Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 35-6001443 (I.R.S. employer identification number) | |
8250 Woodfield Crossing Boulevard Indianapolis, IN (Address of principal executive offices) | 46240 (Zip code) |
o Large accelerated filer | o Accelerated filer |
x Non-accelerated filer (Do not check if a smaller reporting company) | o Smaller reporting company |
Shares outstanding as of July 31, 2013 | ||
Class B Stock, par value $100 | 19,327,174 |
Table of Contents | Page | |
Number | ||
PART I. | ||
Item 1. | ||
Statements of Condition as of June 30, 2013 and December 31, 2012 | ||
Statements of Income for the Three and Six Months Ended June 30, 2013 and 2012 | ||
Statements of Capital for the Six Months Ended June 30, 2013 and 2012 | ||
Statements of Cash Flows for the Six Months Ended June 30, 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 |
June 30, 2013 | December 31, 2012 | ||||||
Assets: | |||||||
Cash and Due from Banks | $ | 29,613 | $ | 105,472 | |||
Interest-Bearing Deposits | 105 | 48 | |||||
Securities Purchased Under Agreements to Resell | 1,450,000 | 3,250,000 | |||||
Federal Funds Sold | 2,057,000 | 2,110,000 | |||||
Available-for-Sale Securities (Notes 3 and 5) | 3,715,970 | 3,980,580 | |||||
Held-to-Maturity Securities (Estimated Fair Values of $7,373,980 and $7,738,596, respectively) (Notes 4 and 5) | 7,244,240 | 7,504,643 | |||||
Advances (Note 6) | 19,100,599 | 18,129,458 | |||||
Mortgage Loans Held for Portfolio, net of allowance for credit losses of $(5,500) and $(10,000), respectively (Notes 7 and 8) | 6,166,574 | 6,001,405 | |||||
Accrued Interest Receivable | 82,946 | 87,455 | |||||
Premises, Software, and Equipment, net | 32,251 | 28,144 | |||||
Derivative Assets, net (Note 9) | 3,041 | 821 | |||||
Other Assets | 32,759 | 29,610 | |||||
Total Assets | $ | 39,915,098 | $ | 41,227,636 | |||
Liabilities: | |||||||
Deposits (Note 10): | |||||||
Interest-Bearing | $ | 828,690 | $ | 706,488 | |||
Non-Interest-Bearing | 553,250 | 1,080,663 | |||||
Total Deposits | 1,381,940 | 1,787,151 | |||||
Consolidated Obligations (Note 11): | |||||||
Discount Notes | 8,909,857 | 8,924,085 | |||||
Bonds | 26,621,801 | 27,407,530 | |||||
Total Consolidated Obligations | 35,531,658 | 36,331,615 | |||||
Accrued Interest Payable | 84,419 | 87,777 | |||||
Affordable Housing Program Payable (Note 12) | 41,050 | 34,362 | |||||
Derivative Liabilities, net (Note 9) | 197,842 | 201,115 | |||||
Mandatorily Redeemable Capital Stock (Note 13) | 255,720 | 450,716 | |||||
Other Liabilities | 74,232 | 119,058 | |||||
Total Liabilities | 37,566,861 | 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: 16,684 and 16,327, respectively | 1,668,421 | 1,632,720 | |||||
Class B-2 issued and outstanding shares: 39 and 16, respectively | 3,851 | 1,580 | |||||
Total Capital Stock Putable | 1,672,272 | 1,634,300 | |||||
Retained Earnings: | |||||||
Unrestricted | 608,385 | 549,773 | |||||
Restricted | 63,653 | 41,827 | |||||
Total Retained Earnings | 672,038 | 591,600 | |||||
Total Accumulated Other Comprehensive Income (Loss) (Note 14) | 3,927 | (10,058 | ) | ||||
Total Capital | 2,348,237 | 2,215,842 | |||||
Total Liabilities and Capital | $ | 39,915,098 | $ | 41,227,636 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Interest Income: | |||||||||||||||
Advances | $ | 30,380 | $ | 43,544 | $ | 63,232 | $ | 88,913 | |||||||
Prepayment Fees on Advances, net | 6,872 | 2,359 | 7,854 | 2,833 | |||||||||||
Interest-Bearing Deposits | 164 | 280 | 389 | 474 | |||||||||||
Securities Purchased Under Agreements to Resell | 328 | 824 | 883 | 1,460 | |||||||||||
Federal Funds Sold | 554 | 593 | 1,192 | 980 | |||||||||||
Available-for-Sale Securities | 7,395 | 10,315 | 16,457 | 20,774 | |||||||||||
Held-to-Maturity Securities | 35,068 | 40,709 | 71,010 | 84,701 | |||||||||||
Mortgage Loans Held for Portfolio, net | 63,289 | 63,887 | 126,423 | 133,118 | |||||||||||
Other, net | (195 | ) | (188 | ) | 547 | 753 | |||||||||
Total Interest Income | 143,855 | 162,323 | 287,987 | 334,006 | |||||||||||
Interest Expense: | |||||||||||||||
Consolidated Obligation Discount Notes | 2,125 | 1,811 | 4,369 | 2,603 | |||||||||||
Consolidated Obligation Bonds | 78,572 | 97,742 | 158,078 | 201,849 | |||||||||||
Deposits | 23 | 21 | 45 | 51 | |||||||||||
Mandatorily Redeemable Capital Stock | 2,080 | 3,326 | 4,488 | 7,237 | |||||||||||
Total Interest Expense | 82,800 | 102,900 | 166,980 | 211,740 | |||||||||||
Net Interest Income | 61,055 | 59,423 | 121,007 | 122,266 | |||||||||||
Provision for (Reversal of) Credit Losses | 591 | 1,864 | (3,765 | ) | 2,283 | ||||||||||
Net Interest Income After Provision for Credit Losses | 60,464 | 57,559 | 124,772 | 119,983 | |||||||||||
Other Income (Loss): | |||||||||||||||
Total Other-Than-Temporary Impairment Losses | — | — | — | (6 | ) | ||||||||||
Non-Credit Portion Reclassified to (from) Other Comprehensive Income, net | — | (292 | ) | (1,924 | ) | (3,574 | ) | ||||||||
Net Other-Than-Temporary Impairment Losses, credit portion | — | (292 | ) | (1,924 | ) | (3,580 | ) | ||||||||
Net Realized Gains from Sale of Available-for-Sale Securities | 17,135 | — | 17,135 | — | |||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | 14,568 | (5,563 | ) | 10,796 | (4,387 | ) | |||||||||
Service Fees | 231 | 254 | 459 | 487 | |||||||||||
Standby Letters of Credit Fees | 588 | 239 | 754 | 488 | |||||||||||
Other, net | 388 | 228 | 692 | 505 | |||||||||||
Total Other Income (Loss) | 32,910 | (5,134 | ) | 27,912 | (6,487 | ) | |||||||||
Other Expenses: | |||||||||||||||
Compensation and Benefits | 9,730 | 9,282 | 19,052 | 18,049 | |||||||||||
Other Operating Expenses | 4,474 | 4,199 | 8,482 | 8,129 | |||||||||||
Federal Housing Finance Agency | 544 | 826 | 1,364 | 1,836 | |||||||||||
Office of Finance | 657 | 605 | 1,464 | 1,280 | |||||||||||
Other | 313 | 227 | 571 | 425 | |||||||||||
Total Other Expenses | 15,718 | 15,139 | 30,933 | 29,719 | |||||||||||
Income Before Assessments | 77,656 | 37,286 | 121,751 | 83,777 | |||||||||||
Affordable Housing Program Assessments | 7,974 | 4,061 | 12,624 | 9,101 | |||||||||||
Net Income | $ | 69,682 | $ | 33,225 | $ | 109,127 | $ | 74,676 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Net Income | $ | 69,682 | $ | 33,225 | $ | 109,127 | $ | 74,676 | |||||||
Other Comprehensive Income: | |||||||||||||||
Net Change in Unrealized Gains (Losses) on Available-for-Sale Securities | (28,795 | ) | (1,769 | ) | (11,860 | ) | (5,185 | ) | |||||||
Non-Credit Portion of Other-Than-Temporary Impairment Losses on Available-for-Sale Securities: | |||||||||||||||
Reclassification of Non-Credit Portion to Other Income | — | 292 | 1,924 | 3,578 | |||||||||||
Net Change in Fair Value Not in Excess of Cumulative Non-Credit Losses | 19,341 | 5,183 | 35,179 | 31,785 | |||||||||||
Unrealized Gains (Losses) | (12,359 | ) | 630 | 5,141 | 4,754 | ||||||||||
Reclassification of Net Realized Gains From Sale to Other Income (Loss) | (17,135 | ) | — | (17,135 | ) | — | |||||||||
Net Non-Credit Portion of Other-Than-Temporary Impairment Losses on Available-for-Sale Securities | (10,153 | ) | 6,105 | 25,109 | 40,117 | ||||||||||
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 | 17 | 19 | 37 | 46 | |||||||||||
Net Non-Credit Portion of Other-Than-Temporary Impairment Losses on Held-to-Maturity Securities | 17 | 19 | 37 | 42 | |||||||||||
Pension Benefits | 272 | (1,451 | ) | 699 | (1,143 | ) | |||||||||
Total Other Comprehensive Income (Loss) | (38,659 | ) | 2,904 | 13,985 | 33,831 | ||||||||||
Total Comprehensive Income | $ | 31,023 | $ | 36,129 | $ | 123,112 | $ | 108,507 |
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 | 483 | 48,381 | 48,381 | ||||||||||||||||||||||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (35 | ) | (3,513 | ) | (3,513 | ) | |||||||||||||||||||||
Total Comprehensive Income | 59,740 | 14,936 | 74,676 | 33,831 | 108,507 | ||||||||||||||||||||||
Distributions on Mandatorily Redeemable Capital Stock | (27 | ) | — | (27 | ) | (27 | ) | ||||||||||||||||||||
Cash Dividends on Capital Stock (3.00% annualized) | (23,405 | ) | — | (23,405 | ) | (23,405 | ) | ||||||||||||||||||||
Balance, June 30, 2012 | 16,079 | $ | 1,607,924 | $ | 520,819 | $ | 28,098 | $ | 548,917 | $ | (79,710 | ) | $ | 2,077,131 | |||||||||||||
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 | 1,334 | 133,413 | 133,413 | ||||||||||||||||||||||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (954 | ) | (95,441 | ) | (95,441 | ) | |||||||||||||||||||||
Total Comprehensive Income | 87,301 | 21,826 | 109,127 | 13,985 | 123,112 | ||||||||||||||||||||||
Distributions on Mandatorily Redeemable Capital Stock | (137 | ) | — | (137 | ) | (137 | ) | ||||||||||||||||||||
Cash Dividends on Capital Stock (3.50% annualized) | (28,552 | ) | — | (28,552 | ) | (28,552 | ) | ||||||||||||||||||||
Balance, June 30, 2013 | 16,723 | $ | 1,672,272 | $ | 608,385 | $ | 63,653 | $ | 672,038 | $ | 3,927 | $ | 2,348,237 |
Six Months Ended | |||||||
June 30, | |||||||
2013 | 2012 | ||||||
Operating Activities: | |||||||
Net Income | $ | 109,127 | $ | 74,676 | |||
Adjustments to reconcile Net Income to Net Cash provided by Operating Activities: | |||||||
Amortization and Depreciation | 65,209 | 34,318 | |||||
Prepayment fees on Advances, net of related swap termination fees | (4,532 | ) | (21,342 | ) | |||
Change in Net Derivative and Hedging Activities | 24,204 | 44,797 | |||||
Net Other-Than-Temporary Impairment Losses, credit portion | 1,924 | 3,580 | |||||
Provision for (Reversal of) Credit Losses | (3,765 | ) | 2,283 | ||||
Net Realized Gains from Sale of Available-for-Sale Securities | (17,135 | ) | — | ||||
Changes in: | |||||||
Accrued Interest Receivable (adjusted for capitalized interest) | 4,621 | 977 | |||||
Other Assets | (1,617 | ) | 5,140 | ||||
Accrued Interest Payable | (3,359 | ) | (12,142 | ) | |||
Other Liabilities | (1,195 | ) | (300 | ) | |||
Total Adjustments, net | 64,355 | 57,311 | |||||
Net Cash provided by Operating Activities | 173,482 | 131,987 | |||||
Investing Activities: | |||||||
Changes in: | |||||||
Interest-Bearing Deposits | 263,729 | (12,387 | ) | ||||
Securities Purchased Under Agreements to Resell | 1,800,000 | (1,700,000 | ) | ||||
Federal Funds Sold | 53,000 | 1,185,000 | |||||
Purchases of Premises, Software, and Equipment | (5,299 | ) | (5,666 | ) | |||
Available-for-Sale Securities: | |||||||
Proceeds from Maturities of Long-Term | 39,169 | 35,428 | |||||
Proceeds from Sales of Long-Term | 129,471 | — | |||||
Purchases of Long-Term | — | (777,000 | ) | ||||
Held-to-Maturity Securities: | |||||||
Proceeds from Maturities of Long-Term | 575,670 | 2,233,961 | |||||
Purchases of Long-Term | (356,606 | ) | (842,141 | ) | |||
Advances: | |||||||
Principal Collected | 20,082,714 | 24,083,868 | |||||
Disbursed to Members | (21,358,346 | ) | (24,317,570 | ) | |||
Mortgage Loans Held for Portfolio: | |||||||
Principal Collected | 750,469 | 727,263 | |||||
Purchases of Loans and Participation Interests | (918,464 | ) | (557,825 | ) | |||
Net Cash provided by Investing Activities | 1,055,507 | 52,931 |
Six Months Ended | |||||||
June 30, | |||||||
2013 | 2012 | ||||||
Financing Activities: | |||||||
Changes in Deposits | (404,411 | ) | 153,479 | ||||
Net Payments on Derivative Contracts with Financing Elements | (38,416 | ) | (42,481 | ) | |||
Net Proceeds from Issuance of Consolidated Obligations: | |||||||
Discount Notes | 41,293,403 | 56,295,065 | |||||
Bonds | 11,363,293 | 11,810,870 | |||||
Payments for Matured and Retired Consolidated Obligations: | |||||||
Discount Notes | (41,307,254 | ) | (55,274,157 | ) | |||
Bonds | (12,025,750 | ) | (13,460,500 | ) | |||
Other Federal Home Loan Banks: | |||||||
Borrowings | 50,000 | — | |||||
Payments for Maturities | (50,000 | ) | — | ||||
Proceeds from Sale of Capital Stock | 133,413 | 48,381 | |||||
Payments for Redemption of Mandatorily Redeemable Capital Stock | (290,574 | ) | (6,527 | ) | |||
Cash Dividends Paid on Capital Stock | (28,552 | ) | (23,405 | ) | |||
Net Cash used in Financing Activities | (1,304,848 | ) | (499,275 | ) | |||
Net Increase (Decrease) in Cash and Due from Banks | (75,859 | ) | (314,357 | ) | |||
Cash and Due from Banks at Beginning of Period | 105,472 | 512,682 | |||||
Cash and Due from Banks at End of Period | $ | 29,613 | $ | 198,325 | |||
Supplemental Disclosures: | |||||||
Interest Paid | $ | 174,644 | $ | 219,689 | |||
Affordable Housing Program Payments | 5,936 | 7,396 | |||||
Capitalized Interest on Certain Held-to-Maturity Securities | 5,171 | 9,416 | |||||
Par Value of Net Shares Reclassified to Mandatorily Redeemable Capital Stock | 95,441 | 3,513 |
Gross | Gross | |||||||||||||||||||
Amortized | Non-Credit | Unrealized | Unrealized | Estimated | ||||||||||||||||
June 30, 2013 | Cost (1) | OTTI | Gains | Losses | Fair Value | |||||||||||||||
GSE and TVA debentures | $ | 3,203,543 | $ | — | $ | 6,360 | $ | (5,885 | ) | $ | 3,204,018 | |||||||||
Private-label RMBS | 496,527 | (158 | ) | 15,583 | — | 511,952 | ||||||||||||||
Total AFS securities | $ | 3,700,070 | $ | (158 | ) | $ | 21,943 | $ | (5,885 | ) | $ | 3,715,970 | ||||||||
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 | |||||||||||||||||||
June 30, 2013 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | ||||||||||||||||||
GSE and TVA debentures | $ | 1,424,767 | $ | (5,885 | ) | $ | — | $ | — | $ | 1,424,767 | $ | (5,885 | ) | ||||||||||
Private-label RMBS | — | — | 8,729 | (158 | ) | 8,729 | (158 | ) | ||||||||||||||||
Total impaired AFS securities | $ | 1,424,767 | $ | (5,885 | ) | $ | 8,729 | $ | (158 | ) | $ | 1,433,496 | $ | (6,043 | ) | |||||||||
December 31, 2012 | ||||||||||||||||||||||||
GSE and TVA debentures | $ | 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 | ) |
June 30, 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 | 2,038,825 | 2,044,592 | 2,038,791 | 2,048,429 | ||||||||||||
Due after five years through ten years | 1,130,890 | 1,125,740 | 1,197,884 | 1,200,979 | ||||||||||||
Due after ten years | 33,828 | 33,686 | 91,428 | 91,030 | ||||||||||||
Total Non-MBS | 3,203,543 | 3,204,018 | 3,328,103 | 3,340,438 | ||||||||||||
Total MBS | 496,527 | 511,952 | 649,826 | 640,142 | ||||||||||||
Total AFS securities | $ | 3,700,070 | $ | 3,715,970 | $ | 3,977,929 | $ | 3,980,580 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Sales of AFS Securities | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Proceeds from sale | $ | 129,471 | $ | — | $ | 129,471 | $ | — | ||||||||
Previously recognized OTTI credit losses including accretion | $ | 38,806 | $ | — | $ | 38,806 | $ | — | ||||||||
Gross realized gains | $ | 17,135 | $ | — | $ | 17,135 | $ | — | ||||||||
Gross realized losses | — | — | — | — | ||||||||||||
Net Realized Gains from Sale of Available-for-Sale Securities | $ | 17,135 | $ | — | $ | 17,135 | $ | — |
Gross | Gross | |||||||||||||||||||||||
Unrecognized | Unrecognized | Estimated | ||||||||||||||||||||||
Amortized | Non-Credit | Carrying | Holding | Holding | Fair | |||||||||||||||||||
June 30, 2013 | Cost (1) | OTTI | Value (2) | Gains (3) | Losses (3) | Value | ||||||||||||||||||
GSE debentures | $ | 268,997 | $ | — | $ | 268,997 | $ | 569 | $ | — | $ | 269,566 | ||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed RMBS | 3,076,693 | — | 3,076,693 | 62,304 | (8,052 | ) | 3,130,945 | |||||||||||||||||
GSE RMBS | 3,696,761 | — | 3,696,761 | 82,940 | (4,588 | ) | 3,775,113 | |||||||||||||||||
Private-label RMBS | 185,897 | — | 185,897 | 374 | (1,667 | ) | 184,604 | |||||||||||||||||
Manufactured housing loan ABS | 13,883 | — | 13,883 | — | (2,014 | ) | 11,869 | |||||||||||||||||
Home equity loan ABS | 2,284 | (275 | ) | 2,009 | 46 | (172 | ) | 1,883 | ||||||||||||||||
Total MBS and ABS | 6,975,518 | (275 | ) | 6,975,243 | 145,664 | (16,493 | ) | 7,104,414 | ||||||||||||||||
Total HTM securities | $ | 7,244,515 | $ | (275 | ) | $ | 7,244,240 | $ | 146,233 | $ | (16,493 | ) | $ | 7,373,980 | ||||||||||
December 31, 2012 | ||||||||||||||||||||||||
GSE debentures | $ | 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 | |||||||||||||||||||
June 30, 2013 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses (1) | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | $ | 860,540 | $ | (3,531 | ) | $ | 443,359 | $ | (4,521 | ) | $ | 1,303,899 | $ | (8,052 | ) | |||||||||
GSE RMBS | 535,075 | (4,574 | ) | 9,149 | (14 | ) | 544,224 | (4,588 | ) | |||||||||||||||
Private-label RMBS | 66,202 | (184 | ) | 77,017 | (1,483 | ) | 143,219 | (1,667 | ) | |||||||||||||||
Manufactured housing loan ABS | — | — | 11,869 | (2,014 | ) | 11,869 | (2,014 | ) | ||||||||||||||||
Home equity loan ABS | — | — | 1,882 | (401 | ) | 1,882 | (401 | ) | ||||||||||||||||
Total MBS and ABS | 1,461,817 | (8,289 | ) | 543,276 | (8,433 | ) | 2,005,093 | (16,722 | ) | |||||||||||||||
Total impaired HTM securities | $ | 1,461,817 | $ | (8,289 | ) | $ | 543,276 | $ | (8,433 | ) | $ | 2,005,093 | $ | (16,722 | ) | |||||||||
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) | Total unrealized losses on home equity loan ABS will not agree to total gross unrecognized holding losses. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI and gross unrecognized holding gains on previously OTTI securities. |
June 30, 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 | 269,566 | 268,996 | 268,996 | 269,353 | ||||||||||||||||||
Due after five years through ten years | — | — | — | — | — | — | ||||||||||||||||||
Due after ten years | — | — | — | — | — | — | ||||||||||||||||||
Total Non-MBS | 268,997 | 268,997 | 269,566 | 268,996 | 268,996 | 269,353 | ||||||||||||||||||
Total MBS and ABS | 6,975,518 | 6,975,243 | 7,104,414 | 7,235,959 | 7,235,647 | 7,469,243 | ||||||||||||||||||
Total HTM securities | $ | 7,244,515 | $ | 7,244,240 | $ | 7,373,980 | $ | 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 | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Credit Loss Rollforward | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance at beginning of period | $ | 102,793 | $ | 108,924 | $ | 109,169 | $ | 105,636 | ||||||||
Additions: | ||||||||||||||||
Additional credit losses for which OTTI was previously recognized | — | 292 | 1,924 | 3,580 | ||||||||||||
Reductions: | ||||||||||||||||
Credit losses on securities sold, matured, paid down or prepaid | (30,506 | ) | (2 | ) | (30,506 | ) | (2 | ) | ||||||||
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 | $ | 72,287 | $ | 109,214 | $ | 72,287 | $ | 109,214 |
June 30, 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 | $ | — | $ | — | $ | — | $ | — | $ | 566,169 | $ | 496,527 | $ | 511,952 | ||||||||||||||
Private-label RMBS - Alt-A | — | — | — | — | — | — | — | |||||||||||||||||||||
Home equity loan ABS - subprime | 925 | 889 | 614 | 660 | — | — | — | |||||||||||||||||||||
Total OTTI securities | $ | 925 | $ | 889 | $ | 614 | $ | 660 | $ | 566,169 | $ | 496,527 | $ | 511,952 |
June 30, 2013 | December 31, 2012 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR % | Amount | WAIR % | ||||||||||
Overdrawn demand and overnight deposit accounts | $ | 888 | 2.49 | $ | 15,004 | 2.50 | ||||||||
Due in 1 year or less | 4,526,802 | 0.72 | 3,761,551 | 1.57 | ||||||||||
Due after 1 year through 2 years | 1,770,868 | 2.18 | 1,365,251 | 2.66 | ||||||||||
Due after 2 years through 3 years | 3,213,829 | 2.58 | 2,287,033 | 3.11 | ||||||||||
Due after 3 years through 4 years | 3,479,849 | 2.43 | 3,435,097 | 2.61 | ||||||||||
Due after 4 years through 5 years | 2,102,751 | 2.17 | 2,448,083 | 2.22 | ||||||||||
Thereafter | 3,562,865 | 2.12 | 4,070,200 | 2.49 | ||||||||||
Total Advances, par value | 18,657,852 | 1.93 | 17,382,219 | 2.38 | ||||||||||
Unamortized discounts (including AHP) | (3,191 | ) | (1,284 | ) | ||||||||||
Hedging adjustments | 325,912 | 577,225 | ||||||||||||
Unamortized swap termination fees associated with modified Advances | 120,026 | 171,298 | ||||||||||||
Total Advances | $ | 19,100,599 | $ | 18,129,458 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Put Date | |||||||||||||||
June 30, 2013 | December 31, 2012 | June 30, 2013 | December 31, 2012 | |||||||||||||
Overdrawn demand and overnight deposit accounts | $ | 888 | $ | 15,004 | $ | 888 | $ | 15,004 | ||||||||
Due in 1 year or less | 6,697,167 | 5,800,961 | 4,754,802 | 4,070,551 | ||||||||||||
Due after 1 year through 2 years | 1,788,618 | 1,348,251 | 1,763,868 | 1,327,251 | ||||||||||||
Due after 2 years through 3 years | 2,792,829 | 2,163,783 | 3,197,329 | 2,250,533 | ||||||||||||
Due after 3 years through 4 years | 3,696,099 | 3,539,097 | 3,405,349 | 3,405,097 | ||||||||||||
Due after 4 years through 5 years | 2,052,751 | 2,310,333 | 2,022,751 | 2,328,583 | ||||||||||||
Thereafter | 1,629,500 | 2,204,790 | 3,512,865 | 3,985,200 | ||||||||||||
Total Advances, par value | $ | 18,657,852 | $ | 17,382,219 | $ | 18,657,852 | $ | 17,382,219 |
June 30, 2013 | ||||||||||||
By Term | MPP | MPF | Total | |||||||||
Fixed-rate medium-term (1) mortgages | $ | 1,030,612 | $ | 77,086 | $ | 1,107,698 | ||||||
Fixed-rate long-term (2) mortgages | 4,566,836 | 394,722 | 4,961,558 | |||||||||
Total Mortgage Loans Held for Portfolio, UPB | 5,597,448 | 471,808 | 6,069,256 | |||||||||
Unamortized premiums | 99,901 | 10,167 | 110,068 | |||||||||
Unamortized discounts | (12,746 | ) | — | (12,746 | ) | |||||||
Hedging adjustments | 5,722 | (226 | ) | 5,496 | ||||||||
Allowance for loan losses | (5,000 | ) | (500 | ) | (5,500 | ) | ||||||
Total Mortgage Loans Held for Portfolio, net | $ | 5,685,325 | $ | 481,249 | $ | 6,166,574 |
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 |
(1) | Medium-term is defined as a term of 15 years or less at origination. |
(2) | Long-term is defined as a term greater than 15 years at origination. |
June 30, 2013 | ||||||||||||
By Type | MPP | MPF | Total | |||||||||
Conventional | $ | 4,800,844 | $ | 377,031 | $ | 5,177,875 | ||||||
Government | 796,604 | 94,777 | 891,381 | |||||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 5,597,448 | $ | 471,808 | $ | 6,069,256 |
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 |
MPP Credit Waterfall | June 30, 2013 | December 31, 2012 | ||||||
Estimated losses remaining after borrower's equity, before credit enhancements | $ | 44,258 | $ | 51,465 | ||||
Portion of estimated losses recoverable from PMI | (5,543 | ) | (6,494 | ) | ||||
Portion of estimated losses recoverable from LRA | (6,846 | ) | (7,750 | ) | ||||
Portion of estimated losses recoverable from SMI | (28,810 | ) | (33,438 | ) | ||||
Allowance for unrecoverable PMI/SMI | 1,941 | 6,067 | ||||||
Allowance for MPP loan losses | $ | 5,000 | $ | 9,850 |
Six Months Ended June 30, | ||||||||
LRA Activity | 2013 | 2012 | ||||||
Balance of LRA, beginning of period | $ | 33,693 | $ | 23,408 | ||||
Additions | 8,699 | 7,960 | ||||||
Claims paid | (1,760 | ) | (4,510 | ) | ||||
Distributions | (541 | ) | (523 | ) | ||||
Balance of LRA, end of period | $ | 40,091 | $ | 26,335 |
MPP | MPF | |||||||||||
Rollforward of Allowance | Conventional | Conventional | Total | |||||||||
Allowance for loan losses on mortgage loans, March 31, 2013 | $ | 5,000 | $ | 250 | $ | 5,250 | ||||||
Charge-offs | (341 | ) | — | (341 | ) | |||||||
Provision for (Reversal of) loan losses | 341 | 250 | 591 | |||||||||
Allowance for loan losses on mortgage loans, June 30, 2013 | $ | 5,000 | $ | 500 | $ | 5,500 | ||||||
Allowance for loan losses on mortgage loans, December 31, 2012 | $ | 9,850 | $ | 150 | $ | 10,000 | ||||||
Charge-offs | (735 | ) | — | (735 | ) | |||||||
Provision for (Reversal of) for loan losses | (4,115 | ) | 350 | (3,765 | ) | |||||||
Allowance for loan losses on mortgage loans, June 30, 2013 | $ | 5,000 | $ | 500 | $ | 5,500 | ||||||
Allowance for loan losses on mortgage loans, March 31, 2012 | $ | 3,500 | $ | — | $ | 3,500 | ||||||
Charge-offs | (364 | ) | — | (364 | ) | |||||||
Provision for (Reversal of) loan losses | 1,864 | — | 1,864 | |||||||||
Allowance for loan losses on mortgage loans, June 30, 2012 | $ | 5,000 | $ | — | $ | 5,000 | ||||||
Allowance for loan losses on mortgage loans, December 31, 2011 | $ | 3,300 | $ | — | $ | 3,300 | ||||||
Charge-offs | (583 | ) | — | (583 | ) | |||||||
Provision for (Reversal of) for loan losses | 2,283 | — | 2,283 | |||||||||
Allowance for loan losses on mortgage loans, June 30, 2012 | $ | 5,000 | $ | — | $ | 5,000 |
MPP | MPF | |||||||||||
Allowance for Loan Losses, June 30, 2013 | Conventional | Conventional | Total | |||||||||
Loans collectively evaluated for impairment | $ | 3,924 | $ | 500 | $ | 4,424 | ||||||
Loans individually evaluated for impairment (1) | 1,076 | — | 1,076 | |||||||||
Total allowance for loan losses | $ | 5,000 | $ | 500 | $ | 5,500 | ||||||
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, June 30, 2013 | ||||||||||||
Loans collectively evaluated for impairment | $ | 4,873,011 | $ | 386,757 | $ | 5,259,768 | ||||||
Loans individually evaluated for impairment (1) | 18,650 | — | 18,650 | |||||||||
Total recorded investment | $ | 4,891,661 | $ | 386,757 | $ | 5,278,418 | ||||||
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 June 30, 2013 and December 31, 2012 for any losses resulting from past or future liquidations of the underlying properties on $15,340 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 $1,002 and $968 for these potential claims as of June 30, 2013 and December 31, 2012, respectively. |
MPP | MPF | |||||||||||||||||||
Mortgage Loans Held for Portfolio as of June 30, 2013 | Conventional | FHA | Conventional | Government | Total | |||||||||||||||
Past due 30-59 days | $ | 49,889 | $ | 25,519 | $ | 2 | $ | 824 | $ | 76,234 | ||||||||||
Past due 60-89 days | 18,877 | 7,712 | — | 313 | 26,902 | |||||||||||||||
Past due 90 days or more | 93,297 | 3,063 | 1 | 178 | 96,539 | |||||||||||||||
Total past due | 162,063 | 36,294 | 3 | 1,315 | 199,675 | |||||||||||||||
Total current | 4,729,598 | 783,763 | 386,754 | 95,707 | 5,995,822 | |||||||||||||||
Total mortgage loans, recorded investment | 4,891,661 | 820,057 | 386,757 | 97,022 | 6,195,497 | |||||||||||||||
Net unamortized premiums | (67,570 | ) | (19,585 | ) | (8,494 | ) | (1,673 | ) | (97,322 | ) | ||||||||||
Hedging adjustments | (4,861 | ) | (860 | ) | 425 | (200 | ) | (5,496 | ) | |||||||||||
Accrued interest receivable | (18,386 | ) | (3,008 | ) | (1,657 | ) | (372 | ) | (23,423 | ) | ||||||||||
Total Mortgage Loans Held for Portfolio, UPB | $ | 4,800,844 | $ | 796,604 | $ | 377,031 | $ | 94,777 | $ | 6,069,256 | ||||||||||
Other Delinquency Statistics as of June 30, 2013 | ||||||||||||||||||||
In process of foreclosure, included above (1) | $ | 57,439 | $ | — | $ | — | $ | — | $ | 57,439 | ||||||||||
Serious delinquency rate (2) | 1.91 | % | 0.37 | % | — | % | 0.18 | % | 1.56 | % | ||||||||||
Past due 90 days or more still accruing interest (3) | $ | 92,630 | $ | 3,063 | $ | — | $ | 178 | $ | 95,871 | ||||||||||
On non-accrual status | 2,094 | — | 1 | — | 2,095 |
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. |
June 30, 2013 | December 31, 2012 | |||||||||||||||||||||||
Recorded Investment | Performing | Non-Performing (1) | Total | Performing | Non-Performing (1) | Total | ||||||||||||||||||
MPP conventional loans | $ | 16,556 | $ | 2,094 | $ | 18,650 | $ | 15,001 | $ | 1,816 | $ | 16,817 |
(1) | Represents loans on non-accrual status only. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||
Troubled Debt Restructurings at Modification Date | Pre-Modification | Post-Modification (1) | Pre-Modification | Post-Modification (1) | ||||||||||||
MPP conventional loans | $ | 2,522 | $ | 2,670 | $ | 3,293 | $ | 3,504 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2012 | June 30, 2012 | |||||||||||||||
Troubled Debt Restructurings at Modification Date | Pre-Modification | Post-Modification (1) | Pre-Modification | Post-Modification (1) | ||||||||||||
MPP conventional loans | $ | 8,273 | $ | 8,920 | $ | 9,768 | $ | 10,518 |
(1) | Includes the capitalization of interest previously paid under scheduled/scheduled payment terms. |
June 30, 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 | $ | 16,556 | $ | 16,413 | $ | — | $ | 15,001 | $ | 14,892 | $ | — | ||||||||||||
MPP conventional loans with allowance for loan losses | 2,094 | 2,056 | 74 | 1,816 | 1,783 | 68 | ||||||||||||||||||
Total | $ | 18,650 | $ | 18,469 | $ | 74 | $ | 16,817 | $ | 16,675 | $ | 68 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||
Individually Evaluated Impaired Loans | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
MPP conventional loans without allowance for loan losses | $ | 15,412 | $ | 248 | $ | 15,249 | $ | 461 | ||||||||
MPP conventional loans with allowance for loan losses | 1,990 | 34 | 1,958 | 63 | ||||||||||||
Total | $ | 17,402 | $ | 282 | $ | 17,207 | $ | 524 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2012 | June 30, 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 | $ | 6,778 | $ | 144 | $ | 5,211 | $ | 184 | ||||||||
MPP conventional loans with allowance for loan losses | 1,551 | 37 | 1,126 | 45 | ||||||||||||
Total | $ | 8,329 | $ | 181 | $ | 6,337 | $ | 229 |
Notional Amount of Derivatives | Estimated Fair Value of Derivative Assets | Estimated Fair Value of Derivative Liabilities | ||||||||||
June 30, 2013 | ||||||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps (1) | $ | 30,582,955 | $ | 119,601 | $ | 728,754 | ||||||
Total derivatives designated as hedging instruments | 30,582,955 | 119,601 | 728,754 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 225,000 | 520 | 124 | |||||||||
Interest-rate caps/floors | 340,500 | 1,599 | — | |||||||||
Interest-rate futures/forwards | 141,900 | 1,424 | 206 | |||||||||
MDCs | 142,372 | 193 | 2,055 | |||||||||
Total derivatives not designated as hedging instruments | 849,772 | 3,736 | 2,385 | |||||||||
Total derivatives before adjustments | $ | 31,432,727 | 123,337 | 731,139 | ||||||||
Netting adjustments | (121,720 | ) | (121,720 | ) | ||||||||
Cash collateral and related accrued interest | 1,424 | (411,577 | ) | |||||||||
Total adjustments (2) | (120,296 | ) | (533,297 | ) | ||||||||
Total derivatives, net | $ | 3,041 | $ | 197,842 | ||||||||
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) | Includes all derivative transactions with a Clearinghouse. |
(2) | Amounts represent the application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
June 30, 2013 | Estimated Fair Value of Derivative Assets | Estimated Fair Value of Derivative Liabilities | ||||||
Derivative instruments meeting netting requirements: | ||||||||
Gross recognized amount | $ | 121,720 | $ | 728,878 | ||||
Gross amounts of netting adjustments and cash collateral | (120,296 | ) | (533,297 | ) | ||||
Net amounts after offsetting adjustments | 1,424 | 195,581 | ||||||
Derivative instruments not meeting netting requirements (1) | 1,617 | 2,261 | ||||||
Total derivatives | $ | 3,041 | $ | 197,842 |
December 31, 2012 | Estimated Fair Value of Derivative Assets | Estimated Fair Value of Derivative Liabilities | ||||||
Derivative instruments meeting netting requirements: | ||||||||
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 not meeting netting requirements (1) | 519 | 72 | ||||||
Total derivatives | $ | 821 | $ | 201,115 |
(1) | Includes MDCs and certain interest-rate futures or forwards. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Type of Hedge | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Net gain (loss) related to fair-value hedge ineffectiveness: | ||||||||||||||||
Interest-rate swaps | $ | 14,351 | $ | (2,882 | ) | $ | 9,949 | $ | (452 | ) | ||||||
Total net gain (loss) related to fair-value hedge ineffectiveness | 14,351 | (2,882 | ) | 9,949 | (452 | ) | ||||||||||
Net gain (loss) on derivatives not designated as hedging instruments: | ||||||||||||||||
Economic hedges: | ||||||||||||||||
Interest-rate swaps | 1,042 | 19 | 4,940 | 203 | ||||||||||||
Interest-rate caps/floors | 561 | (874 | ) | 594 | (1,276 | ) | ||||||||||
Interest-rate futures/forwards | 4,964 | (4,113 | ) | 5,785 | (4,548 | ) | ||||||||||
Net interest settlements | (1,031 | ) | (1 | ) | (4,257 | ) | (6 | ) | ||||||||
MDCs | (5,319 | ) | 2,288 | (6,215 | ) | 1,692 | ||||||||||
Total net gain (loss) on derivatives not designated as hedging instruments | 217 | (2,681 | ) | 847 | (3,935 | ) | ||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | $ | 14,568 | $ | (5,563 | ) | $ | 10,796 | $ | (4,387 | ) |
Gain (Loss) | Gain (Loss) | Net Fair- | Effect on | ||||||||||||||
on | on Hedged | Value Hedge | Net Interest | ||||||||||||||
Three Months Ended June 30, 2013 | Derivative | Item | Ineffectiveness | Income (1) | |||||||||||||
Advances | $ | 148,323 | $ | (145,492 | ) | $ | 2,831 | $ | (53,240 | ) | |||||||
AFS securities | 90,759 | (87,132 | ) | 3,627 | (21,507 | ) | |||||||||||
CO Bonds | (76,120 | ) | 84,013 | 7,893 | 22,494 | ||||||||||||
Total | $ | 162,962 | $ | (148,611 | ) | $ | 14,351 | $ | (52,253 | ) | |||||||
Three Months Ended June 30, 2012 | |||||||||||||||||
Advances | $ | (66,062 | ) | $ | 62,367 | $ | (3,695 | ) | $ | (59,674 | ) | ||||||
AFS securities | (36,070 | ) | 36,123 | 53 | (18,789 | ) | |||||||||||
CO Bonds | 3,582 | (2,822 | ) | 760 | 15,506 | ||||||||||||
Total | $ | (98,550 | ) | $ | 95,668 | $ | (2,882 | ) | $ | (62,957 | ) | ||||||
Six Months Ended June 30, 2013 | |||||||||||||||||
Advances | $ | 206,209 | $ | (201,981 | ) | $ | 4,228 | $ | (109,818 | ) | |||||||
AFS securities | 121,036 | (119,355 | ) | 1,681 | (42,933 | ) | |||||||||||
CO Bonds | (113,059 | ) | 117,099 | 4,040 | 45,334 | ||||||||||||
Total | $ | 214,186 | $ | (204,237 | ) | $ | 9,949 | $ | (107,417 | ) | |||||||
Six Months Ended June 30, 2012 | |||||||||||||||||
Advances | $ | (31,647 | ) | $ | 30,618 | $ | (1,029 | ) | $ | (120,343 | ) | ||||||
AFS securities | (20,484 | ) | 21,432 | 948 | (35,838 | ) | |||||||||||
CO Bonds | 11,936 | (12,307 | ) | (371 | ) | 29,827 | |||||||||||
Total | $ | (40,195 | ) | $ | 39,743 | $ | (452 | ) | $ | (126,354 | ) |
(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. |
Type of Deposits | June 30, 2013 | December 31, 2012 | ||||||
Interest-Bearing: | ||||||||
Demand and overnight | $ | 825,668 | $ | 704,216 | ||||
Time | 3,000 | 2,250 | ||||||
Other | 22 | 22 | ||||||
Total Interest-Bearing | 828,690 | 706,488 | ||||||
Non-Interest-Bearing: | ||||||||
Demand (1) | 537,025 | 1,066,041 | ||||||
Other (2) | 16,225 | 14,622 | ||||||
Total Non-Interest Bearing | 553,250 | 1,080,663 | ||||||
Total Deposits | $ | 1,381,940 | $ | 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 | June 30, 2013 | December 31, 2012 | ||||||
Book value | $ | 8,909,857 | $ | 8,924,085 | ||||
Par value | $ | 8,911,300 | $ | 8,925,828 | ||||
Weighted average effective interest rate | 0.11 | % | 0.15 | % |
June 30, 2013 | December 31, 2012 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | ||||||||||
Due in 1 year or less | $ | 11,779,125 | 0.48 | $ | 14,083,675 | 0.54 | ||||||||
Due after 1 year through 2 years | 1,876,250 | 2.11 | 2,984,650 | 1.49 | ||||||||||
Due after 2 years through 3 years | 1,872,600 | 1.33 | 1,323,800 | 1.59 | ||||||||||
Due after 3 years through 4 years | 1,219,750 | 1.75 | 724,900 | 3.08 | ||||||||||
Due after 4 years through 5 years | 2,047,250 | 1.94 | 1,337,700 | 2.29 | ||||||||||
Thereafter | 7,875,050 | 2.86 | 6,881,450 | 3.11 | ||||||||||
Total CO Bonds, par value | 26,670,025 | 1.53 | 27,336,175 | 1.50 | ||||||||||
Unamortized premiums | 35,147 | 36,958 | ||||||||||||
Unamortized discounts | (16,779 | ) | (17,444 | ) | ||||||||||
Hedging adjustments | (66,592 | ) | 51,841 | |||||||||||
Total CO Bonds | $ | 26,621,801 | $ | 27,407,530 |
Redemption Feature | June 30, 2013 | December 31, 2012 | ||||||
Non-callable / non-putable | $ | 17,613,025 | $ | 19,952,175 | ||||
Callable | 9,057,000 | 7,384,000 | ||||||
Total CO Bonds, par value | $ | 26,670,025 | $ | 27,336,175 |
Year of Contractual Maturity or Next Call Date | June 30, 2013 | December 31, 2012 | ||||||
Due in 1 year or less | $ | 20,496,125 | $ | 21,097,675 | ||||
Due after 1 year through 2 years | 1,831,250 | 1,694,650 | ||||||
Due after 2 years through 3 years | 1,069,600 | 1,091,800 | ||||||
Due after 3 years through 4 years | 383,750 | 513,900 | ||||||
Due after 4 years through 5 years | 576,250 | 607,700 | ||||||
Thereafter | 2,313,050 | 2,330,450 | ||||||
Total CO Bonds, par value | $ | 26,670,025 | $ | 27,336,175 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
AHP Activity | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance at beginning of period | $ | 37,167 | $ | 35,598 | $ | 34,362 | $ | 32,845 | ||||||||
Assessment (expense) | 7,974 | 4,061 | 12,624 | 9,101 | ||||||||||||
Subsidy usage, net (1) | (4,091 | ) | (5,109 | ) | (5,936 | ) | (7,396 | ) | ||||||||
Balance at end of period | $ | 41,050 | $ | 34,550 | $ | 41,050 | $ | 34,550 |
(1) | Subsidies disbursed are reported net of returns of previously disbursed subsidies. |
June 30, 2013 | December 31, 2012 | |||||||||||||||
Regulatory Capital Requirements | Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 754,866 | $ | 2,600,030 | $ | 636,022 | $ | 2,676,616 | ||||||||
Regulatory permanent capital-to-asset ratio | 4.00 | % | 6.51 | % | 4.00 | % | 6.49 | % | ||||||||
Regulatory permanent capital | $ | 1,596,604 | $ | 2,600,030 | $ | 1,649,105 | $ | 2,676,616 | ||||||||
Leverage ratio | 5.00 | % | 9.77 | % | 5.00 | % | 9.74 | % | ||||||||
Leverage capital | $ | 1,995,755 | $ | 3,900,045 | $ | 2,061,382 | $ | 4,014,924 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
MRCS Activity | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance at beginning of period | $ | 160,499 | $ | 457,425 | $ | 450,716 | $ | 453,885 | ||||||||
Additions due to change in membership status | 95,441 | — | 95,441 | 3,513 | ||||||||||||
Redemptions/repurchases | (357 | ) | (6,527 | ) | (290,574 | ) | (6,527 | ) | ||||||||
Accrued dividends | 137 | — | 137 | 27 | ||||||||||||
Balance at end of period | $ | 255,720 | $ | 450,898 | $ | 255,720 | $ | 450,898 |
Contractual Year of Redemption | June 30, 2013 | December 31, 2012 | ||||||
Year 1 | $ | 18,872 | $ | 268,512 | ||||
Year 2 | 128,659 | 144,644 | ||||||
Year 3 | 502 | 20,511 | ||||||
Year 4 | 12,246 | 13,536 | ||||||
Year 5 | 95,441 | 3,513 | ||||||
Total MRCS | $ | 255,720 | $ | 450,716 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
MRCS Distributions | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Recorded as Interest Expense | $ | 2,080 | $ | 3,326 | $ | 4,488 | $ | 7,237 | ||||||||
Recorded as distributions from Retained Earnings | 137 | — | 137 | 27 | ||||||||||||
Total | $ | 2,217 | $ | 3,326 | $ | 4,625 | $ | 7,264 |
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, March 31, 2012 | $ | 11,664 | $ | (85,262 | ) | $ | (369 | ) | $ | (8,647 | ) | $ | (82,614 | ) | ||||||
Total Other Comprehensive Income (Loss) | (1,769 | ) | 6,105 | 19 | (1,451 | ) | 2,904 | |||||||||||||
Balance, June 30, 2012 | $ | 9,895 | $ | (79,157 | ) | $ | (350 | ) | $ | (10,098 | ) | $ | (79,710 | ) | ||||||
Balance, December 31, 2011 | $ | 15,080 | $ | (119,274 | ) | $ | (392 | ) | $ | (8,955 | ) | $ | (113,541 | ) | ||||||
Total Other Comprehensive Income (Loss) | (5,185 | ) | 40,117 | 42 | (1,143 | ) | 33,831 | |||||||||||||
Balance, June 30, 2012 | $ | 9,895 | $ | (79,157 | ) | $ | (350 | ) | $ | (10,098 | ) | $ | (79,710 | ) | ||||||
Balance, March 31, 2013 | $ | 29,270 | $ | 25,578 | $ | (292 | ) | $ | (11,970 | ) | $ | 42,586 | ||||||||
Other Comprehensive Income (Loss) before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (28,795 | ) | (12,359 | ) | — | — | (41,154 | ) | ||||||||||||
Net change in fair value | — | 19,341 | — | — | 19,341 | |||||||||||||||
Accretion of non-credit loss | — | — | 17 | — | 17 | |||||||||||||||
Subtotal | (28,795 | ) | 6,982 | 17 | — | (21,796 | ) | |||||||||||||
Reclassifications from OCI to Net Income | ||||||||||||||||||||
Net (gains) losses on sold securities | — | (17,135 | ) | — | — | (17,135 | ) | |||||||||||||
Net Other-Than-Temporary Impairment Losses, credit portion | — | — | — | — | — | |||||||||||||||
Subtotal | — | (17,135 | ) | — | — | (17,135 | ) | |||||||||||||
Compensation and Benefits | — | — | — | 272 | 272 | |||||||||||||||
Total Other Comprehensive Income (Loss) | (28,795 | ) | (10,153 | ) | 17 | 272 | (38,659 | ) | ||||||||||||
Balance, June 30, 2013 | $ | 475 | $ | 15,425 | $ | (275 | ) | $ | (11,698 | ) | $ | 3,927 | ||||||||
Balance, December 31, 2012 | $ | 12,335 | $ | (9,684 | ) | $ | (312 | ) | $ | (12,397 | ) | $ | (10,058 | ) | ||||||
Other Comprehensive Income (Loss) before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (11,860 | ) | 5,141 | — | — | (6,719 | ) | |||||||||||||
Net change in fair value | — | 35,179 | — | — | 35,179 | |||||||||||||||
Accretion of non-credit loss | — | — | 37 | — | 37 | |||||||||||||||
Subtotal | (11,860 | ) | 40,320 | 37 | — | 28,497 | ||||||||||||||
Reclassifications from OCI to Net Income | ||||||||||||||||||||
Net (gains) losses on sold securities | — | (17,135 | ) | — | — | (17,135 | ) | |||||||||||||
Net Other-Than-Temporary Impairment Losses, credit portion | — | 1,924 | — | — | 1,924 | |||||||||||||||
Subtotal | — | (15,211 | ) | — | — | (15,211 | ) | |||||||||||||
Compensation and Benefits | — | — | — | 699 | 699 | |||||||||||||||
Total Other Comprehensive Income (Loss) | (11,860 | ) | 25,109 | 37 | 699 | 13,985 | ||||||||||||||
Balance, June 30, 2013 | $ | 475 | $ | 15,425 | $ | (275 | ) | $ | (11,698 | ) | $ | 3,927 |
• | 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 | Six Months Ended | |||||||||||||||||||||||
June 30, 2013 | Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | ||||||||||||||||||
Net Interest Income | $ | 39,765 | $ | 21,290 | $ | 61,055 | $ | 78,229 | $ | 42,778 | $ | 121,007 | ||||||||||||
Provision for (Reversal of) Credit Losses | — | 591 | 591 | — | (3,765 | ) | (3,765 | ) | ||||||||||||||||
Other Income (Loss) | 33,138 | (228 | ) | 32,910 | 28,215 | (303 | ) | 27,912 | ||||||||||||||||
Other Expenses | 14,205 | 1,513 | 15,718 | 28,023 | 2,910 | 30,933 | ||||||||||||||||||
Income Before Assessments | 58,698 | 18,958 | 77,656 | 78,421 | 43,330 | 121,751 | ||||||||||||||||||
Affordable Housing Program Assessments | 6,078 | 1,896 | 7,974 | 8,291 | 4,333 | 12,624 | ||||||||||||||||||
Net Income | $ | 52,620 | $ | 17,062 | $ | 69,682 | $ | 70,130 | $ | 38,997 | $ | 109,127 | ||||||||||||
June 30, 2012 | ||||||||||||||||||||||||
Net Interest Income | $ | 42,874 | $ | 16,549 | $ | 59,423 | $ | 83,647 | $ | 38,619 | $ | 122,266 | ||||||||||||
Provision for (Reversal of) Credit Losses | — | 1,864 | 1,864 | — | 2,283 | 2,283 | ||||||||||||||||||
Other Income (Loss) | (3,308 | ) | (1,826 | ) | (5,134 | ) | (3,631 | ) | (2,856 | ) | (6,487 | ) | ||||||||||||
Other Expenses | 13,811 | 1,328 | 15,139 | 27,157 | 2,562 | 29,719 | ||||||||||||||||||
Income Before Assessments | 25,755 | 11,531 | 37,286 | 52,859 | 30,918 | 83,777 | ||||||||||||||||||
Affordable Housing Program Assessments | 2,908 | 1,153 | 4,061 | 6,009 | 3,092 | 9,101 | ||||||||||||||||||
Net Income | $ | 22,847 | $ | 10,378 | $ | 33,225 | $ | 46,850 | $ | 27,826 | $ | 74,676 |
By Date | Traditional | Mortgage Loans | Total | |||||||||
June 30, 2013 | $ | 33,748,524 | $ | 6,166,574 | $ | 39,915,098 | ||||||
December 31, 2012 | 35,226,231 | 6,001,405 | 41,227,636 |
June 30, 2013 | ||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and Due from Banks | $ | 29,613 | $ | 29,613 | $ | 29,613 | $ | — | $ | — | $ | — | ||||||||||||
Interest-Bearing Deposits | 105 | 105 | — | 105 | — | — | ||||||||||||||||||
Securities Purchased Under Agreements to Resell | 1,450,000 | 1,450,000 | — | 1,450,000 | — | — | ||||||||||||||||||
Federal Funds Sold | 2,057,000 | 2,057,000 | — | 2,057,000 | — | — | ||||||||||||||||||
AFS securities | 3,715,970 | 3,715,970 | — | 3,204,018 | 511,952 | — | ||||||||||||||||||
HTM securities | 7,244,240 | 7,373,980 | — | 7,175,624 | 198,356 | — | ||||||||||||||||||
Advances | 19,100,599 | 19,205,383 | — | 19,205,383 | — | — | ||||||||||||||||||
Mortgage Loans Held for Portfolio, net | 6,166,574 | 6,290,103 | — | 6,237,867 | 52,236 | — | ||||||||||||||||||
Accrued Interest Receivable | 82,946 | 82,946 | — | 82,946 | — | — | ||||||||||||||||||
Derivative Assets, net | 3,041 | 3,041 | — | 123,338 | — | (120,297 | ) | |||||||||||||||||
Grantor Trust Assets (included in Other Assets) | 18,987 | 18,987 | 18,987 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,381,940 | 1,381,940 | — | 1,381,940 | — | — | ||||||||||||||||||
Consolidated Obligations: | ||||||||||||||||||||||||
Discount Notes | 8,909,857 | 8,911,300 | — | 8,911,300 | — | — | ||||||||||||||||||
CO Bonds | 26,621,801 | 26,854,411 | — | 26,854,411 | — | — | ||||||||||||||||||
Accrued Interest Payable | 84,419 | 84,419 | — | 84,419 | — | — | ||||||||||||||||||
Derivative Liabilities, net | 197,842 | 197,842 | — | 731,139 | — | (533,297 | ) | |||||||||||||||||
MRCS | 255,720 | 255,720 | 255,720 | — | — | — |
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 application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Netting | ||||||||||||||||||||
June 30, 2013 | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | |||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA debentures | $ | 3,204,018 | $ | — | $ | 3,204,018 | $ | — | $ | — | ||||||||||
Private-label RMBS | 511,952 | — | — | 511,952 | — | |||||||||||||||
Total AFS securities | 3,715,970 | — | 3,204,018 | 511,952 | — | |||||||||||||||
Derivative Assets: | ||||||||||||||||||||
Interest-rate related | 1,424 | — | 121,720 | — | (120,296 | ) | ||||||||||||||
Interest-rate futures/forwards | 1,424 | — | 1,424 | — | — | |||||||||||||||
MDCs | 193 | — | 193 | — | — | |||||||||||||||
Total Derivative Assets, net | 3,041 | — | 123,337 | — | (120,296 | ) | ||||||||||||||
Grantor Trust Assets (included in Other Assets) | 18,987 | 18,987 | — | — | — | |||||||||||||||
Total recurring assets at estimated fair value | $ | 3,737,998 | $ | 18,987 | $ | 3,327,355 | $ | 511,952 | $ | (120,296 | ) | |||||||||
Derivative Liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 195,581 | $ | — | $ | 728,878 | $ | — | $ | (533,297 | ) | |||||||||
Interest-rate futures/forwards | 206 | — | 206 | — | — | |||||||||||||||
MDCs | 2,055 | — | 2,055 | — | — | |||||||||||||||
Total Derivative Liabilities, net | 197,842 | — | 731,139 | — | (533,297 | ) | ||||||||||||||
Total recurring liabilities at estimated fair value | $ | 197,842 | $ | — | $ | 731,139 | $ | — | $ | (533,297 | ) | |||||||||
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 application of the netting requirements that allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Level 3 Rollforward | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance, beginning of period | $ | 525,923 | $ | 614,530 | $ | 640,142 | $ | 601,309 | ||||||||
Total realized and unrealized gains (losses): | ||||||||||||||||
Accretion of credit losses in Net Interest Income | 61 | 180 | 58 | 555 | ||||||||||||
Net gains (losses) on changes in fair value in Other Income (Loss) | — | (292 | ) | — | (3,578 | ) | ||||||||||
Net change in fair value not in excess of cumulative non-credit losses in OCI | 2,206 | 5,183 | 12,709 | 31,785 | ||||||||||||
Unrealized gains (losses) in OCI | 4,654 | 630 | 14,369 | 4,754 | ||||||||||||
Reclassification of non-credit portion in OCI to Other Income (Loss) | — | 292 | — | 3,578 | ||||||||||||
Purchases, issuances, sales and settlements: | ||||||||||||||||
Settlements | (20,892 | ) | (17,548 | ) | (31,147 | ) | (35,428 | ) | ||||||||
Transfers out | — | — | (124,179 | ) | — | |||||||||||
Balance, end of period | $ | 511,952 | $ | 602,975 | $ | 511,952 | $ | 602,975 | ||||||||
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ | 61 | $ | (112 | ) | $ | 58 | $ | (3,023 | ) |
June 30, 2013 | ||||||||||||
By Commitment | Expire within one year | Expire after one year | Total | |||||||||
Standby letters of credit outstanding | $ | 109,551 | $ | 288,221 | $ | 397,772 | ||||||
Unused lines of credit | 758,575 | — | 758,575 | |||||||||
Commitments to fund additional Advances (1) | 7,950 | — | 7,950 | |||||||||
Commitments to fund or purchase mortgage loans and participation interests | 142,372 | — | 142,372 | |||||||||
Unsettled CO Bonds, at par (2) | 119,000 | — | 119,000 |
(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) | Unsettled CO Bonds of $30,000 were hedged with associated interest-rate swaps. |
Capital Stock, including MRCS | Advances | Mortgage Loans Held for Portfolio (2) | |||||||||||||||||||
June 30, 2013 | Balance, par value | % of Total | Balance, par value | % of Total | UPB | % of Total | |||||||||||||||
Flagstar Bank, FSB | $ | 301,737 | 16 | % | $ | 2,900,000 | 16 | % | $ | 586,304 | 10 | % | |||||||||
Total (1) | $ | 301,737 | 16 | % | $ | 2,900,000 | 16 | % | $ | 586,304 | 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 June 30, 2013 as a result of our repurchase of excess stock in February 2013. |
(2) | Represents UPB of mortgage loans purchased from related party. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Related Party | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Flagstar Bank, FSB | $ | — | $ | (191,000 | ) | $ | (280,000 | ) | $ | (553,000 | ) | |||||
Bank of America, N.A. (former member) (1) | — | (100,000 | ) | — | (100,000 | ) |
(1) | Bank of America, N.A. did not meet the definition of a related party following our repurchase of excess stock in February 2013. |
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 | |||||||||||||||
June 30, 2013 | $ | 42,842 | 2 | % | $ | 225,137 | 1 | % | $ | 73,359 | 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 | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Transactions with Directors' Financial Institutions | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Net Advances to (repayments from) | $ | (93,991 | ) | $ | 1,175 | $ | (122,018 | ) | $ | (2,786 | ) | |||||
Mortgage loans acquired | 6,888 | 7,438 | 13,161 | 12,339 |
• | 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; |
• | 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; |
• | nonperformance of counterparties to bilateral and cleared derivative agreements; |
• | changes in terms of derivative 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 | ||||||||||||||||||||
June 30, 2013 | March 31, 2013 | December 31, 2012 | September 30, 2012 | June 30, 2012 | ||||||||||||||||
Statement of Condition: | ||||||||||||||||||||
Advances | $ | 19,101 | $ | 18,950 | $ | 18,130 | $ | 18,652 | $ | 18,814 | ||||||||||
Investments (1) | 14,467 | 14,463 | 16,845 | 16,498 | 15,239 | |||||||||||||||
Mortgage Loans Held for Portfolio, net | 6,167 | 6,093 | 6,001 | 5,844 | 5,780 | |||||||||||||||
Total Assets | 39,915 | 39,693 | 41,228 | 41,231 | 40,165 | |||||||||||||||
Discount Notes | 8,910 | 7,938 | 8,924 | 9,561 | 7,557 | |||||||||||||||
CO Bonds | 26,622 | 27,416 | 27,408 | 27,768 | 28,720 | |||||||||||||||
Total Consolidated Obligations | 35,532 | 35,354 | 36,332 | 37,329 | 36,277 | |||||||||||||||
MRCS | 256 | 160 | 451 | 451 | 451 | |||||||||||||||
Capital Stock, Class B Putable | 1,672 | 1,678 | 1,634 | 1,617 | 1,608 | |||||||||||||||
Retained Earnings | 672 | 617 | 592 | 570 | 549 | |||||||||||||||
AOCI | 4 | 43 | (10 | ) | (41 | ) | (80 | ) | ||||||||||||
Total Capital | 2,348 | 2,338 | 2,216 | 2,146 | 2,077 | |||||||||||||||
Statement of Income: | ||||||||||||||||||||
Net Interest Income | $ | 61 | $ | 60 | $ | 61 | $ | 59 | $ | 60 | ||||||||||
Provision for (Reversal of) Credit Losses | — | (4 | ) | — | 6 | 2 | ||||||||||||||
Net OTTI credit losses | — | (2 | ) | (1 | ) | — | — | |||||||||||||
Other Income (Loss), excluding net OTTI credit losses | 33 | (3 | ) | (4 | ) | (2 | ) | (5 | ) | |||||||||||
Other Expenses | 16 | 15 | 16 | 14 | 15 | |||||||||||||||
Affordable Housing Program Assessments | 8 | 5 | 5 | 4 | 4 | |||||||||||||||
Net Income | $ | 70 | $ | 39 | $ | 35 | $ | 33 | $ | 34 | ||||||||||
Selected Financial Ratios: | ||||||||||||||||||||
Return on average equity (2) (8) | 10.02 | % | 7.07 | % | 6.48 | % | 6.25 | % | 6.53 | % | ||||||||||
Return on average assets (8) | 0.58 | % | 0.40 | % | 0.34 | % | 0.32 | % | 0.33 | % | ||||||||||
Dividend payout ratio (3) | 20.42 | % | 36.31 | % | 39.91 | % | 35.59 | % | 35.05 | % | ||||||||||
Net interest margin (4) | 0.61 | % | 0.61 | % | 0.60 | % | 0.57 | % | 0.59 | % | ||||||||||
Total capital ratio (5) | 5.88 | % | 5.89 | % | 5.37 | % | 5.20 | % | 5.17 | % | ||||||||||
Total regulatory capital ratio (6) | 6.51 | % | 6.19 | % | 6.49 | % | 6.40 | % | 6.49 | % | ||||||||||
Average equity to average assets | 5.75 | % | 5.64 | % | 5.27 | % | 5.07 | % | 5.02 | % | ||||||||||
Weighted average dividend rate (7) | 3.50 | % | 3.50 | % | 3.50 | % | 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 annualized 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 annualized 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 annualized dividends paid in cash during the period by the average of Class B Capital Stock eligible for dividends (i.e., excludes MRCS). |
(8) | For the three months ended June 30, 2013, the annualization was adjusted for the impact of realized gain on sale of AFS securities, net of AHP, of $15.4 million. Without the adjustment, return on average equity was 12.02% and return on average assets was 0.69%. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
$ | % | $ | % | |||||||||||||||||||||||||||
Comparative Highlights | 2013 | 2012 | Change | Change | 2013 | 2012 | Change | Change | ||||||||||||||||||||||
Net Interest Income | $ | 61 | $ | 60 | $ | 1 | 3 | % | $ | 121 | $ | 122 | $ | (1 | ) | (1 | %) | |||||||||||||
Provision for (Reversal of) Credit Losses | — | 2 | (2 | ) | (68 | %) | (4 | ) | 2 | (6 | ) | (265 | %) | |||||||||||||||||
Net Interest Income After Provision for Credit Losses | 61 | 58 | 3 | 5 | % | 125 | 120 | 5 | 4 | % | ||||||||||||||||||||
Other Income (Loss) | 33 | (5 | ) | 38 | 741 | % | 28 | (6 | ) | 34 | 530 | % | ||||||||||||||||||
Other Expenses | 16 | 15 | 1 | 4 | % | 31 | 30 | 1 | 4 | % | ||||||||||||||||||||
Income Before Assessments | 78 | 38 | 40 | 108 | % | 122 | 84 | 38 | 45 | % | ||||||||||||||||||||
Affordable Housing Program Assessments | 8 | 4 | 4 | 96 | % | 13 | 9 | 4 | 39 | % | ||||||||||||||||||||
Net Income | 70 | 34 | 36 | 110 | % | 109 | 75 | 34 | 46 | % | ||||||||||||||||||||
Total Other Comprehensive Income (Loss) | (39 | ) | 3 | (42 | ) | (1,431 | %) | 14 | 34 | (20 | ) | (59 | %) | |||||||||||||||||
Total Comprehensive Income | $ | 31 | $ | 37 | $ | (6 | ) | (14 | %) | $ | 123 | $ | 109 | $ | 14 | 13 | % |
Condensed Statements of Condition | June 30, 2013 | December 31, 2012 | $ Change | % Change | |||||||||||
Advances | $ | 19,101 | $ | 18,130 | $ | 971 | 5 | % | |||||||
Mortgage Loans Held for Portfolio, net | 6,167 | 6,001 | 166 | 3 | % | ||||||||||
Investments (1) | 14,467 | 16,845 | (2,378 | ) | (14 | %) | |||||||||
Other Assets (2) | 180 | 252 | (72 | ) | (28 | %) | |||||||||
Total Assets | $ | 39,915 | $ | 41,228 | $ | (1,313 | ) | (3 | %) | ||||||
Consolidated Obligations | $ | 35,532 | $ | 36,332 | $ | (800 | ) | (2 | %) | ||||||
MRCS | 256 | 451 | (195 | ) | (43 | %) | |||||||||
Other Liabilities | 1,779 | 2,229 | (450 | ) | (20 | %) | |||||||||
Total Liabilities | 37,567 | 39,012 | (1,445 | ) | (4 | %) | |||||||||
Capital Stock, Class B Putable | 1,672 | 1,634 | 38 | 2 | % | ||||||||||
Retained Earnings | 672 | 592 | 80 | 14 | % | ||||||||||
AOCI | 4 | (10 | ) | 14 | 139 | % | |||||||||
Total Capital | 2,348 | 2,216 | 132 | 6 | % | ||||||||||
Total Liabilities and Capital | $ | 39,915 | $ | 41,228 | $ | (1,313 | ) | (3 | %) | ||||||
Total Regulatory Capital (3) | $ | 2,600 | $ | 2,677 | $ | (77 | ) | (3 | %) |
(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 $29.6 million and $105.5 million at June 30, 2013 and December 31, 2012, respectively. |
(3) | Total Regulatory Capital is Total Capital plus MRCS less AOCI. |
• | an increase in net Prepayment Fees on Advances; |
• | a decrease in the Provision for Credit Losses on Mortgage Loans Held for Portfolio; |
• | lower average balances of CO Bonds; |
• | higher spreads on Mortgage Loans Held for Portfolio; |
• | higher average balances of Mortgage Loans Held for Portfolio; and |
• | a decrease in interest expense on MRCS. |
• | lower average balances of investment securities; and |
• | narrower spreads on Advances, investment securities and short-term investments. |
• | an increase in net Prepayment Fees on Advances; |
• | 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; |
• | higher spreads on Mortgage Loans Held for Portfolio; and |
• | a decrease in interest expense on MRCS. |
• | lower average balances of investment securities; and |
• | narrower spreads on Advances, investment securities and short-term investments. |
Three Months Ended June 30, | |||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (6) | Average Balance | Interest Income/ Expense | Average Yield (6) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | $ | 3,820 | $ | 1 | 0.09 | % | $ | 3,638 | $ | 1 | 0.16 | % | |||||||||
Investment securities (1) | 10,952 | 43 | 1.56 | % | 11,454 | 52 | 1.79 | % | |||||||||||||
Advances (2) | 18,708 | 37 | 0.80 | % | 18,805 | 46 | 0.98 | % | |||||||||||||
Mortgage Loans Held for Portfolio (2) | 6,152 | 63 | 4.13 | % | 5,809 | 64 | 4.42 | % | |||||||||||||
Other Assets (interest-earning) (3) | 570 | — | (0.02 | %) | 739 | — | 0.05 | % | |||||||||||||
Total interest-earning assets | 40,202 | 144 | 1.44 | % | 40,445 | 163 | 1.61 | % | |||||||||||||
Other Assets (4) | 223 | 310 | |||||||||||||||||||
Total Assets | $ | 40,425 | $ | 40,755 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-Bearing Deposits | $ | 883 | — | 0.01 | % | $ | 846 | — | 0.01 | % | |||||||||||
Discount Notes | 8,547 | 2 | 0.10 | % | 7,099 | 2 | 0.10 | % | |||||||||||||
CO Bonds (2) | 26,631 | 78 | 1.18 | % | 29,108 | 98 | 1.35 | % | |||||||||||||
MRCS | 241 | 3 | 3.46 | % | 454 | 3 | 2.95 | % | |||||||||||||
Other borrowings | 1 | — | — | % | — | — | — | % | |||||||||||||
Total interest-bearing liabilities | 36,303 | 83 | 0.91 | % | 37,507 | 103 | 1.10 | % | |||||||||||||
Other Liabilities | 1,797 | 1,202 | |||||||||||||||||||
Total Capital | 2,325 | 2,046 | |||||||||||||||||||
Total Liabilities and Capital | $ | 40,425 | $ | 40,755 | |||||||||||||||||
Net Interest Income | $ | 61 | $ | 60 | |||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities | 0.53 | % | 0.51 | % | |||||||||||||||||
Net interest margin (5) | 0.61 | % | 0.59 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.11 | 1.08 |
Six Months Ended June 30, | |||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (6) | Average Balance | Interest Income/ Expense | Average Yield (6) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | $ | 3,714 | $ | 2 | 0.11 | % | $ | 3,626 | $ | 2 | 0.14 | % | |||||||||
Investment securities (1) | 11,133 | 88 | 1.58 | % | 11,640 | 106 | 1.82 | % | |||||||||||||
Advances (2) | 18,498 | 71 | 0.77 | % | 18,727 | 92 | 0.99 | % | |||||||||||||
Mortgage Loans Held for Portfolio (2) | 6,106 | 126 | 4.18 | % | 5,848 | 133 | 4.58 | % | |||||||||||||
Other Assets (interest-earning) (3) | 607 | 1 | 0.31 | % | 748 | 1 | 0.33 | % | |||||||||||||
Total interest-earning assets | 40,058 | 288 | 1.45 | % | 40,589 | 334 | 1.65 | % | |||||||||||||
Other Assets (4) | 200 | 305 | |||||||||||||||||||
Total Assets | $ | 40,258 | $ | 40,894 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-Bearing Deposits | $ | 846 | — | 0.01 | % | $ | 1,019 | — | 0.01 | % | |||||||||||
Discount Notes | 8,151 | 4 | 0.11 | % | 6,741 | 3 | 0.08 | % | |||||||||||||
CO Bonds (2) | 26,802 | 158 | 1.19 | % | 29,465 | 202 | 1.38 | % | |||||||||||||
MRCS | 261 | 5 | 3.47 | % | 454 | 7 | 3.21 | % | |||||||||||||
Other borrowings | — | — | — | % | — | — | — | % | |||||||||||||
Total interest-bearing liabilities | 36,060 | 167 | 0.93 | % | 37,679 | 212 | 1.13 | % | |||||||||||||
Other Liabilities | 1,904 | 1,202 | |||||||||||||||||||
Total Capital | 2,294 | 2,013 | |||||||||||||||||||
Total Liabilities and Capital | $ | 40,258 | $ | 40,894 | |||||||||||||||||
Net Interest Income | $ | 121 | $ | 122 | |||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities | 0.52 | % | 0.52 | % | |||||||||||||||||
Net interest margin (5) | 0.61 | % | 0.60 | % | |||||||||||||||||
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 derivative 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 prepayment fees on Advances. |
(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. |
(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) | Net interest margin is annualized Net Interest Income expressed as a percentage of the average balance of interest-earning assets. |
(6) | Annualized. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Components | 2013 | 2012 | 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 Realized Gains from Sale of Available-for-Sale Securities | 17 | — | 17 | — | ||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | 15 | (5 | ) | 11 | (4 | ) | ||||||||||
Other, net | 1 | — | 2 | 1 | ||||||||||||
Total Other Income (Loss) | $ | 33 | $ | (5 | ) | $ | 28 | $ | (6 | ) |
Three Months Ended June 30, 2013 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (3 | ) | $ | 2 | $ | — | $ | 1 | $ | — | $ | — | |||||||||||
Net interest settlements included in net interest income (2) | (50 | ) | (24 | ) | — | 21 | — | (53 | ) | |||||||||||||||
Total Net Interest Income | (53 | ) | (22 | ) | — | 22 | — | (53 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | 3 | 4 | — | 8 | — | 15 | ||||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | — | — | — | — | — | ||||||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | 3 | 4 | — | 8 | — | 15 | ||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (50 | ) | $ | (18 | ) | $ | — | $ | 30 | $ | — | $ | (38 | ) | |||||||||
Three Months Ended June 30, 2012 | ||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||||
Net interest settlements included in net interest income (2) | (59 | ) | (23 | ) | — | 15 | — | (67 | ) | |||||||||||||||
Total Net Interest Income | (59 | ) | (19 | ) | — | 15 | — | (63 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (4 | ) | 1 | — | 1 | — | (2 | ) | ||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | (1 | ) | (2 | ) | — | — | (3 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (4 | ) | — | (2 | ) | 1 | — | (5 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (63 | ) | $ | (19 | ) | $ | (2 | ) | $ | 16 | $ | — | $ | (68 | ) |
Six Months Ended June 30, 2013 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (7 | ) | $ | 5 | $ | — | $ | 2 | $ | — | $ | — | |||||||||||
Net interest settlements included in net interest income (2) | (103 | ) | (48 | ) | — | 43 | — | (108 | ) | |||||||||||||||
Total Net Interest Income | (110 | ) | (43 | ) | — | 45 | — | (108 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | 4 | 2 | — | 4 | — | 10 | ||||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | 1 | — | — | — | — | 1 | ||||||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | 5 | 2 | — | 4 | — | 11 | ||||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (105 | ) | $ | (41 | ) | $ | — | $ | 49 | $ | — | $ | (97 | ) | |||||||||
Six Months Ended June 30, 2012 | ||||||||||||||||||||||||
Net Interest Income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 7 | $ | — | $ | 1 | $ | — | $ | 8 | ||||||||||||
Net interest settlements included in net interest income (2) | (120 | ) | (43 | ) | — | 29 | — | (134 | ) | |||||||||||||||
Total Net Interest Income | (120 | ) | (36 | ) | — | 30 | — | (126 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (1 | ) | 1 | — | — | — | — | |||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting | — | (1 | ) | (3 | ) | — | — | (4 | ) | |||||||||||||||
Net Gains (Losses) on Derivatives and Hedging Activities | (1 | ) | — | (3 | ) | — | — | (4 | ) | |||||||||||||||
Total net effect of derivatives and hedging activities | $ | (121 | ) | $ | (36 | ) | $ | (3 | ) | $ | 30 | $ | — | $ | (130 | ) |
(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 | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Components | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Compensation and Benefits | $ | 10 | $ | 9 | $ | 19 | $ | 18 | ||||||||
Other Operating Expenses | 4 | 4 | 8 | 8 | ||||||||||||
Finance Agency and Office of Finance Expenses | 1 | 2 | 3 | 4 | ||||||||||||
Other | 1 | — | 1 | — | ||||||||||||
Total Other Expenses | $ | 16 | $ | 15 | $ | 31 | $ | 30 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Traditional Business Segment | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Net Interest Income | $ | 40 | $ | 43 | $ | 78 | $ | 83 | ||||||||
Provision for (Reversal of) Credit Losses | — | — | — | — | ||||||||||||
Other Income (Loss) | 33 | (3 | ) | 28 | (3 | ) | ||||||||||
Other Expenses | 14 | 13 | 28 | 27 | ||||||||||||
Income Before Assessments | 59 | 27 | 78 | 53 | ||||||||||||
Affordable Housing Program Assessments | 6 | 3 | 8 | 6 | ||||||||||||
Net Income | $ | 53 | $ | 24 | $ | 70 | $ | 47 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Mortgage Loans Business Segment | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Net Interest Income | $ | 21 | $ | 17 | $ | 43 | $ | 39 | ||||||||
Provision for (Reversal of) Credit Losses | — | 2 | (4 | ) | 2 | |||||||||||
Other Income (Loss) | — | (2 | ) | — | (3 | ) | ||||||||||
Other Expenses | 2 | 2 | 3 | 3 | ||||||||||||
Income Before Assessments | 19 | 11 | 44 | 31 | ||||||||||||
Affordable Housing Program Assessments | 2 | 1 | 5 | 3 | ||||||||||||
Net Income | $ | 17 | $ | 10 | $ | 39 | $ | 28 |
June 30, 2013 | December 31, 2012 | |||||||||||||
Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | ||||||||||
Advances | $ | 19,101 | 48 | % | $ | 18,130 | 44 | % | ||||||
Mortgage Loans Held for Portfolio, net | 6,167 | 15 | % | 6,001 | 15 | % | ||||||||
Federal Funds Sold and Securities Purchased Under Agreements to Resell | 3,507 | 9 | % | 5,360 | 13 | % | ||||||||
Investment Securities (1) | 10,960 | 27 | % | 11,485 | 27 | % | ||||||||
Other Assets (2) | 180 | 1 | % | 252 | 1 | % | ||||||||
Total Assets | $ | 39,915 | 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. |
June 30, 2013 | December 31, 2012 | |||||||||||||
Mortgage Loans Held for Portfolio | UPB | % of Total | UPB | % of Total | ||||||||||
MPP Original | $ | 3,494 | 57 | % | $ | 4,111 | 69 | % | ||||||
MPP Advantage | 2,103 | 35 | % | 1,585 | 27 | % | ||||||||
Total MPP | 5,597 | 92 | % | 5,696 | 96 | % | ||||||||
MPF | 472 | 8 | % | 230 | 4 | % | ||||||||
Total UPB | $ | 6,069 | 100 | % | $ | 5,926 | 100 | % |
Components of Cash and Investments | June 30, 2013 | December 31, 2012 | Change | |||||||||
Cash and short-term investments: | ||||||||||||
Cash and Due from Banks | $ | 30 | $ | 105 | $ | (75 | ) | |||||
Interest-Bearing Deposits | — | — | — | |||||||||
Securities Purchased Under Agreements to Resell | 1,450 | 3,250 | (1,800 | ) | ||||||||
Federal Funds Sold | 2,057 | 2,110 | (53 | ) | ||||||||
Total cash and short-term investments | 3,537 | 5,465 | (1,928 | ) | ||||||||
Investment securities: | ||||||||||||
AFS securities | 3,716 | 3,980 | (264 | ) | ||||||||
HTM securities | 7,244 | 7,505 | (261 | ) | ||||||||
Total investment securities | 10,960 | 11,485 | (525 | ) | ||||||||
Total Cash and Investments, carrying value | $ | 14,497 | $ | 16,950 | $ | (2,453 | ) |
Components of Excess Stock | June 30, 2013 | December 31, 2012 | ||||||
Member capital stock not subject to outstanding redemption requests | $ | 356 | $ | 423 | ||||
Member capital stock subject to outstanding redemption requests | 98 | 101 | ||||||
MRCS | 238 | 423 | ||||||
Total excess capital stock | $ | 692 | $ | 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 June 30, 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 (2) | ||||||||||||||||
Prime | — | $ | — | $ | — | 1 | $ | 10 | $ | — | ||||||||||||
Alt-A | — | — | — | — | — | — | ||||||||||||||||
Subprime | — | — | — | — | — | — | ||||||||||||||||
Total | — | $ | — | $ | — | 1 | $ | 10 | $ | — |
(1) | There were no credit losses in the best estimate scenario. |
(2) | The impairment related to credit losses using the adverse housing price scenario is less than $1 due to rounding. |
• | A first stage that will identify those nonbank financial companies that have $50 billion or more of total consolidated assets (as of June 30, 2013, the Bank had $39.9 billion in total assets) and exceed any one of five threshold indicators of interconnectedness or susceptibility to material financial distress, including whether a company has $20 billion or more in total debt outstanding (as of June 30, 2013, the Bank had $35.5 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 consolidated annual gross revenues in that fiscal year, or (ii) the company's consolidated total financial assets as of the end of either of its two most recently completed fiscal years represent 85% or more of the company's consolidated total assets as of the end that fiscal year; or |
• | 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. |
• | a new common equity tier 1 minimum capital requirement, a higher minimum tier 1 capital requirement and an additional capital conservation buffer; |
• | revised methodologies for calculation of risk-weighted assets to enhance risk sensitivity; and |
• | a supplementary leverage ratio for financial institutions subject to the "advanced approaches" risk-based capital rules. |
June 30, 2013 | AA | A | Total | |||||||||
Domestic (1) | $ | — | $ | 375 | $ | 375 | ||||||
Canada | — | 137 | 137 | |||||||||
Sweden | 625 | 240 | 865 | |||||||||
Australia | 680 | — | 680 | |||||||||
Total unsecured credit exposure | $ | 1,305 | $ | 752 | $ | 2,057 |
(1) | Includes United States subsidiaries of foreign commercial banks. |
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
June 30, 2013 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||
Interest-Bearing Deposits | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities Purchased Under Agreements to Resell | — | 1,450 | — | — | — | 1,450 | ||||||||||||||||||
Federal Funds Sold | — | 1,305 | 752 | — | — | 2,057 | ||||||||||||||||||
Total short-term investments | — | 2,755 | 752 | — | — | 3,507 | ||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||
GSE and TVA debentures | — | 3,204 | — | — | — | 3,204 | ||||||||||||||||||
Private-label RMBS | — | — | — | — | 512 | 512 | ||||||||||||||||||
Total AFS securities | — | 3,204 | — | — | 512 | 3,716 | ||||||||||||||||||
HTM securities: | ||||||||||||||||||||||||
GSE debentures | — | 269 | — | — | — | 269 | ||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 3,076 | — | — | — | 3,076 | ||||||||||||||||||
GSE RMBS | — | 3,697 | — | — | — | 3,697 | ||||||||||||||||||
Private-label RMBS | — | 30 | 33 | 50 | 73 | 186 | ||||||||||||||||||
Private-label ABS | — | — | 14 | — | 2 | 16 | ||||||||||||||||||
Total HTM securities | — | 7,072 | 47 | 50 | 75 | 7,244 | ||||||||||||||||||
Total investments, carrying value | $ | — | $ | 13,031 | $ | 799 | $ | 50 | $ | 587 | $ | 14,467 | ||||||||||||
Percentage of total | — | % | 90 | % | 6 | % | — | % | 4 | % | 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 | 31 | — | — | — | 31 | |||||||||||||||
A | 47 | — | — | — | 47 | |||||||||||||||
BBB | 35 | 16 | — | — | 51 | |||||||||||||||
Below investment grade: | ||||||||||||||||||||
BB | 18 | — | — | — | 18 | |||||||||||||||
B | 48 | 2 | — | — | 50 | |||||||||||||||
CCC | — | 194 | — | — | 194 | |||||||||||||||
CC | — | 188 | — | — | 188 | |||||||||||||||
D | — | 30 | 66 | 94 | 190 | |||||||||||||||
Total below investment grade | 66 | 414 | 66 | 94 | 640 | |||||||||||||||
Total UPB | $ | 179 | $ | 430 | $ | 66 | $ | 94 | $ | 769 | ||||||||||
Amortized cost | $ | 178 | $ | 388 | $ | 61 | $ | 72 | $ | 699 | ||||||||||
Gross unrealized losses (1) | (4 | ) | — | — | — | (4 | ) | |||||||||||||
Estimated fair value | 174 | 395 | 62 | 79 | 710 | |||||||||||||||
Credit losses (year-to-date) (2): | ||||||||||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Portion reclassified to (from) OCI | — | — | — | — | — | |||||||||||||||
OTTI credit losses | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Weighted average percentage of estimated fair value to UPB | 98 | % | 92 | % | 94 | % | 84 | % | 92 | % |
(1) | Unrealized losses represent the difference between estimated fair value and amortized cost where estimated fair value is less than amortized cost. These amounts exclude unrealized gains. |
(2) | Amounts include OTTI losses for securities held at June 30, 2013 only. |
June 30, 2013 | December 31, 2012 | |||||||||||||||||||||||
Fixed | Variable | Fixed | Variable | |||||||||||||||||||||
By Collateral Type (1) | Rate | Rate (2)(3) | Total | Rate | Rate (2)(3) | Total | ||||||||||||||||||
Prime loans | $ | 150 | $ | 585 | $ | 735 | $ | 220 | $ | 719 | $ | 939 | ||||||||||||
Alt-A loans | 18 | — | 18 | 58 | — | 58 | ||||||||||||||||||
Subprime loans | 14 | 2 | 16 | 15 | 2 | 17 | ||||||||||||||||||
Total private-label RMBS and ABS, at UPB | $ | 182 | $ | 587 | $ | 769 | $ | 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) | |||
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 - 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 | $ | 94 | 8 | % | 25 | % | 38 | % | — | % | ||||||
2006 | 65 | 11 | % | 20 | % | 37 | % | — | % | |||||||
2005 | 431 | 10 | % | 12 | % | 33 | % | 4 | % | |||||||
2004 and prior | 145 | 15 | % | 6 | % | 29 | % | 15 | % | |||||||
Total Prime | 735 | 11 | % | 13 | % | 33 | % | 5 | % | |||||||
Alt-A: | ||||||||||||||||
2004 and prior | 18 | 16 | % | 7 | % | 31 | % | 12 | % | |||||||
Total Alt-A | 18 | 16 | % | 7 | % | 31 | % | 12 | % | |||||||
Total private-label RMBS | $ | 753 | 11 | % | 13 | % | 33 | % | 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 | 10 | % | 21 | % | 42 | % | 100 | % | ||||||
Total ABS - home equity loans | $ | 2 | 10 | % | 21 | % | 42 | % | 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 | $ | 6 | $ | 2 | ||||||
Republic Mortgage Insurance Company (3) | NR | N/A | 4 | 1 | ||||||||
Radian Guaranty, Inc. | B | Stable | 3 | 1 | ||||||||
Genworth | B | Stable | 3 | 1 | ||||||||
United Guaranty Residential Insurance Corporation | BBB | Stable | 2 | 1 | ||||||||
All Others (4) | NR | N/A | 2 | — | ||||||||
Total | $ | 20 | $ | 6 |
(1) | Represents the lowest credit rating and outlook of S&P, Moody's and Fitch each stated in terms of the S&P equivalent. 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. paid only 50% of its claim amounts with the remaining amount deferred until the company is liquidated. On April 5, 2013, PMI Mortgage Insurance Company announced regulatory approval of a plan to pay 55% of its claims amounts for claims settled subsequent to October 24, 2011. |
Six Months Ended June 30, 2013 | Six Months Ended June 30, 2012 | |||||||||||||||||||||||
LRA Activity | Original | Advantage | Total | Original | Advantage | Total | ||||||||||||||||||
Balance of LRA, beginning of period | $ | 13 | $ | 21 | $ | 34 | $ | 17 | $ | 6 | $ | 23 | ||||||||||||
Additions | 1 | 8 | 9 | 2 | 6 | 8 | ||||||||||||||||||
Claims paid | (2 | ) | — | (2 | ) | (5 | ) | — | (5 | ) | ||||||||||||||
Distributions | (1 | ) | — | (1 | ) | — | — | — | ||||||||||||||||
Balance of LRA, end of period | $ | 11 | $ | 29 | $ | 40 | $ | 14 | $ | 12 | $ | 26 |
Mortgage Insurance Company | Credit Rating | Credit Rating Outlook | June 30, 2013 | December 31, 2012 | ||||||||
MGIC | B | Stable | $ | 40 | $ | 45 | ||||||
Genworth | B | Stable | 15 | 19 | ||||||||
Total | $ | 55 | $ | 64 |
Net Derivatives | Cash Collateral | |||||||||||||||
Notional | Fair Value | Pledged To (From) | Net Credit | |||||||||||||
June 30, 2013 | Amount | Before Collateral | Counterparty | Exposure | ||||||||||||
Non-member counterparties: | ||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||
Bilateral derivatives - A | $ | 142 | $ | 1 | $ | — | $ | 1 | ||||||||
Cleared derivatives (1) | — | — | — | — | ||||||||||||
Liability positions with credit exposure | ||||||||||||||||
Bilateral derivatives | — | — | — | — | ||||||||||||
Cleared derivatives (1) | 612 | (1 | ) | 3 | 2 | |||||||||||
Total derivative positions with credit exposure to non-member counterparties | 754 | — | 3 | 3 | ||||||||||||
Member institutions (2) | 26 | — | — | — | ||||||||||||
Subtotal | 780 | $ | — | $ | 3 | $ | 3 | |||||||||
Derivative positions without credit exposure | 30,653 | |||||||||||||||
Total | $ | 31,433 | ||||||||||||||
December 31, 2012 | ||||||||||||||||
Non-member counterparties: | ||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||
Bilateral derivatives - A | $ | 1,956 | $ | 1 | $ | — | $ | 1 | ||||||||
Cleared derivatives (1) | — | — | — | — | ||||||||||||
Liability positions with credit exposure | ||||||||||||||||
Bilateral derivatives | — | — | — | — | ||||||||||||
Cleared derivatives (1) | — | — | — | — | ||||||||||||
Total derivative positions with credit exposure to non-member counterparties | 1,956 | 1 | — | 1 | ||||||||||||
Member institutions (2) | 125 | — | — | — | ||||||||||||
Subtotal | 2,081 | $ | 1 | $ | — | $ | 1 | |||||||||
Derivative positions without credit exposure | 31,946 | |||||||||||||||
Total | $ | 34,027 |
(1) | Represents derivative transactions cleared with a Clearinghouse, which is not rated. |
(2) | Includes MDCs from member institutions (MPP) and FHLBank of Topeka PFIs (MPF). |
Date | -200 bps (1) | 0 bps | +200 bps | |||
June 30, 2013 | 2.0 years | (2.9) years | 0.6 years | |||
December 31, 2012 | (4.2) years | 0.3 years | 0.4 years |
(1) | 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 (2.9) years at June 30, 2013 and 0.3 years at December 31, 2012. |
Date | VaR | |||
June 30, 2013 | $ | 246 | ||
December 31, 2012 | 106 |
Date | -200 bps | +200 bps | ||||
June 30, 2013 | (5.5 | )% | 1.9 | % | ||
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 Executive Officers, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on February 4, 2011 | |
10.6*+ | 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 | |
10.7*+ | Federal Home Loan Bank of Indianapolis Incentive Plan, effective January 1, 2012, as amended and/or updated on March 19, 2012, May 18, 2012, November 15, 2012 and May 29, 2013, incorporated by reference to Exhibit 99.1 of our Current Report on Form 8-K filed on June 4, 2013 | |
31.1 | Certification of the President - Chief Executive Officer to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.2 | Certification of the Senior Vice President - Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.3 | Certification of the Senior Vice President - Chief Accounting Officer pursuant to Section 302 of the Sarbanes - Oxley Act of 2002 | |
32 | Certification of the President - Chief Executive Officer, Senior Vice President - Chief Financial Officer, and Senior Vice President - Chief Accounting Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | |
101.INS | XBRL Instance Document |
Exhibit Number | Description | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||
August 9, 2013 | By: | /s/ CINDY L. KONICH |
Name: | Cindy L. Konich | |
Title: | President - Chief Executive Officer | |
August 9, 2013 | By: | /s/ ROBERT E. GRUWELL |
Name: | Robert E. Gruwell | |
Title: | Senior Vice President - Chief Financial Officer | |
August 9, 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. |
Commitments and Contingencies (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
|||||
---|---|---|---|---|---|---|---|
Loss Contingencies [Line Items] | |||||||
Cash collateral pledged | $ 413,764 | $ 677,550 | |||||
Maximum [Member]
|
|||||||
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 | 109,551 | ||||||
Off-balance-sheet commitments expire after one year | 288,221 | ||||||
Off-balance-sheet commitments,Total | 397,772 | ||||||
Unused Lines of Credit [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 758,575 | ||||||
Off-balance-sheet commitments expire after one year | 0 | ||||||
Off-balance-sheet commitments,Total | 758,575 | ||||||
Commitments to Fund Additional Advances [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 7,950 | [1] | |||||
Off-balance-sheet commitments expire after one year | 0 | [1] | |||||
Off-balance-sheet commitments,Total | 7,950 | [1] | |||||
Commitments to Fund or Purchase Mortgage Loans and Participation Interest [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 142,372 | ||||||
Off-balance-sheet commitments expire after one year | 0 | ||||||
Off-balance-sheet commitments,Total | 142,372 | ||||||
Unsettled CO Bonds, at par [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments expire within one year | 119,000 | [2] | |||||
Off-balance-sheet commitments expire after one year | 0 | [2] | |||||
Off-balance-sheet commitments,Total | 119,000 | [2] | |||||
Unsettled CO Bonds, at par [Member] | Interest Rate Swaps [Member]
|
|||||||
Loss Contingencies [Line Items] | |||||||
Off-balance-sheet commitments,Total | $ 30,000 | ||||||
|
Derivative and Hedging Activities
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities | Note 9 - Derivatives and Hedging Activities Financial Statement Effect and Additional Financial Information. The following table presents the notional amount and fair value of derivative instruments. Derivative transactions may be either over-the-counter with a counterparty (bilateral derivatives) or over-the-counter cleared through a Futures Commission Merchant (i.e., clearing member) with a Clearinghouse (cleared derivatives). For purposes of this disclosure, the derivative values include the related accrued interest.
We record derivative instruments, related cash collateral received or pledged and associated accrued interest, on a net basis by clearing member and/or by counterparty when the netting requirements have been met as presented in the following table.
The following table presents the components of Net Gains (Losses) on Derivatives and Hedging Activities reported in Other Income (Loss):
The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair-value hedging relationships and the effect of those derivatives on Net Interest Income:
Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and Finance Agency regulations. For bilateral derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. We require collateral agreements with collateral delivery thresholds on the majority of our bilateral derivatives. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement and held by the member institution for our benefit. For cleared derivatives, the Clearinghouse is our counterparty and, therefore, our credit risk exposure is with a central counterparty rather than individual counterparties. Collateral is required to be posted daily for changes in the value of cleared derivatives to mitigate each counterparty's credit risk. The additional requirement that we post initial and variation margin through the clearing member, for the benefit of the Clearinghouse, exposes us to institutional credit risk in the event that the clearing member or Clearinghouse fails to meet its obligations. See Note 16 - Estimated Fair Values for discussion regarding our fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the estimated fair value of these instruments to be affected by counterparty credit risk. We have credit support agreements for our bilateral derivatives that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate estimated fair value of all bilateral derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at June 30, 2013 was $605,962 for which we have posted collateral, including accrued interest, with an estimated fair value of $410,381 in the normal course of business. In addition, we held other derivative instruments in a net liability position of $2,261 that are not subject to credit support agreements containing credit-risk related contingent features. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to AA), we could have been required to deliver up to an additional $52,852 of collateral (at estimated fair value) to our derivative counterparties at June 30, 2013. |
Held-to-Maturity Securities (Narratives) (Details) (MBS and ABS [Member], USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
MBS and ABS [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Net premiums | $ 47,458 | $ 51,784 |
Statements of Income (Unaudited) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Interest Income: | ||||
Advances | $ 30,380 | $ 43,544 | $ 63,232 | $ 88,913 |
Prepayment Fees on Advances, net | 6,872 | 2,359 | 7,854 | 2,833 |
Interest-Bearing Deposits | 164 | 280 | 389 | 474 |
Securities Purchased Under Agreements to Resell | 328 | 824 | 883 | 1,460 |
Federal Funds Sold | 554 | 593 | 1,192 | 980 |
Available-for-Sale Securities | 7,395 | 10,315 | 16,457 | 20,774 |
Held-to-Maturity Securities | 35,068 | 40,709 | 71,010 | 84,701 |
Mortgage Loans Held for Portfolio, net | 63,289 | 63,887 | 126,423 | 133,118 |
Other, net | (195) | (188) | 547 | 753 |
Total Interest Income | 143,855 | 162,323 | 287,987 | 334,006 |
Interest Expense: | ||||
Consolidated Obligation Discount Notes | 2,125 | 1,811 | 4,369 | 2,603 |
Consolidated Obligation Bonds | 78,572 | 97,742 | 158,078 | 201,849 |
Deposits | 23 | 21 | 45 | 51 |
Mandatorily Redeemable Capital Stock | 2,080 | 3,326 | 4,488 | 7,237 |
Total Interest Expense | 82,800 | 102,900 | 166,980 | 211,740 |
Net Interest Income | 61,055 | 59,423 | 121,007 | 122,266 |
Provision for (Reversal of) Credit Losses | 591 | 1,864 | (3,765) | 2,283 |
Net Interest Income After Provision for Credit Losses | 60,464 | 57,559 | 124,772 | 119,983 |
Other Income (Loss): | ||||
Total Other-Than-Temporary Impairment Losses | 0 | 0 | 0 | (6) |
Non-Credit Portion Reclassified to (from) Other Comprehensive Income, net | 0 | (292) | (1,924) | (3,574) |
Net Other-Than-Temporary Impairment Losses, credit portion | 0 | (292) | (1,924) | (3,580) |
Net Realized Gains from Sale of Available-for-Sale Securities | 17,135 | 0 | 17,135 | 0 |
Net Gains (Losses) on Derivatives and Hedging Activities | 14,568 | (5,563) | 10,796 | (4,387) |
Service Fees | 231 | 254 | 459 | 487 |
Standby Letters of Credit Fees | 588 | 239 | 754 | 488 |
Other, net | 388 | 228 | 692 | 505 |
Total Other Income (Loss) | 32,910 | (5,134) | 27,912 | (6,487) |
Other Expenses: | ||||
Compensation and Benefits | 9,730 | 9,282 | 19,052 | 18,049 |
Other Operating Expenses | 4,474 | 4,199 | 8,482 | 8,129 |
Federal Housing Finance Agency | 544 | 826 | 1,364 | 1,836 |
Office of Finance | 657 | 605 | 1,464 | 1,280 |
Other | 313 | 227 | 571 | 425 |
Total Other Expenses | 15,718 | 15,139 | 30,933 | 29,719 |
Income Before Assessments | 77,656 | 37,286 | 121,751 | 83,777 |
Assessments: | ||||
Affordable Housing Program Assessments | 7,974 | 4,061 | 12,624 | 9,101 |
Net Income | $ 69,682 | $ 33,225 | $ 109,127 | $ 74,676 |
Recently Adopted and Issued Accounting Guidance
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Inclusion of the Fed Funds Effective Swap Rate (or OIS) as a Benchmark Interest Rate for Hedge Accounting Purposes. On July 17, 2013, the FASB amended existing guidance to include the Fed Funds Effective Swap Rate, also referred to as OIS, as a United States benchmark interest rate for hedge accounting purposes. Including OIS as an acceptable United States benchmark interest rate, in addition to United States Treasuries and LIBOR, will provide a more comprehensive spectrum of interest rate resets to use as the designated benchmark interest rate risk component under the hedge accounting guidance. The amendments also remove the restriction on using different benchmark interest rates for similar hedges. The amendments apply to all entities that elect to apply hedge accounting of the benchmark interest rate, and are effective prospectively for qualifying new or redesignated hedging relationships entered into on or after July 17, 2013. We are currently in the process of evaluating the potential effects of this guidance on our hedging strategies. Joint and Several Liability Arrangements. On February 28, 2013, the FASB issued guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of this guidance is fixed at the reporting date. This guidance requires an entity to measure these obligations as the sum of (i) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (ii) any additional amount the reporting entity expects to pay on behalf of its co-obligors. In addition, this guidance requires an entity to disclose the nature and the amount of the obligation as well as other information about those obligations. This guidance is effective for interim and annual periods beginning on or after December 15, 2013 and should be applied retrospectively to obligations with joint and several liabilities existing at the beginning of an entity's fiscal year of adoption. This guidance will not have any effect on our financial condition, results of operations or cash flows. Presentation of Comprehensive Income. On February 5, 2013, the FASB issued guidance to improve the transparency of reporting classifications out of AOCI. This guidance does not change the current requirements for reporting net income or comprehensive income in financial statements. However, it does require us to provide information about the amounts reclassified out of AOCI by component. In addition, we are required to present, either on the face of the financial statement where net income is presented or in the notes, significant amounts reclassified out of AOCI. These amounts must be presented based on the respective lines of net income if the amount reclassified is required under GAAP to be reclassified to net income in its entirety in the same reporting period. For other amounts that are not required under GAAP to be reclassified in their entirety to net income, we are required to cross-reference to other required disclosures that provide additional detail about these other amounts. This guidance became effective for interim and annual periods beginning on January 1, 2013 and was applied prospectively. The adoption of this guidance resulted in additional financial statement disclosures, but did not have any effect on our financial condition, results of operations or cash flows. See Note 14 - Accumulated Other Comprehensive Income (Loss)for additional disclosures required by this guidance. Disclosures about Offsetting Assets and Liabilities. On December 16, 2011, the FASB issued common disclosure requirements intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a company's financial position. This guidance was amended on January 31, 2013 to clarify that its scope includes only certain financial instruments that are either offset on the statement of condition or are subject to an enforceable master netting arrangement or similar agreement. This guidance requires us to disclose both gross and net information about derivative, repurchase and security lending instruments that meet this criteria. This guidance, as amended, became effective for interim and annual periods beginning on January 1, 2013, and was applied retrospectively for all comparative periods presented. The adoption of this guidance resulted in expanded interim and annual financial statement disclosures, but did not have any effect on our financial condition, results of operations or cash flows. See Note 9 - Derivatives and Hedging Activities for additional disclosures required by this guidance. Advisory Bulletin 2012-02. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention ("AB-2012-02"). The guidance establishes a standard and uniform methodology for adversely classifying certain assets other than investment securities, and prescribes the timing of asset charge-offs based on these classifications. Such classification methodology and accounting treatment differ from our current methodology and accounting policy. AB-2012-02 states that it was effective upon issuance. However, the Finance Agency issued additional guidance that extended the effective date for classification purposes to January 1, 2014; and the effective date for financial reporting purposes to January 1, 2015. We are in the process of implementing this guidance. While we are evaluating the effect of this guidance on our financial condition, results of operations and cash flows, we do not expect it to be material. |
Estimated Fair Values
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Fair Values | Note 16 - Estimated Fair Values We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in/out at estimated fair value as of the beginning of the quarter in which the changes occur. As described below, we reclassified six AFS securities from Level 3 to Level 2 during the six months ended June 30, 2013. There were no such reclassifications during the three months ended June 30, 2013 and the three and six months ended June 30, 2012. 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.
Summary of Valuation Techniques and Significant Inputs. A description of the valuation techniques, significant inputs, and levels of fair value hierarchy is disclosed in Note 19 - Estimated Fair Values in our 2012 Form 10-K, and no changes have been made in the current year, except as disclosed below. Derivative Assets/Liabilities. The estimated fair values of our derivatives are adjusted for counterparty nonperformance risk, particularly credit risk, as appropriate. Our nonperformance risk adjustment is computed using observable credit default swap spreads and estimated probability default rates applied to our exposure after taking into consideration collateral held or placed. The nonperformance risk adjustment is not material to our derivative valuations or financial statements. Estimated Fair Value Measurements. 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 June 30, 2013 or December 31, 2012.
Level 3 Disclosures for All Assets and Liabilities that are Measured at Fair Value on a Recurring Basis. 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.
We classified the six securities we sold on April 4, 2013 as Level 2 within the fair value hierarchy as of March 31, 2013 because the estimated fair values were derived from and corroborated by the sales prices in actual market transactions. The total fair value of these six securities that we transferred from Level 3 to Level 2 was $124,179 as of January 1, 2013, the beginning of the quarter in which the transfer occurred. |
Derivative and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||||||||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivatives | $ 162,962 | $ (98,550) | $ 214,186 | $ (40,195) | ||||||
Gain (Loss) on Hedged Item | (148,611) | 95,668 | (204,237) | 39,743 | ||||||
Net Fair Value Hedge Ineffectiveness | 14,351 | (2,882) | 9,949 | (452) | ||||||
Effect on Net Interest Income | (52,253) | [1] | (62,957) | [1] | (107,417) | [1] | (126,354) | [1] | ||
Advances [Member]
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||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivatives | 148,323 | (66,062) | 206,209 | (31,647) | ||||||
Gain (Loss) on Hedged Item | (145,492) | 62,367 | (201,981) | 30,618 | ||||||
Net Fair Value Hedge Ineffectiveness | 2,831 | (3,695) | 4,228 | (1,029) | ||||||
Effect on Net Interest Income | (53,240) | [1] | (59,674) | [1] | (109,818) | [1] | (120,343) | [1] | ||
AFS Securities [Member]
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Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivatives | 90,759 | (36,070) | 121,036 | (20,484) | ||||||
Gain (Loss) on Hedged Item | (87,132) | 36,123 | (119,355) | 21,432 | ||||||
Net Fair Value Hedge Ineffectiveness | 3,627 | 53 | 1,681 | 948 | ||||||
Effect on Net Interest Income | (21,507) | [1] | (18,789) | [1] | (42,933) | [1] | (35,838) | [1] | ||
CO Bonds [Member]
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Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Gain (Loss) on Derivatives | (76,120) | 3,582 | (113,059) | 11,936 | ||||||
Gain (Loss) on Hedged Item | 84,013 | (2,822) | 117,099 | (12,307) | ||||||
Net Fair Value Hedge Ineffectiveness | 7,893 | 760 | 4,040 | (371) | ||||||
Effect on Net Interest Income | $ 22,494 | [1] | $ 15,506 | [1] | $ 45,334 | [1] | $ 29,827 | [1] | ||
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Advances (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
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Redemption Terms [Abstract] | ||
Overdrawn demand and overnight deposit accounts, Amount | $ 888 | $ 15,004 |
Overdrawn demand and overnight deposit accounts,WAIR % | 2.49% | 2.50% |
Due in 1 year or less, Amount | 4,526,802 | 3,761,551 |
Due in 1 year or less, WAIR % | 0.72% | 1.57% |
Due after 1 year through 2 years, Amount | 1,770,868 | 1,365,251 |
Due after 1 year through 2 years, WAIR % | 2.18% | 2.66% |
Due after 2 years through 3 years, Amount | 3,213,829 | 2,287,033 |
Due after 2 years through 3 years, WAIR % | 2.58% | 3.11% |
Due after 3 years through 4 years, Amount | 3,479,849 | 3,435,097 |
Due after 3 years through 4 years. WAIR % | 2.43% | 2.61% |
Due after 4 years through 5 years, Amount | 2,102,751 | 2,448,083 |
Due after 4 years through 5 years, WAIR % | 2.17% | 2.22% |
Thereafter, Amount | 3,562,865 | 4,070,200 |
Thereafter, WAIR % | 2.12% | 2.49% |
Total Advances, par value | 18,657,852 | 17,382,219 |
Total Advances, WAIR % | 1.93% | 2.38% |
Unamortized discounts (including AHP) | (3,191) | (1,284) |
Hedging adjustments | 325,912 | 577,225 |
Unamortized swap termination fees associated with modified Advances | 120,026 | 171,298 |
Total Advances | 19,100,599 | 18,129,458 |
Advances by the Earlier of Contractual Maturity or Next Put Date [Abstract] | ||
Overdrawn demand and overnight deposit accounts | 888 | 15,004 |
Year of Contractual Maturity or Next Call Date, Due in 1 year or less | 6,697,167 | 5,800,961 |
Year of Contractual Maturity or Next Put Date, Due in 1 year or less | 4,754,802 | 4,070,551 |
Year of Contractual Maturity or Next Call Date, Due after 1 year through 2 years | 1,788,618 | 1,348,251 |
Year of Contractual Maturity or Next Put Date, Due after 1 year through 2 years | 1,763,868 | 1,327,251 |
Year of Contractual Maturity or Next Call Date, Due after 2 years through 3 years | 2,792,829 | 2,163,783 |
Year of Contractual Maturity or Next Put Date, Due after 2 years through 3 years | 3,197,329 | 2,250,533 |
Year of Contractual Maturity or Next Call Date, Due after 3 years through 4 years | 3,696,099 | 3,539,097 |
Year of Contractual Maturity or Next Put Date, Due after 3 years through 4 years | 3,405,349 | 3,405,097 |
Year of Contractual Maturity or Next Call Date, Due after 4 years through 5 years | 2,052,751 | 2,310,333 |
Year of Contractual Maturity or Next Put Date, Due after 4 years through 5 years | 2,022,751 | 2,328,583 |
Year of Contractual Maturity or Next Call Date, Thereafter | 1,629,500 | 2,204,790 |
Year of Contractual Maturity or Next Put Date, Thereafter | $ 3,512,865 | $ 3,985,200 |
Minimum [Member]
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Advances [Line Items] | ||
Interest rate of advances outstanding | 0.00% | |
Maximum [Member]
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Advances [Line Items] | ||
Interest rate of advances outstanding | 8.34% |
Deposits
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6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Deposits [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits | Note 10 - Deposits The following table presents Interest-Bearing and Non-Interest-Bearing Deposits:
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Available-for-Sale Securities (Redemption Terms) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
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Dec. 31, 2012
|
---|---|---|
Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | $ 3,700,070 | $ 3,977,929 |
Estimated Fair Value | 3,715,970 | 3,980,580 |
Non-MBS [Member]
|
||
Available-for-sale Securities [Line Items] | ||
Due in One Year or Less, Amortized Cost | 0 | 0 |
Due in One Year or Less, Estimated Fair Value | 0 | 0 |
Due after One Year Through Five Years, Amortized Cost | 2,038,825 | 2,038,791 |
Due after One Year Through Five Years, Estimated Fair Value | 2,044,592 | 2,048,429 |
Due after Five Years Through Ten Years, Amortized Cost | 1,130,890 | 1,197,884 |
Due after Five Years Through Ten Years, Estimated Fair Value | 1,125,740 | 1,200,979 |
Due after Ten Years, Amortized Cost | 33,828 | 91,428 |
Due after Ten Years, Estimated Fair Value | 33,686 | 91,030 |
Amortized Cost Basis | 3,203,543 | 3,328,103 |
Estimated Fair Value | 3,204,018 | 3,340,438 |
MBS [Member]
|
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Available-for-sale Securities [Line Items] | ||
Amortized Cost Basis | 496,527 | 649,826 |
Estimated Fair Value | $ 511,952 | $ 640,142 |
Subsequent Events (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | 0 Months Ended | |||
---|---|---|---|---|---|---|
Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Jul. 12, 2013
Subsequent Event [Member]
|
Jul. 12, 2013
Reclassification out of Accumulated Other Comprehensive Income [Member]
Subsequent Event [Member]
|
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Subsequent Event [Line Items] | ||||||
Lump sum benefits distribution paid | $ 10,283 | |||||
Compensation and Benefits | $ 9,730 | $ 9,282 | $ 19,052 | $ 18,049 | $ 5,093 |
Advances (Narratives) (Details) (USD $)
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3 Months Ended | 6 Months Ended | |||
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Jun. 30, 2013
Borrower
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Jun. 30, 2012
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Jun. 30, 2013
Borrower
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Jun. 30, 2012
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Dec. 31, 2012
Borrower
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Advances [Abstract] | |||||
Callable advances outstanding | $ 3,500,000,000 | $ 3,500,000,000 | $ 3,700,000,000 | ||
Putable advances outstanding | 257,000,000 | 257,000,000 | 351,500,000 | ||
Convertible Advances outstanding | 0 | 0 | 0 | ||
Prepayment fees | 25,193,000 | 6,778,000 | 30,841,000 | 7,670,000 | |
Gross advance prepayment fee deferred in the period | 4,704,000 | 6,092,000 | 11,935,000 | 26,891,000 | |
Advances outstanding, at par, to single borrowers with balances that were greater than or equal to $1.0 billion | 8,500,000,000 | 8,500,000,000 | 8,400,000,000 | ||
Advances to borrowers holding in excess of $1.0 billion per borrower, at par value, percentage of advances outstanding | 46.00% | 46.00% | 48.00% | ||
Number of borrowers holding in excess of $1.0 billion per borrower | 4 | 4 | 5 | ||
UPB of collateral to cover the Advances to these institutions | $ 15,500,000,000 | $ 15,500,000,000 | $ 17,900,000,000 |
Affordable Housing Program (Tables)
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6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2013
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Affordable Housing Program [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | The following table summarizes the activity in our AHP funding obligation:
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Subsequent Events
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6 Months Ended |
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Jun. 30, 2013
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Subsequent Events [Abstract] | |
Subsequent Events | Note 19 - Subsequent Events On June 27, 2013, Milton Miller, our former President - CEO, informed our Board of Directors of his decision to retire effective July 1, 2013, as disclosed on Form 8-K filed with the SEC on June 27, 2013. Mr. Miller received a lump sum distribution from our Supplemental Executive Retirement Plans totaling $10,283 on July 12, 2013. As a result of this distribution, we accelerated $5,093 of amortization of previously unrecognized pension benefits from AOCI into Compensation and Benefits expense in the third quarter of 2013. |
Transactions with Related Parties
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Jun. 30, 2013
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Related Party Transactions [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Related Parties | Note 18 - Transactions with Related Parties For financial reporting purposes, we define related parties as those members, and former members and their affiliates, with capital stock outstanding in excess of 10% of our total outstanding Capital Stock and MRCS. Transactions with such related parties are entered into in the normal course of business and are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as other similar transactions. In addition, under our Capital Plan, our members (including directors' financial institutions) have an activity-based Capital Stock requirement pursuant to which they purchase additional Capital Stock in specified amounts (generally expressed as a percentage of the transaction amount) when they obtain Advances from us or in certain cases sell mortgage loans to us. The following table presents the outstanding balances with respect to transactions with related parties and their balance as a percent of the total balance on our Statement of Condition.
During the three and six months ended June 30, 2013 and 2012, we had net Advances to (repayments from) related parties as follows:
We did not acquire any mortgage loans from related parties during the three and six months ended June 30, 2013 and 2012. Transactions with Directors' Financial Institutions. We provide, in the ordinary course of business, products and services to members whose officers or directors serve on our board of directors. In accordance with Finance Agency regulations, transactions with directors' financial institutions are executed on the same terms as those with any other member. The following table presents the outstanding balances with respect to transactions with directors' financial institutions and their balance as a percent of the total balance on our Statement of Condition.
During the three and six months ended June 30, 2013 and 2012, net Advances to (repayments from) directors' financial institutions and mortgage loans acquired from directors' financial institutions, taking into account the dates of the directors' appointments and resignations, were as follows:
Transactions with Other FHLBanks. During the three and six months ended June 30, 2013, we purchased $124,121 and $255,896, respectively, of participation interests from the FHLBank of Topeka in mortgage loans originated by its members under the MPF program. Beginning in July 2012, we pay an MPF Provider fee to the FHLBank of Chicago for our participation in the MPF program. This fee is recorded in Other Expenses. For the three and six months ended June 30, 2013, we paid $54 and $92, respectively, in MPF Provider fees to the FHLBank of Chicago. No MPF Provider fees were paid for the three and six months ended June 30, 2012. |
Available-for-Sale Securities (Major Security Types) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
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Dec. 31, 2012
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Available-for-sale Securities [Line Items] | ||||||
Amortized Cost | $ 3,700,070 | [1] | $ 3,977,929 | [1] | ||
Non-Credit OTTI | (158) | (20,126) | ||||
Gross Unrealized Gains | 21,943 | 23,449 | ||||
Gross Unrealized Losses | (5,885) | (672) | ||||
Estimated Fair Value | 3,715,970 | 3,980,580 | ||||
GSE and TVA debentures [Member]
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Available-for-sale Securities [Line Items] | ||||||
Amortized Cost | 3,203,543 | [1] | 3,328,103 | [1] | ||
Non-Credit OTTI | 0 | 0 | ||||
Gross Unrealized Gains | 6,360 | 13,007 | ||||
Gross Unrealized Losses | (5,885) | (672) | ||||
Estimated Fair Value | 3,204,018 | 3,340,438 | ||||
Private-Label RMBS [Member]
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Available-for-sale Securities [Line Items] | ||||||
Amortized Cost | 496,527 | [1] | 649,826 | [1] | ||
Non-Credit OTTI | (158) | (20,126) | ||||
Gross Unrealized Gains | 15,583 | 10,442 | ||||
Gross Unrealized Losses | 0 | 0 | ||||
Estimated Fair Value | $ 511,952 | $ 640,142 | ||||
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Allowance for Credit Losses (Tables)
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Jun. 30, 2013
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Impact of MPP Risk Sharing Structure on Allowance for Credit Losses [Table Text Block] | The following table presents the impact of credit enhancements on the allowance:
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Changes in Lender Risk Account [Table Text Block] | The following table presents the activity in the LRA:
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Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | The tables below present a rollforward of our allowance for loan losses on mortgage loans, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology. The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of deferred loan fees or costs, unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct write-downs. The recorded investment is not net of any valuation allowance.
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Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] |
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Recorded Investment in Delinquent Mortgage Loans [Table Text Block] | The tables below present our key credit quality indicators for mortgage loans at June 30, 2013 and December 31, 2012:
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Performing and Non-performing Troubled Debt Restructurings [Table Text Block] | The table below presents the recorded investment of the performing and non-performing MPP troubled debt restructurings.
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Troubled Debt Restructurings Recorded Investment Balance at Modification Date [Table Text Block] | The tables below present the financial effect of the troubled debt restructurings for the three and six months ended June 30, 2013 and 2012. The pre- and post-modification amounts represent the amount of recorded investment as of the date the loans were modified.
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Individually Evaluated Impaired Loan Statistics by Product Class Level [Table Text Block] | The first table presents the recorded investment, UPB and related allowance associated with these loans while the next tables present the average recorded investment of individually impaired loans and related interest income recognized.
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Impaired Financing Receivables [Table Text Block] |
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Accumulated Other Comprehensive Income (Loss) (Tables)
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Jun. 30, 2013
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Accumulated Other Comprehensive Income (Loss) [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Changes in the Components of AOCI [Table Text Block] | The following table presents a summary of the changes in the components of AOCI for the three and six months ended June 30, 2013 and 2012:
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Available-for-Sale Securities (Realized Gains and Losses) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Available-for-sale Securities [Abstract] | ||||
Proceeds from sale | $ 129,471 | $ 0 | $ 129,471 | $ 0 |
Previously recognized OTTI credit losses including accretion | 38,806 | 0 | 38,806 | 0 |
Gross realized gains | 17,135 | 0 | 17,135 | 0 |
Gross realized losses | 0 | 0 | 0 | 0 |
Net Realized Gains from Sale of Available-for-Sale Securities | $ 17,135 | $ 0 | $ 17,135 | $ 0 |
Other-Than-Temporary Impairments Analysis (Tables)
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Jun. 30, 2013
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Other Than Temporary Impairments Analysis [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings [Table Text Block] | The following table presents a rollforward of the amounts related to credit losses recognized in earnings. The rollforward excludes accretion of credit losses for securities that have not experienced a significant increase in cash flows.
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Total Securities Other-than-Temporarily Impaired during the Life of the Security [Table Text Block] | The following table presents the June 30, 2013 classification and balances of OTTI securities impaired prior to June 30, 2013 (i.e., life to date) but not necessarily as of June 30, 2013. Securities are classified based on the originator's classification at the time of origination or based on the classification by the NRSROs upon issuance. Because there is no universally accepted definition of prime, Alt-A or subprime underwriting standards, such classifications are subjective.
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Derivative and Hedging Activities (Derivatives in Statement of Condition) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
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Dec. 31, 2012
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Derivatives, Fair Value [Line Items] | ||||||||
Notional Amount of Derivatives Designated as Hedging Instruments | $ 30,582,955 | $ 32,158,474 | ||||||
Fair Value of Derivative Assets Designated as Hedging Instruments | 119,601 | 71,297 | ||||||
Fair Value of Derivative Liabilities Designated as Hedging Instruments | 728,754 | 951,216 | ||||||
Notional Amount of Derivatives Not Designated as Hedging Instruments | 849,772 | 1,868,854 | ||||||
Fair Value of Derivatives Assets Not Designated as Hedging Instruments | 3,736 | 2,281 | ||||||
Fair Value of Derivatives Liabilities Not Designated as Hedging Instruments | 2,385 | 305 | ||||||
Notional Amount of Derivatives | 31,432,727 | 34,027,328 | ||||||
Fair Value of Derivative Assets, Total derivatives before adjustments | 123,337 | 73,578 | ||||||
Fair Value of Derivative Liabilities, Total derivatives before adjustments | 731,139 | 951,521 | ||||||
Derivative Asset, Netting adjustments | (121,720) | (72,757) | ||||||
Derivative Liability, Netting adjustments | (121,720) | (72,757) | ||||||
Derivative Asset, Cash Collateral and Related Accrued Interest | 1,424 | 0 | ||||||
Derivative Liability, Cash Collateral and Related Accrued Interest | (411,577) | (677,649) | ||||||
Derivative Asset, Total adjustments | (120,296) | [1] | (72,757) | [1] | ||||
Derivative Liability, Total adjustments | (533,297) | [1] | (750,406) | [1] | ||||
Derivative Assets | 3,041 | 821 | ||||||
Derivative Liabilities | 197,842 | 201,115 | ||||||
Interest Rate Swaps [Member]
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Derivatives, Fair Value [Line Items] | ||||||||
Notional Amount of Derivatives Designated as Hedging Instruments | 30,582,955 | [2] | 32,158,474 | |||||
Fair Value of Derivative Assets Designated as Hedging Instruments | 119,601 | [2] | 71,297 | |||||
Fair Value of Derivative Liabilities Designated as Hedging Instruments | 728,754 | [2] | 951,216 | |||||
Notional Amount of Derivatives Not Designated as Hedging Instruments | 225,000 | 1,214,179 | ||||||
Fair Value of Derivatives Assets Not Designated as Hedging Instruments | 520 | 757 | ||||||
Fair Value of Derivatives Liabilities Not Designated as Hedging Instruments | 124 | 233 | ||||||
Interest Rate Caps / Floors [Member]
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Derivatives, Fair Value [Line Items] | ||||||||
Notional Amount of Derivatives Not Designated as Hedging Instruments | 340,500 | 340,500 | ||||||
Fair Value of Derivatives Assets Not Designated as Hedging Instruments | 1,599 | 1,005 | ||||||
Fair Value of Derivatives Liabilities Not Designated as Hedging Instruments | 0 | 0 | ||||||
Interest Rate Futures / Forwards [Member]
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Derivatives, Fair Value [Line Items] | ||||||||
Notional Amount of Derivatives Not Designated as Hedging Instruments | 141,900 | 156,700 | ||||||
Fair Value of Derivatives Assets Not Designated as Hedging Instruments | 1,424 | 230 | ||||||
Fair Value of Derivatives Liabilities Not Designated as Hedging Instruments | 206 | 43 | ||||||
Mortgage Delivery Commitments [Member]
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Derivatives, Fair Value [Line Items] | ||||||||
Notional Amount of Derivatives Not Designated as Hedging Instruments | 142,372 | 157,475 | ||||||
Fair Value of Derivatives Assets Not Designated as Hedging Instruments | 193 | 289 | ||||||
Fair Value of Derivatives Liabilities Not Designated as Hedging Instruments | $ 2,055 | $ 29 | ||||||
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Capital (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
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Jun. 30, 2013
Institution
Member
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Jun. 30, 2012
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Jun. 30, 2013
Institution
Member
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Jun. 30, 2012
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Dec. 31, 2012
Member
Institution
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Regulatory Capital Requirements [Abstract] | |||||
Risk-based capital, Required | $ 754,866 | $ 754,866 | $ 636,022 | ||
Risk-based capital, Actual | 2,600,030 | 2,600,030 | 2,676,616 | ||
Regulatory permanent capital-to-asset ratio, Required | 4.00% | 4.00% | 4.00% | ||
Regulatory permanent capital-to-asset ratio, Actual | 6.51% | 6.51% | 6.49% | ||
Regulatory permanent capital, Required | 1,596,604 | 1,596,604 | 1,649,105 | ||
Regulatory permanent capital, Actual | 2,600,030 | 2,600,030 | 2,676,616 | ||
Leverage ratio, Required | 5.00% | 5.00% | 5.00% | ||
Leverage ratio, Actual | 9.77% | 9.77% | 9.74% | ||
Leverage capital, Required | 1,995,755 | 1,995,755 | 2,061,382 | ||
Leverage capital, Actual | 3,900,045 | 3,900,045 | 4,014,924 | ||
Mandatorily Redeemable Capital Stock Acitvity [Roll Forward] | |||||
Balance at beginning of period | 160,499 | 457,425 | 450,716 | 453,885 | |
Additions due to change in membership status | 95,441 | 0 | 95,441 | 3,513 | |
Redemptions/repurchases | (357) | (6,527) | (290,574) | (6,527) | |
Accrued dividends | 137 | 0 | 137 | 27 | |
Balance at end of period | 255,720 | 450,898 | 255,720 | 450,898 | |
Number of former members holding MRCS | 17 | 17 | 27 | ||
Number of institutions acquired by FDIC holding MRCS | 0 | 0 | 8 | ||
Amount of excess par value repurchased | 250,000 | ||||
Additional excess stock redeemed | (355) | (40,574) | |||
Stock repurchase redemption period | 5 years | ||||
Mandatorily Redeemable Capital Stock, by Contractual Year of Redemption [Abstract] | |||||
Year 1 | 18,872 | 18,872 | 268,512 | ||
Year 2 | 128,659 | 128,659 | 144,644 | ||
Year 3 | 502 | 502 | 20,511 | ||
Year 4 | 12,246 | 12,246 | 13,536 | ||
Year 5 | 95,441 | 95,441 | 3,513 | ||
Total MRCS | 255,720 | 450,898 | 255,720 | 450,898 | |
Recorded as Interest Expense | 2,080 | 3,326 | 4,488 | 7,237 | |
Recorded as distributions from Retained Earnings | 137 | 0 | 137 | 27 | |
Total | 2,217 | 3,326 | 4,625 | 7,264 | |
Excess and Surplus Capital Stock [Abstract] | |||||
Excess Capital to Assets Allowed | 1.00% | 1.00% | |||
Excess Capital | $ 691,578 | $ 691,578 | |||
Excess Capital to Assets | 1.70% | 1.70% |
Allowance for Credit Losses (Impaired Debt) (Details) (MPP [Member], Conventional [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | |||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 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 | $ 16,556 | $ 16,556 | $ 15,001 | ||
Conventional loans with allowance for loan losses, Recorded Investment | 2,094 | 2,094 | 1,816 | ||
Total recorded investment | 18,650 | 18,650 | 16,817 | ||
Conventional loans without allowance for loan losses, UPB | 16,413 | 16,413 | 14,892 | ||
Conventional loans with allowance for loan losses, UPB | 2,056 | 2,056 | 1,783 | ||
Total UPB | 18,469 | 18,469 | 16,675 | ||
Allowance for loan losses | 74 | 74 | 68 | ||
Conventional Loans without Allowance, Average Recorded Investment | 15,412 | 6,778 | 15,249 | 5,211 | |
Conventional Loans without Allowance, Interest Income Recognized | 248 | 144 | 461 | 184 | |
Conventional Loans with Allowance, Average Recorded Investment | 1,990 | 1,551 | 1,958 | 1,126 | |
Conventional Loans with Allowance, Interest Income Recognized | 34 | 37 | 63 | 45 | |
Impaired Financing Receivable, Average Recorded Investment | 17,402 | 8,329 | 17,207 | 6,337 | |
Impaired Financing Receivable, Interest Income, Accrual Method | $ 282 | $ 181 | $ 524 | $ 229 |
Commitments and Contingencies (Tables)
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Jun. 30, 2013
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Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments [Table Text Block] | The following table presents our off-balance-sheet commitments at their notional amounts:
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Deposits (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
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Dec. 31, 2012
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Interest-Bearing: | ||||||||
Demand and overnight | $ 825,668 | $ 704,216 | ||||||
Time | 3,000 | 2,250 | ||||||
Other | 22 | 22 | ||||||
Total Interest-Bearing | 828,690 | 706,488 | ||||||
Non-Interest-Bearing: | ||||||||
Demand | 537,025 | [1] | 1,066,041 | [1] | ||||
Other | 16,225 | [2] | 14,622 | [2] | ||||
Total Non-Interest Bearing | 553,250 | 1,080,663 | ||||||
Total Deposits | $ 1,381,940 | $ 1,787,151 | ||||||
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Commitments and Contingencies
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Jun. 30, 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 over-the-counter bilateral derivatives with large banks and major broker-dealers with whom we have bilateral collateral exchange agreements. For cleared derivatives, we have executed collateral exchange agreements with clearing members. At June 30, 2013 and December 31, 2012, we had pledged cash collateral, at par, of $413,764 and $677,550, respectively, to counterparties and clearing members. At June 30, 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. |
Statements of Capital (Unaudited) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | $ 2,215,842 | $ 1,947,188 | ||
Proceeds from Sale of Capital Stock | 133,413 | 48,381 | ||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (95,441) | (3,513) | ||
Total Comprehensive Income | 31,023 | 36,129 | 123,112 | 108,507 |
Distributions on Mandatorily Redeemable Capital Stock | (137) | (27) | ||
Cash Dividends on Capital Stock (3.50% and 3.00% annualized, respectively) | (28,552) | (23,405) | ||
Ending Balance | 2,348,237 | 2,077,131 | 2,348,237 | 2,077,131 |
Capital Stock Class B Putable [Member]
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Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 1,634,300 | 1,563,056 | ||
Beginning Balance, Shares | 16,343 | 15,631 | ||
Proceeds from Sale of Capital Stock | 133,413 | 48,381 | ||
Proceeds from Sale of Capital Stock, Shares | 1,334 | 483 | ||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | (95,441) | (3,513) | ||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | (954) | (35) | ||
Ending Balance | 1,672,272 | 1,607,924 | 1,672,272 | 1,607,924 |
Ending Balance, Shares | 16,723 | 16,079 | 16,723 | 16,079 |
Retained Earnings Total [Member]
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Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 591,600 | 497,673 | ||
Total Comprehensive Income | 109,127 | 74,676 | ||
Distributions on Mandatorily Redeemable Capital Stock | (137) | (27) | ||
Cash Dividends on Capital Stock (3.50% and 3.00% annualized, respectively) | (28,552) | (23,405) | ||
Ending Balance | 672,038 | 548,917 | 672,038 | 548,917 |
Retained Earnings, Unrestricted [Member]
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Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 549,773 | 484,511 | ||
Total Comprehensive Income | 87,301 | 59,740 | ||
Distributions on Mandatorily Redeemable Capital Stock | (137) | (27) | ||
Cash Dividends on Capital Stock (3.50% and 3.00% annualized, respectively) | (28,552) | (23,405) | ||
Ending Balance | 608,385 | 520,819 | 608,385 | 520,819 |
Retained Earnings, Restricted [Member]
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 41,827 | 13,162 | ||
Total Comprehensive Income | 21,826 | 14,936 | ||
Distributions on Mandatorily Redeemable Capital Stock | 0 | 0 | ||
Cash Dividends on Capital Stock (3.50% and 3.00% annualized, respectively) | 0 | 0 | ||
Ending Balance | 63,653 | 28,098 | 63,653 | 28,098 |
Accumulated Other Comprehensive Income (Loss) [Member]
|
||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | (10,058) | (113,541) | ||
Total Comprehensive Income | 13,985 | 33,831 | ||
Ending Balance | $ 3,927 | $ (79,710) | $ 3,927 | $ (79,710) |
Statements of Cash Flows (Unaudited) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |
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Jun. 30, 2013
|
Jun. 30, 2012
|
|
Operating Activities: | ||
Net Income | $ 109,127 | $ 74,676 |
Adjustments to reconcile Net Income to Net Cash provided by Operating Activities: | ||
Amortization and Depreciation | 65,209 | 34,318 |
Prepayment fees on Advances, net of related swap termination fees | (4,532) | (21,342) |
Change in Net Derivative and Hedging Activities | 24,204 | 44,797 |
Net Other-Than-Temporary Impairment Losses, credit portion | 1,924 | 3,580 |
Provision for (Reversal of) Credit Losses | (3,765) | 2,283 |
Net Realized Gains from Sale of Available-for-Sale Securities | (17,135) | 0 |
Changes in: | ||
Accrued Interest Receivable (adjusted for capitalized interest) | 4,621 | 977 |
Other Assets | (1,617) | 5,140 |
Accrued Interest Payable | (3,359) | (12,142) |
Other Liabilities | (1,195) | (300) |
Total Adjustments, net | 64,355 | 57,311 |
Net Cash provided by Operating Activities | 173,482 | 131,987 |
Changes in: | ||
Interest-Bearing Deposits | 263,729 | (12,387) |
Securities Purchased Under Agreements to Resell | 1,800,000 | (1,700,000) |
Federal Funds Sold | 53,000 | 1,185,000 |
Purchases of Premises, Software, and Equipment | (5,299) | (5,666) |
Available-for-Sale Securities: | ||
Proceeds from Maturities of Long-Term | 39,169 | 35,428 |
Proceeds from Sales of Long-Term | 129,471 | 0 |
Purchases of Long-Term | 0 | (777,000) |
Held-to-Maturity Securities: | ||
Proceeds from Maturities of Long-Term | 575,670 | 2,233,961 |
Purchases of Long-Term | (356,606) | (842,141) |
Advances: | ||
Principal Collected | 20,082,714 | 24,083,868 |
Disbursed to Members | (21,358,346) | (24,317,570) |
Mortgage Loans Held for Portfolio: | ||
Principal Collected | 750,469 | 727,263 |
Purchases of Loans and Participation Interests | (918,464) | (557,825) |
Net Cash provided by Investing Activities | 1,055,507 | 52,931 |
Financing Activities: | ||
Changes in Deposits | (404,411) | 153,479 |
Net Payments on Derivative Contracts with Financing Elements | (38,416) | (42,481) |
Net Proceeds from Issuance of Consolidated Obligations: | ||
Discount Notes | 41,293,403 | 56,295,065 |
Bonds | 11,363,293 | 11,810,870 |
Payments for Matured and Retired Consolidated Obligations: | ||
Discount Notes | (41,307,254) | (55,274,157) |
Bonds | (12,025,750) | (13,460,500) |
Other Federal Home Loan Banks: | ||
Borrowings | 50,000 | 0 |
Payments for Maturities | (50,000) | 0 |
Proceeds from Sale of Capital Stock | 133,413 | 48,381 |
Payments for Redemption of Mandatorily Redeemable Capital Stock | (290,574) | (6,527) |
Cash Dividends Paid on Capital Stock | (28,552) | (23,405) |
Net Cash used in Financing Activities | (1,304,848) | (499,275) |
Net Increase (Decrease) in Cash and Due from Banks | (75,859) | (314,357) |
Cash and Due from Banks at Beginning of Period | 105,472 | 512,682 |
Cash and Due from Banks at End of Period | 29,613 | 198,325 |
Supplemental Disclosures: | ||
Interest Paid | 174,644 | 219,689 |
Affordable Housing Program Payments | 5,936 | 7,396 |
Capitalized Interest on Certain Held-to-Maturity Securities | 5,171 | 9,416 |
Par Value of Net Shares Reclassified to Mandatorily Redeemable Capital Stock | $ 95,441 | $ 3,513 |
Available-for-Sale Securities
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Available-for-sale Securities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities | Note 3 - Available-for-Sale Securities Major Security Types. The following table presents information on our AFS securities:
Premiums and Discounts. At June 30, 2013 and December 31, 2012, the amortized cost of our RMBS classified as AFS securities included OTTI credit losses, OTTI-related accretion adjustments, and unamortized purchase discounts resulting in net discounts of $69,642 and $110,664, respectively. Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Redemption Terms. The amortized cost and estimated fair value of non-MBS AFS securities by contractual maturity are presented below. MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities as borrowers may have the right to prepay obligations with or without prepayment fees.
Realized Gains and Losses. The following table presents the proceeds, previously recognized OTTI credit losses including accretion, and gross realized gains and losses related to the sale of six OTTI AFS securities, only one of which was in an unrealized loss position. In the first quarter of 2013, we recorded an OTTI credit charge for this security, representing the entire difference between our amortized cost basis and its estimated fair value, which resulted in no gross realized losses related to the sale. We compute gains and losses on sales of investment securities using the specific identification method.
As of June 30, 2013, we had no intention of selling the remaining AFS securities in an unrealized loss position nor did we consider it more likely than not that we will be required to sell these securities before our anticipated recovery of each security's remaining amortized cost basis. |
Accumulated Other Comprehensive Income (Loss) (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
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Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | $ (10,058) | |||
Net change in fair value | 19,341 | 5,183 | 35,179 | 31,785 |
Accretion of non-credit loss | 17 | 19 | 37 | 46 |
Net (gains) losses on sold securities | 17,135 | 0 | 17,135 | 0 |
Net Other-Than-Temporary Impairment Losses, credit portion | 0 | 292 | 1,924 | 3,578 |
Compensation and Benefits | 272 | (1,451) | 699 | (1,143) |
Total Other Comprehensive Income (Loss) | (38,659) | 2,904 | 13,985 | 33,831 |
AOCI Balance, Ending | 3,927 | 3,927 | ||
Accumulated Other Comprehensive Income (Loss) [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | 42,586 | (82,614) | (10,058) | (113,541) |
Net change in unrealized gains (losses) | (41,154) | (6,719) | ||
Net change in fair value | 19,341 | 35,179 | ||
Accretion of non-credit loss | 17 | 37 | ||
Subtotal | (21,796) | 28,497 | ||
Net (gains) losses on sold securities | (17,135) | (17,135) | ||
Net Other-Than-Temporary Impairment Losses, credit portion | 0 | 1,924 | ||
Subtotal | (17,135) | (15,211) | ||
Compensation and Benefits | 272 | 699 | ||
Total Other Comprehensive Income (Loss) | (38,659) | 2,904 | 13,985 | 33,831 |
AOCI Balance, Ending | 3,927 | (79,710) | 3,927 | (79,710) |
Unrealized Gains (Losses) on Investments [Member] | Available-for-sale Securities [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | 29,270 | 11,664 | 12,335 | 15,080 |
Net change in unrealized gains (losses) | (28,795) | (11,860) | ||
Subtotal | (28,795) | (11,860) | ||
Total Other Comprehensive Income (Loss) | (28,795) | (1,769) | (11,860) | (5,185) |
AOCI Balance, Ending | 475 | 9,895 | 475 | 9,895 |
Non-Credit OTTI [Member] | Available-for-sale Securities [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | 25,578 | (85,262) | (9,684) | (119,274) |
Net change in unrealized gains (losses) | (12,359) | 5,141 | ||
Net change in fair value | 19,341 | 35,179 | ||
Subtotal | 6,982 | 40,320 | ||
Net (gains) losses on sold securities | (17,135) | (17,135) | ||
Net Other-Than-Temporary Impairment Losses, credit portion | 0 | 1,924 | ||
Subtotal | (17,135) | (15,211) | ||
Total Other Comprehensive Income (Loss) | (10,153) | 6,105 | 25,109 | 40,117 |
AOCI Balance, Ending | 15,425 | (79,157) | 15,425 | (79,157) |
Non-Credit OTTI [Member] | Held-to-maturity Securities [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | (292) | (369) | (312) | (392) |
Accretion of non-credit loss | 17 | 37 | ||
Subtotal | 17 | 37 | ||
Total Other Comprehensive Income (Loss) | 17 | 19 | 37 | 42 |
AOCI Balance, Ending | (275) | (350) | (275) | (350) |
Pension Benefits [Member]
|
||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||
AOCI Balance, Beginning | (11,970) | (8,647) | (12,397) | (8,955) |
Compensation and Benefits | 272 | 699 | ||
Total Other Comprehensive Income (Loss) | 272 | (1,451) | 699 | (1,143) |
AOCI Balance, Ending | $ (11,698) | $ (10,098) | $ (11,698) | $ (10,098) |
Summary of Significant Accounting Policies
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6 Months Ended |
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Jun. 30, 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 material changes to these policies through June 30, 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 present certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, we have elected to offset our derivative asset and liability positions, as well as cash collateral received or pledged, when we have met the netting requirements. We did not have any offsetting liabilities related to securities purchased under agreements to resell at June 30, 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 that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. 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 agreements to resell were fully collateralized for the periods presented. |
Segment Information (Tables)
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Performance by Operating Segment [Table Text Block] | The following table presents our financial performance by operating segment:
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Schedule of Segment Assets by Segment [Table Text Block] | The following table presents asset balances by segment:
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Summary of Significant Accounting Policies (Policies)
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6 Months Ended |
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Jun. 30, 2013
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Accounting Policies [Abstract] | |
Use of Estimates, Policy | 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, Policy | We present certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, we have elected to offset our derivative asset and liability positions, as well as cash collateral received or pledged, when we have met the netting requirements. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. |
Advances (Tables)
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Jun. 30, 2013
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Advances [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances Redemption Terms [Table Text Block] | We had Advances outstanding, as presented below by year of contractual maturity, with interest rates ranging from 0% to 8.34%.
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Advances by Year of Contractual Maturity, Next Call Date, or Next Put or Convert Date [Table Text Block] | The following table presents Advances by the earlier of the year of contractual maturity or the next call date and next put date:
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Affordable Housing Program (Details) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||||||||
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Jun. 30, 2013
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Jun. 30, 2012
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Jun. 30, 2013
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Jun. 30, 2012
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Affordable Housing Program Funding Obligation [Roll Forward] | ||||||||||
Balance at beginning of period | $ 37,167 | $ 35,598 | $ 34,362 | $ 32,845 | ||||||
Assessment (expense) | 7,974 | 4,061 | 12,624 | 9,101 | ||||||
Subsidy usage, net | (4,091) | [1] | (5,109) | [1] | (5,936) | [1] | (7,396) | [1] | ||
Balance at end of period | $ 41,050 | $ 34,550 | $ 41,050 | $ 34,550 | ||||||
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Consolidated Obligations (Tables)
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Jun. 30, 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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Consolidated Obligations (Details) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |
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Jun. 30, 2013
Bank
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Dec. 31, 2012
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Schedule of Short-term and Long-term Debt [Line Items] | ||
Number of Federal Home Loan Banks | 12 | |
Discount Notes maturity period | 1 year | |
Discount Note [Abstract] | ||
Book value | $ 8,909,857 | $ 8,924,085 |
CO Bonds [Abstract] | ||
Total CO Bonds | 26,621,801 | 27,407,530 |
CO Bonds [Member]
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CO Bonds [Abstract] | ||
Due in 1 year or less, Amount | 11,779,125 | 14,083,675 |
Due after 1 year through 2 years, Amount | 1,876,250 | 2,984,650 |
Due after 2 years through 3 years, Amount | 1,872,600 | 1,323,800 |
Due after 3 years through 4 years, Amount | 1,219,750 | 724,900 |
Due after 4 years through 5 years, Amount | 2,047,250 | 1,337,700 |
Thereafter, Amount | 7,875,050 | 6,881,450 |
Par value of consolidated obligations | 26,670,025 | 27,336,175 |
Due in 1 year or less, WAIR % | 0.48% | 0.54% |
Due after 1 year through 2 years, WAIR % | 2.11% | 1.49% |
Due after 2 years through 3 years, WAIR % | 1.33% | 1.59% |
Due after 3 years through 4 years, WAIR % | 1.75% | 3.08% |
Due after 4 years through 5 years, WAIR % | 1.94% | 2.29% |
Thereafter, WAIR % | 2.86% | 3.11% |
Total WAIR% | 1.53% | 1.50% |
Unamortized premiums | 35,147 | 36,958 |
Unamortized discounts | (16,779) | (17,444) |
Hedging adjustments | (66,592) | 51,841 |
Earlier of Contractual Maturity or Next Call Date [Member] | CO Bonds [Member]
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CO Bonds [Abstract] | ||
Due in 1 year or less, Amount | 20,496,125 | 21,097,675 |
Due after 1 year through 2 years, Amount | 1,831,250 | 1,694,650 |
Due after 2 years through 3 years, Amount | 1,069,600 | 1,091,800 |
Due after 3 years through 4 years, Amount | 383,750 | 513,900 |
Due after 4 years through 5 years, Amount | 576,250 | 607,700 |
Thereafter, Amount | 2,313,050 | 2,330,450 |
Non Callable / Non Putable [Member] | CO Bonds [Member]
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CO Bonds [Abstract] | ||
Par value of consolidated obligations | 17,613,025 | 19,952,175 |
Callable [Member] | CO Bonds [Member]
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CO Bonds [Abstract] | ||
Par value of consolidated obligations | 9,057,000 | 7,384,000 |
Discount Notes [Member]
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Discount Note [Abstract] | ||
Book value | 8,909,857 | 8,924,085 |
Par value | 8,911,300 | 8,925,828 |
Weighted average effective interest rate | 0.11% | 0.15% |
FHLBanks [Member]
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CO Bonds [Abstract] | ||
Par value of consolidated obligations | $ 704,500,000 | $ 687,900,000 |
Other-Than-Temporary Impairments Analysis (Securities with OTTI Losses) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
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Held-to-maturity Securities [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | $ 925 |
OTTI Life-to-Date, Amortized Cost | 889 |
OTTI Life-to-Date, Carrying Value | 614 |
OTTI Life-to-Date, Estimated Fair Value | 660 |
Available-for-sale Securities [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 566,169 |
OTTI Life-to-Date, Amortized Cost | 496,527 |
OTTI Life-to-Date, Estimated Fair Value | 511,952 |
Prime [Member] | Held-to-maturity Securities [Member] | Private-Label RMBS [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 0 |
OTTI Life-to-Date, Amortized Cost | 0 |
OTTI Life-to-Date, Carrying Value | 0 |
OTTI Life-to-Date, Estimated Fair Value | 0 |
Prime [Member] | Available-for-sale Securities [Member] | Private-Label RMBS [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 566,169 |
OTTI Life-to-Date, Amortized Cost | 496,527 |
OTTI Life-to-Date, Estimated Fair Value | 511,952 |
Alt-A [Member] | Held-to-maturity Securities [Member] | Private-Label RMBS [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 0 |
OTTI Life-to-Date, Amortized Cost | 0 |
OTTI Life-to-Date, Carrying Value | 0 |
OTTI Life-to-Date, Estimated Fair Value | 0 |
Alt-A [Member] | Available-for-sale Securities [Member] | Private-Label RMBS [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 0 |
OTTI Life-to-Date, Amortized Cost | 0 |
OTTI Life-to-Date, Estimated Fair Value | 0 |
Subprime [Member] | Held-to-maturity Securities [Member] | Home Equity Loan ABS [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 925 |
OTTI Life-to-Date, Amortized Cost | 889 |
OTTI Life-to-Date, Carrying Value | 614 |
OTTI Life-to-Date, Estimated Fair Value | 660 |
Subprime [Member] | Available-for-sale Securities [Member] | Home Equity Loan ABS [Member]
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Other than Temporary Impairment, Disclosure [Line Items] | |
OTTI Life-to-Date, UPB | 0 |
OTTI Life-to-Date, Amortized Cost | 0 |
OTTI Life-to-Date, Estimated Fair Value | $ 0 |