on $14,492 and $15,665, respectively, of principal that was previously paid in full by the servicers. However, the MPP conventional loan allowance for loan losses includes $757 and $968 for these potential claims as of March 31, 2013 and December 31, 2012, respectively. |
MPP | MPF | |||||||||||||||||||
Mortgage Loans Held for Portfolio as of March 31, 2013 | Conventional | FHA | Conventional | Government | Total | |||||||||||||||
Past due 30-59 days | $ | 65,180 | $ | 35,527 | $ | 232 | $ | 397 | $ | 101,336 | ||||||||||
Past due 60-89 days | 23,698 | 9,110 | 1 | 110 | 32,919 | |||||||||||||||
Past due 90 days or more | 102,250 | 4,861 | 1 | — | 107,112 | |||||||||||||||
Total past due | 191,128 | 49,498 | 234 | 507 | 241,367 | |||||||||||||||
Total current | 4,698,471 | 815,821 | 289,366 | 76,989 | 5,880,647 | |||||||||||||||
Total mortgage loans, recorded investment | 4,889,599 | 865,319 | 289,600 | 77,496 | 6,122,014 | |||||||||||||||
Net unamortized premiums | (59,173 | ) | (18,852 | ) | (6,737 | ) | (1,609 | ) | (86,371 | ) | ||||||||||
Hedging adjustments | (7,013 | ) | (892 | ) | (365 | ) | (204 | ) | (8,474 | ) | ||||||||||
Accrued interest receivable | (18,748 | ) | (3,193 | ) | (1,208 | ) | (290 | ) | (23,439 | ) | ||||||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 4,804,665 | $ | 842,382 | $ | 281,290 | $ | 75,393 | $ | 6,003,730 | ||||||||||
Other Delinquency Statistics as of March 31, 2013 | ||||||||||||||||||||
In process of foreclosure, included above (1) | $ | 65,358 | $ | — | $ | — | $ | — | $ | 65,358 | ||||||||||
Serious delinquency rate (2) | 2.09 | % | 0.56 | % | — | % | — | % | 1.75 | % | ||||||||||
Past due 90 days or more still accruing interest (3) | $ | 101,489 | $ | 4,861 | $ | — | $ | — | $ | 106,350 | ||||||||||
On non-accrual status | 2,030 | — | 1 | — | 2,031 |
MPP | MPF | |||||||||||||||||||
Mortgage Loans Held for Portfolio as of December 31, 2012 | Conventional | FHA | Conventional | Government | Total | |||||||||||||||
Past due 30-59 days | $ | 63,797 | $ | 36,522 | $ | 293 | $ | 78 | $ | 100,690 | ||||||||||
Past due 60-89 days | 25,050 | 8,761 | — | 36 | 33,847 | |||||||||||||||
Past due 90 days or more | 104,984 | 3,440 | 1 | — | 108,425 | |||||||||||||||
Total past due | 193,831 | 48,723 | 294 | 114 | 242,962 | |||||||||||||||
Total current | 4,694,565 | 859,236 | 183,105 | 54,649 | 5,791,555 | |||||||||||||||
Total mortgage loans, recorded investment | 4,888,396 | 907,959 | 183,399 | 54,763 | 6,034,517 | |||||||||||||||
Net unamortized premiums | (51,202 | ) | (17,990 | ) | (4,790 | ) | (1,534 | ) | (75,516 | ) | ||||||||||
Hedging adjustments | (7,958 | ) | (901 | ) | (819 | ) | (67 | ) | (9,745 | ) | ||||||||||
Accrued interest receivable | (18,967 | ) | (3,373 | ) | (586 | ) | (186 | ) | (23,112 | ) | ||||||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 4,810,269 | $ | 885,695 | $ | 177,204 | $ | 52,976 | $ | 5,926,144 | ||||||||||
Other Delinquency Statistics as of December 31, 2012 | ||||||||||||||||||||
In process of foreclosure, included above (1) | $ | 75,317 | $ | — | $ | — | $ | — | $ | 75,317 | ||||||||||
Serious delinquency rate (2) | 2.15 | % | 0.38 | % | — | % | — | % | 1.80 | % | ||||||||||
Past due 90 days or more still accruing interest (3) | $ | 104,805 | $ | 3,440 | $ | 1 | $ | — | $ | 108,246 | ||||||||||
On non-accrual status | 1,816 | — | — | — | 1,816 |
(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 MBS, resulting in the lower serious delinquency rate for FHA loans. |
(3) | Although our past due scheduled/scheduled MPP 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. |
March 31, 2013 | December 31, 2012 | |||||||||||||||||||||||
Recorded Investment | Performing | Non-Performing (1) | Total | Performing | Non-Performing (1) | Total | ||||||||||||||||||
MPP conventional loans | $ | 14,124 | $ | 2,030 | $ | 16,154 | $ | 15,001 | $ | 1,816 | $ | 16,817 |
(1) | Represents loans on non-accrual status only. |
Three Months Ended | Three Months Ended | |||||||||||||||
March 31, 2013 | March 31, 2012 | |||||||||||||||
Troubled Debt Restructurings at Modification Date | Pre-Modification | Post-Modification(1) | Pre-Modification | Post-Modification(1) | ||||||||||||
MPP conventional loans | $ | 771 | $ | 834 | $ | 1,495 | $ | 1,598 |
(1) | Includes the capitalization of interest previously paid under scheduled/scheduled payment terms. |
Three months ended March 31, | ||||||||
Troubled Debt Restructurings that Subsequently Defaulted (1) | 2013 | 2012 | ||||||
MPP conventional loans | $ | 1,059 | $ | 778 |
(1) | For purposes of this disclosure, only the initial default was included in the table; however, a loan can experience another payment default in a subsequent period. |
March 31, 2013 | December 31, 2012 | |||||||||||||||||||||||
Individually Evaluated Impaired Loans | Recorded Investment | UPB | Related Allowance for Loan Losses | Recorded Investment | UPB | Related Allowance for Loan Losses | ||||||||||||||||||
MPP conventional loans without allowance for loan losses | $ | 14,124 | $ | 14,000 | $ | — | $ | 15,001 | $ | 14,892 | $ | — | ||||||||||||
MPP conventional loans with allowance for loan losses | 2,030 | 2,000 | 65 | 1,816 | 1,783 | 68 | ||||||||||||||||||
Total | $ | 16,154 | $ | 16,000 | $ | 65 | $ | 16,817 | $ | 16,675 | $ | 68 |
Three Months Ended | Three Months Ended | |||||||||||||||
March 31, 2013 | March 31, 2012 | |||||||||||||||
Individually Evaluated Impaired Loans | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
MPP conventional loans without allowance for loan losses | $ | 14,452 | $ | 207 | $ | 3,251 | $ | 40 | ||||||||
MPP conventional loans with allowance for loan losses | 2,033 | 31 | 791 | 8 | ||||||||||||
Total | $ | 16,485 | $ | 238 | $ | 4,042 | $ | 48 |
Notional | Fair Value | Fair Value | ||||||||||
Amount of | of Derivative | of Derivative | ||||||||||
March 31, 2013 | Derivatives | Assets | Liabilities | |||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps | $ | 30,026,105 | $ | 66,952 | $ | 860,479 | ||||||
Total derivatives designated as hedging instruments | 30,026,105 | 66,952 | 860,479 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 2,744,679 | 2,442 | 4,294 | |||||||||
Interest-rate caps/floors | 340,500 | 1,038 | — | |||||||||
Interest-rate futures/forwards | 154,000 | — | 434 | |||||||||
MDCs | 145,004 | 362 | 5 | |||||||||
Total derivatives not designated as hedging instruments | 3,384,183 | 3,842 | 4,733 | |||||||||
Total derivatives before adjustments | $ | 33,410,288 | 70,794 | 865,212 | ||||||||
Netting adjustments | (68,839 | ) | (68,839 | ) | ||||||||
Cash collateral and related accrued interest | 24 | (602,575 | ) | |||||||||
Total adjustments (1) | (68,815 | ) | (671,414 | ) | ||||||||
Total derivatives, net | $ | 1,979 | $ | 193,798 | ||||||||
December 31, 2012 | ||||||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps | $ | 32,158,474 | $ | 71,297 | $ | 951,216 | ||||||
Total derivatives designated as hedging instruments | 32,158,474 | 71,297 | 951,216 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 1,214,179 | 757 | 233 | |||||||||
Interest-rate caps/floors | 340,500 | 1,005 | — | |||||||||
Interest-rate futures/forwards | 156,700 | 230 | 43 | |||||||||
MDCs | 157,475 | 289 | 29 | |||||||||
Total derivatives not designated as hedging instruments | 1,868,854 | 2,281 | 305 | |||||||||
Total derivatives before adjustments | $ | 34,027,328 | 73,578 | 951,521 | ||||||||
Netting adjustments | (72,757 | ) | (72,757 | ) | ||||||||
Cash collateral and related accrued interest | — | (677,649 | ) | |||||||||
Total adjustments (1) | (72,757 | ) | (750,406 | ) | ||||||||
Total derivatives, net | $ | 821 | $ | 201,115 |
(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 | ||||||||
March 31, | ||||||||
Type of Hedge | 2013 | 2012 | ||||||
Net gain (loss) related to fair-value hedge ineffectiveness: | ||||||||
Interest-rate swaps | $ | (4,402 | ) | $ | 2,430 | |||
Interest-rate futures/forwards | — | — | ||||||
Total net gain (loss) related to fair-value hedge ineffectiveness | (4,402 | ) | 2,430 | |||||
Net gain (loss) on derivatives not designated as hedging instruments: | ||||||||
Economic hedges: | ||||||||
Interest-rate swaps | 3,898 | 184 | ||||||
Interest-rate caps/floors | 33 | (402 | ) | |||||
Interest-rate futures/forwards | 821 | (435 | ) | |||||
Net interest settlements | (3,226 | ) | (5 | ) | ||||
MDCs | (896 | ) | (596 | ) | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | 630 | (1,254 | ) | |||||
Net Gains (Losses) on Derivatives and Hedging Activities | $ | (3,772 | ) | $ | 1,176 |
Gain (Loss) | Gain (Loss) | Net Fair- | Effect on | ||||||||||||||
on | on Hedged | Value Hedge | Net Interest | ||||||||||||||
Three Months Ended March 31, 2013 | Derivative | Item | Ineffectiveness | Income (1) | |||||||||||||
Advances | $ | 57,886 | $ | (56,489 | ) | $ | 1,397 | $ | (56,578 | ) | |||||||
AFS securities | 30,277 | (32,223 | ) | (1,946 | ) | (21,426 | ) | ||||||||||
Mortgage Loans (2) | — | — | — | — | |||||||||||||
CO Bonds | (36,939 | ) | 33,086 | (3,853 | ) | 22,840 | |||||||||||
Total | $ | 51,224 | $ | (55,626 | ) | $ | (4,402 | ) | $ | (55,164 | ) | ||||||
Three Months Ended March 31, 2012 | |||||||||||||||||
Advances | $ | 34,415 | $ | (31,749 | ) | $ | 2,666 | $ | (60,669 | ) | |||||||
AFS securities | 15,586 | (14,691 | ) | 895 | (17,049 | ) | |||||||||||
Mortgage Loans (2) | — | — | — | — | |||||||||||||
CO Bonds | 8,354 | (9,485 | ) | (1,131 | ) | 14,321 | |||||||||||
Total | $ | 58,355 | $ | (55,925 | ) | $ | 2,430 | $ | (63,397 | ) |
(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) | Effect on Net Interest Income includes both fair-value and economic hedging relationships. |
March 31, 2013 | Derivative Assets | Derivative Liabilities | ||||||
Derivative instruments with legal right of offset: | ||||||||
Gross recognized amount | $ | 70,432 | $ | 864,773 | ||||
Gross amounts of netting adjustments and cash collateral | (68,815 | ) | (671,414 | ) | ||||
Net amounts after offsetting adjustments | 1,617 | 193,359 | ||||||
Derivative instruments without legal right of offset | 362 | 439 | ||||||
Total derivatives | $ | 1,979 | $ | 193,798 |
December 31, 2012 | Derivative Assets | Derivative Liabilities | ||||||
Derivative instruments with legal right of offset: | ||||||||
Gross recognized amount | $ | 73,059 | $ | 951,449 | ||||
Gross amounts of netting adjustments and cash collateral | (72,757 | ) | (750,406 | ) | ||||
Net amounts after offsetting adjustments | 302 | 201,043 | ||||||
Derivative instruments without legal right of offset | 519 | 72 | ||||||
Total derivatives | $ | 821 | $ | 201,115 |
Type of Deposits | March 31, 2013 | December 31, 2012 | ||||||
Interest-Bearing: | ||||||||
Demand and overnight | $ | 828,710 | $ | 704,216 | ||||
Time | 4,000 | 2,250 | ||||||
Other | 22 | 22 | ||||||
Total Interest-Bearing | 832,732 | 706,488 | ||||||
Non-Interest-Bearing: | ||||||||
Demand (1) | 596,173 | 1,066,041 | ||||||
Other (2) | 16,093 | 14,622 | ||||||
Total Non-Interest Bearing | 612,266 | 1,080,663 | ||||||
Total Deposits | $ | 1,444,998 | $ | 1,787,151 |
(1) | Represents principal and interest custodial accounts transferred to our Bank by a member for GSE remittance payments. |
(2) | Includes pass-through deposit reserves from members. |
Discount Notes | March 31, 2013 | December 31, 2012 | ||||||
Book value | $ | 7,937,470 | $ | 8,924,085 | ||||
Par value | $ | 7,939,214 | $ | 8,925,828 | ||||
Weighted average effective interest rate | 0.14 | % | 0.15 | % |
March 31, 2013 | December 31, 2012 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | ||||||||||
Due in 1 year or less | $ | 11,596,125 | 0.54 | $ | 14,083,675 | 0.54 | ||||||||
Due after 1 year through 2 years | 2,178,500 | 1.92 | 2,984,650 | 1.49 | ||||||||||
Due after 2 years through 3 years | 1,987,450 | 1.24 | 1,323,800 | 1.59 | ||||||||||
Due after 3 years through 4 years | 828,100 | 2.49 | 724,900 | 3.08 | ||||||||||
Due after 4 years through 5 years | 2,981,500 | 1.69 | 1,337,700 | 2.29 | ||||||||||
Thereafter | 7,806,050 | 2.90 | 6,881,450 | 3.11 | ||||||||||
Total CO Bonds, par value | 27,377,725 | 1.56 | 27,336,175 | 1.50 | ||||||||||
Unamortized premiums | 37,638 | 36,958 | ||||||||||||
Unamortized discounts | (17,053 | ) | (17,444 | ) | ||||||||||
Hedging adjustments | 17,774 | 51,841 | ||||||||||||
Total CO Bonds | $ | 27,416,084 | $ | 27,407,530 |
Redemption Feature | March 31, 2013 | December 31, 2012 | ||||||
Non-callable / non-putable | $ | 17,633,725 | $ | 19,952,175 | ||||
Callable | 9,744,000 | 7,384,000 | ||||||
Total CO Bonds, par value | $ | 27,377,725 | $ | 27,336,175 |
Year of Contractual Maturity or Next Call Date | March 31, 2013 | December 31, 2012 | ||||||
Due in 1 year or less | $ | 21,000,125 | $ | 21,097,675 | ||||
Due after 1 year through 2 years | 1,893,500 | 1,694,650 | ||||||
Due after 2 years through 3 years | 1,104,450 | 1,091,800 | ||||||
Due after 3 years through 4 years | 425,100 | 513,900 | ||||||
Due after 4 years through 5 years | 638,500 | 607,700 | ||||||
Thereafter | 2,316,050 | 2,330,450 | ||||||
Total CO Bonds, par value | $ | 27,377,725 | $ | 27,336,175 |
Three Months Ended March 31, | ||||||||
AHP Activity | 2013 | 2012 | ||||||
Balance at beginning of period | $ | 34,362 | $ | 32,845 | ||||
Assessment (expense) | 4,650 | 5,040 | ||||||
Subsidy usage, net (1) | (1,845 | ) | (2,287 | ) | ||||
Balance at end of period | $ | 37,167 | $ | 35,598 |
(1) | Subsidies disbursed are reported net of returns of previously disbursed subsidies. |
March 31, 2013 | December 31, 2012 | |||||||||||||||
Regulatory Capital Requirements | Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 687,386 | $ | 2,455,226 | $ | 636,022 | $ | 2,676,616 | ||||||||
Regulatory permanent capital-to-asset ratio | 4.00 | % | 6.19 | % | 4.00 | % | 6.49 | % | ||||||||
Regulatory permanent capital | $ | 1,587,703 | $ | 2,455,226 | $ | 1,649,105 | $ | 2,676,616 | ||||||||
Leverage ratio | 5.00 | % | 9.28 | % | 5.00 | % | 9.74 | % | ||||||||
Leverage capital | $ | 1,984,629 | $ | 3,682,839 | $ | 2,061,382 | $ | 4,014,924 |
Three months ended March 31, | ||||||||
MRCS Activity | 2013 | 2012 | ||||||
Balance at beginning of period | $ | 450,716 | $ | 453,885 | ||||
Additions due to change in membership status | — | 3,513 | ||||||
Redemptions/repurchases | (290,217 | ) | — | |||||
Accrued dividends | — | 27 | ||||||
Balance at end of period | $ | 160,499 | $ | 457,425 |
Contractual Year of Redemption | March 31, 2013 | December 31, 2012 | ||||||
Year 1 | $ | 15,034 | $ | 268,512 | ||||
Year 2 | 132,717 | 144,644 | ||||||
Year 3 | 502 | 20,511 | ||||||
Year 4 | 12,246 | 13,536 | ||||||
Year 5 | — | 3,513 | ||||||
Total MRCS | $ | 160,499 | $ | 450,716 |
Three Months Ended | ||||||||
March 31, | ||||||||
MRCS Distributions | 2013 | 2012 | ||||||
Recorded as Interest Expense | $ | 2,408 | $ | 3,911 | ||||
Recorded as distributions from Retained Earnings | — | 27 | ||||||
Total | $ | 2,408 | $ | 3,938 |
AOCI Rollforward | 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, 2011 | $ | 15,080 | $ | (119,274 | ) | $ | (392 | ) | $ | (8,955 | ) | $ | (113,541 | ) | ||||||
Other Comprehensive Income (Loss) | (3,416 | ) | 34,012 | 23 | 308 | 30,927 | ||||||||||||||
Balance, March 31, 2012 | $ | 11,664 | $ | (85,262 | ) | $ | (369 | ) | $ | (8,647 | ) | $ | (82,614 | ) | ||||||
Balance, December 31, 2012 | $ | 12,335 | $ | (9,684 | ) | $ | (312 | ) | $ | (12,397 | ) | $ | (10,058 | ) | ||||||
Other comprehensive income (loss) before reclassifications: | ||||||||||||||||||||
Net unrealized gains | 16,935 | 17,500 | — | — | 34,435 | |||||||||||||||
Net change in fair value | — | 15,838 | — | — | 15,838 | |||||||||||||||
Accretion of non-credit loss | — | — | 20 | — | 20 | |||||||||||||||
Reclassifications from OCI to Net Income | ||||||||||||||||||||
Net Other-Than-Temporary Impairment Losses, credit portion | — | 1,924 | — | — | 1,924 | |||||||||||||||
Compensation and Benefits | — | — | — | 427 | 427 | |||||||||||||||
Other Comprehensive Income (Loss) | 16,935 | 35,262 | 20 | 427 | 52,644 | |||||||||||||||
Balance, March 31, 2013 | $ | 29,270 | $ | 25,578 | $ | (292 | ) | $ | (11,970 | ) | $ | 42,586 |
• | Traditional, which consists of credit products (including 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 correspondent services and deposits; and |
• | Mortgage Loans, which consists of mortgage loans purchased from our members through our MPP and participation interests purchased from the FHLBank of Topeka in mortgage loans originated by its members under the MPF Program. |
Three Months Ended March 31, 2013 | Traditional | Mortgage Loans | Total | |||||||||
Net Interest Income | $ | 38,464 | $ | 21,488 | $ | 59,952 | ||||||
Provision for (Reversal of) Credit Losses | — | (4,356 | ) | (4,356 | ) | |||||||
Other Income (Loss) | (4,923 | ) | (75 | ) | (4,998 | ) | ||||||
Other Expenses | 13,818 | 1,397 | 15,215 | |||||||||
Income Before Assessments | 19,723 | 24,372 | 44,095 | |||||||||
Total Assessments | 2,213 | 2,437 | 4,650 | |||||||||
Net Income | $ | 17,510 | $ | 21,935 | $ | 39,445 | ||||||
Three Months Ended March 31, 2012 | ||||||||||||
Net Interest Income | $ | 40,773 | $ | 22,070 | $ | 62,843 | ||||||
Provision for (Reversal of) Credit Losses | — | 419 | 419 | |||||||||
Other Income (Loss) | (323 | ) | (1,030 | ) | (1,353 | ) | ||||||
Other Expenses | 13,346 | 1,234 | 14,580 | |||||||||
Income Before Assessments | 27,104 | 19,387 | 46,491 | |||||||||
Total Assessments, net | 3,101 | 1,939 | 5,040 | |||||||||
Net Income | $ | 24,003 | $ | 17,448 | $ | 41,451 |
By Date | Traditional | Mortgage Loans | Total | |||||||||
March 31, 2013 | $ | 33,599,261 | $ | 6,093,325 | $ | 39,692,586 | ||||||
December 31, 2012 | 35,226,231 | 6,001,405 | 41,227,636 |
March 31, 2013 | ||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and Due from Banks | $ | 37,381 | $ | 37,381 | $ | 37,381 | $ | — | $ | — | $ | — | ||||||||||||
Interest-Bearing Deposits | 211 | 211 | — | 211 | — | — | ||||||||||||||||||
Securities Purchased Under Agreements to Resell | 2,100,000 | 2,100,000 | — | 2,100,000 | — | — | ||||||||||||||||||
Federal Funds Sold | 1,121,000 | 1,121,000 | — | 1,121,000 | — | — | ||||||||||||||||||
AFS securities | 3,979,103 | 3,979,103 | — | 3,453,180 | 525,923 | — | ||||||||||||||||||
HTM securities | 7,262,618 | 7,479,309 | — | 7,258,915 | 220,394 | — | ||||||||||||||||||
Advances | 18,949,756 | 19,120,150 | — | 19,120,150 | — | — | ||||||||||||||||||
Mortgage Loans Held for Portfolio, net | 6,093,325 | 6,373,749 | — | 6,316,895 | 56,854 | — | ||||||||||||||||||
Accrued Interest Receivable | 85,732 | 85,732 | — | 85,732 | — | — | ||||||||||||||||||
Derivative Assets, net | 1,979 | 1,979 | — | 70,794 | — | (68,815 | ) | |||||||||||||||||
Grantor Trust Assets (included in Other Assets) | 19,183 | 19,183 | 19,183 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,444,998 | 1,444,998 | — | 1,444,998 | — | — | ||||||||||||||||||
Consolidated Obligations: | ||||||||||||||||||||||||
Discount Notes | 7,937,470 | 7,939,214 | — | 7,939,214 | — | — | ||||||||||||||||||
CO Bonds | 27,416,084 | 28,146,940 | — | 28,146,940 | — | — | ||||||||||||||||||
Accrued Interest Payable | 98,132 | 98,132 | — | 98,132 | — | — | ||||||||||||||||||
Derivative Liabilities, net | 193,798 | 193,798 | — | 865,212 | — | (671,414 | ) | |||||||||||||||||
MRCS | 160,499 | 160,499 | 160,499 | — | — | — |
December 31, 2012 | ||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and Due from Banks | $ | 105,472 | $ | 105,472 | $ | 105,472 | $ | — | $ | — | $ | — | ||||||||||||
Interest-Bearing Deposits | 48 | 48 | — | 48 | — | — | ||||||||||||||||||
Securities Purchased Under Agreements to Resell | 3,250,000 | 3,250,000 | — | 3,250,000 | — | — | ||||||||||||||||||
Federal Funds Sold | 2,110,000 | 2,110,000 | — | 2,110,000 | — | — | ||||||||||||||||||
AFS securities | 3,980,580 | 3,980,580 | — | 3,340,438 | 640,142 | — | ||||||||||||||||||
HTM securities | 7,504,643 | 7,738,596 | — | 7,490,101 | 248,495 | — | ||||||||||||||||||
Advances | 18,129,458 | 18,298,372 | — | 18,298,372 | — | — | ||||||||||||||||||
Mortgage Loans Held for Portfolio, net | 6,001,405 | 6,318,983 | — | 6,265,990 | 52,993 | — | ||||||||||||||||||
Accrued Interest Receivable | 87,455 | 87,455 | — | 87,455 | — | — | ||||||||||||||||||
Derivative Assets, net | 821 | 821 | — | 73,578 | — | (72,757 | ) | |||||||||||||||||
Grantor Trust Assets (included in Other Assets) | 18,440 | 18,440 | 18,440 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,787,151 | 1,787,151 | — | 1,787,151 | — | — | ||||||||||||||||||
Consolidated Obligations: | ||||||||||||||||||||||||
Discount Notes | 8,924,085 | 8,925,828 | — | 8,925,828 | — | — | ||||||||||||||||||
CO Bonds | 27,407,530 | 28,162,392 | — | 28,162,392 | — | — | ||||||||||||||||||
Accrued Interest Payable | 87,777 | 87,777 | — | 87,777 | — | — | ||||||||||||||||||
Derivative Liabilities, net | 201,115 | 201,115 | — | 951,521 | — | (750,406 | ) | |||||||||||||||||
MRCS | 450,716 | 450,716 | 450,716 | — | — | — |
(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. |
Netting | ||||||||||||||||||||
March 31, 2013 | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | |||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA debentures | $ | 3,322,575 | $ | — | $ | 3,322,575 | $ | — | $ | — | ||||||||||
Private-label RMBS | 656,528 | — | 130,605 | 525,923 | — | |||||||||||||||
Total AFS securities | 3,979,103 | — | 3,453,180 | 525,923 | — | |||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest-rate related | 1,617 | — | 70,432 | — | (68,815 | ) | ||||||||||||||
Interest-rate futures/forwards | — | — | — | — | — | |||||||||||||||
MDCs | 362 | — | 362 | — | — | |||||||||||||||
Total Derivative Assets, net | 1,979 | — | 70,794 | — | (68,815 | ) | ||||||||||||||
Grantor Trust Assets (included in Other Assets) | 19,183 | 19,183 | — | — | — | |||||||||||||||
Total recurring assets at estimated fair value | $ | 4,000,265 | $ | 19,183 | $ | 3,523,974 | $ | 525,923 | $ | (68,815 | ) | |||||||||
Derivative Liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 193,359 | $ | — | $ | 864,773 | $ | — | $ | (671,414 | ) | |||||||||
Interest-rate futures/forwards | 434 | — | 434 | — | — | |||||||||||||||
MDCs | 5 | — | 5 | — | — | |||||||||||||||
Total Derivative Liabilities, net | 193,798 | — | 865,212 | — | (671,414 | ) | ||||||||||||||
Total recurring liabilities at estimated fair value | $ | 193,798 | $ | — | $ | 865,212 | $ | — | $ | (671,414 | ) | |||||||||
December 31, 2012 | ||||||||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA debentures | $ | 3,340,438 | $ | — | $ | 3,340,438 | $ | — | $ | — | ||||||||||
Private-label RMBS | 640,142 | — | — | 640,142 | — | |||||||||||||||
Total AFS securities | 3,980,580 | — | 3,340,438 | 640,142 | — | |||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest-rate related | 302 | — | 73,059 | — | (72,757 | ) | ||||||||||||||
Interest-rate futures/forwards | 230 | — | 230 | — | — | |||||||||||||||
MDCs | 289 | — | 289 | — | — | |||||||||||||||
Total Derivative Assets, net | 821 | — | 73,578 | — | (72,757 | ) | ||||||||||||||
Grantor Trust Assets (included in Other Assets) | 18,440 | 18,440 | — | — | — | |||||||||||||||
Total recurring assets at estimated fair value | $ | 3,999,841 | $ | 18,440 | $ | 3,414,016 | $ | 640,142 | $ | (72,757 | ) | |||||||||
Derivative Liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 201,043 | $ | — | $ | 951,449 | $ | — | $ | (750,406 | ) | |||||||||
Interest-rate futures/forwards | 43 | — | 43 | — | — | |||||||||||||||
MDCs | 29 | — | 29 | — | — | |||||||||||||||
Total Derivative Liabilities, net | 201,115 | — | 951,521 | — | (750,406 | ) | ||||||||||||||
Total recurring liabilities at estimated fair value | $ | 201,115 | $ | — | $ | 951,521 | $ | — | $ | (750,406 | ) |
(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 March 31, | ||||||||
Level 3 Rollforward | 2013 | 2012 | ||||||
Balance, beginning of period | $ | 640,142 | $ | 601,309 | ||||
Total realized and unrealized gains (losses): | ||||||||
Accretion of credit losses in Net Interest Income | (3 | ) | 375 | |||||
Net gains (losses) on changes in fair value in Other Income (Loss) | — | (3,286 | ) | |||||
Net change in fair value not in excess of cumulative non-credit losses in OCI | 10,503 | 26,602 | ||||||
Unrealized gains (losses) in OCI | 9,715 | 4,124 | ||||||
Reclassification of non-credit portion in OCI to Other Income (Loss) | — | 3,286 | ||||||
Purchases, issuances, sales and settlements: | ||||||||
Settlements | (10,255 | ) | (17,880 | ) | ||||
Transfers out | (124,179 | ) | — | |||||
Balance, end of period | $ | 525,923 | $ | 614,530 | ||||
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ | (3 | ) | $ | (2,911 | ) |
March 31, 2013 | ||||||||||||
By Commitment | Expire within one year | Expire after one year | Total | |||||||||
Standby letters of credit outstanding | $ | 130,119 | $ | 180,280 | $ | 310,399 | ||||||
Unused lines of credit | 767,254 | — | 767,254 | |||||||||
Commitments to fund additional Advances (1) | 40,950 | — | 40,950 | |||||||||
Commitment to fund or purchase mortgage loans and participation interests | 145,004 | — | 145,004 | |||||||||
Unsettled CO Bonds, at par (2) | 90,000 | — | 90,000 |
(1) | Commitments to fund additional Advances are generally for periods up to six months and include no outstanding commitments to issue standby letters of credit. |
(2) | All of our unsettled CO Bonds were hedged with associated interest-rate swaps. |
Capital Stock, including MRCS | Advances | Mortgage Loans Held for Portfolio (2) | |||||||||||||||||||
March 31, 2013 | Balance, par value | % of Total | Balance, par value | % of Total | UPB | % of Total | |||||||||||||||
Flagstar Bank, FSB | $ | 301,737 | 16 | % | $ | 2,900,000 | 16 | % | $ | 620,981 | 10 | % | |||||||||
Total (1) | $ | 301,737 | 16 | % | $ | 2,900,000 | 16 | % | $ | 620,981 | 10 | % | |||||||||
December 31, 2012 | |||||||||||||||||||||
Flagstar Bank, FSB | $ | 301,737 | 14 | % | $ | 3,180,000 | 18 | % | $ | 656,931 | 11 | % | |||||||||
Bank of America, N.A. (former member) | 224,921 | 11 | % | 300,000 | 2 | % | 1,210,009 | 20 | % | ||||||||||||
Total | $ | 526,658 | 25 | % | $ | 3,480,000 | 20 | % | $ | 1,866,940 | 31 | % |
(1) | Bank of America, N.A. did not meet the definition of a related party as of March 31, 2013 as a result of our repurchase of excess stock during the three months ended March 31, 2013. |
(2) | Represents UPB of mortgage loans purchased from related party. |
Three Months Ended | ||||||||
March 31, | ||||||||
Related Party | 2013 | 2012 | ||||||
Flagstar Bank, FSB | $ | (280,000 | ) | $ | (362,000 | ) |
Capital Stock, including MRCS | Advances | Mortgage Loans Held for Portfolio (1) | |||||||||||||||||||
Date | Balance, par value | % of Total | Balance, par value | % of Total | UPB | % of Total | |||||||||||||||
March 31, 2013 | $ | 42,842 | 2 | % | $ | 319,129 | 2 | % | $ | 69,987 | 1 | % | |||||||||
December 31, 2012 | 74,114 | 4 | % | 462,758 | 3 | % | 74,235 | 1 | % |
(1) | Represents UPB of mortgage loans purchased from related party. |
Three Months Ended | ||||||||
March 31, | ||||||||
Transaction | 2013 | 2012 | ||||||
Net Advances to (repayments from) directors' financial institutions | $ | (28,027 | ) | $ | (3,961 | ) | ||
Mortgage loans acquired from directors' financial institutions | $ | 6,273 | $ | 4,901 |
• | 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, interest rates, and indices or other factors, resulting from the effects of, and changes in, various monetary or fiscal policies and regulations, including those determined by the Federal Reserve Board and the FDIC, or a decline in liquidity in the financial markets that could affect the value of investments, including OTTI of private-label RMBS, or 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 FHLBanks; |
• | changes in our ability to raise capital market funding, including changes in our credit ratings or the credit ratings of the other FHLBanks and the FHLBank System and the level of government guarantees provided to other United States and international financial institutions; competition from other entities borrowing funds in the capital markets; and dealer commitment to supporting the issuance of our Consolidated Obligations. |
• | negative adjustments in the FHLBanks' or the FHLBank System's 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 personnel; |
• | ability to develop, implement 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. |
As of and for the Three Months Ended | ||||||||||||||||||||
March 31, 2013 | December 31, 2012 | September 30, 2012 | June 30, 2012 | March 31, 2012 | ||||||||||||||||
Statement of Condition: | ||||||||||||||||||||
Advances | $ | 18,950 | $ | 18,130 | $ | 18,652 | $ | 18,814 | $ | 18,042 | ||||||||||
Investments (1) | 14,463 | 16,845 | 16,498 | 15,239 | 15,149 | |||||||||||||||
Mortgage Loans Held for Portfolio, net | 6,093 | 6,001 | 5,844 | 5,780 | 5,840 | |||||||||||||||
Total Assets | 39,693 | 41,228 | 41,231 | 40,165 | 39,469 | |||||||||||||||
Discount Notes | 7,938 | 8,924 | 9,561 | 7,557 | 5,969 | |||||||||||||||
CO Bonds | 27,416 | 27,408 | 27,768 | 28,720 | 29,337 | |||||||||||||||
Total Consolidated Obligations | 35,354 | 36,332 | 37,329 | 36,277 | 35,306 | |||||||||||||||
MRCS | 160 | 451 | 451 | 451 | 457 | |||||||||||||||
Capital Stock, Class B Putable | 1,678 | 1,634 | 1,617 | 1,608 | 1,565 | |||||||||||||||
Retained Earnings | 617 | 592 | 570 | 549 | 527 | |||||||||||||||
AOCI | 43 | (10 | ) | (41 | ) | (80 | ) | (82 | ) | |||||||||||
Total Capital | 2,338 | 2,216 | 2,146 | 2,077 | 2,010 | |||||||||||||||
Statement of Income: | ||||||||||||||||||||
Net Interest Income | $ | 60 | $ | 61 | $ | 59 | $ | 60 | $ | 62 | ||||||||||
Provision for (Reversal of) Credit Losses | (4 | ) | — | 6 | 2 | — | ||||||||||||||
Net OTTI credit losses | (2 | ) | (1 | ) | — | — | (3 | ) | ||||||||||||
Other Income (Loss), excluding net OTTI credit losses | (3 | ) | (4 | ) | (2 | ) | (5 | ) | 2 | |||||||||||
Other Expenses | 15 | 16 | 14 | 15 | 15 | |||||||||||||||
Total Assessments | 5 | 5 | 4 | 4 | 5 | |||||||||||||||
Net Income | $ | 39 | $ | 35 | $ | 33 | $ | 34 | $ | 41 | ||||||||||
Selected Financial Ratios: | ||||||||||||||||||||
Return on average equity (2) | 7.07 | % | 6.48 | % | 6.25 | % | 6.53 | % | 8.42 | % | ||||||||||
Return on average assets | 0.40 | % | 0.34 | % | 0.32 | % | 0.33 | % | 0.41 | % | ||||||||||
Dividend payout ratio (3) | 36.31 | % | 39.91 | % | 35.59 | % | 35.05 | % | 28.37 | % | ||||||||||
Net interest margin (4) | 0.61 | % | 0.60 | % | 0.57 | % | 0.59 | % | 0.62 | % | ||||||||||
Total capital ratio (5) | 5.89 | % | 5.37 | % | 5.20 | % | 5.17 | % | 5.09 | % | ||||||||||
Total regulatory capital ratio (6) | 6.19 | % | 6.49 | % | 6.40 | % | 6.49 | % | 6.46 | % | ||||||||||
Average equity to average assets | 5.64 | % | 5.27 | % | 5.07 | % | 5.02 | % | 4.83 | % | ||||||||||
Weighted average dividend rate (7) | 3.50 | % | 3.50 | % | 3.00 | % | 3.00 | % | 3.00 | % |
(1) | Investments consist of Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, Federal Funds Sold, AFS securities, and HTM securities. |
(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 March 31, | |||||||||||||||
$ | % | ||||||||||||||
Comparative Highlights | 2013 | 2012 | Change | Change | |||||||||||
Net Interest Income | $ | 60 | $ | 62 | $ | (2 | ) | (5 | %) | ||||||
Provision for (Reversal of) Credit Losses | (4 | ) | — | (4 | ) | (1,140 | %) | ||||||||
Net Interest Income After Provision for Credit Losses | 64 | 62 | 2 | 3 | % | ||||||||||
Other Income (Loss) | (5 | ) | (1 | ) | (4 | ) | (269 | %) | |||||||
Other Expenses | 15 | 15 | — | 4 | % | ||||||||||
Income Before Assessments | 44 | 46 | (2 | ) | (5 | %) | |||||||||
Total Assessments | 5 | 5 | — | (8 | %) | ||||||||||
Net Income | 39 | 41 | (2 | ) | (5 | %) | |||||||||
Total Other Comprehensive Income | 53 | 31 | 22 | 71 | % | ||||||||||
Total Comprehensive Income | $ | 92 | $ | 72 | $ | 20 | 28 | % |
Condensed Statements of Condition | March 31, 2013 | December 31, 2012 | $ Change | % Change | |||||||||||
Advances | $ | 18,950 | $ | 18,130 | $ | 820 | 5 | % | |||||||
Mortgage Loans Held for Portfolio, net | 6,093 | 6,001 | 92 | 2 | % | ||||||||||
Investments (1) | 14,463 | 16,845 | (2,382 | ) | (14 | %) | |||||||||
Other Assets (2) | 187 | 252 | (65 | ) | (26 | %) | |||||||||
Total Assets | $ | 39,693 | $ | 41,228 | $ | (1,535 | ) | (4 | %) | ||||||
Consolidated Obligations | $ | 35,354 | $ | 36,332 | $ | (978 | ) | (3 | %) | ||||||
MRCS | 160 | 451 | (291 | ) | (64 | %) | |||||||||
Other Liabilities | 1,841 | 2,229 | (388 | ) | (17 | %) | |||||||||
Total Liabilities | 37,355 | 39,012 | (1,657 | ) | (4 | %) | |||||||||
Capital Stock, Class B Putable | 1,678 | 1,634 | 44 | 3 | % | ||||||||||
Retained Earnings | 617 | 592 | 25 | 4 | % | ||||||||||
AOCI | 43 | (10 | ) | 53 | 523 | % | |||||||||
Total Capital | 2,338 | 2,216 | 122 | 5 | % | ||||||||||
Total Liabilities and Capital | $ | 39,693 | $ | 41,228 | $ | (1,535 | ) | (4 | %) | ||||||
Total Regulatory Capital (3) | $ | 2,455 | $ | 2,677 | $ | (222 | ) | (8 | %) |
(1) | Includes HTM Securities, AFS Securities, Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold. |
(2) | Other Assets includes Cash and Due From Banks of $37.4 million and $105.5 million at March 31, 2013 and December 31, 2012, respectively. |
(3) | Total Regulatory Capital is Total Capital plus MRCS less AOCI. |
• | a decrease in the Provision for Credit Losses on Mortgage Loans Held for Portfolio; |
• | lower average balances of CO Bonds; |
• | higher average balances of Mortgage Loans Held for Portfolio; |
• | reclassification of interest expense on derivatives that failed hedge effectiveness testing to Other Income (Loss); and |
• | increase in non-interest bearing deposits. |
• | lower average balances of Advances and investment securities; |
• | narrower spreads on our interest-earning assets; and |
• | amortization of the hedged item's basis adjustment resulting from ineffective hedge relationships. |
Three Months Ended March 31, | |||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (5) | Average Balance | Interest Income/ Expense | Average Yield (5) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | $ | 3,606 | $ | 1 | 0.13 | % | $ | 3,614 | $ | 1 | 0.11 | % | |||||||||
Investment securities (1) | 11,316 | 45 | 1.61 | % | 11,827 | 54 | 1.85 | % | |||||||||||||
Advances (2) | 18,286 | 34 | 0.75 | % | 18,648 | 46 | 0.99 | % | |||||||||||||
Mortgage Loans Held for Portfolio (2) | 6,058 | 63 | 4.23 | % | 5,888 | 69 | 4.73 | % | |||||||||||||
Other Assets (interest-earning) (3) | 645 | 1 | 0.61 | % | 756 | 1 | 0.60 | % | |||||||||||||
Total interest-earning assets | 39,911 | 144 | 1.46 | % | 40,733 | 171 | 1.70 | % | |||||||||||||
Other Assets (4) | 179 | 299 | |||||||||||||||||||
Total Assets | $ | 40,090 | $ | 41,032 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-Bearing Deposits | $ | 808 | — | 0.01 | % | $ | 1,192 | — | 0.01 | % | |||||||||||
Discount Notes | 7,752 | 2 | 0.12 | % | 6,383 | 1 | 0.05 | % | |||||||||||||
CO Bonds (2) | 26,976 | 80 | 1.20 | % | 29,821 | 104 | 1.40 | % | |||||||||||||
MRCS | 281 | 2 | 3.47 | % | 454 | 4 | 3.47 | % | |||||||||||||
Total interest-bearing liabilities | 35,817 | 84 | 0.95 | % | 37,850 | 109 | 1.16 | % | |||||||||||||
Other Liabilities | 2,011 | 1,202 | |||||||||||||||||||
Total Capital | 2,262 | 1,980 | |||||||||||||||||||
Total Liabilities and Capital | $ | 40,090 | $ | 41,032 | |||||||||||||||||
Net Interest Income | $ | 60 | $ | 62 | |||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities | 0.51 | % | 0.54 | % | |||||||||||||||||
Net interest margin (6) | 0.61 | % | 0.62 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.11 | 1.08 |
(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, amortization of hedge accounting adjustments, 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. The amounts include 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. |
(4) | Other Assets 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. |
(5) | Annualized. |
(6) | Net interest margin is annualized Net Interest Income expressed as a percentage of the average balance of interest-earning assets. |
Three Months Ended | ||||||||
March 31, | ||||||||
Components | 2013 | 2012 | ||||||
Total OTTI losses | $ | — | $ | — | ||||
Portion of Impairment Losses Reclassified to (from) Other Comprehensive Income (Loss) | (2 | ) | (3 | ) | ||||
Net OTTI credit losses | (2 | ) | (3 | ) | ||||
Net Gains (Losses) on Derivatives and Hedging Activities | (4 | ) | 1 | |||||
Other, net | 1 | 1 | ||||||
Total Other Income (Loss) | $ | (5 | ) | $ | (1 | ) |
Three Months Ended March 31, 2013 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (4 | ) | $ | 3 | $ | — | $ | 1 | $ | — | $ | — | |||||||||||
Net interest settlements included in net interest income (2) | (53 | ) | (24 | ) | — | 22 | — | (55 | ) | |||||||||||||||
Total Net Interest Income | (57 | ) | (21 | ) | — | 23 | — | (55 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | 1 | (2 | ) | — | (4 | ) | — | (5 | ) | |||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | 1 | — | — | — | — | 1 | ||||||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | 2 | (2 | ) | — | (4 | ) | — | (4 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (55 | ) | $ | (23 | ) | $ | — | $ | 19 | $ | — | $ | (59 | ) | |||||||||
Three Months Ended March 31, 2012 | ||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 3 | $ | — | $ | 1 | $ | — | $ | 4 | ||||||||||||
Net interest settlements included in net interest income (2) | (61 | ) | (20 | ) | — | 14 | — | (67 | ) | |||||||||||||||
Total Net Interest Income | (61 | ) | (17 | ) | — | 15 | — | (63 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | 3 | — | — | (1 | ) | — | 2 | |||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | — | (1 | ) | — | — | (1 | ) | ||||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | 3 | — | (1 | ) | (1 | ) | — | 1 | ||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (58 | ) | $ | (17 | ) | $ | (1 | ) | $ | 14 | $ | — | $ | (62 | ) |
(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 | ||||||||
March 31, | ||||||||
Components | 2013 | 2012 | ||||||
Compensation and Benefits | $ | 9 | $ | 9 | ||||
Other Operating Expenses | 4 | 4 | ||||||
Finance Agency and Office of Finance Expenses | 2 | 2 | ||||||
Other | — | — | ||||||
Total Other Expenses | $ | 15 | $ | 15 |
Three Months Ended | ||||||||
March 31, | ||||||||
Traditional Business Segment | 2013 | 2012 | ||||||
Net Interest Income | $ | 38 | $ | 40 | ||||
Provision for (Reversal of) Credit Losses | — | — | ||||||
Other Income (Loss) | (5 | ) | — | |||||
Other Expenses | 14 | 14 | ||||||
Income Before Assessments | 19 | 26 | ||||||
Total Assessments | 2 | 3 | ||||||
Net Income | $ | 17 | $ | 23 |
• | a decrease in Net Interest Income primarily resulting from narrower spreads; and |
• | an unfavorable change in Other Income (Loss) primarily due to net losses on derivatives and hedging activities. |
Three Months Ended | ||||||||
March 31, | ||||||||
Mortgage Loans Business Segment | 2013 | 2012 | ||||||
Net Interest Income | $ | 22 | $ | 22 | ||||
Provision for (Reversal of) Credit Losses | (4 | ) | — | |||||
Other Income (Loss) | — | (1 | ) | |||||
Other Expenses | 1 | 1 | ||||||
Income Before Assessments | 25 | 20 | ||||||
Total Assessments | 3 | 2 | ||||||
Net Income | $ | 22 | $ | 18 |
March 31, 2013 | December 31, 2012 | |||||||||||||
Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | ||||||||||
Advances | $ | 18,950 | 48 | % | $ | 18,130 | 44 | % | ||||||
Mortgage Loans Held for Portfolio, net | 6,093 | 15 | % | 6,001 | 15 | % | ||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | 3,221 | 8 | % | 5,360 | 13 | % | ||||||||
Investment Securities (1) | 11,242 | 28 | % | 11,485 | 27 | % | ||||||||
Other Assets (2) | 187 | 1 | % | 252 | 1 | % | ||||||||
Total Assets | $ | 39,693 | 100 | % | $ | 41,228 | 100 | % |
(2) | For purposes of this table, Other Assets includes Cash and Due From Banks, Interest-Bearing Deposits, Accrued Interest Receivable, Premises, Software and Equipment, net, Derivative Assets and Other Assets. |
March 31, 2013 | December 31, 2012 | |||||||||||||
Mortgage Loans Held for Portfolio | UPB | % of Total | UPB | % of Total | ||||||||||
MPP Original | $ | 3,795 | 63 | % | $ | 4,111 | 69 | % | ||||||
MPP Advantage | 1,852 | 31 | % | 1,585 | 27 | % | ||||||||
Total MPP | 5,647 | 94 | % | 5,696 | 96 | % | ||||||||
MPF Program | 357 | 6 | % | 230 | 4 | % | ||||||||
Total UPB | $ | 6,004 | 100 | % | $ | 5,926 | 100 | % |
Components of Cash and Investments | March 31, 2013 | December 31, 2012 | Change | |||||||||
Cash and short-term investments: | ||||||||||||
Cash and Due from Banks | $ | 37 | $ | 105 | $ | (68 | ) | |||||
Interest-Bearing Deposits | — | — | — | |||||||||
Securities Purchased Under Agreements to Resell | 2,100 | 3,250 | (1,150 | ) | ||||||||
Federal Funds Sold | 1,121 | 2,110 | (989 | ) | ||||||||
Total cash and short-term investments | 3,258 | 5,465 | (2,207 | ) | ||||||||
Investment securities: | ||||||||||||
AFS securities | 3,979 | 3,980 | (1 | ) | ||||||||
HTM securities | 7,263 | 7,505 | (242 | ) | ||||||||
Total investment securities | 11,242 | 11,485 | (243 | ) | ||||||||
Total Cash and Investments, carrying value | $ | 14,500 | $ | 16,950 | $ | (2,450 | ) |
Components of Excess Stock | March 31, 2013 | December 31, 2012 | ||||||
Member capital stock not subject to outstanding redemption requests | $ | 428 | $ | 423 | ||||
Member capital stock subject to outstanding redemption requests | 100 | 101 | ||||||
MRCS | 134 | 423 | ||||||
Total excess capital stock | $ | 662 | $ | 947 |
• | OTTI analysis (see Notes to Financial Statements - Note 5 - Other-Than-Temporary Impairment Analysis for more information); |
• | Allowance for credit losses (see Notes to Financial Statements - Note 8 - Allowance for Credit Losses for more information); |
• | Derivatives and hedging activities (see Notes to Financial Statements - Note 9 - Derivatives and Hedging Activities for more information); |
• | Fair value estimates (see Notes to Financial Statements - Note 16 - Estimated Fair Values for more information); and |
• | Premiums and discounts and other costs associated with originating or acquiring mortgage loans (see Notes to Financial Statements - Note 7 - Mortgage Loans Held for Portfolio for more information). |
Three Months Ended March 31, 2013 | ||||||||||||||||||||||
As Reported | Using Adverse Housing Price Scenario | |||||||||||||||||||||
Number of | Impairment | Number of | Impairment | |||||||||||||||||||
Securities | Related to | Securities | Related to | |||||||||||||||||||
Classification | Impaired | UPB | Credit Loss (1) | Impaired | UPB | Credit Loss | ||||||||||||||||
Prime | — | $ | — | $ | — | 2 | $ | 26 | $ | — | ||||||||||||
Alt-A | — | — | — | 1 | 32 | (1 | ) | |||||||||||||||
Subprime | — | — | — | — | — | — | ||||||||||||||||
Total | — | $ | — | $ | — | 3 | $ | 58 | $ | (1 | ) |
(1) | There were no credit losses in the best estimate scenario. The credit loss of $1.9 million recorded in the Statement of Income for the three months ended March 31, 2013 represents the entire difference between our amortized cost basis and fair value on one security for which we changed our previous intention to hold until recovery. |
• | A first stage that will identify those nonbank financial companies that have $50 billion or more of total consolidated assets (as of March 31, 2013, the Bank had $39.7 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 March 31, 2013, the Bank had $35.4 billion in total outstanding Consolidated Obligations, the Bank's 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. |
• | as determined in accordance with applicable accounting standards, (i) the consolidated annual gross financial revenues of the company in either of its two most recently completed fiscal years represent 85% or more of the company's |
• | based on all the facts and circumstances, it is determined by the Oversight Council, with respect to the definition of a "nonbank financial company," or the Federal Reserve, with respect to the definition of a "significant nonbank financial company," that (i) the consolidated annual gross financial revenues of the company represent 85 % or more of the company's consolidated annual gross revenues, or (ii) the consolidated total financial assets of the company represent 85% or more of the company's consolidated total assets. |
March 31, 2013 | AA | A | Total | |||||||||
Canada | $ | — | $ | 291 | $ | 291 | ||||||
Sweden | 600 | — | 600 | |||||||||
Norway | — | 230 | 230 | |||||||||
Total unsecured credit exposure | $ | 600 | $ | 521 | $ | 1,121 |
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
March 31, 2013 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||
Interest-Bearing Deposits | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities Purchased Under Agreements to Resell | — | 2,100 | — | — | — | 2,100 | ||||||||||||||||||
Federal Funds Sold | — | 600 | 521 | — | — | 1,121 | ||||||||||||||||||
Total short-term investments | — | 2,700 | 521 | — | — | 3,221 | ||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA debentures | — | 3,323 | — | — | — | 3,323 | ||||||||||||||||||
Private-label RMBS | — | — | — | — | 656 | 656 | ||||||||||||||||||
Total AFS securities | — | 3,323 | — | — | 656 | 3,979 | ||||||||||||||||||
HTM securities: | ||||||||||||||||||||||||
GSE debentures | — | 269 | — | — | — | 269 | ||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 3,080 | — | — | — | 3,080 | ||||||||||||||||||
GSE RMBS | — | 3,690 | — | — | — | 3,690 | ||||||||||||||||||
Private-label RMBS | — | 45 | 39 | 45 | 79 | 208 | ||||||||||||||||||
Private-label ABS | — | — | 14 | — | 2 | 16 | ||||||||||||||||||
Total HTM securities | — | 7,084 | 53 | 45 | 81 | 7,263 | ||||||||||||||||||
Total investments, carrying value | $ | — | $ | 13,107 | $ | 574 | $ | 45 | $ | 737 | $ | 14,463 | ||||||||||||
Percentage of total | — | % | 91 | % | 4 | % | — | % | 5 | % | 100 | % | ||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||
Interest-Bearing Deposits | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities Purchased Under Agreements to Resell | — | 3,250 | — | — | — | 3,250 | ||||||||||||||||||
Federal Funds Sold | — | 1,400 | 710 | — | — | 2,110 | ||||||||||||||||||
Total short-term investments | — | 4,650 | 710 | — | — | 5,360 | ||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA debentures | — | 3,340 | — | — | — | 3,340 | ||||||||||||||||||
Private-label RMBS | — | — | — | — | 640 | 640 | ||||||||||||||||||
Total AFS securities | — | 3,340 | — | — | 640 | 3,980 | ||||||||||||||||||
HTM securities: | ||||||||||||||||||||||||
GSE debentures | — | 269 | — | — | — | 269 | ||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 3,124 | — | — | — | 3,124 | ||||||||||||||||||
GSE RMBS | — | 3,859 | — | — | — | 3,859 | ||||||||||||||||||
Private-label RMBS | 1 | 54 | 45 | 52 | 84 | 236 | ||||||||||||||||||
Private-label ABS | — | — | 15 | — | 2 | 17 | ||||||||||||||||||
Total HTM securities | 1 | 7,306 | 60 | 52 | 86 | 7,505 | ||||||||||||||||||
Total investments, carrying value | $ | 1 | $ | 15,296 | $ | 770 | $ | 52 | $ | 726 | $ | 16,845 | ||||||||||||
Percentage of total | — | % | 91 | % | 5 | % | — | % | 4 | % | 100 | % |
Year of Securitization | ||||||||||||||||||||
2004 | ||||||||||||||||||||
and | ||||||||||||||||||||
Total Private-label RMBS and ABS | prior | 2005 | 2006 | 2007 | Total | |||||||||||||||
AAA | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
AA | 45 | — | — | — | 45 | |||||||||||||||
A | 52 | 1 | — | — | 53 | |||||||||||||||
BBB | 27 | 18 | — | — | 45 | |||||||||||||||
Below investment grade: | ||||||||||||||||||||
BB | 19 | — | — | — | 19 | |||||||||||||||
B | 49 | 10 | — | — | 59 | |||||||||||||||
CCC | 2 | 195 | — | — | 197 | |||||||||||||||
CC | — | 196 | — | 47 | 243 | |||||||||||||||
C | — | — | 64 | — | 64 | |||||||||||||||
D | — | 67 | 26 | 147 | 240 | |||||||||||||||
Total below investment grade | 70 | 468 | 90 | 194 | 822 | |||||||||||||||
Total UPB | $ | 194 | $ | 487 | $ | 90 | $ | 194 | $ | 965 | ||||||||||
Amortized cost | $ | 194 | $ | 435 | $ | 82 | $ | 143 | $ | 854 | ||||||||||
Gross unrealized losses (1) | (4 | ) | (2 | ) | — | — | (6 | ) | ||||||||||||
Estimated fair value | 191 | 438 | 82 | 166 | 877 | |||||||||||||||
Credit losses (year-to-date) (2): | ||||||||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Portion reclassified to (from) OCI | — | (2 | ) | — | — | (2 | ) | |||||||||||||
OTTI credit losses | $ | — | $ | (2 | ) | $ | — | $ | — | $ | (2 | ) | ||||||||
Weighted average percentage of estimated fair value to UPB | 98 | % | 90 | % | 92 | % | 86 | % | 91 | % |
(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 March 31, 2013 only. |
March 31, 2013 | December 31, 2012 | |||||||||||||||||||||||
Fixed | Variable | Fixed | Variable | |||||||||||||||||||||
By Collateral Type (1) | Rate | Rate (2)(3) | Total | Rate | Rate (2)(3) | Total | ||||||||||||||||||
Prime loans | $ | 191 | $ | 703 | $ | 894 | $ | 220 | $ | 719 | $ | 939 | ||||||||||||
Alt-A loans | 55 | — | 55 | 58 | — | 58 | ||||||||||||||||||
Subprime loans | 14 | 2 | 16 | 15 | 2 | 17 | ||||||||||||||||||
Total private-label RMBS and ABS, at UPB | $ | 260 | $ | 705 | $ | 965 | $ | 293 | $ | 721 | $ | 1,014 |
(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. Because there is no universally accepted definition of prime, Alt-A or subprime underwriting standards, such classifications are subjective. |
(2) | Variable-rate private-label RMBS 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 prime loans are hybrid adjustable-rate mortgage securities. |
Months | Recovery Range % (Annualized Rates) | |||
1 - 6 | 0.0% | – | 3.0% | |
7 - 12 | 1.0% | – | 4.0% | |
13 - 18 | 2.0% | – | 4.0% | |
19 - 30 | 2.0% | – | 5.0% | |
31 - 42 | 2.0% | – | 6.0% | |
43 - 54 | 2.0% | – | 6.0% | |
Thereafter | 2.3% | – | 5.6% |
Significant Modeling Assumptions for all Private-label RMBS | Current Credit Enhancement | |||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | ||||||||||||||
Weighted | Weighted | Weighted | Weighted | |||||||||||||
Year of Securitization | UPB | Average % | Average % | Average % | Average % | |||||||||||
Prime: | ||||||||||||||||
2007 | $ | 194 | 8 | % | 31 | % | 43 | % | 2 | % | ||||||
2006 | 83 | 10 | % | 23 | % | 40 | % | — | % | |||||||
2005 | 453 | 10 | % | 16 | % | 36 | % | 4 | % | |||||||
2004 and prior | 158 | 19 | % | 7 | % | 32 | % | 14 | % | |||||||
Total Prime | 888 | 11 | % | 18 | % | 37 | % | 5 | % | |||||||
Alt-A: | ||||||||||||||||
2006 | 7 | 11 | % | 26 | % | 50 | % | — | % | |||||||
2005 | 34 | 9 | % | 28 | % | 43 | % | 0 | % | |||||||
2004 and prior | 20 | 16 | % | 7 | % | 32 | % | 12 | % | |||||||
Total Alt-A | 61 | 12 | % | 21 | % | 40 | % | 4 | % | |||||||
Total private-label RMBS | $ | 949 | 11 | % | 18 | % | 37 | % | 5 | % |
Significant Modeling Assumptions for all ABS - Home Equity Loans | Current Credit Enhancement | |||||||||||||||
Prepayment Rates | Default Rates | Loss Severities | ||||||||||||||
Weighted | Weighted | Weighted | Weighted | |||||||||||||
Year of Securitization | UPB | Average % | Average % | Average % | Average % | |||||||||||
Subprime 2004 and prior (1) | $ | 2 | 9 | % | 21 | % | 45 | % | 100 | % | ||||||
Total ABS - home equity loans | $ | 2 | 9 | % | 21 | % | 45 | % | 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 | ||||||||||
Mortgage Insurance Company | Rating (1) | Outlook (1) | UPB | Outstanding | ||||||||
MGIC | B | Stable | $ | 5 | $ | 1 | ||||||
Republic Mortgage Insurance Company (3) | NR | N/A | 5 | 1 | ||||||||
Radian Guaranty, Inc. | B- | Stable | 4 | 1 | ||||||||
Genworth | B | Stable | 4 | 1 | ||||||||
United Guaranty Residential Insurance Corporation | BBB | Stable | 2 | 1 | ||||||||
All Others (4) | CCC-, NR | Negative, N/A | 1 | 1 | ||||||||
Total | $ | 21 | $ | 6 |
(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 April 30, 2013. NR indicates the insurer is not rated. |
(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 was authorized to pay only 50% of its claim amounts, with the remaining amount to be paid at a future date when funds become available. On December 3, 2012, Republic Mortgage Insurance Company announced regulatory approval of a plan to pay 60% of its claims amounts for claims settled subsequent to January 19, 2012. |
(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. pays only 50% of its claim amounts with the remaining amount deferred until the company is liquidated. |
Three Months Ended March 31, 2013 | Three Months Ended March 31, 2012 | |||||||||||||||||||||||
LRA Activity | Original | Advantage | Total | Original | Advantage | Total | ||||||||||||||||||
Balance of LRA, beginning of period | $ | 13 | $ | 21 | $ | 34 | $ | 17 | $ | 6 | $ | 23 | ||||||||||||
Additions | — | 4 | 4 | 1 | 2 | 3 | ||||||||||||||||||
Claims paid | (1 | ) | — | (1 | ) | (2 | ) | — | (2 | ) | ||||||||||||||
Distributions | — | — | — | — | — | — | ||||||||||||||||||
Balance of LRA, end of period | $ | 12 | $ | 25 | $ | 37 | $ | 16 | $ | 8 | $ | 24 |
Mortgage Insurance Company | Credit Rating | Credit Rating Outlook | March 31, 2013 | December 31, 2012 | ||||||||
MGIC | B | Stable | $ | 44 | $ | 45 | ||||||
Genworth | B | Stable | 17 | 19 | ||||||||
Total | $ | 61 | $ | 64 |
Credit Exposure | Other | |||||||||||||||
Total | Net of Cash | Collateral | Net Credit | |||||||||||||
March 31, 2013 | Notional | Collateral | Held | Exposure | ||||||||||||
AA | $ | 4,255 | $ | — | $ | — | $ | — | ||||||||
A | 27,038 | 1 | — | 1 | ||||||||||||
BBB | 1,955 | — | — | — | ||||||||||||
Unrated (1) | 17 | — | — | — | ||||||||||||
Subtotal | 33,265 | 1 | — | 1 | ||||||||||||
Member institutions (2) | 145 | — | — | — | ||||||||||||
Total | $ | 33,410 | $ | 1 | $ | — | $ | 1 | ||||||||
December 31, 2012 | ||||||||||||||||
AA | $ | 3,708 | $ | — | $ | — | $ | — | ||||||||
A | 27,766 | 1 | — | 1 | ||||||||||||
BBB | 2,396 | — | — | — | ||||||||||||
Unrated | — | — | — | — | ||||||||||||
Subtotal | 33,870 | 1 | — | 1 | ||||||||||||
Member institutions (2) | 157 | — | — | — | ||||||||||||
Total | $ | 34,027 | $ | 1 | $ | — | $ | 1 |
(1) | Represents derivative transactions cleared with a clearinghouse. |
(2) | Includes MDCs from member institutions (MPP) and FHLBank of Topeka PFIs (MPF). |
Date | -200 bps* | 0 bps | +200 bps | |||
March 31, 2013 | (4.5) years | 3.2 years | 0.9 years | |||
December 31, 2012 | (4.2) years | 0.3 years | 0.4 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 3.2 years at March 31, 2013 and 0.3 years at December 31, 2012. |
Date | VaR | |||
March 31, 2013 | $ | 146 | ||
December 31, 2012 | 106 |
Date | -200 bps | +200 bps | ||||
March 31, 2013 | (0.5 | )% | (1.5 | )% | ||
December 31, 2012 | (3.1 | )% | 1.3 | % |
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*+ | 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 | |
10.2*+ | Directors' Compensation and Travel Expense Reimbursement Policy effective January 1, 2013, incorporated by reference to Exhibit 10.1 of our Current Report on Form 8-K filed December 18, 2012 | |
10.3*+ | 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 | |
10.4*+ | 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 | |
10.5*+ | 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 | |
10.6*+ | 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 | |
10.7*+ | 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 | |
10.8*+ | 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 10.1 of our Annual Report on Form 10-K filed on March 15, 2013 | |
31.1 | Certification of the Acting Co-President - Chief Executive Officer, Executive Vice President - Chief Operating Officer - Business Operations pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.2 | Certification of the Acting Co-President - Chief Executive Officer, 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 | |
Exhibit Number | Description | |
32 | Certification of the Acting Co-President - Chief Executive Officers, 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 | ||
May 10, 2013 | By: | /s/ JONATHAN R. WEST |
Name: | Jonathan R. West | |
Title: | Acting Co-President - Chief Executive Officer | |
Executive Vice President - Chief Operating Officer -Business Operations | ||
May 10, 2013 | By: | /s/ CINDY L. KONICH |
Name: | Cindy L. Konich | |
Title: | Acting Co-President - Chief Executive Officer | |
Executive Vice President - Chief Operating Officer - Chief Financial Officer | ||
May 10, 2013 | 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. |
Capital (Tables)
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Mar. 31, 2013
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Capital [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | As presented in the following table, we were in compliance with the Finance Agency's capital requirements at March 31, 2013 and December 31, 2012. For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital.
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Distributions on Mandatorily Redeemable Capital Stock [Table Text Block] | The following table presents the activity in MRCS:
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Schedule of Mandatorily Redeemable Capital Stock by Contractual Year of Redemption [Table Text Block] | The following table presents the amount of MRCS by contractual year of redemption. The year of redemption in the table is the later of the end of the five-year redemption period, or the maturity date of the activity to which the stock is related, if the stock represents the activity-based stock purchase requirement of a non-member (a former member that withdrew from membership, merged into a non-member or was otherwise acquired by a non-member).
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Schedule of Distributions on Mandatorily Redeemable Capital Stock [Table Text Block] | The following table presents distributions on MRCS:
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Affordable Housing Program (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Mar. 31, 2013
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Mar. 31, 2012
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Dec. 31, 2012
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Affordable Housing Program [Abstract] | |||||||
Outstanding principal in AHP-related Advances | $ 125 | $ 125 | |||||
Affordable Housing Program Funding Obligation [Roll Forward] | |||||||
Balance at beginning of period | 34,362 | 32,845 | |||||
Assessment (expense) | 4,650 | 5,040 | |||||
Subsidy usage, net | (1,845) | [1] | (2,287) | [1] | |||
Balance at end of period | $ 37,167 | $ 35,598 | |||||
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Available-for-Sale Securities (Major Security Types) (Details) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
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Dec. 31, 2012
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---|---|---|---|---|---|---|
Available-for-sale Securities [Line Items] | ||||||
Amortized Cost | $ 3,924,255 | [1] | $ 3,977,929 | [1] | ||
Non-Credit OTTI | (2,364) | (20,126) | ||||
Gross Unrealized Gains | 57,431 | 23,449 | ||||
Gross Unrealized Losses | (219) | (672) | ||||
Estimated Fair Value | 3,979,103 | 3,980,580 | ||||
GSE and TVA debentures [Member]
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Available-for-sale Securities [Line Items] | ||||||
Amortized Cost | 3,293,305 | [1] | 3,328,103 | [1] | ||
Non-Credit OTTI | 0 | 0 | ||||
Gross Unrealized Gains | 29,489 | 13,007 | ||||
Gross Unrealized Losses | (219) | (672) | ||||
Estimated Fair Value | 3,322,575 | 3,340,438 | ||||
Private-Label RMBS [Member]
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Available-for-sale Securities [Line Items] | ||||||
Amortized Cost | 630,950 | [1] | 649,826 | [1] | ||
Non-Credit OTTI | (2,364) | (20,126) | ||||
Gross Unrealized Gains | 27,942 | 10,442 | ||||
Gross Unrealized Losses | 0 | 0 | ||||
Estimated Fair Value | $ 656,528 | $ 640,142 | ||||
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Mortgage Loans Held for Portfolio (Tables)
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Mar. 31, 2013
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Mortgage Loans on Real Estate [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio [Table Text Block] | The following tables present information on Mortgage Loans Held for Portfolio:
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Mortgage Loans Held for Portfolio by Collateral/Guarantee Type [Table Text Block] |
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Subsequent Events (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 0 Months Ended | |
---|---|---|---|
Mar. 31, 2013
securities
|
Mar. 31, 2012
securities
|
Apr. 04, 2013
Private-Label RMBS [Member]
Subsequent Event [Member]
securities
|
|
Subsequent Event [Line Items] | |||
Number of AFS securities sold | 0 | 0 | 6 |
Net realized gain on sale of AFS securities | $ 17,135 |
Segment Information (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | ||
---|---|---|---|
Mar. 31, 2013
|
Mar. 31, 2012
|
Dec. 31, 2012
|
|
Segment Reporting Information [Line Items] | |||
Net Interest Income | $ 59,952 | $ 62,843 | |
Provision for (Reversal of) Credit Losses | (4,356) | 419 | |
Other Income (Loss) | (4,998) | (1,353) | |
Other Expenses | 15,215 | 14,580 | |
Income Before Assessments | 44,095 | 46,491 | |
Total Assessments | 4,650 | 5,040 | |
Net Income | 39,445 | 41,451 | |
Assets | 39,692,586 | 41,227,636 | |
Traditional [Member]
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Segment Reporting Information [Line Items] | |||
Net Interest Income | 38,464 | 40,773 | |
Provision for (Reversal of) Credit Losses | 0 | 0 | |
Other Income (Loss) | (4,923) | (323) | |
Other Expenses | 13,818 | 13,346 | |
Income Before Assessments | 19,723 | 27,104 | |
Total Assessments | 2,213 | 3,101 | |
Net Income | 17,510 | 24,003 | |
Assets | 33,599,261 | 35,226,231 | |
Mortgage Loans [Member]
|
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Segment Reporting Information [Line Items] | |||
Net Interest Income | 21,488 | 22,070 | |
Provision for (Reversal of) Credit Losses | (4,356) | 419 | |
Other Income (Loss) | (75) | (1,030) | |
Other Expenses | 1,397 | 1,234 | |
Income Before Assessments | 24,372 | 19,387 | |
Total Assessments | 2,437 | 1,939 | |
Net Income | 21,935 | 17,448 | |
Assets | $ 6,093,325 | $ 6,001,405 |
Mortgage Loans Held for Portfolio (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2013
|
Dec. 31, 2012
|
Mar. 31, 2013
Conventional [Member]
|
Dec. 31, 2012
Conventional [Member]
|
Mar. 31, 2012
Conventional [Member]
|
Dec. 31, 2011
Conventional [Member]
|
Mar. 31, 2013
Government [Member]
|
Dec. 31, 2012
Government [Member]
|
Mar. 31, 2013
Fixed-rate Medium-term Mortgages [Member]
|
Dec. 31, 2012
Fixed-rate Medium-term Mortgages [Member]
|
Mar. 31, 2013
Fixed-rate Medium-term Mortgages [Member]
Maximum [Member]
|
Mar. 31, 2013
Fixed-rate Long-term Mortgages [Member]
|
Dec. 31, 2012
Fixed-rate Long-term Mortgages [Member]
|
Mar. 31, 2013
Fixed-rate Long-term Mortgages [Member]
Minimum [Member]
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Mar. 31, 2013
MPP [Member]
|
Dec. 31, 2012
MPP [Member]
|
Mar. 31, 2013
MPP [Member]
Conventional [Member]
|
Dec. 31, 2012
MPP [Member]
Conventional [Member]
|
Mar. 31, 2012
MPP [Member]
Conventional [Member]
|
Dec. 31, 2011
MPP [Member]
Conventional [Member]
|
Mar. 31, 2013
MPP [Member]
Government [Member]
|
Dec. 31, 2012
MPP [Member]
Government [Member]
|
Mar. 31, 2013
MPP [Member]
Fixed-rate Medium-term Mortgages [Member]
|
Dec. 31, 2012
MPP [Member]
Fixed-rate Medium-term Mortgages [Member]
|
Mar. 31, 2013
MPP [Member]
Fixed-rate Long-term Mortgages [Member]
|
Dec. 31, 2012
MPP [Member]
Fixed-rate Long-term Mortgages [Member]
|
Mar. 31, 2013
MPF [Member]
|
Dec. 31, 2012
MPF [Member]
|
Mar. 31, 2013
MPF [Member]
Conventional [Member]
|
Dec. 31, 2012
MPF [Member]
Conventional [Member]
|
Mar. 31, 2012
MPF [Member]
Conventional [Member]
|
Dec. 31, 2011
MPF [Member]
Conventional [Member]
|
Mar. 31, 2013
MPF [Member]
Government [Member]
|
Dec. 31, 2012
MPF [Member]
Government [Member]
|
Mar. 31, 2013
MPF [Member]
Fixed-rate Medium-term Mortgages [Member]
|
Dec. 31, 2012
MPF [Member]
Fixed-rate Medium-term Mortgages [Member]
|
Mar. 31, 2013
MPF [Member]
Fixed-rate Long-term Mortgages [Member]
|
Dec. 31, 2012
MPF [Member]
Fixed-rate Long-term Mortgages [Member]
|
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Mortgage Loans on Real Estate [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio, UPB | $ 6,003,730 | $ 5,926,144 | $ 5,085,955 | $ 4,987,473 | $ 917,775 | $ 938,671 | $ 1,073,101 | [1] | $ 1,001,958 | [1] | $ 4,930,629 | [2] | $ 4,924,186 | [2] | $ 5,647,047 | $ 5,695,964 | $ 4,804,665 | $ 4,810,269 | $ 842,382 | $ 885,695 | $ 1,012,634 | [1] | $ 960,944 | [1] | $ 4,634,413 | [1] | $ 4,735,020 | [2] | $ 356,683 | $ 230,180 | $ 281,290 | $ 177,204 | $ 75,393 | $ 52,976 | $ 60,467 | [1] | $ 41,014 | [1] | $ 296,216 | [1] | $ 189,166 | [2] | ||||||||||||
Unamortized premiums | 98,359 | 87,782 | 90,013 | 81,459 | 8,346 | 6,323 | ||||||||||||||||||||||||||||||||||||||||||||||||
Unamortized discounts | (11,988) | (12,266) | (11,988) | (12,266) | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||
Hedging adjustments | 8,474 | 9,745 | 7,904 | 8,859 | 7,013 | 7,958 | 570 | 886 | 365 | 819 | 204 | 67 | ||||||||||||||||||||||||||||||||||||||||||
Allowance for loan losses | (5,250) | (10,000) | (5,250) | (10,000) | (3,500) | (3,300) | (5,000) | (9,850) | (5,000) | (9,850) | (3,500) | (3,300) | (250) | (150) | (250) | (150) | 0 | 0 | ||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio, net | $ 6,093,325 | $ 6,001,405 | $ 5,727,976 | $ 5,764,166 | $ 365,349 | $ 237,239 | ||||||||||||||||||||||||||||||||||||||||||||||||
Original term | 15 years | 15 years | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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Estimated Fair Values (Level 3 Reconciliation) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |
---|---|---|
Mar. 31, 2013
|
Mar. 31, 2012
|
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | $ 15,838 | $ 26,602 |
Reclassification of non-credit portion in OCI to Other Income (Loss) | 1,924 | 3,286 |
Recurring [Member] | Level 3 [Member] | Private-Label RMBS [Member]
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance, beginning of period | 640,142 | 601,309 |
Accretion of credit losses in Net Interest Income | (3) | 375 |
Net gains (losses) on changes in fair value in Other Income (Loss) | 0 | (3,286) |
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | 10,503 | 26,602 |
Unrealized gains (losses) in OCI | 9,715 | 4,124 |
Reclassification of non-credit portion in OCI to Other Income (Loss) | 0 | 3,286 |
Settlements | (10,255) | (17,880) |
Transfers out | (124,179) | |
Balance, end of period | 525,923 | 614,530 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ (3) | $ (2,911) |
Commitments and Contingencies (Details) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
|
Dec. 31, 2012
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---|---|---|---|---|---|---|---|
Loss Contingencies [Line Items] | |||||||
Cash collateral pledged | $ 602,524 | $ 677,550 | |||||
Maximum [Member]
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Loss Contingencies [Line Items] | |||||||
Commitments to fund additional Advances are generally for periods up | 6 months | ||||||
Standby Letters of Credit Outstanding [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 130,119 | ||||||
Off-balance-sheet commitments expire after one year | 180,280 | ||||||
Off-balance-sheet commitments,Total | 310,399 | ||||||
Unused Lines of Credit [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 767,254 | ||||||
Off-balance-sheet commitments expire after one year | 0 | ||||||
Off-balance-sheet commitments,Total | 767,254 | ||||||
Commitments to Fund Additional Advances [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 40,950 | [1] | |||||
Off-balance-sheet commitments expire after one year | 0 | [1] | |||||
Off-balance-sheet commitments,Total | 40,950 | [1] | |||||
Commitment to Fund or Purchase Mortgage Loans and Participating Interest [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 145,004 | ||||||
Off-balance-sheet commitments expire after one year | 0 | ||||||
Off-balance-sheet commitments,Total | 145,004 | ||||||
Unsettled CO Bonds, at par [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 90,000 | [2] | |||||
Off-balance-sheet commitments expire after one year | 0 | [2] | |||||
Off-balance-sheet commitments,Total | $ 90,000 | [2] | |||||
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Capital (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | ||
---|---|---|---|
Mar. 31, 2013
member
Institutions
|
Mar. 31, 2012
|
Dec. 31, 2012
Institutions
member
|
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Regulatory Capital Requirements [Abstract] | |||
Risk-based capital, Required | $ 687,386 | $ 636,022 | |
Risk-based capital, Actual | 2,455,226 | 2,676,616 | |
Regulatory permanent capital-to-asset ratio, Required | 4.00% | 4.00% | |
Regulatory permanent capital-to-asset ratio, Actual | 6.19% | 6.49% | |
Regulatory permanent capital, Required | 1,587,703 | 1,649,105 | |
Regulatory permanent capital, Actual | 2,455,226 | 2,676,616 | |
Leverage ratio, Required | 5.00% | 5.00% | |
Leverage ratio, Actual | 9.28% | 9.74% | |
Leverage capital, Required | 1,984,629 | 2,061,382 | |
Leverage capital, Actual | 3,682,839 | 4,014,924 | |
Mandatorily Redeemable Capital Stock Acitvity [Roll Forward] | |||
Balance at beginning of period | 450,716 | 453,885 | |
Additions due to change in membership status | 0 | 3,513 | |
Redemptions/repurchases | (290,217) | 0 | |
Accrued dividends | 0 | 27 | |
Balance at end of period | 160,499 | 457,425 | |
Number of former members holding MRCS | 16 | 27 | |
Number of institutions acquired by FDIC holding MRCS | 0 | 8 | |
Amount of excess par value to be repurchased | 250,000 | ||
Additional excess stock redeemed | 40,217 | ||
Stock repurchase redemption period | 5 years | ||
Mandatorily Redeemable Capital Stock, by Contractual Year of Redemption [Abstract] | |||
Year 1 | 15,034 | 268,512 | |
Year 2 | 132,717 | 144,644 | |
Year 3 | 502 | 20,511 | |
Year 4 | 12,246 | 13,536 | |
Year 5 | 0 | 3,513 | |
Total MRCS | 160,499 | 457,425 | |
Recorded as Interest Expense | 2,408 | 3,911 | |
Recorded as distributions from Retained Earnings | 0 | 27 | |
Total | 2,408 | 3,938 | |
Excess and Surplus Capital Stock [Abstract] | |||
Excess Capital to Assets Allowed | 1.00% | ||
Excess Capital | $ 662,056 | ||
Excess Capital to Assets | 1.70% |
Commitments and Contingencies
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3 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2013
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Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Note 17 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts:
Pledged Collateral. We generally execute derivatives with large banks and major broker-dealers and enter into bilateral pledge (collateral) agreements. We had pledged $602,524 and $677,550 of cash collateral, at par, at March 31, 2013 and December 31, 2012, respectively. At March 31, 2013 and December 31, 2012, we had not pledged any securities as collateral. Legal Proceedings. We are subject to legal proceedings arising in the normal course of business. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on our financial condition or results of operations. Additional discussion of other commitments and contingencies is provided in Note 6 - Advances; Note 7 - Mortgage Loans Held for Portfolio; Note 9 - Derivatives and Hedging Activities; Note 11 - Consolidated Obligations; Note 13 - Capital; and Note 16 - Estimated Fair Values. |
Held-to-Maturity Securities (Unrealized Loss Position) (Details) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
|
Dec. 31, 2012
|
||||
---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | $ 250,004 | $ 406,267 | ||||
Less than 12 Months, Unrealized Losses | (542) | (544) | ||||
12 Months or More, Estimated Fair Value | 582,214 | 630,105 | ||||
12 Months or More, Unrealized Losses | (6,301) | (6,377) | ||||
Total Estimated Fair Value | 832,218 | 1,036,372 | ||||
Total Unrealized Losses | (6,843) | [1] | (6,921) | [1] | ||
Other US Obligations - Guaranteed RMBS [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | 238,368 | 274,784 | ||||
Less than 12 Months, Unrealized Losses | (500) | (432) | ||||
12 Months or More, Estimated Fair Value | 454,516 | 460,152 | ||||
12 Months or More, Unrealized Losses | (2,171) | (913) | ||||
Total Estimated Fair Value | 692,884 | 734,936 | ||||
Total Unrealized Losses | (2,671) | [1] | (1,345) | [1] | ||
GSE RMBS [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | 0 | 124,225 | ||||
Less than 12 Months, Unrealized Losses | 0 | (76) | ||||
12 Months or More, Estimated Fair Value | 10,688 | 0 | ||||
12 Months or More, Unrealized Losses | (13) | 0 | ||||
Total Estimated Fair Value | 10,688 | 124,225 | ||||
Total Unrealized Losses | (13) | [1] | (76) | [1] | ||
Private-Label RMBS [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | 11,636 | 7,258 | ||||
Less than 12 Months, Unrealized Losses | (42) | (36) | ||||
12 Months or More, Estimated Fair Value | 102,839 | 155,651 | ||||
12 Months or More, Unrealized Losses | (1,599) | (2,541) | ||||
Total Estimated Fair Value | 114,475 | 162,909 | ||||
Total Unrealized Losses | (1,641) | [1] | (2,577) | [1] | ||
Manufactured Housing Loan ABS [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | 0 | 0 | ||||
Less than 12 Months, Unrealized Losses | 0 | 0 | ||||
12 Months or More, Estimated Fair Value | 12,308 | 12,503 | ||||
12 Months or More, Unrealized Losses | (2,030) | (2,276) | ||||
Total Estimated Fair Value | 12,308 | 12,503 | ||||
Total Unrealized Losses | (2,030) | [1] | (2,276) | [1] | ||
Home Equity Loan ABS [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | 0 | 0 | ||||
Less than 12 Months, Unrealized Losses | 0 | 0 | ||||
12 Months or More, Estimated Fair Value | 1,863 | 1,799 | ||||
12 Months or More, Unrealized Losses | (488) | (647) | ||||
Total Estimated Fair Value | 1,863 | 1,799 | ||||
Total Unrealized Losses | (488) | [1] | (647) | [1] | ||
MBS and ABS [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Less than 12 Months, Estimated Fair Value | 250,004 | 406,267 | ||||
Less than 12 Months, Unrealized Losses | (542) | (544) | ||||
12 Months or More, Estimated Fair Value | 582,214 | 630,105 | ||||
12 Months or More, Unrealized Losses | (6,301) | (6,377) | ||||
Total Estimated Fair Value | 832,218 | 1,036,372 | ||||
Total Unrealized Losses | $ (6,843) | [1] | $ (6,921) | [1] | ||
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Estimated Fair Values (Tables)
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3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2013
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following tables present the carrying value and estimated fair value of each of our financial assets and liabilities. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account future business opportunities and the net profitability of assets and liabilities among other considerations.
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Estimated Fair Value on a Recurring Basis [Table Text Block] | The following tables present by level within the fair value hierarchy the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring basis on our Statement of Condition. We did not have any financial assets or liabilities recorded at estimated fair value on a non-recurring basis on our Statement of Condition as of March 31, 2013 or December 31, 2012.
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Reconciliation of AFS Private-label RMBS Measured at Estimated Fair Value on a Recurring Basis using Level 3 Significant Inputs [Table Text Block] | The table below presents a rollforward of our AFS private-label RMBS measured at estimated fair value on a recurring basis using Level 3 significant inputs. The estimated fair values for the private-label RMBS were valued using a pricing source, such as a dealer quote or comparable security price, for which the significant unobservable inputs used to determine the price were not reasonably available.
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Estimated Fair Values (Estimated Fair Value on a Recurring Basis) (Details) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
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Dec. 31, 2012
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | $ 3,842 | $ 2,281 | ||||||
Derivative Assets | 1,979 | 821 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 4,733 | 305 | ||||||
Mortgage Delivery Commitments [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 362 | 289 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 5 | 29 | ||||||
Level 1 [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | ||||||
Grantor Trust Assets (included in Other Assets) | 19,183 | 18,440 | ||||||
Total Derivative Liabilities, net | 0 | 0 | ||||||
Level 2 [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,453,180 | 3,340,438 | ||||||
Derivative Assets | 70,794 | 73,578 | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | 0 | ||||||
Total Derivative Liabilities, net | 865,212 | 951,521 | ||||||
Level 3 [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 525,923 | 640,142 | ||||||
Derivative Assets | 0 | 0 | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | 0 | ||||||
Total Derivative Liabilities, net | 0 | 0 | ||||||
Netting Adjustment [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | [1] | 0 | [1] | ||||
Derivative Assets | (68,815) | [1] | (72,757) | [1] | ||||
Grantor Trust Assets (included in Other Assets) | 0 | [1] | 0 | [1] | ||||
Total Derivative Liabilities, net | (671,414) | [1] | (750,406) | [1] | ||||
Recurring [Member] | Fair Value [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,979,103 | 3,980,580 | ||||||
Derivative Assets - Interest-rate related | 1,617 | 302 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 230 | ||||||
Derivative Assets | 1,979 | 821 | ||||||
Grantor Trust Assets (included in Other Assets) | 19,183 | 18,440 | ||||||
Total recurring assets at estimated fair value | 4,000,265 | 3,999,841 | ||||||
Derivative Liabilities - Interest-rate related | 193,359 | 201,043 | ||||||
Derivative Liabilities - Interest-rate futures/forwards | 434 | 43 | ||||||
Total Derivative Liabilities, net | 193,798 | 201,115 | ||||||
Total recurring liabilities at estimated fair value | 193,798 | 201,115 | ||||||
Recurring [Member] | Fair Value [Member] | Mortgage Delivery Commitments [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 362 | 289 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 5 | 29 | ||||||
Recurring [Member] | Fair Value [Member] | GSE Debentures [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,322,575 | 3,340,438 | ||||||
Recurring [Member] | Fair Value [Member] | Private-Label RMBS [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 656,528 | 640,142 | ||||||
Recurring [Member] | Level 1 [Member]
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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 | 0 | 0 | ||||||
Grantor Trust Assets (included in Other Assets) | 19,183 | 18,440 | ||||||
Total recurring assets at estimated fair value | 19,183 | 18,440 | ||||||
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]
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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]
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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]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | 0 | ||||||
Recurring [Member] | Level 2 [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,453,180 | 3,340,438 | ||||||
Derivative Assets - Interest-rate related | 70,432 | 73,059 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 230 | ||||||
Derivative Assets | 70,794 | 73,578 | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | 0 | ||||||
Total recurring assets at estimated fair value | 3,523,974 | 3,414,016 | ||||||
Derivative Liabilities - Interest-rate related | 864,773 | 951,449 | ||||||
Derivative Liabilities - Interest-rate futures/forwards | 434 | 43 | ||||||
Total Derivative Liabilities, net | 865,212 | 951,521 | ||||||
Total recurring liabilities at estimated fair value | 865,212 | 951,521 | ||||||
Recurring [Member] | Level 2 [Member] | Mortgage Delivery Commitments [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
Derivative Assets - Mortgage delivery commitments | 362 | 289 | ||||||
Derivative Liabilities - Mortgage delivery commitments | 5 | 29 | ||||||
Recurring [Member] | Level 2 [Member] | GSE Debentures [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 3,322,575 | 3,340,438 | ||||||
Recurring [Member] | Level 2 [Member] | Private-Label RMBS [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 130,605 | 0 | ||||||
Recurring [Member] | Level 3 [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 525,923 | 640,142 | ||||||
Derivative Assets - Interest-rate related | 0 | 0 | ||||||
Derivative Assets - Interest-rate futures/forwards | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | ||||||
Grantor Trust Assets (included in Other Assets) | 0 | 0 | ||||||
Total recurring assets at estimated fair value | 525,923 | 640,142 | ||||||
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]
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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]
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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]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 525,923 | 640,142 | ||||||
Recurring [Member] | Netting Adjustment [Member]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | 0 | [2] | 0 | [2] | ||||
Derivative Assets - Interest-rate related | (68,815) | [2] | (72,757) | [2] | ||||
Derivative Assets - Interest-rate futures/forwards | 0 | [2] | 0 | [2] | ||||
Derivative Assets | (68,815) | [2] | (72,757) | [2] | ||||
Grantor Trust Assets (included in Other Assets) | 0 | [2] | 0 | [2] | ||||
Total recurring assets at estimated fair value | (68,815) | [2] | (72,757) | [2] | ||||
Derivative Liabilities - Interest-rate related | (671,414) | [2] | (750,406) | [2] | ||||
Derivative Liabilities - Interest-rate futures/forwards | 0 | [2] | 0 | [2] | ||||
Total Derivative Liabilities, net | (671,414) | [2] | (750,406) | [2] | ||||
Total recurring liabilities at estimated fair value | (671,414) | [2] | (750,406) | [2] | ||||
Recurring [Member] | Netting Adjustment [Member] | Mortgage Delivery Commitments [Member]
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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]
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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]
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||
AFS securities | $ 0 | [2] | $ 0 | [2] | ||||
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Consolidated Obligations (Tables)
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Mar. 31, 2013
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount Notes [Table Text Block] | Our participation in Discount Notes, all of which are due within one year of issuance, was as follows:
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CO Bonds Outstanding [Table Text Block] | The following table presents our participation in CO Bonds outstanding:
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CO Bonds by Redemption Feature [Table Text Block] | The following tables present our participation in CO Bonds outstanding by redemption feature and contractual maturity or next call date:
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CO Bonds by Contractual Maturity or Next Call Date [Table Text Block] |
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Held-to-Maturity Securities (Narratives) (Details) (MBS and ABS [Member], USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
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Dec. 31, 2012
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MBS and ABS [Member]
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Schedule of Held-to-maturity Securities [Line Items] | ||
Net premiums | $ 48,945 | $ 51,784 |
Derivative and Hedging Activities (Narrative) (Details) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative, Net Liability Position, Aggregate Fair Value | $ 795,934 |
Collateral Already Posted, Aggregate Fair Value | 602,575 |
Derivative, Net Liability Position, Aggregate Fair Value, Not Subject to Credit Support Agreement | 439 |
Additional Collateral, Aggregate Fair Value | $ 43,301 |
Allowance for Credit Losses (Troubled Debt Restructuring) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | |||||||||||
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Mar. 31, 2013
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Mar. 31, 2012
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Dec. 31, 2012
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Financing Receivable, Modifications [Line Items] | ||||||||||||
Number of Troubled Debt Restructurings of Mortgage Loans | 6 | 9 | ||||||||||
Period of time principal or interest past due to have defaulted on troubled debt restructuring | 60 days | |||||||||||
MPP [Member] | Conventional [Member]
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Financing Receivable, Modifications [Line Items] | ||||||||||||
Recorded Investment | $ 16,154 | $ 16,817 | ||||||||||
Pre-Modification Recorded Investment | 771 | 1,495 | ||||||||||
Post-Modification Recorded Investment | 834 | [1] | 1,598 | [1] | ||||||||
Recorded investment of loans modified as troubled debt restructurings that subsequently default | 1,059 | [2] | 778 | [2] | ||||||||
MPP [Member] | Conventional [Member] | Performing [Member]
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Financing Receivable, Modifications [Line Items] | ||||||||||||
Recorded Investment | 14,124 | 15,001 | ||||||||||
MPP [Member] | Conventional [Member] | Nonperforming [Member]
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Financing Receivable, Modifications [Line Items] | ||||||||||||
Recorded Investment | $ 2,030 | [3] | $ 1,816 | [3] | ||||||||
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Available-for-Sale Securities (Unrealized Loss Positions) (Details) (USD $)
In Thousands, unless otherwise specified |
Mar. 31, 2013
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Dec. 31, 2012
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Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 24,090 | $ 398,265 |
Less than 12 Months, Unrealized Losses | (219) | (672) |
12 Months or More, Estimated Fair Value | 191,081 | 471,359 |
12 Months or More, Unrealized Losses | (2,364) | (20,126) |
Total Estimated Fair Value | 215,171 | 869,624 |
Total Unrealized Losses | (2,583) | (20,798) |
GSE and TVA debentures [Member]
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Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 24,090 | 398,265 |
Less than 12 Months, Unrealized Losses | (219) | (672) |
12 Months or More, Estimated Fair Value | 0 | 0 |
12 Months or More, Unrealized Losses | 0 | 0 |
Total Estimated Fair Value | 24,090 | 398,265 |
Total Unrealized Losses | (219) | (672) |
Non-MBS [Member]
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Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 24,090 | 398,265 |
Less than 12 Months, Unrealized Losses | (219) | (672) |
12 Months or More, Estimated Fair Value | 0 | 0 |
12 Months or More, Unrealized Losses | 0 | 0 |
Total Estimated Fair Value | 24,090 | 398,265 |
Total Unrealized Losses | (219) | (672) |
Private-Label RMBS [Member]
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Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 191,081 | 471,359 |
12 Months or More, Unrealized Losses | (2,364) | (20,126) |
Total Estimated Fair Value | 191,081 | 471,359 |
Total Unrealized Losses | $ (2,364) | $ (20,126) |
Summary of Significant Accounting Policies
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3 Months Ended |
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Mar. 31, 2013
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Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 1 - 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 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 2012 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 2012 Form 10-K. There have been no significant changes to these policies through March 31, 2013. We use certain acronyms and terms throughout these financial statements, which are defined in the Glossary of Terms. Unless the context otherwise requires, the terms "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management. 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, Total Capital, or Cash Flows. 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. Financial Instruments with Legal Right of Offset. We have certain financial instruments, including derivative instruments and securities purchased under agreements to resell, that are subject to enforceable master netting arrangements or similar agreements. We have elected to offset our derivative asset and liability positions, as well as cash collateral received or pledged, under these master agreements. We did not have any offsetting liabilities related to securities purchased under agreements to resell at March 31, 2013 and December 31, 2012. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset based on the terms of the individual master agreement between us and our derivative counterparty. Additional information regarding these agreements is provided in Note 9 - Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreement to resell were fully collateralized for the periods presented. |
Allowance for Credit Losses (Impaired Debt) (Details) (MPP [Member], Conventional [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | ||
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Mar. 31, 2013
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Mar. 31, 2012
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Dec. 31, 2012
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MPP [Member] | Conventional [Member]
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Financing Receivable, Impaired [Line Items] | |||
Conventional loans without allowance for loan losses, Recorded Investment | $ 14,124 | $ 15,001 | |
Conventional loans with allowance for loan losses, Recorded Investment | 2,030 | 1,816 | |
Total recorded investment | 16,154 | 16,817 | |
Conventional loans without allowance for loan losses, UPB | 14,000 | 14,892 | |
Conventional loans with allowance for loan losses, UPB | 2,000 | 1,783 | |
Total UPB | 16,000 | 16,675 | |
Allowance for loan losses | 65 | 68 | |
Conventional Loans without Allowance, Average Recorded Investment | 14,452 | 3,251 | |
Conventional Loans without Allowance, Interest Income Recognized | 207 | 40 | |
Conventional Loans with Allowance, Average Recorded Investment | 2,033 | 791 | |
Conventional Loans with Allowance, Interest Income Recognized | 31 | 8 | |
Impaired Financing Receivable, Average Recorded Investment | 16,485 | 4,042 | |
Impaired Financing Receivable, Interest Income, Accrual Method | $ 238 | $ 48 |