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 |
o Emerging growth company |
Shares outstanding as of July 31, 2017 | ||
Class B Stock, par value $100 | 18,949,958 |
Table of Contents | Page | |
Number | ||
Glossary of Terms | ||
Special Note Regarding Forward-Looking Statements | ||
PART I. | FINANCIAL INFORMATION | |
Item 1. | FINANCIAL STATEMENTS (unaudited) | |
Statements of Condition as of June 30, 2017 and December 31, 2016 | ||
Statements of Income for the Three and Six Months Ended June 30, 2017 and 2016 | ||
Statements of Comprehensive Income for the Three and Six Months Ended June 30, 2017 and 2016 | ||
Statements of Capital for the Six Months Ended June 30, 2016 and 2017 | ||
Statements of Cash Flows for the Six Months Ended June 30, 2017 and 2016 | ||
Notes to Financial Statements: | ||
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 | ||
Note 6 - Advances | ||
Note 7 - Mortgage Loans Held for Portfolio | ||
Note 8 - Allowance for Credit Losses | ||
Note 9 - Derivatives and Hedging Activities | ||
Note 10 - Consolidated Obligations | ||
Note 11 - Affordable Housing Program | ||
Note 12 - Capital | ||
Note 13 - Accumulated Other Comprehensive Income (Loss) | ||
Note 14 - Segment Information | ||
Note 15 - Estimated Fair Values | ||
Note 16 - Commitments and Contingencies | ||
Note 17 - Related Party and Other Transactions | ||
Item 2. | MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |
Presentation | ||
Executive Summary | ||
Selected Financial Data | ||
Results of Operations and Changes in Financial Condition | ||
Operating Segments | ||
Analysis of Financial Condition | ||
Liquidity and Capital Resources | ||
Off-Balance Sheet Arrangements | ||
Critical Accounting Policies and Estimates | ||
Recent Accounting and Regulatory Developments | ||
Risk Management | ||
Item 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK | |
Item 4. | CONTROLS AND PROCEDURES | |
PART II. | OTHER INFORMATION | |
Item 1. | LEGAL PROCEEDINGS | |
Item 1A. | RISK FACTORS | |
Item 6. | EXHIBITS |
• | 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 FRB 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 resulting from: |
◦ | changes in our members' deposit flows and credit demands; |
◦ | federal or state regulatory developments impacting suitability or eligibility of membership classes; |
◦ | 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 and particularly our district states of Indiana and Michigan, 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 or improper or inadequate mortgage originations and mortgage servicing; |
• | ability to introduce and successfully manage new products and services, including new types of collateral securing advances; |
• | political events, including administrative, legislative, regulatory, or other developments, and judicial rulings that affect us, our status as a secured creditor, our members (or certain classes of members), prospective members, counterparties, GSE's generally, one or more of the FHLBanks and/or investors in the consolidated obligations of the FHLBanks; |
• | ability to access the capital markets and raise capital market funding on acceptable terms; |
• | changes in our credit ratings or the credit ratings of the other FHLBanks and the FHLBank System; |
• | changes in 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; |
• | ability of one or more of the FHLBanks to repay its portion of the consolidated obligations, or otherwise meet its financial obligations; |
• | ability to attract and retain skilled personnel; |
• | ability to develop, implement and support technology and information systems sufficient to manage our business effectively; |
• | nonperformance of counterparties to uncleared and cleared derivative transactions; |
• | changes in terms of derivative agreements and similar agreements; |
• | loss arising from natural disasters, acts of war or acts of terrorism; |
• | changes in or differing interpretations of accounting guidance; and |
• | other risk factors identified in our filings with the SEC. |
June 30, 2017 | December 31, 2016 | ||||||
Assets: | |||||||
Cash and due from banks | $ | 92,082 | $ | 546,612 | |||
Interest-bearing deposits | 334,432 | 150,225 | |||||
Securities purchased under agreements to resell | 2,527,000 | 1,781,309 | |||||
Federal funds sold | 2,575,000 | 1,650,000 | |||||
Available-for-sale securities (Notes 3 and 5) | 7,071,810 | 6,059,835 | |||||
Held-to-maturity securities (estimated fair values of $5,675,036 and $5,848,692, respectively) (Notes 4 and 5) | 5,633,192 | 5,819,573 | |||||
Advances (Note 6) | 32,253,350 | 28,095,953 | |||||
Mortgage loans held for portfolio, net of allowance for loan losses of $(850) and $(850), respectively (Notes 7 and 8) | 9,894,442 | 9,501,397 | |||||
Accrued interest receivable | 99,055 | 93,716 | |||||
Premises, software, and equipment, net | 36,871 | 37,638 | |||||
Derivative assets, net (Note 9) | 155,301 | 134,848 | |||||
Other assets | 39,441 | 36,294 | |||||
Total assets | $ | 60,711,976 | $ | 53,907,400 | |||
Liabilities: | |||||||
Deposits | $ | 674,476 | $ | 524,073 | |||
Consolidated obligations (Note 10): | |||||||
Discount notes | 21,036,075 | 16,801,763 | |||||
Bonds | 35,281,636 | 33,467,279 | |||||
Total consolidated obligations, net | 56,317,711 | 50,269,042 | |||||
Accrued interest payable | 117,220 | 98,411 | |||||
Affordable Housing Program payable (Note 11) | 24,629 | 26,598 | |||||
Derivative liabilities, net (Note 9) | 2,394 | 25,225 | |||||
Mandatorily redeemable capital stock (Note 12) | 166,835 | 170,043 | |||||
Other liabilities | 685,280 | 357,812 | |||||
Total liabilities | 57,988,545 | 51,471,204 | |||||
Commitments and contingencies (Note 16) | |||||||
Capital (Note 12): | |||||||
Capital stock (putable at par value of $100 per share): | |||||||
Class B-1 issued and outstanding shares: 17,002,171 and 14,897,390, respectively | 1,700,217 | 1,489,739 | |||||
Class B-2 issued and outstanding shares: 16,266 and 28,416, respectively | 1,627 | 2,842 | |||||
Total capital stock | 1,701,844 | 1,492,581 | |||||
Retained earnings: | |||||||
Unrestricted | 759,041 | 734,982 | |||||
Restricted | 166,126 | 152,265 | |||||
Total retained earnings | 925,167 | 887,247 | |||||
Total accumulated other comprehensive income (Note 13) | 96,420 | 56,368 | |||||
Total capital | 2,723,431 | 2,436,196 | |||||
Total liabilities and capital | $ | 60,711,976 | $ | 53,907,400 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Interest Income: | |||||||||||||||
Advances | $ | 94,618 | $ | 51,246 | $ | 168,899 | $ | 99,756 | |||||||
Prepayment fees on advances, net | 84 | 31 | 102 | 199 | |||||||||||
Interest-bearing deposits | 636 | 234 | 971 | 398 | |||||||||||
Securities purchased under agreements to resell | 2,887 | 636 | 3,705 | 2,223 | |||||||||||
Federal funds sold | 9,333 | 3,313 | 17,030 | 5,510 | |||||||||||
Available-for-sale securities | 29,337 | 15,922 | 53,719 | 29,779 | |||||||||||
Held-to-maturity securities | 28,415 | 27,513 | 53,878 | 53,789 | |||||||||||
Mortgage loans held for portfolio | 78,304 | 67,759 | 154,280 | 137,171 | |||||||||||
Other interest income, net | 266 | 452 | 851 | 737 | |||||||||||
Total interest income | 243,880 | 167,106 | 453,435 | 329,562 | |||||||||||
Interest Expense: | |||||||||||||||
Consolidated obligation discount notes | 41,758 | 15,171 | 67,254 | 31,103 | |||||||||||
Consolidated obligation bonds | 134,222 | 104,318 | 256,773 | 200,399 | |||||||||||
Deposits | 1,079 | 147 | 1,831 | 222 | |||||||||||
Mandatorily redeemable capital stock | 1,756 | 1,871 | 3,509 | 2,868 | |||||||||||
Total interest expense | 178,815 | 121,507 | 329,367 | 234,592 | |||||||||||
Net interest income | 65,065 | 45,599 | 124,068 | 94,970 | |||||||||||
Provision for (reversal of) credit losses | 130 | (242 | ) | 281 | (217 | ) | |||||||||
Net interest income after provision for credit losses | 64,935 | 45,841 | 123,787 | 95,187 | |||||||||||
Other Income (Loss): | |||||||||||||||
Total other-than-temporary impairment losses | — | — | — | — | |||||||||||
Non-credit portion reclassified to (from) other comprehensive income, net | (111 | ) | (93 | ) | (193 | ) | (93 | ) | |||||||
Net other-than-temporary impairment losses, credit portion | (111 | ) | (93 | ) | (193 | ) | (93 | ) | |||||||
Net gains (losses) on derivatives and hedging activities | (4,710 | ) | (2,793 | ) | (9,085 | ) | (4,890 | ) | |||||||
Service fees | 244 | 380 | 462 | 743 | |||||||||||
Standby letters of credit fees | 217 | 221 | 405 | 405 | |||||||||||
Other, net (Note 16) | 527 | 402 | 913 | 750 | |||||||||||
Total other income (loss) | (3,833 | ) | (1,883 | ) | (7,498 | ) | (3,085 | ) | |||||||
Other Expenses: | |||||||||||||||
Compensation and benefits | 10,995 | 11,093 | 22,759 | 21,921 | |||||||||||
Other operating expenses | 6,309 | 6,025 | 12,020 | 11,336 | |||||||||||
Federal Housing Finance Agency | 777 | 660 | 1,603 | 1,449 | |||||||||||
Office of Finance | 700 | 633 | 2,009 | 1,588 | |||||||||||
Other | 263 | 242 | 506 | 506 | |||||||||||
Total other expenses | 19,044 | 18,653 | 38,897 | 36,800 | |||||||||||
Income before assessments | 42,058 | 25,305 | 77,392 | 55,302 | |||||||||||
Affordable Housing Program assessments | 4,381 | 2,717 | 8,090 | 5,817 | |||||||||||
Net income | $ | 37,677 | $ | 22,588 | $ | 69,302 | $ | 49,485 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Net income | $ | 37,677 | $ | 22,588 | $ | 69,302 | $ | 49,485 | |||||||
Other Comprehensive Income (Loss): | |||||||||||||||
Net change in unrealized gains (losses) on available-for-sale securities | 14,854 | (693 | ) | 37,610 | (906 | ) | |||||||||
Non-credit portion of other-than-temporary impairment losses on available-for-sale securities: | |||||||||||||||
Reclassification of non-credit portion to other income (loss) | 73 | 93 | 155 | 93 | |||||||||||
Net change in fair value not in excess of cumulative non-credit losses | 85 | 28 | 2 | 52 | |||||||||||
Unrealized gains (losses) | 990 | (506 | ) | 1,582 | (6,297 | ) | |||||||||
Net non-credit portion of other-than-temporary impairment losses on available-for-sale securities | 1,148 | (385 | ) | 1,739 | (6,152 | ) | |||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities: | |||||||||||||||
Reclassification of non-credit portion to other income (loss) | 38 | — | 38 | — | |||||||||||
Accretion of non-credit portion | 6 | 8 | 12 | 16 | |||||||||||
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 44 | 8 | 50 | 16 | |||||||||||
Pension benefits, net | 325 | (858 | ) | 653 | (616 | ) | |||||||||
Total other comprehensive income (loss) | 16,371 | (1,928 | ) | 40,052 | (7,658 | ) | |||||||||
Total comprehensive income | $ | 54,048 | $ | 20,660 | $ | 109,354 | $ | 41,827 |
Capital Stock Class B Putable | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | ||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | |||||||||||||||||||||||
Balance, December 31, 2015 | 15,278 | $ | 1,527,806 | $ | 705,449 | $ | 129,664 | $ | 835,113 | $ | 22,878 | $ | 2,385,797 | ||||||||||||||
Total comprehensive income | 39,588 | 9,897 | 49,485 | (7,658 | ) | 41,827 | |||||||||||||||||||||
Proceeds from issuance of capital stock | 515 | 51,539 | 51,539 | ||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (1,789 | ) | (178,898 | ) | (178,898 | ) | |||||||||||||||||||||
Distributions on mandatorily redeemable capital stock | (1,038 | ) | — | (1,038 | ) | (1,038 | ) | ||||||||||||||||||||
Cash dividends on capital stock (4.25% annualized) | (30,182 | ) | — | (30,182 | ) | (30,182 | ) | ||||||||||||||||||||
Balance, June 30, 2016 | 14,004 | $ | 1,400,447 | $ | 713,817 | $ | 139,561 | $ | 853,378 | $ | 15,220 | $ | 2,269,045 | ||||||||||||||
Balance, December 31, 2016 | 14,926 | $ | 1,492,581 | $ | 734,982 | $ | 152,265 | $ | 887,247 | $ | 56,368 | $ | 2,436,196 | ||||||||||||||
Total comprehensive income | 55,441 | 13,861 | 69,302 | 40,052 | 109,354 | ||||||||||||||||||||||
Proceeds from issuance of capital stock | 2,092 | 209,263 | 209,263 | ||||||||||||||||||||||||
Cash dividends on capital stock (4.25% annualized) | (31,382 | ) | — | (31,382 | ) | (31,382 | ) | ||||||||||||||||||||
Balance, June 30, 2017 | 17,018 | $ | 1,701,844 | $ | 759,041 | $ | 166,126 | $ | 925,167 | $ | 96,420 | $ | 2,723,431 |
Six Months Ended June 30, | |||||||
2017 | 2016 | ||||||
Operating Activities: | |||||||
Net income | $ | 69,302 | $ | 49,485 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Amortization and depreciation | 39,903 | 25,429 | |||||
Prepayment fees on advances, net of related swap termination fees | — | (526 | ) | ||||
Changes in net derivative and hedging activities | (10,381 | ) | 25,847 | ||||
Net other-than-temporary impairment losses, credit portion | 193 | 93 | |||||
Provision for (reversal of) credit losses | 281 | (217 | ) | ||||
Changes in: | |||||||
Accrued interest receivable | (5,456 | ) | (9,222 | ) | |||
Other assets | (812 | ) | 430 | ||||
Accrued interest payable | 18,813 | 6,382 | |||||
Other liabilities | 3,393 | 12,886 | |||||
Total adjustments, net | 45,934 | 61,102 | |||||
Net cash provided by operating activities | 115,236 | 110,587 | |||||
Investing Activities: | |||||||
Net change in: | |||||||
Interest-bearing deposits | (214,162 | ) | (464,022 | ) | |||
Securities purchased under agreements to resell | (745,691 | ) | (2,000,000 | ) | |||
Federal funds sold | (925,000 | ) | (1,350,000 | ) | |||
Available-for-sale securities: | |||||||
Proceeds from maturities | 726,741 | 230,099 | |||||
Purchases | (1,347,941 | ) | (2,242,700 | ) | |||
Held-to-maturity securities: | |||||||
Proceeds from maturities | 603,556 | 636,471 | |||||
Purchases | (423,325 | ) | (699,192 | ) | |||
Advances: | |||||||
Principal repayments | 111,970,703 | 68,037,610 | |||||
Disbursements to members | (116,127,479 | ) | (67,480,894 | ) | |||
Mortgage loans held for portfolio: | |||||||
Principal collections | 571,048 | 685,139 | |||||
Purchases from members | (991,250 | ) | (1,305,002 | ) | |||
Purchases of premises, software, and equipment | (2,206 | ) | (1,896 | ) | |||
Net cash used in investing activities | (6,905,006 | ) | (5,954,387 | ) |
Six Months Ended June 30, | |||||||
2017 | 2016 | ||||||
Financing Activities: | |||||||
Changes in deposits | 138,364 | 106,621 | |||||
Net payments on derivative contracts with financing elements | (10,079 | ) | (16,540 | ) | |||
Net proceeds from issuance of consolidated obligations: | |||||||
Discount notes | 108,963,689 | 153,113,474 | |||||
Bonds | 12,522,925 | 17,767,472 | |||||
Payments for matured and retired consolidated obligations: | |||||||
Discount notes | (104,740,562 | ) | (156,449,992 | ) | |||
Bonds | (10,713,770 | ) | (13,182,770 | ) | |||
Proceeds from issuance of capital stock | 209,263 | 51,539 | |||||
Payments for redemption/repurchase of mandatorily redeemable capital stock | (3,208 | ) | (16,396 | ) | |||
Dividend payments on capital stock | (31,382 | ) | (30,182 | ) | |||
Net cash provided by financing activities | 6,335,240 | 1,343,226 | |||||
Net decrease in cash and due from banks | (454,530 | ) | (4,500,574 | ) | |||
Cash and due from banks at beginning of period | 546,612 | 4,931,602 | |||||
Cash and due from banks at end of period | $ | 92,082 | $ | 431,028 | |||
Supplemental Disclosures: | |||||||
Interest payments | $ | 242,369 | $ | 188,309 | |||
Purchases of securities, traded but not yet settled | 455,289 | 56,556 | |||||
Affordable Housing Program payments | 10,059 | 10,997 | |||||
Capitalized interest on certain held-to-maturity securities | 817 | 655 | |||||
Par value of shares reclassified to mandatorily redeemable capital stock, net | — | 178,898 |
Gross | Gross | |||||||||||||||||||
Amortized | Non-Credit | Unrealized | Unrealized | Estimated | ||||||||||||||||
June 30, 2017 | Cost (1) | OTTI | Gains | Losses | Fair Value | |||||||||||||||
GSE and TVA debentures | $ | 4,681,231 | $ | — | $ | 46,946 | $ | (128 | ) | $ | 4,728,049 | |||||||||
GSE MBS | 2,069,238 | — | 30,337 | (77 | ) | 2,099,498 | ||||||||||||||
Private-label RMBS | 215,586 | (106 | ) | 28,783 | — | 244,263 | ||||||||||||||
Total AFS securities | $ | 6,966,055 | $ | (106 | ) | $ | 106,066 | $ | (205 | ) | $ | 7,071,810 | ||||||||
December 31, 2016 | ||||||||||||||||||||
GSE and TVA debentures | $ | 4,693,211 | $ | — | $ | 25,624 | $ | (4,201 | ) | $ | 4,714,634 | |||||||||
GSE MBS | 1,058,037 | — | 18,279 | (234 | ) | 1,076,082 | ||||||||||||||
Private-label RMBS | 242,181 | (263 | ) | 27,201 | — | 269,119 | ||||||||||||||
Total AFS securities | $ | 5,993,429 | $ | (263 | ) | $ | 71,104 | $ | (4,435 | ) | $ | 6,059,835 |
(1) | 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, 2017 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | ||||||||||||||||||
GSE and TVA debentures | $ | 40,168 | $ | (128 | ) | $ | — | $ | — | $ | 40,168 | $ | (128 | ) | ||||||||||
GSE MBS | 49,795 | (77 | ) | — | — | 49,795 | (77 | ) | ||||||||||||||||
Private-label RMBS | — | — | 2,649 | (106 | ) | 2,649 | (106 | ) | ||||||||||||||||
Total impaired AFS securities | $ | 89,963 | $ | (205 | ) | $ | 2,649 | $ | (106 | ) | $ | 92,612 | $ | (311 | ) | |||||||||
December 31, 2016 | ||||||||||||||||||||||||
GSE and TVA debentures | $ | 525,722 | $ | (3,604 | ) | $ | 176,104 | $ | (597 | ) | $ | 701,826 | $ | (4,201 | ) | |||||||||
GSE MBS | — | — | 78,704 | (234 | ) | 78,704 | (234 | ) | ||||||||||||||||
Private-label RMBS | — | — | 3,002 | (263 | ) | 3,002 | (263 | ) | ||||||||||||||||
Total impaired AFS securities | $ | 525,722 | $ | (3,604 | ) | $ | 257,810 | $ | (1,094 | ) | $ | 783,532 | $ | (4,698 | ) |
June 30, 2017 | December 31, 2016 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||
Due in 1 year or less | $ | 338,025 | $ | 338,371 | $ | 972,508 | $ | 974,215 | ||||||||
Due after 1 year through 5 years | 2,251,296 | 2,273,386 | 1,841,488 | 1,855,517 | ||||||||||||
Due after 5 years through 10 years | 1,839,988 | 1,863,092 | 1,734,156 | 1,740,029 | ||||||||||||
Due after 10 years | 251,922 | 253,200 | 145,059 | 144,873 | ||||||||||||
Total non-MBS | 4,681,231 | 4,728,049 | 4,693,211 | 4,714,634 | ||||||||||||
Total MBS | 2,284,824 | 2,343,761 | 1,300,218 | 1,345,201 | ||||||||||||
Total AFS securities | $ | 6,966,055 | $ | 7,071,810 | $ | 5,993,429 | $ | 6,059,835 |
Gross | Gross | |||||||||||||||||||||||
Unrecognized | Unrecognized | |||||||||||||||||||||||
Amortized | Non-Credit | Carrying | Holding | Holding | Estimated | |||||||||||||||||||
June 30, 2017 | Cost (1) | OTTI | Value | Gains | Losses | Fair Value | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed MBS | $ | 2,848,319 | $ | — | $ | 2,848,319 | $ | 7,496 | $ | (6,294 | ) | $ | 2,849,521 | |||||||||||
GSE MBS | 2,731,973 | — | 2,731,973 | 45,066 | (3,783 | ) | 2,773,256 | |||||||||||||||||
Private-label RMBS | 44,676 | — | 44,676 | 218 | (358 | ) | 44,536 | |||||||||||||||||
Private-label ABS | 8,277 | (53 | ) | 8,224 | 32 | (533 | ) | 7,723 | ||||||||||||||||
Total HTM securities | $ | 5,633,245 | $ | (53 | ) | $ | 5,633,192 | $ | 52,812 | $ | (10,968 | ) | $ | 5,675,036 | ||||||||||
December 31, 2016 | ||||||||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations -guaranteed MBS | $ | 2,678,437 | $ | — | $ | 2,678,437 | $ | 5,412 | $ | (12,720 | ) | $ | 2,671,129 | |||||||||||
GSE MBS | 3,082,343 | — | 3,082,343 | 46,480 | (8,841 | ) | 3,119,982 | |||||||||||||||||
Private-label RMBS | 49,748 | — | 49,748 | 61 | (533 | ) | 49,276 | |||||||||||||||||
Private-label ABS | 9,148 | (103 | ) | 9,045 | 40 | (780 | ) | 8,305 | ||||||||||||||||
Total HTM securities | $ | 5,819,676 | $ | (103 | ) | $ | 5,819,573 | $ | 51,993 | $ | (22,874 | ) | $ | 5,848,692 |
(1) | 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). |
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
June 30, 2017 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses (1) | ||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed MBS | $ | 467,766 | $ | (2,648 | ) | $ | 1,031,269 | $ | (3,646 | ) | $ | 1,499,035 | $ | (6,294 | ) | |||||||||
GSE MBS | 569,000 | (3,488 | ) | 142,130 | (295 | ) | 711,130 | (3,783 | ) | |||||||||||||||
Private-label RMBS | 7,561 | (3 | ) | 18,143 | (355 | ) | 25,704 | (358 | ) | |||||||||||||||
Private-label ABS | — | — | 7,724 | (554 | ) | 7,724 | (554 | ) | ||||||||||||||||
Total impaired HTM securities | $ | 1,044,327 | $ | (6,139 | ) | $ | 1,199,266 | $ | (4,850 | ) | $ | 2,243,593 | $ | (10,989 | ) | |||||||||
December 31, 2016 | ||||||||||||||||||||||||
MBS and ABS: | ||||||||||||||||||||||||
Other U.S. obligations - guaranteed MBS | $ | 367,474 | $ | (997 | ) | $ | 1,426,182 | $ | (11,723 | ) | $ | 1,793,656 | $ | (12,720 | ) | |||||||||
GSE MBS | 1,281,827 | (7,915 | ) | 320,141 | (926 | ) | 1,601,968 | (8,841 | ) | |||||||||||||||
Private-label RMBS | 18,166 | (62 | ) | 15,770 | (471 | ) | 33,936 | (533 | ) | |||||||||||||||
Private-label ABS | — | — | 8,304 | (843 | ) | 8,304 | (843 | ) | ||||||||||||||||
Total impaired HTM securities | $ | 1,667,467 | $ | (8,974 | ) | $ | 1,770,397 | $ | (13,963 | ) | $ | 3,437,864 | $ | (22,937 | ) |
(1) | For private-label ABS, the total of unrealized losses does not agree to total gross unrecognized holding losses at June 30, 2017 and December 31, 2016 of $533 and $780, respectively. Total unrealized losses include non-credit-related OTTI losses recorded in AOCI of $53 and $103, respectively, and gross unrecognized holding gains on previously OTTI securities of $32 and $40, respectively. |
June 30, 2017 | December 31, 2016 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR % | Amount | WAIR % | ||||||||||
Overdrawn demand and overnight deposit accounts | $ | 1,779 | 3.38 | $ | — | — | ||||||||
Due in 1 year or less | 16,238,103 | 1.24 | 12,598,864 | 0.91 | ||||||||||
Due after 1 year through 2 years | 2,374,373 | 1.78 | 2,752,629 | 1.74 | ||||||||||
Due after 2 years through 3 years | 2,791,702 | 1.74 | 1,920,962 | 2.10 | ||||||||||
Due after 3 years through 4 years | 2,098,808 | 1.63 | 2,605,198 | 1.38 | ||||||||||
Due after 4 years through 5 years | 2,084,100 | 1.69 | 2,009,395 | 1.47 | ||||||||||
Thereafter | 6,699,872 | 1.46 | 6,244,912 | 1.20 | ||||||||||
Total advances, par value | 32,288,737 | 1.42 | 28,131,960 | 1.22 | ||||||||||
Fair-value hedging adjustments | (51,704 | ) | (57,716 | ) | ||||||||||
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 16,317 | 21,709 | ||||||||||||
Total advances | $ | 32,253,350 | $ | 28,095,953 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Put Date | |||||||||||||||
June 30, 2017 | December 31, 2016 | June 30, 2017 | December 31, 2016 | |||||||||||||
Overdrawn demand and overnight deposit accounts | $ | 1,779 | $ | — | $ | 1,779 | $ | — | ||||||||
Due in 1 year or less | 23,793,604 | 19,390,714 | 16,419,603 | 12,767,364 | ||||||||||||
Due after 1 year through 2 years | 1,967,873 | 2,502,629 | 2,374,373 | 2,757,629 | ||||||||||||
Due after 2 years through 3 years | 2,066,702 | 1,856,463 | 3,029,302 | 1,915,962 | ||||||||||||
Due after 3 years through 4 years | 1,326,508 | 1,548,998 | 2,565,308 | 2,605,198 | ||||||||||||
Due after 4 years through 5 years | 870,300 | 900,095 | 2,416,500 | 2,535,895 | ||||||||||||
Thereafter | 2,261,971 | 1,933,061 | 5,481,872 | 5,549,912 | ||||||||||||
Total advances, par value | $ | 32,288,737 | $ | 28,131,960 | $ | 32,288,737 | $ | 28,131,960 |
Significant Modeling Assumptions for OTTI private-label RMBS for the three months ended June 30, 2017 | ||||||||||||
Year of Securitization | Prepayment Rates | Default Rates | Loss Severities | Current Credit Enhancement | ||||||||
Prime - 2006 | 9 | % | 13 | % | 33 | % | 0 | % | ||||
Subprime - 1998 (1) | 7 | % | 41 | % | 40 | % | 0 | % |
(1) | Modeling assumptions assume no payout from monoline bond insurers. |
Term | June 30, 2017 | December 31, 2016 | ||||||
Fixed-rate long-term mortgages | $ | 8,499,668 | $ | 8,086,412 | ||||
Fixed-rate medium-term (1) mortgages | 1,174,779 | 1,206,978 | ||||||
Total mortgage loans held for portfolio, UPB | 9,674,447 | 9,293,390 | ||||||
Unamortized premiums | 221,789 | 210,116 | ||||||
Unamortized discounts | (2,593 | ) | (2,383 | ) | ||||
Fair-value hedging adjustments | 1,649 | 1,124 | ||||||
Allowance for loan losses | (850 | ) | (850 | ) | ||||
Total mortgage loans held for portfolio, net | $ | 9,894,442 | $ | 9,501,397 |
(1) | Defined as a term of 15 years or less at origination. |
Type | June 30, 2017 | December 31, 2016 | ||||||
Conventional | $ | 9,212,060 | $ | 8,796,407 | ||||
Government-guaranteed or -insured | 462,387 | 496,983 | ||||||
Total mortgage loans held for portfolio, UPB | $ | 9,674,447 | $ | 9,293,390 |
Product | June 30, 2017 | December 31, 2016 | ||||||
MPP | $ | 9,339,161 | $ | 8,930,194 | ||||
MPF Program | 335,286 | 363,196 | ||||||
Total mortgage loans held for portfolio, UPB | $ | 9,674,447 | $ | 9,293,390 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
LRA Activity | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Liability, beginning of period | $ | 130,728 | $ | 96,663 | $ | 125,683 | $ | 91,552 | ||||||||
Additions | 6,536 | 10,011 | 11,767 | 15,418 | ||||||||||||
Claims paid | (146 | ) | (276 | ) | (248 | ) | (485 | ) | ||||||||
Distributions to PFIs | (277 | ) | (833 | ) | (361 | ) | (920 | ) | ||||||||
Liability, end of period | $ | 136,841 | $ | 105,565 | $ | 136,841 | $ | 105,565 |
MPP Credit Waterfall | June 30, 2017 | December 31, 2016 | ||||||
Estimated incurred losses remaining after borrower's equity, before credit enhancements (1) | $ | 7,432 | $ | 8,689 | ||||
Portion of estimated incurred losses recoverable from PMI | (1,791 | ) | (1,981 | ) | ||||
Portion of estimated incurred losses recoverable from LRA (2) | (1,876 | ) | (2,418 | ) | ||||
Portion of estimated incurred losses recoverable from SMI | (3,065 | ) | (3,590 | ) | ||||
Allowance for unrecoverable PMI/SMI | 50 | 50 | ||||||
Allowance for MPP loan losses | $ | 750 | $ | 750 |
(1) | Based on a loss emergence period of 24 months. |
(2) | Amounts recoverable are limited to (i) the estimated losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the LRA balance is available to cover any losses not yet incurred and to distribute any excess funds to the PFIs. |
Delinquency Status as of June 30, 2017 | Conventional | Government | Total | |||||||||
Past due: | ||||||||||||
30-59 days | $ | 36,986 | $ | 11,767 | $ | 48,753 | ||||||
60-89 days | 8,966 | 2,326 | 11,292 | |||||||||
90 days or more | 22,679 | 1,463 | 24,142 | |||||||||
Total past due | 68,631 | 15,556 | 84,187 | |||||||||
Total current | 9,396,980 | 454,736 | 9,851,716 | |||||||||
Total mortgage loans, recorded investment | $ | 9,465,611 | $ | 470,292 | $ | 9,935,903 | ||||||
Other Delinquency Statistics as of June 30, 2017 | ||||||||||||
In process of foreclosure (1) | $ | 13,833 | $ | — | $ | 13,833 | ||||||
Serious delinquency rate (2) | 0.24 | % | 0.31 | % | 0.24 | % | ||||||
Past due 90 days or more still accruing interest (3) | $ | 19,543 | $ | 1,463 | $ | 21,006 | ||||||
On non-accrual status | $ | 4,022 | $ | — | $ | 4,022 |
Delinquency Status as of December 31, 2016 | Conventional | Government | Total | |||||||||
Past due: | ||||||||||||
30-59 days | $ | 46,118 | $ | 17,183 | $ | 63,301 | ||||||
60-89 days | 11,044 | 3,548 | 14,592 | |||||||||
90 days or more | 29,098 | 2,350 | 31,448 | |||||||||
Total past due | 86,260 | 23,081 | 109,341 | |||||||||
Total current | 8,949,441 | 482,316 | 9,431,757 | |||||||||
Total mortgage loans, recorded investment | $ | 9,035,701 | $ | 505,397 | $ | 9,541,098 | ||||||
Other Delinquency Statistics as of December 31, 2016 | ||||||||||||
In process of foreclosure (1) | $ | 17,749 | $ | — | $ | 17,749 | ||||||
Serious delinquency rate (2) | 0.32 | % | 0.46 | % | 0.33 | % | ||||||
Past due 90 days or more still accruing interest (3) | $ | 25,375 | $ | 2,350 | $ | 27,725 | ||||||
On non-accrual status | $ | 4,699 | $ | — | $ | 4,699 |
(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, but are not necessarily considered to be on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2016 Form 10-K. |
(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 and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. |
(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 on non-accrual status. For additional discussion, see Note 1 - Summary of Significant Accounting Policies in our 2016 Form 10-K. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Rollforward of Allowance for Loan Losses | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance, beginning of period | $ | 850 | $ | 850 | $ | 850 | $ | 1,125 | ||||||||
Charge-offs, net of recoveries | (130 | ) | 242 | (281 | ) | (58 | ) | |||||||||
Provision for (reversal of) loan losses | 130 | (242 | ) | 281 | (217 | ) | ||||||||||
Balance, end of period | $ | 850 | $ | 850 | $ | 850 | $ | 850 |
Allowance for Loan Losses by Impairment Methodology | June 30, 2017 | December 31, 2016 | ||||||
Conventional loans collectively evaluated for impairment | $ | 730 | $ | 750 | ||||
Conventional loans individually evaluated for impairment (1) | 120 | 100 | ||||||
Total allowance for loan losses | $ | 850 | $ | 850 | ||||
Recorded Investment by Impairment Methodology | June 30, 2017 | December 31, 2016 | ||||||
Conventional loans collectively evaluated for impairment | $ | 9,450,390 | $ | 9,020,194 | ||||
Conventional loans individually evaluated for impairment (1) | 15,221 | 15,507 | ||||||
Total recorded investment | $ | 9,465,611 | $ | 9,035,701 |
(1) | The recorded investment in our MPP conventional loans individually evaluated for impairment excludes principal previously paid in full by the servicers as of June 30, 2017 and December 31, 2016 of $3,273 and $2,814, respectively, that remains subject to potential claims by those servicers for any losses resulting from past or future liquidations of the underlying properties. However, the MPP allowance for loan losses as of June 30, 2017 and December 31, 2016 includes $73 and $70, respectively, for these potential claims. |
June 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
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 (1) | $ | 13,945 | $ | 14,007 | $ | — | $ | 15,158 | $ | 15,219 | $ | — | ||||||||||||
MPP conventional loans with allowance for loan losses | 1,276 | 1,279 | 47 | 349 | 358 | 30 | ||||||||||||||||||
Total | $ | 15,221 | $ | 15,286 | $ | 47 | $ | 15,507 | $ | 15,577 | $ | 30 |
(1) | No allowance for loan losses was recorded on these impaired loans after consideration of the underlying loan-specific attribute data, estimated liquidation value of real estate collateral held, estimated costs associated with maintaining and disposing of the collateral, and credit enhancements. |
Three Months Ended | Three Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | |||||||||||||||
Individually Evaluated Impaired Loans | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
MPP conventional loans without allowance for loan losses | $ | 14,537 | $ | 161 | $ | 16,474 | $ | 175 | ||||||||
MPP conventional loans with allowance for loan losses | 1,279 | 19 | 1,268 | 17 | ||||||||||||
Total | $ | 15,816 | $ | 180 | $ | 17,742 | $ | 192 |
Six Months Ended | Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2016 | |||||||||||||||
Individually Evaluated Impaired Loans | Average Recorded Investment | Interest Income Recognized | Average Recorded Investment | Interest Income Recognized | ||||||||||||
MPP conventional loans without allowance for loan losses | $ | 14,475 | $ | 354 | $ | 16,330 | $ | 387 | ||||||||
MPP conventional loans with allowance for loan losses | 1,283 | 25 | 1,272 | 28 | ||||||||||||
Total | $ | 15,758 | $ | 379 | $ | 17,602 | $ | 415 |
Notional | Estimated Fair Value | Estimated Fair Value | ||||||||||
Amount of | of Derivative | of Derivative | ||||||||||
June 30, 2017 | Derivatives | Assets | Liabilities | |||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps | $ | 26,869,481 | $ | 215,237 | $ | 91,410 | ||||||
Total derivatives designated as hedging instruments | 26,869,481 | 215,237 | 91,410 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 131,500 | 255 | 17 | |||||||||
Swaptions | 200,000 | — | — | |||||||||
Interest-rate caps/floors | 323,500 | 189 | — | |||||||||
Interest-rate forwards | 154,000 | 392 | — | |||||||||
MDCs | 153,159 | 20 | 491 | |||||||||
Total derivatives not designated as hedging instruments | 962,159 | 856 | 508 | |||||||||
Total derivatives before adjustments | $ | 27,831,640 | 216,093 | 91,918 | ||||||||
Netting adjustments (1) | (89,505 | ) | (89,505 | ) | ||||||||
Cash collateral and variation margin for daily settled contracts (1) | 28,713 | (19 | ) | |||||||||
Total derivatives, net | $ | 155,301 | $ | 2,394 | ||||||||
December 31, 2016 | ||||||||||||
Derivatives designated as hedging instruments: | ||||||||||||
Interest-rate swaps | $ | 23,998,498 | $ | 230,705 | $ | 102,201 | ||||||
Total derivatives designated as hedging instruments | 23,998,498 | 230,705 | 102,201 | |||||||||
Derivatives not designated as hedging instruments: | ||||||||||||
Interest-rate swaps | 901,344 | 1,430 | 31 | |||||||||
Swaptions | 350,000 | 2 | 50 | |||||||||
Interest-rate caps/floors | 364,500 | 322 | 2 | |||||||||
Interest-rate forwards | 99,100 | 339 | 352 | |||||||||
MDCs | 99,002 | 303 | 471 | |||||||||
Total derivatives not designated as hedging instruments | 1,813,946 | 2,396 | 906 | |||||||||
Total derivatives before adjustments | $ | 25,812,444 | 233,101 | 103,107 | ||||||||
Netting adjustments (1) | (133,089 | ) | (133,089 | ) | ||||||||
Cash collateral (1) | 34,836 | 55,207 | ||||||||||
Total derivatives, net | $ | 134,848 | $ | 25,225 |
(1) | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty (including fair value adjustments on derivatives for which variation margin payments are characterized as daily settled contracts). Cash collateral pledged to counterparties at June 30, 2017 and December 31, 2016 totaled $92,236 and $35,422, respectively. Cash collateral received from counterparties at June 30, 2017 and December 31, 2016 totaled $43,756 and $55,793, respectively. Variation margin for daily settled contracts totaled $19,748 at June 30, 2017. See Note 1 - Summary of Significant Accounting Policies for more information. |
June 30, 2017 | December 31, 2016 | |||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||
Derivative instruments meeting netting requirements: | ||||||||||||||||
Gross recognized amount | ||||||||||||||||
Uncleared | $ | 81,432 | $ | 36,230 | $ | 86,606 | $ | 45,449 | ||||||||
Cleared | 134,249 | 55,197 | 145,853 | 56,835 | ||||||||||||
Total gross recognized amount | 215,681 | 91,427 | 232,459 | 102,284 | ||||||||||||
Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts | ||||||||||||||||
Uncleared | (69,910 | ) | (34,327 | ) | (76,255 | ) | (21,047 | ) | ||||||||
Cleared (1) | 9,118 | (55,197 | ) | (21,998 | ) | (56,835 | ) | |||||||||
Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts | (60,792 | ) | (89,524 | ) | (98,253 | ) | (77,882 | ) | ||||||||
Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts | ||||||||||||||||
Uncleared | 11,522 | 1,903 | 10,351 | 24,402 | ||||||||||||
Cleared | 143,367 | — | 123,855 | — | ||||||||||||
Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts | 154,889 | 1,903 | 134,206 | 24,402 | ||||||||||||
Derivative instruments not meeting netting requirements (2) | 412 | 491 | 642 | 823 | ||||||||||||
Total derivatives, at estimated fair value | $ | 155,301 | $ | 2,394 | $ | 134,848 | $ | 25,225 |
(1) | Variation margin for daily settled contracts totaled $19,748 at June 30, 2017. |
(2) | Includes MDCs and certain interest-rate forwards. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Type of Hedge | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net gain (loss) related to fair-value hedge ineffectiveness: | ||||||||||||||||
Interest-rate swaps | $ | (3,859 | ) | $ | (2,134 | ) | $ | (7,833 | ) | $ | (2,577 | ) | ||||
Total net gain (loss) related to fair-value hedge ineffectiveness | (3,859 | ) | (2,134 | ) | (7,833 | ) | (2,577 | ) | ||||||||
Net gain (loss) on derivatives not designated as hedging instruments: | ||||||||||||||||
Economic hedges: | ||||||||||||||||
Interest-rate swaps | (66 | ) | (198 | ) | (88 | ) | (1,413 | ) | ||||||||
Swaptions | (38 | ) | — | (177 | ) | — | ||||||||||
Interest-rate caps/floors | (177 | ) | (16 | ) | (131 | ) | (47 | ) | ||||||||
Interest-rate forwards | (773 | ) | (2,863 | ) | (941 | ) | (5,337 | ) | ||||||||
Net interest settlements | (144 | ) | (12 | ) | (291 | ) | (124 | ) | ||||||||
MDCs | 397 | 2,430 | 476 | 4,608 | ||||||||||||
Total net gain (loss) on derivatives not designated as hedging instruments | (801 | ) | (659 | ) | (1,152 | ) | (2,313 | ) | ||||||||
Other (1) | (50 | ) | — | (100 | ) | — | ||||||||||
Net gains (losses) on derivatives and hedging activities | $ | (4,710 | ) | $ | (2,793 | ) | $ | (9,085 | ) | $ | (4,890 | ) |
(1) | Consists of price alignment amounts on derivatives for which variation margin payments are characterized as daily settled contracts. |
Gain (Loss) | Gain (Loss) | Net Fair- | Effect on | ||||||||||||||
on | on Hedged | Value Hedge | Net Interest | ||||||||||||||
Three Months Ended June 30, 2017 | Derivative | Item | Ineffectiveness | Income (1) | |||||||||||||
Advances | $ | (24,561 | ) | $ | 23,769 | $ | (792 | ) | $ | (8,912 | ) | ||||||
AFS securities | (42,407 | ) | 40,147 | (2,260 | ) | (13,928 | ) | ||||||||||
CO bonds | 10,380 | (11,187 | ) | (807 | ) | 4,377 | |||||||||||
Total | $ | (56,588 | ) | $ | 52,729 | $ | (3,859 | ) | $ | (18,463 | ) | ||||||
Three Months Ended June 30, 2016 | |||||||||||||||||
Advances | $ | (26,669 | ) | $ | 25,772 | $ | (897 | ) | $ | (25,941 | ) | ||||||
AFS securities | (51,639 | ) | 47,568 | (4,071 | ) | (25,700 | ) | ||||||||||
CO bonds | 8,451 | (5,617 | ) | 2,834 | 4,640 | ||||||||||||
Total | $ | (69,857 | ) | $ | 67,723 | $ | (2,134 | ) | $ | (47,001 | ) | ||||||
Six Months Ended June 30, 2017 | |||||||||||||||||
Advances | $ | (8,825 | ) | $ | 9,241 | $ | 416 | $ | (20,391 | ) | |||||||
AFS securities | (25,332 | ) | 20,064 | (5,268 | ) | (30,793 | ) | ||||||||||
CO Bonds | 4,828 | (7,809 | ) | (2,981 | ) | 7,765 | |||||||||||
Total | $ | (29,329 | ) | $ | 21,496 | $ | (7,833 | ) | $ | (43,419 | ) | ||||||
Six Months Ended June 30, 2016 | |||||||||||||||||
Advances | $ | (119,715 | ) | $ | 119,978 | $ | 263 | $ | (53,904 | ) | |||||||
AFS securities | (111,255 | ) | 107,262 | (3,993 | ) | (52,091 | ) | ||||||||||
CO Bonds | 20,796 | (19,643 | ) | 1,153 | 10,267 | ||||||||||||
Total | $ | (210,174 | ) | $ | 207,597 | $ | (2,577 | ) | $ | (95,728 | ) |
(1) | Includes the effect of derivatives in fair-value hedging relationships on net interest income that is recorded in the interest income/expense line item of the respective hedged items. Excludes the interest income/expense of the respective hedged items, which fully offset the interest income/expense of the derivatives, except to the extent of any hedge ineffectiveness. Net interest settlements on derivatives that are not in fair-value hedging relationships are reported in other income (loss). These amounts do not include the effect of amortization/accretion related to fair value hedging activities. |
Discount Notes | June 30, 2017 | December 31, 2016 | ||||||
Book value | $ | 21,036,075 | $ | 16,801,763 | ||||
Par value | 21,072,353 | 16,819,659 | ||||||
Weighted average effective interest rate | 0.96 | % | 0.51 | % |
June 30, 2017 | December 31, 2016 | |||||||||||||
Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | ||||||||||
Due in 1 year or less | $ | 14,708,530 | 1.12 | $ | 16,234,460 | 0.85 | ||||||||
Due after 1 year through 2 years | 8,357,605 | 1.31 | 6,122,190 | 0.96 | ||||||||||
Due after 2 years through 3 years | 3,300,980 | 2.08 | 2,718,945 | 1.65 | ||||||||||
Due after 3 years through 4 years | 1,458,370 | 2.51 | 1,684,530 | 3.17 | ||||||||||
Due after 4 years through 5 years | 993,820 | 2.06 | 1,040,000 | 2.17 | ||||||||||
Thereafter | 6,495,000 | 2.87 | 5,708,000 | 2.92 | ||||||||||
Total CO bonds, par value | 35,314,305 | 1.66 | 33,508,125 | 1.44 | ||||||||||
Unamortized premiums | 28,092 | 27,462 | ||||||||||||
Unamortized discounts | (12,116 | ) | (12,059 | ) | ||||||||||
Unamortized concessions | (13,989 | ) | (13,705 | ) | ||||||||||
Fair-value hedging adjustments | (34,656 | ) | (42,544 | ) | ||||||||||
Total CO bonds | $ | 35,281,636 | $ | 33,467,279 |
Redemption Feature | June 30, 2017 | December 31, 2016 | ||||||
Non-callable / non-putable | $ | 26,086,305 | $ | 25,627,125 | ||||
Callable | 9,228,000 | 7,881,000 | ||||||
Total CO bonds, par value | $ | 35,314,305 | $ | 33,508,125 |
Year of Contractual Maturity or Next Call Date | June 30, 2017 | December 31, 2016 | ||||||
Due in 1 year or less | $ | 23,234,530 | $ | 23,825,460 | ||||
Due after 1 year through 2 years | 7,629,605 | 4,675,190 | ||||||
Due after 2 years through 3 years | 2,212,980 | 2,240,945 | ||||||
Due after 3 years through 4 years | 827,370 | 1,257,530 | ||||||
Due after 4 years through 5 years | 381,820 | 474,000 | ||||||
Thereafter | 1,028,000 | 1,035,000 | ||||||
Total CO bonds, par value | $ | 35,314,305 | $ | 33,508,125 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
AHP Activity | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Liability at beginning of period | $ | 27,203 | $ | 28,235 | $ | 26,598 | $ | 31,103 | ||||||||
Assessment (expense) | 4,381 | 2,717 | 8,090 | 5,817 | ||||||||||||
Subsidy usage, net (1) | (6,955 | ) | (5,029 | ) | (10,059 | ) | (10,997 | ) | ||||||||
Liability at end of period | $ | 24,629 | $ | 25,923 | $ | 24,629 | $ | 25,923 |
(1) | Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
MRCS Activity | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Liability at beginning of period | $ | 166,930 | $ | 192,548 | $ | 170,043 | $ | 14,063 | ||||||||
Reclassification from capital stock | — | — | — | 178,898 | ||||||||||||
Redemptions/repurchases | (95 | ) | (14,945 | ) | (3,208 | ) | (16,396 | ) | ||||||||
Accrued distributions | — | — | — | 1,038 | ||||||||||||
Liability at end of period | $ | 166,835 | $ | 177,603 | $ | 166,835 | $ | 177,603 |
MRCS Contractual Year of Redemption | June 30, 2017 | December 31, 2016 | ||||||
Year 1 (1) | $ | 10,476 | $ | 8,630 | ||||
Year 2 | — | 5,054 | ||||||
Year 3 | 13 | 13 | ||||||
Year 4 | 73 | — | ||||||
Year 5 | 4,085 | 4,158 | ||||||
Thereafter (2) | 152,188 | 152,188 | ||||||
Total MRCS | $ | 166,835 | $ | 170,043 |
(1) | Balances at June 30, 2017 and December 31, 2016 include $5,422 and $5,609, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. |
(2) | Represents the five-year redemption period of outstanding Class B stock held by certain captive insurance companies which begins immediately upon their termination of memberships no later than February 19, 2021, in accordance with the Final Membership Rule. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
MRCS Distributions | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Recorded as interest expense | $ | 1,756 | $ | 1,871 | $ | 3,509 | $ | 2,868 | ||||||||
Recorded as distributions from retained earnings | — | — | — | 1,038 | ||||||||||||
Total | $ | 1,756 | $ | 1,871 | $ | 3,509 | $ | 3,906 |
June 30, 2017 | December 31, 2016 | |||||||||||||||
Regulatory Capital Requirements | Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 851,196 | $ | 2,793,846 | $ | 760,946 | $ | 2,549,871 | ||||||||
Regulatory permanent capital-to-asset ratio | 4.00 | % | 4.60 | % | 4.00 | % | 4.73 | % | ||||||||
Regulatory permanent capital | $ | 2,428,479 | $ | 2,793,846 | $ | 2,156,296 | $ | 2,549,871 | ||||||||
Leverage ratio | 5.00 | % | 6.90 | % | 5.00 | % | 7.10 | % | ||||||||
Leverage capital | $ | 3,035,599 | $ | 4,190,769 | $ | 2,695,370 | $ | 3,824,806 |
AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Non-Credit OTTI on AFS Securities | Non-Credit OTTI on HTM Securities | Pension Benefits | Total AOCI | |||||||||||||||
Balance, March 31, 2016 | $ | (116 | ) | $ | 24,462 | $ | (124 | ) | $ | (7,074 | ) | $ | 17,148 | |||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (693 | ) | (506 | ) | — | — | (1,199 | ) | ||||||||||||
Net change in fair value | — | 28 | — | — | 28 | |||||||||||||||
Accretion of non-credit losses | — | — | 8 | — | 8 | |||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Non-credit portion of OTTI losses | — | 93 | — | — | 93 | |||||||||||||||
Pension benefits, net | — | — | — | (858 | ) | (858 | ) | |||||||||||||
Total other comprehensive income (loss) | (693 | ) | (385 | ) | 8 | (858 | ) | (1,928 | ) | |||||||||||
Balance, June 30, 2016 | $ | (809 | ) | $ | 24,077 | $ | (116 | ) | $ | (7,932 | ) | $ | 15,220 | |||||||
Balance, March 31, 2017 | $ | 62,224 | $ | 27,529 | $ | (97 | ) | $ | (9,607 | ) | $ | 80,049 | ||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | 14,854 | 990 | — | — | 15,844 | |||||||||||||||
Net change in fair value | — | 85 | — | — | 85 | |||||||||||||||
Accretion of non-credit losses | — | — | 6 | — | 6 | |||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Non-credit portion of OTTI losses | — | 73 | 38 | — | 111 | |||||||||||||||
Pension benefits, net | — | — | — | 325 | 325 | |||||||||||||||
Total other comprehensive income (loss) | 14,854 | 1,148 | 44 | 325 | 16,371 | |||||||||||||||
Balance, June 30, 2017 | $ | 77,078 | $ | 28,677 | $ | (53 | ) | $ | (9,282 | ) | $ | 96,420 |
AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Non-Credit OTTI on AFS Securities | Non-Credit OTTI on HTM Securities | Pension Benefits | Total AOCI | |||||||||||||||
Balance, December 31, 2015 | $ | 97 | $ | 30,229 | $ | (132 | ) | $ | (7,316 | ) | $ | 22,878 | ||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (906 | ) | (6,297 | ) | — | — | (7,203 | ) | ||||||||||||
Net change in fair value | — | 52 | — | — | 52 | |||||||||||||||
Accretion of non-credit losses | — | — | 16 | — | 16 | |||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Non-credit portion of OTTI losses | — | 93 | — | — | 93 | |||||||||||||||
Pension benefits, net | — | — | — | (616 | ) | (616 | ) | |||||||||||||
Total other comprehensive income (loss) | (906 | ) | (6,152 | ) | 16 | (616 | ) | (7,658 | ) | |||||||||||
Balance, June 30, 2016 | $ | (809 | ) | $ | 24,077 | $ | (116 | ) | $ | (7,932 | ) | $ | 15,220 | |||||||
Balance, December 31, 2016 | $ | 39,468 | $ | 26,938 | $ | (103 | ) | $ | (9,935 | ) | $ | 56,368 | ||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | 37,610 | 1,582 | — | — | 39,192 | |||||||||||||||
Net change in fair value | — | 2 | — | — | 2 | |||||||||||||||
Accretion of non-credit losses | — | — | 12 | — | 12 | |||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Non-credit portion of OTTI losses | — | 155 | 38 | — | 193 | |||||||||||||||
Pension benefits, net | — | — | — | 653 | 653 | |||||||||||||||
Total other comprehensive income (loss) | 37,610 | 1,739 | 50 | 653 | 40,052 | |||||||||||||||
Balance, June 30, 2017 | $ | 77,078 | $ | 28,677 | $ | (53 | ) | $ | (9,282 | ) | $ | 96,420 |
Three Months Ended June 30, 2017 | Three Months Ended June 30, 2016 | |||||||||||||||||||||||
Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | |||||||||||||||||||
Net interest income | $ | 47,255 | $ | 17,810 | $ | 65,065 | $ | 32,418 | $ | 13,181 | $ | 45,599 | ||||||||||||
Provision for (reversal of) credit losses | — | 130 | 130 | — | (242 | ) | (242 | ) | ||||||||||||||||
Other income (loss) | (3,329 | ) | (504 | ) | (3,833 | ) | (1,518 | ) | (365 | ) | (1,883 | ) | ||||||||||||
Other expenses | 16,031 | 3,013 | 19,044 | 15,816 | 2,837 | 18,653 | ||||||||||||||||||
Income before assessments | 27,895 | 14,163 | 42,058 | 15,084 | 10,221 | 25,305 | ||||||||||||||||||
Affordable Housing Program assessments | 2,965 | 1,416 | 4,381 | 1,695 | 1,022 | 2,717 | ||||||||||||||||||
Net income | $ | 24,930 | $ | 12,747 | $ | 37,677 | $ | 13,389 | $ | 9,199 | $ | 22,588 | ||||||||||||
Six Months Ended June 30, 2017 | Six Months Ended June 30, 2016 | |||||||||||||||||||||||
Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | |||||||||||||||||||
Net interest income | $ | 88,791 | $ | 35,277 | $ | 124,068 | $ | 65,490 | $ | 29,480 | $ | 94,970 | ||||||||||||
Provision for (reversal of) credit losses | — | 281 | 281 | — | (217 | ) | (217 | ) | ||||||||||||||||
Other income (loss) | (7,003 | ) | (495 | ) | (7,498 | ) | (2,460 | ) | (625 | ) | (3,085 | ) | ||||||||||||
Other expenses | 32,826 | 6,071 | 38,897 | 31,226 | 5,574 | 36,800 | ||||||||||||||||||
Income before assessments | 48,962 | 28,430 | 77,392 | 31,804 | 23,498 | 55,302 | ||||||||||||||||||
Affordable Housing Program assessments | 5,247 | 2,843 | 8,090 | 3,467 | 2,350 | 5,817 | ||||||||||||||||||
Net income | $ | 43,715 | $ | 25,587 | $ | 69,302 | $ | 28,337 | $ | 21,148 | $ | 49,485 |
By Date | Traditional | Mortgage Loans | Total | |||||||||
June 30, 2017 | $ | 50,817,534 | $ | 9,894,442 | $ | 60,711,976 | ||||||
December 31, 2016 | 44,406,003 | 9,501,397 | 53,907,400 |
June 30, 2017 | ||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 92,082 | $ | 92,082 | $ | 92,082 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 334,432 | 334,432 | 334,192 | 240 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 2,527,000 | 2,527,005 | — | 2,527,005 | — | — | ||||||||||||||||||
Federal funds sold | 2,575,000 | 2,575,000 | — | 2,575,000 | — | — | ||||||||||||||||||
AFS securities | 7,071,810 | 7,071,810 | — | 6,827,547 | 244,263 | — | ||||||||||||||||||
HTM securities | 5,633,192 | 5,675,036 | — | 5,622,777 | 52,259 | — | ||||||||||||||||||
Advances | 32,253,350 | 32,212,637 | — | 32,212,637 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 9,894,442 | 9,996,869 | — | 9,982,042 | 14,827 | — | ||||||||||||||||||
Accrued interest receivable | 99,055 | 99,055 | — | 99,055 | — | — | ||||||||||||||||||
Derivative assets, net | 155,301 | 155,301 | — | 216,093 | — | (60,792 | ) | |||||||||||||||||
Grantor trust assets (included in other assets) | 20,233 | 20,233 | 20,233 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 674,476 | 674,476 | — | 674,476 | — | — | ||||||||||||||||||
Consolidated Obligations: | ||||||||||||||||||||||||
Discount notes | 21,036,075 | 21,072,353 | — | 21,072,353 | — | — | ||||||||||||||||||
Bonds | 35,281,636 | 35,464,780 | — | 35,464,780 | — | — | ||||||||||||||||||
Accrued interest payable | 117,220 | 117,220 | — | 117,220 | — | — | ||||||||||||||||||
Derivative liabilities, net | 2,394 | 2,394 | — | 91,918 | — | (89,524 | ) | |||||||||||||||||
MRCS | 166,835 | 166,835 | 166,835 | — | — | — |
December 31, 2016 | ||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 546,612 | $ | 546,612 | $ | 546,612 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 150,225 | 150,225 | 150,072 | 153 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 1,781,309 | 1,781,309 | — | 1,781,309 | — | — | ||||||||||||||||||
Federal funds sold | 1,650,000 | 1,650,000 | — | 1,650,000 | — | — | ||||||||||||||||||
AFS securities | 6,059,835 | 6,059,835 | — | 5,790,716 | 269,119 | — | ||||||||||||||||||
HTM securities | 5,819,573 | 5,848,692 | — | 5,791,111 | 57,581 | — | ||||||||||||||||||
Advances | 28,095,953 | 28,059,477 | — | 28,059,477 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 9,501,397 | 9,587,394 | — | 9,567,140 | 20,254 | — | ||||||||||||||||||
Accrued interest receivable | 93,716 | 93,716 | — | 93,716 | — | — | ||||||||||||||||||
Derivative assets, net | 134,848 | 134,848 | — | 233,101 | — | (98,253 | ) | |||||||||||||||||
Grantor trust assets (included in other assets) | 18,117 | 18,117 | 18,117 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 524,073 | 524,073 | — | 524,073 | — | — | ||||||||||||||||||
Consolidated Obligations: | ||||||||||||||||||||||||
Discount notes | 16,801,763 | 16,819,659 | — | 16,819,659 | — | — | ||||||||||||||||||
Bonds | 33,467,279 | 33,614,346 | — | 33,614,346 | — | — | ||||||||||||||||||
Accrued interest payable | 98,411 | 98,411 | — | 98,411 | — | — | ||||||||||||||||||
Derivative liabilities, net | 25,225 | 25,225 | — | 103,107 | — | (77,882 | ) | |||||||||||||||||
MRCS | 170,043 | 170,043 | 170,043 | — | — | — |
(1) | Represents the application of the netting requirements that allow the settlement of (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty (includes fair value adjustments on derivatives of $19,748 at June 30, 2017 for which variation margin payments are characterized as daily settled contracts). |
Netting | ||||||||||||||||||||
June 30, 2017 | Total | Level 1 | Level 2 | Level 3 | Adjustment (1) | |||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA debentures | $ | 4,728,049 | $ | — | $ | 4,728,049 | $ | — | $ | — | ||||||||||
GSE MBS | 2,099,498 | — | 2,099,498 | — | — | |||||||||||||||
Private-label RMBS | 244,263 | — | — | 244,263 | — | |||||||||||||||
Total AFS securities | 7,071,810 | — | 6,827,547 | 244,263 | — | |||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest-rate related | 154,889 | — | 215,681 | — | (60,792 | ) | ||||||||||||||
Interest-rate forwards | 392 | — | 392 | — | — | |||||||||||||||
MDCs | 20 | — | 20 | — | — | |||||||||||||||
Total derivative assets, net | 155,301 | — | 216,093 | — | (60,792 | ) | ||||||||||||||
Grantor trust assets (included in other assets) | 20,233 | 20,233 | — | — | — | |||||||||||||||
Total assets at recurring estimated fair value | $ | 7,247,344 | $ | 20,233 | $ | 7,043,640 | $ | 244,263 | $ | (60,792 | ) | |||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 1,903 | $ | — | $ | 91,427 | $ | — | $ | (89,524 | ) | |||||||||
Interest-rate forwards | — | — | — | — | — | |||||||||||||||
MDCs | 491 | — | 491 | — | — | |||||||||||||||
Total derivative liabilities, net | 2,394 | — | 91,918 | — | (89,524 | ) | ||||||||||||||
Total liabilities at recurring estimated fair value | $ | 2,394 | $ | — | $ | 91,918 | $ | — | $ | (89,524 | ) | |||||||||
Mortgage loans held for portfolio (2) | $ | 4,107 | $ | — | $ | — | $ | 4,107 | $ | — | ||||||||||
Total assets at non-recurring estimated fair value | $ | 4,107 | $ | — | $ | — | $ | 4,107 | $ | — | ||||||||||
December 31, 2016 | ||||||||||||||||||||
AFS securities: | ||||||||||||||||||||
GSE and TVA debentures | $ | 4,714,634 | $ | — | $ | 4,714,634 | $ | — | $ | — | ||||||||||
GSE MBS | 1,076,082 | — | 1,076,082 | — | — | |||||||||||||||
Private-label RMBS | 269,119 | — | — | 269,119 | — | |||||||||||||||
Total AFS securities | 6,059,835 | — | 5,790,716 | 269,119 | — | |||||||||||||||
Derivative assets: | ||||||||||||||||||||
Interest-rate related | 134,206 | — | 232,459 | — | (98,253 | ) | ||||||||||||||
Interest-rate forwards | 339 | — | 339 | — | — | |||||||||||||||
MDCs | 303 | — | 303 | — | — | |||||||||||||||
Total derivative assets, net | 134,848 | — | 233,101 | — | (98,253 | ) | ||||||||||||||
Grantor trust assets (included in other assets) | 18,117 | 18,117 | — | — | — | |||||||||||||||
Total assets at recurring estimated fair value | $ | 6,212,800 | $ | 18,117 | $ | 6,023,817 | $ | 269,119 | $ | (98,253 | ) | |||||||||
Derivative liabilities: | ||||||||||||||||||||
Interest-rate related | $ | 24,402 | $ | — | $ | 102,284 | $ | — | $ | (77,882 | ) | |||||||||
Interest-rate forwards | 352 | — | 352 | — | — | |||||||||||||||
MDCs | 471 | — | 471 | — | — | |||||||||||||||
Total derivative liabilities, net | 25,225 | — | 103,107 | — | (77,882 | ) | ||||||||||||||
Total liabilities at recurring estimated fair value | $ | 25,225 | $ | — | $ | 103,107 | $ | — | $ | (77,882 | ) | |||||||||
Mortgage loans held for portfolio (3) | $ | 3,492 | $ | — | $ | — | $ | 3,492 | $ | — | ||||||||||
Total assets at non-recurring estimated fair value | $ | 3,492 | $ | — | $ | — | $ | 3,492 | $ | — |
(1) | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty (includes fair value adjustments on derivatives of $19,748 at June 30, 2017 for which variation margin payments are characterized as daily settled contracts). |
(2) | Amounts are as of the date the fair value adjustment was recorded during the six months ended June 30, 2017. |
(3) | Amounts are as of the date the fair value adjustment was recorded during the year ended December 31, 2016. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Level 3 Rollforward - AFS private-label RMBS | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance, beginning of period | $ | 257,671 | $ | 300,758 | $ | 269,119 | $ | 319,186 | ||||||||
Total realized and unrealized gains (losses): | ||||||||||||||||
Accretion of credit losses in interest income | 1,785 | 2,164 | 3,656 | 5,300 | ||||||||||||
Net losses on changes in fair value in other income (loss) | (73 | ) | (93 | ) | (155 | ) | (93 | ) | ||||||||
Net change in fair value not in excess of cumulative non-credit losses in OCI | 85 | 28 | 2 | 52 | ||||||||||||
Unrealized gains (losses) in OCI | 990 | (506 | ) | 1,582 | (6,297 | ) | ||||||||||
Reclassification of non-credit portion in OCI to other income (loss) | 73 | 93 | 155 | 93 | ||||||||||||
Purchases, issuances, sales and settlements: | ||||||||||||||||
Settlements | (16,268 | ) | (14,301 | ) | (30,096 | ) | (30,098 | ) | ||||||||
Balance, end of period | $ | 244,263 | $ | 288,143 | $ | 244,263 | $ | 288,143 | ||||||||
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ | 1,712 | $ | 2,071 | $ | 3,501 | $ | 4,347 |
June 30, 2017 | ||||||||||||
Type of Commitment | Expire within one year | Expire after one year | Total | |||||||||
Letters of credit outstanding | $ | 121,273 | $ | 175,095 | $ | 296,368 | ||||||
Unused lines of credit (1) | 1,082,709 | — | 1,082,709 | |||||||||
Commitments to fund additional advances (2) | 55,000 | — | 55,000 | |||||||||
Commitments to fund or purchase mortgage loans, net (3) | 153,159 | — | 153,159 | |||||||||
Unsettled CO bonds, at par | 616,400 | — | 616,400 |
(1) | Maximum line of credit amount per member is $50,000. |
(2) | Generally for periods up to six months. |
(3) | Generally for periods up to 91 days. |
Capital Stock and MRCS | Advances | |||||||||||||
Date | Par value | % of Total | Par value | % of Total | ||||||||||
June 30, 2017 | $ | 40,227 | 2 | % | $ | 573,208 | 2 | % | ||||||
December 31, 2016 | 50,810 | 3 | % | 627,105 | 2 | % |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Transactions with Directors' Financial Institutions | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net capital stock issuances (redemptions and repurchases) | $ | 2,364 | $ | 629 | $ | 3,574 | $ | 629 | ||||||||
Net advances (repayments) | 77,100 | 112,390 | 64,851 | 163,961 | ||||||||||||
Mortgage loans purchases | 10,570 | 13,930 | 14,047 | 18,996 |
• | Traditional, which consists of (i) credit products (including advances, letters of credit, and lines of credit), (ii) investments (including federal funds sold, securities purchased under agreements to resell, AFS securities and HTM securities) and (iii) correspondent services and deposits; and |
• | Mortgage loans, which consist of (i) mortgage loans purchased from our members through our MPP and (ii) participating interests purchased in 2012 - 2014 from the FHLBank of Topeka in mortgage loans originated by certain of its PFIs under the MPF Program. |
As of and for the Three Months Ended | ||||||||||||||||||||
June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | ||||||||||||||||
Statement of Condition: | ||||||||||||||||||||
Advances | $ | 32,253 | $ | 29,671 | $ | 28,096 | $ | 26,473 | $ | 26,465 | ||||||||||
Mortgage loans held for portfolio, net | 9,894 | 9,633 | 9,501 | 9,270 | 8,772 | |||||||||||||||
Cash and investments (1) | 18,234 | 17,059 | 16,008 | 16,864 | 16,471 | |||||||||||||||
Total assets | 60,712 | 56,669 | 53,907 | 52,909 | 52,001 | |||||||||||||||
Discount notes | 21,036 | 18,399 | 16,802 | 16,393 | 15,920 | |||||||||||||||
CO bonds | 35,282 | 34,470 | 33,467 | 32,740 | 32,467 | |||||||||||||||
Total consolidated obligations | 56,318 | 52,869 | 50,269 | 49,133 | 48,387 | |||||||||||||||
MRCS | 167 | 167 | 170 | 179 | 178 | |||||||||||||||
Capital stock | 1,702 | 1,554 | 1,493 | 1,438 | 1,400 | |||||||||||||||
Retained earnings (2) | 925 | 903 | 887 | 862 | 854 | |||||||||||||||
AOCI | 96 | 80 | 56 | 40 | 15 | |||||||||||||||
Total capital | 2,723 | 2,537 | 2,436 | 2,340 | 2,269 | |||||||||||||||
Statement of Income: | ||||||||||||||||||||
Net interest income | $ | 65 | $ | 59 | $ | 54 | $ | 49 | $ | 46 | ||||||||||
Provision for (reversal of) credit losses | — | — | — | — | — | |||||||||||||||
Other income (loss) | (4 | ) | (3 | ) | 13 | (4 | ) | (2 | ) | |||||||||||
Other expenses | 19 | 21 | 22 | 19 | 18 | |||||||||||||||
AHP assessments | 4 | 4 | 5 | 3 | 2 | |||||||||||||||
Net income | $ | 38 | $ | 31 | $ | 40 | $ | 23 | $ | 24 | ||||||||||
Selected Financial Ratios: | ||||||||||||||||||||
Net interest margin (3) | 0.44 | % | 0.43 | % | 0.41 | % | 0.38 | % | 0.36 | % | ||||||||||
Return on average equity (4) | 5.77 | % | 5.18 | % | 6.73 | % | 4.03 | % | 4.15 | % | ||||||||||
Return on average assets (4) | 0.25 | % | 0.23 | % | 0.30 | % | 0.18 | % | 0.18 | % | ||||||||||
Weighted average dividend rate (5) | 4.25 | % | 4.25 | % | 4.25 | % | 4.25 | % | 4.25 | % | ||||||||||
Dividend payout ratio (6) | 41.98 | % | 49.21 | % | 37.14 | % | 63.28 | % | 68.28 | % | ||||||||||
Total capital ratio (7) | 4.49 | % | 4.48 | % | 4.52 | % | 4.42 | % | 4.36 | % | ||||||||||
Total regulatory capital ratio (8) | 4.60 | % | 4.63 | % | 4.73 | % | 4.69 | % | 4.68 | % | ||||||||||
Average equity to average assets | 4.41 | % | 4.46 | % | 4.51 | % | 4.41 | % | 4.32 | % |
(1) | Consists of cash, interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, AFS securities, and HTM securities. |
(2) | Includes restricted and unrestricted retained earnings. |
(3) | Annualized net interest income expressed as a percentage of average interest-earning assets. |
(4) | Annualized. |
(5) | Annualized dividends paid in cash during the period divided by the average amount of Class B capital stock eligible for dividends under our capital plan, excluding MRCS. |
(6) | Dividends paid in cash during the period divided by net income for the period. By dividing dividends paid in cash during the period by the net income for the prior period, the dividend payout ratios for each of the three months ended June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 2016, would be 50%, 39%, 65%, 65% and 57%, respectively. |
(7) | Capital stock plus retained earnings and AOCI expressed as a percentage of total assets. |
(8) | Capital stock plus retained earnings and MRCS expressed as a percentage of total assets. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
Comparative Highlights | 2017 | 2016 | $ Change | % Change | 2017 | 2016 | $ Change | % Change | ||||||||||||||||||||||
Net interest income | $ | 65 | $ | 46 | $ | 19 | 43 | % | $ | 124 | $ | 95 | $ | 29 | 31 | % | ||||||||||||||
Provision for (reversal of) credit losses | — | — | — | — | — | — | ||||||||||||||||||||||||
Net interest income after provision for credit losses | 65 | 46 | 19 | 42 | % | 124 | 95 | 29 | 30 | % | ||||||||||||||||||||
Other income (loss) | (4 | ) | (2 | ) | (2 | ) | (7 | ) | (3 | ) | (4 | ) | ||||||||||||||||||
Other expenses | 19 | 18 | 1 | 40 | 37 | 3 | ||||||||||||||||||||||||
Income before assessments | 42 | 26 | 16 | 66 | % | 77 | 55 | 22 | 40 | % | ||||||||||||||||||||
AHP assessments | 4 | 3 | 1 | 8 | 6 | 2 | ||||||||||||||||||||||||
Net income | 38 | 23 | 15 | 67 | % | 69 | 49 | 20 | 40 | % | ||||||||||||||||||||
Total other comprehensive income (loss) | 16 | (2 | ) | 18 | 40 | (8 | ) | 48 | ||||||||||||||||||||||
Total comprehensive income | $ | 54 | $ | 21 | $ | 33 | 162 | % | $ | 109 | $ | 41 | $ | 68 | 161 | % |
Condensed Statements of Condition | June 30, 2017 | December 31, 2016 | $ Change | % Change | |||||||||||
Advances | $ | 32,253 | $ | 28,096 | $ | 4,157 | 15 | % | |||||||
Mortgage loans held for portfolio, net | 9,894 | 9,501 | 393 | 4 | % | ||||||||||
Cash and investments (1) | 18,234 | 16,008 | 2,226 | 14 | % | ||||||||||
Other assets | 331 | 302 | 29 | 9 | % | ||||||||||
Total assets | $ | 60,712 | $ | 53,907 | $ | 6,805 | 13 | % | |||||||
Consolidated obligations | $ | 56,318 | $ | 50,269 | $ | 6,049 | 12 | % | |||||||
MRCS | 167 | 170 | (3 | ) | (2 | %) | |||||||||
Other liabilities | 1,504 | 1,032 | 472 | 46 | % | ||||||||||
Total liabilities | 57,989 | 51,471 | 6,518 | 13 | % | ||||||||||
Capital stock, Class B putable | 1,702 | 1,493 | 209 | 14 | % | ||||||||||
Retained earnings (2) | 925 | 887 | 38 | 4 | % | ||||||||||
AOCI | 96 | 56 | 40 | 71 | % | ||||||||||
Total capital | 2,723 | 2,436 | 287 | 12 | % | ||||||||||
Total liabilities and capital | $ | 60,712 | $ | 53,907 | $ | 6,805 | 13 | % | |||||||
Total regulatory capital (3) | $ | 2,794 | $ | 2,550 | $ | 244 | 10 | % |
(1) | Consists of cash, interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, AFS securities, and HTM securities. |
(2) | Includes restricted retained earnings at June 30, 2017 and December 31, 2016 of $166 million and $152 million, respectively. |
(3) | Total capital less AOCI plus MRCS. |
Three Months Ended June 30, | |||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (1) | Average Balance | Interest Income/ Expense | Average Yield (1) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | $ | 5,045 | $ | 12 | 0.97 | % | $ | 4,241 | $ | 4 | 0.37 | % | |||||||||
Investment securities (2) | 12,634 | 57 | 1.83 | % | 12,025 | 43 | 1.45 | % | |||||||||||||
Advances (3) | 31,016 | 95 | 1.22 | % | 25,174 | 51 | 0.82 | % | |||||||||||||
Mortgage loans held for portfolio (3) | 9,738 | 78 | 3.23 | % | 8,512 | 68 | 3.20 | % | |||||||||||||
Other assets (interest-earning) (4) | 377 | 1 | 0.96 | % | 318 | 1 | 0.87 | % | |||||||||||||
Total interest-earning assets | 58,810 | 243 | 1.66 | % | 50,270 | 167 | 1.34 | % | |||||||||||||
Other assets (5) | 420 | 310 | |||||||||||||||||||
Total assets | $ | 59,230 | $ | 50,580 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-bearing deposits | $ | 555 | 1 | 0.78 | % | $ | 587 | — | 0.10 | % | |||||||||||
Discount notes | 20,390 | 42 | 0.82 | % | 15,307 | 15 | 0.40 | % | |||||||||||||
CO bonds (3) | 34,786 | 134 | 1.55 | % | 31,701 | 104 | 1.32 | % | |||||||||||||
MRCS | 167 | 1 | 4.22 | % | 179 | 2 | 4.20 | % | |||||||||||||
Total interest-bearing liabilities | 55,898 | 178 | 1.28 | % | 47,774 | 121 | 1.02 | % | |||||||||||||
Other liabilities | 722 | 623 | |||||||||||||||||||
Total capital | 2,610 | 2,183 | |||||||||||||||||||
Total liabilities and capital | $ | 59,230 | $ | 50,580 | |||||||||||||||||
Net interest income | $ | 65 | $ | 46 | |||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities | 0.38 | % | 0.32 | % | |||||||||||||||||
Net interest margin (6) | 0.44 | % | 0.36 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.05 | 1.05 |
Six Months Ended June 30, | |||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Yield (1) | Average Balance | Interest Income/ Expense | Average Yield (1) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | $ | 4,956 | $ | 21 | 0.84 | % | $ | 4,219 | $ | 8 | 0.37 | % | |||||||||
Investment securities (2) | 12,443 | 107 | 1.74 | % | 11,631 | 83 | 1.44 | % | |||||||||||||
Advances (3) | 29,553 | 169 | 1.15 | % | 25,671 | 100 | 0.78 | % | |||||||||||||
Mortgage loans held for portfolio (3) | 9,655 | 154 | 3.22 | % | 8,364 | 137 | 3.30 | % | |||||||||||||
Other assets (interest-earning) (4) | 323 | 2 | 1.14 | % | 297 | 1 | 0.77 | % | |||||||||||||
Total interest-earning assets | 56,930 | 453 | 1.61 | % | 50,182 | 329 | 1.32 | % | |||||||||||||
Other assets (5) | 468 | 402 | |||||||||||||||||||
Total assets | $ | 57,398 | $ | 50,584 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Interest-bearing deposits | $ | 560 | 2 | 0.66 | % | $ | 574 | — | 0.08 | % | |||||||||||
Discount notes | 19,097 | 67 | 0.71 | % | 16,300 | 31 | 0.38 | % | |||||||||||||
CO Bonds (3) | 34,324 | 257 | 1.51 | % | 30,684 | 200 | 1.31 | % | |||||||||||||
MRCS | 168 | 3 | 4.22 | % | 127 | 3 | 4.53 | % | |||||||||||||
Total interest-bearing liabilities | 54,149 | 329 | 1.23 | % | 47,685 | 234 | 0.99 | % | |||||||||||||
Other liabilities | 706 | 639 | |||||||||||||||||||
Total capital | 2,543 | 2,260 | |||||||||||||||||||
Total liabilities and capital | $ | 57,398 | $ | 50,584 | |||||||||||||||||
Net interest income | $ | 124 | $ | 95 | |||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities | 0.38 | % | 0.33 | % | |||||||||||||||||
Net interest margin (6) | 0.44 | % | 0.38 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.05 | 1.05 |
(1) | Annualized. |
(2) | Consists of AFS and HTM securities. The average balances of investment securities are based on amortized cost; therefore, the resulting yields do not reflect changes in the estimated fair value of AFS securities that are included as a component of OCI, nor do they reflect OTTI-related non-credit losses. Interest income/expense includes the effect of associated derivative transactions. |
(3) | Interest income/expense and average yield include all other components of interest, including the impact of net interest payments or receipts on derivatives in qualifying hedge relationships, amortization of hedge accounting adjustments, and prepayment fees on advances. |
(4) | Consists of interest-bearing deposits, loans to other FHLBanks (if applicable), and grantor trust assets that are carried at estimated fair value. Includes the rights or obligations to cash collateral, except for variation margin payments characterized as daily settled contracts. |
(5) | Includes changes in the estimated fair value of AFS securities and the effect of OTTI-related non-credit losses on AFS and HTM securities. |
(6) | Annualized net interest income expressed as a percentage of the average balance of interest-earning assets. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Components | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | — | ||||||||
Non-credit portion reclassified to (from) other comprehensive income | — | — | — | — | ||||||||||||
Net OTTI credit losses | — | — | — | — | ||||||||||||
Net gains (losses) on derivatives and hedging activities | (5 | ) | (3 | ) | (9 | ) | (5 | ) | ||||||||
Other | 1 | 1 | 2 | 2 | ||||||||||||
Total other income (loss) | $ | (4 | ) | $ | (2 | ) | $ | (7 | ) | $ | (3 | ) |
Three Months Ended June 30, 2017 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Other | Total | |||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||||||
Amortization/accretion of hedging activities (1) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Net interest settlements (2) | (9 | ) | (14 | ) | — | 5 | — | — | (18 | ) | ||||||||||||||||||
Total net interest income | (9 | ) | (14 | ) | — | 5 | — | — | (18 | ) | ||||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (1 | ) | (2 | ) | — | (1 | ) | — | — | (4 | ) | |||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting (3) | — | — | (1 | ) | — | — | — | (1 | ) | |||||||||||||||||||
Other (4) | — | — | — | — | — | — | — | |||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (1 | ) | (2 | ) | (1 | ) | (1 | ) | — | — | (5 | ) | ||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (10 | ) | $ | (16 | ) | $ | (1 | ) | $ | 4 | $ | — | $ | — | $ | (23 | ) |
Three Months Ended June 30, 2016 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities (1) | $ | — | $ | 3 | $ | — | $ | — | $ | — | $ | 3 | ||||||||||||
Net interest settlements (2) | (26 | ) | (26 | ) | — | 5 | — | (47 | ) | |||||||||||||||
Total net interest income | (26 | ) | (23 | ) | — | 5 | — | (44 | ) | |||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | (1 | ) | (4 | ) | — | 3 | — | (2 | ) | |||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting (3) | — | — | (1 | ) | — | — | (1 | ) | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (1 | ) | (4 | ) | (1 | ) | 3 | — | (3 | ) | ||||||||||||||
Total net effect of derivatives and hedging activities | $ | (27 | ) | $ | (27 | ) | $ | (1 | ) | $ | 8 | $ | — | $ | (47 | ) |
Six Months Ended June 30, 2017 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Other | Total | |||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||||||
Amortization/accretion of hedging activities (1) | $ | — | $ | 1 | $ | — | $ | — | $ | — | $ | — | $ | 1 | ||||||||||||||
Net interest settlements (2) | (20 | ) | (31 | ) | — | 8 | — | — | (43 | ) | ||||||||||||||||||
Total net interest income | (20 | ) | (30 | ) | — | 8 | — | — | (42 | ) | ||||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||||||||||
Gains (losses) on fair-value hedges | — | (5 | ) | — | (3 | ) | — | — | (8 | ) | ||||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting (3) | — | — | (1 | ) | — | — | — | (1 | ) | |||||||||||||||||||
Other (4) | — | — | — | — | — | — | — | |||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | — | (5 | ) | (1 | ) | (3 | ) | — | — | (9 | ) | |||||||||||||||||
Total net effect of derivatives and hedging activities | $ | (20 | ) | $ | (35 | ) | $ | (1 | ) | $ | 5 | $ | — | $ | — | $ | (51 | ) |
Six Months Ended June 30, 2016 | Advances | Investments | Mortgage Loans | CO Bonds | Discount Notes | Total | ||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||
Amortization/accretion of hedging activities (1) | $ | — | $ | 6 | $ | (1 | ) | $ | — | $ | — | $ | 5 | |||||||||||
Net interest settlements (2) | (54 | ) | (52 | ) | — | 10 | — | (96 | ) | |||||||||||||||
Total net interest income | (54 | ) | (46 | ) | (1 | ) | 10 | — | (91 | ) | ||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||||||
Gains (losses) on fair-value hedges | — | (4 | ) | — | 1 | — | (3 | ) | ||||||||||||||||
Gains (losses) on derivatives not qualifying for hedge accounting (3) | (1 | ) | — | (1 | ) | — | — | (2 | ) | |||||||||||||||
Net gains (losses) on derivatives and hedging activities | (1 | ) | (4 | ) | (1 | ) | 1 | — | (5 | ) | ||||||||||||||
Total net effect of derivatives and hedging activities | $ | (55 | ) | $ | (50 | ) | $ | (2 | ) | $ | 11 | $ | — | $ | (96 | ) |
(1) | Represents the amortization/accretion of fair value hedge accounting adjustments for both current and terminated hedge positions. |
(2) | Represents interest income/expense on derivatives in qualifying hedge relationships. Excludes the interest income/expense of the respective hedged items, which fully offset the interest income/expense of the derivatives, except to the extent of any hedge ineffectiveness. |
(3) | Includes net interest settlements on derivatives not qualifying for hedge accounting. See Notes to Financial Statements - Note 9 - Derivatives and Hedging Activities for additional information. |
(4) | Consists of price alignment amounts on derivatives for which variation margin payments are characterized as daily settled contracts. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Components | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Compensation and benefits | $ | 11 | $ | 11 | $ | 24 | $ | 22 | ||||||||
Other operating expenses | 6 | 6 | 12 | 11 | ||||||||||||
Finance Agency and Office of Finance expenses | 2 | 1 | 4 | 3 | ||||||||||||
Other | — | — | — | 1 | ||||||||||||
Total other expenses | $ | 19 | $ | 18 | $ | 40 | $ | 37 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Traditional | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net interest income | $ | 47 | $ | 32 | $ | 89 | $ | 65 | ||||||||
Provision for (reversal of) credit losses | — | — | — | — | ||||||||||||
Other income (loss) | (4 | ) | (1 | ) | (7 | ) | (2 | ) | ||||||||
Other expenses | 16 | 15 | 34 | 31 | ||||||||||||
Income before assessments | 27 | 16 | 48 | 32 | ||||||||||||
Total assessments | 2 | 2 | 5 | 4 | ||||||||||||
Net income | $ | 25 | $ | 14 | $ | 43 | $ | 28 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
Mortgage Loans | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net interest income | $ | 18 | $ | 14 | $ | 35 | $ | 30 | ||||||||
Provision for (reversal of) credit losses | — | — | — | — | ||||||||||||
Other income (loss) | — | — | — | (1 | ) | |||||||||||
Other expenses | 3 | 3 | 6 | 6 | ||||||||||||
Income before assessments | 15 | 11 | 29 | 23 | ||||||||||||
Total assessments | 2 | 1 | 3 | 2 | ||||||||||||
Net income | $ | 13 | $ | 10 | $ | 26 | $ | 21 |
June 30, 2017 | December 31, 2016 | |||||||||||||
Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | ||||||||||
Advances | $ | 32,253 | 54 | % | $ | 28,096 | 52 | % | ||||||
Mortgage loans held for portfolio, net | 9,894 | 16 | % | 9,501 | 18 | % | ||||||||
Cash and short-term investments | 5,529 | 9 | % | 4,128 | 8 | % | ||||||||
Investment securities | 12,705 | 21 | % | 11,880 | 22 | % | ||||||||
Other assets (1) | 331 | — | % | 302 | — | % | ||||||||
Total assets | $ | 60,712 | 100 | % | $ | 53,907 | 100 | % |
(1) | Includes accrued interest receivable, premises, software and equipment, derivative assets and other miscellaneous assets. |
June 30, 2017 | December 31, 2016 | |||||||||||||
Borrower Type | Par Value | % of Total | Par Value | % of Total | ||||||||||
Depository institutions: | ||||||||||||||
Commercial banks and savings institutions | $ | 15,020 | 47 | % | $ | 10,805 | 39 | % | ||||||
Credit unions | 2,487 | 8 | % | 2,385 | 8 | % | ||||||||
Total depository institutions | 17,507 | 55 | % | 13,190 | 47 | % | ||||||||
Insurance companies: | ||||||||||||||
Captive insurance companies (1) | — | — | % | 56 | — | % | ||||||||
Captive insurance companies (2) | 3,051 | 9 | % | 3,310 | 12 | % | ||||||||
Other insurance companies | 11,637 | 36 | % | 11,482 | 41 | % | ||||||||
Total insurance companies | 14,688 | 45 | % | 14,848 | 53 | % | ||||||||
Total members | 32,195 | 100 | % | 28,038 | 100 | % | ||||||||
Former members | 94 | — | % | 94 | — | % | ||||||||
Total advances | $ | 32,289 | 100 | % | $ | 28,132 | 100 | % |
(1) | Memberships terminated by February 19, 2017. |
(2) | Memberships must terminate no later than February 19, 2021. |
June 30, 2017 | December 31, 2016 | |||||||||||||
Product Type | UPB | % of Total | UPB | % of Total | ||||||||||
MPP: | ||||||||||||||
Conventional Original | $ | 966 | 10 | % | $ | 1,096 | 12 | % | ||||||
Conventional Advantage | 7,979 | 82 | % | 7,412 | 80 | % | ||||||||
FHA | 394 | 4 | % | 422 | 4 | % | ||||||||
Total MPP | 9,339 | 96 | % | 8,930 | 96 | % | ||||||||
MPF Program: | ||||||||||||||
Conventional | 267 | 3 | % | 288 | 3 | % | ||||||||
Government | 68 | 1 | % | 75 | 1 | % | ||||||||
Total MPF Program | 335 | 4 | % | 363 | 4 | % | ||||||||
Total mortgage loans held for portfolio | $ | 9,674 | 100 | % | $ | 9,293 | 100 | % |
Components of Cash and Investments | June 30, 2017 | December 31, 2016 | Change | |||||||||
Cash and short-term investments: | ||||||||||||
Cash and due from banks | $ | 92 | $ | 547 | $ | (455 | ) | |||||
Interest-bearing deposits | 335 | 150 | 185 | |||||||||
Securities purchased under agreements to resell | 2,527 | 1,781 | 746 | |||||||||
Federal funds sold | 2,575 | 1,650 | 925 | |||||||||
Total cash and short-term investments | 5,529 | 4,128 | 1,401 | |||||||||
Investment securities: | ||||||||||||
AFS securities: | ||||||||||||
GSE and TVA debentures | 4,728 | 4,715 | 13 | |||||||||
GSE MBS | 2,100 | 1,076 | 1,024 | |||||||||
Private-label RMBS | 244 | 269 | (25 | ) | ||||||||
Total AFS securities | 7,072 | 6,060 | 1,012 | |||||||||
HTM securities: | ||||||||||||
Other U.S. obligations - guaranteed MBS | 2,848 | 2,679 | 169 | |||||||||
GSE MBS | 2,732 | 3,082 | (350 | ) | ||||||||
Private-label RMBS and ABS | 53 | 59 | (6 | ) | ||||||||
Total HTM securities | 5,633 | 5,820 | (187 | ) | ||||||||
Total investment securities | 12,705 | 11,880 | 825 | |||||||||
Total cash and investments, carrying value | $ | 18,234 | $ | 16,008 | $ | 2,226 |
Interest Rate Payment Terms | June 30, 2017 | December 31, 2016 | ||||||
AFS Securities: | ||||||||
Total non-MBS fixed-rate | $ | 4,681 | $ | 4,693 | ||||
MBS: | ||||||||
Fixed-rate | 2,072 | 1,061 | ||||||
Variable-rate | 213 | 239 | ||||||
Total MBS | 2,285 | 1,300 | ||||||
Total AFS securities, at amortized cost | $ | 6,966 | $ | 5,993 | ||||
HTM Securities: | ||||||||
MBS and ABS: | ||||||||
Fixed-rate | $ | 1,330 | $ | 1,512 | ||||
Variable-rate | 4,303 | 4,308 | ||||||
Total MBS and ABS | 5,633 | 5,820 | ||||||
Total HTM securities, at amortized cost | $ | 5,633 | $ | 5,820 |
June 30, 2017 | December 31, 2016 | |||||||||||||
By Term | Par Value | % of Total | Par Value | % of Total | ||||||||||
Consolidated obligations due in 1 year or less: | ||||||||||||||
Discount notes | $ | 21,072 | 37 | % | $ | 16,820 | 34 | % | ||||||
CO bonds | 14,709 | 26 | % | 16,234 | 32 | % | ||||||||
Total due in 1 year or less | 35,781 | 63 | % | 33,054 | 66 | % | ||||||||
Long-term CO bonds | 20,606 | 37 | % | 17,274 | 34 | % | ||||||||
Total consolidated obligations | $ | 56,387 | 100 | % | $ | 50,328 | 100 | % |
Hedged Item | June 30, 2017 | December 31, 2016 | ||||||
Advances | $ | 9,867 | $ | 9,382 | ||||
Investments | 7,189 | 6,244 | ||||||
Mortgage loans | 507 | 548 | ||||||
CO bonds | 10,269 | 8,865 | ||||||
Discount notes | — | 773 | ||||||
Total notional | $ | 27,832 | $ | 25,812 |
Components | June 30, 2017 | December 31, 2016 | ||||
Capital stock | 62 | % | 61 | % | ||
Retained earnings | 34 | % | 37 | % | ||
AOCI | 4 | % | 2 | % | ||
Total GAAP capital | 100 | % | 100 | % |
Reconciliation | June 30, 2017 | December 31, 2016 | ||||||
Total GAAP capital | $ | 2,723 | $ | 2,436 | ||||
Exclude: AOCI | (96 | ) | (56 | ) | ||||
Add: MRCS | 167 | 170 | ||||||
Total regulatory capital | $ | 2,794 | $ | 2,550 |
June 30, 2017 | December 31, 2016 | |||||||||||||
By Type of Member Institution | Amount | % of Total | Amount | % of Total | ||||||||||
Depository institutions: | ||||||||||||||
Commercial banks and savings institutions | $ | 865 | 46 | % | $ | 691 | 41 | % | ||||||
Credit unions | 221 | 12 | % | 212 | 14 | % | ||||||||
Total depository institutions | 1,086 | 58 | % | 903 | 55 | % | ||||||||
Insurance companies | 616 | 33 | % | 590 | 35 | % | ||||||||
CDFIs | — | — | % | — | — | % | ||||||||
Total capital stock, putable at par value | 1,702 | 91 | % | 1,493 | 90 | % | ||||||||
MRCS: | ||||||||||||||
Captive insurance companies (1) | — | — | % | 3 | — | % | ||||||||
Captive insurance companies (2) | 152 | 8 | % | 152 | 9 | % | ||||||||
Former members (3) | 15 | 1 | % | 15 | 1 | % | ||||||||
Total MRCS | 167 | 9 | % | 170 | 10 | % | ||||||||
Total regulatory capital stock | $ | 1,869 | 100 | % | $ | 1,663 | 100 | % |
(1) | Memberships terminated by February 19, 2017. |
(2) | Memberships must terminate no later than February 19, 2021. |
(3) | Balances at June 30, 2017 and December 31, 2016 include $5 million and $6 million, respectively, of MRCS that had reached the end of the five-year redemption period but will not be redeemed or repurchased until the associated credit products and other obligations are no longer outstanding. |
Components of Excess Stock | June 30, 2017 | December 31, 2016 | ||||||
Member capital stock not subject to outstanding redemption requests | $ | 229 | $ | 238 | ||||
Member capital stock subject to outstanding redemption requests | 4 | 2 | ||||||
MRCS | 33 | 25 | ||||||
Total excess capital stock | $ | 266 | $ | 265 | ||||
Excess stock as a percentage of regulatory capital stock | 14 | % | 16 | % |
Risk-Based Capital Components | June 30, 2017 | December 31, 2016 | ||||||
Credit risk | $ | 366 | $ | 346 | ||||
Market risk | 289 | 239 | ||||||
Operations risk | 196 | 176 | ||||||
Total risk-based capital requirement | $ | 851 | $ | 761 | ||||
Permanent capital | $ | 2,794 | $ | 2,550 |
• | Derivatives and hedging activities (see Notes to Financial Statements - Note 9 - Derivatives and Hedging Activities for more detail); |
• | Fair value estimates (see Notes to Financial Statements - Note 15 - Estimated Fair Values for more detail); |
• | Provision for credit losses (see Notes to Financial Statements - Note 8 - Allowance for Credit Losses for more detail); and |
• | OTTI (see Notes to Financial Statements - Note 5 - Other-Than-Temporary Impairment for more detail). |
Significant Modeling Assumptions for all private-label RMBS and ABS (2) | Current Credit Enhancement (2) | |||||||||||||||
Classification | UPB (1) | Prepayment Rates | Default Rates | Loss Severities | ||||||||||||
Private-label RMBS: | ||||||||||||||||
Total Prime | $ | 299 | 12 | % | 7 | % | 24 | % | 4 | % | ||||||
Total Alt-A | 1 | 11 | % | 4 | % | 11 | % | 11 | % | |||||||
Total private-label RMBS | $ | 300 | 12 | % | 7 | % | 24 | % | 4 | % | ||||||
Home equity loan ABS: | ||||||||||||||||
Total subprime - home equity loans (3) | $ | 1 | 7 | % | 30 | % | 42 | % | — | % |
(1) | Excludes one manufactured housing loan ABS, with a UPB of $7 million, for which underlying collateral data is not readily available and alternative procedures are used to evaluate for OTTI. |
(2) | Weighted average based on UPB. |
(3) | Modeling assumptions assume no payout from monoline bond insurers. |
• | develop stand-alone, board-approved diversity and inclusion strategic plans or incorporate diversity and inclusion principles into its existing strategic planning processes and adopt strategies for promoting diversity and ensuring inclusion; |
• | amend its policies on equal opportunity in employment by adding sexual orientation, gender identity, and status as a parent to the list of protected classifications; |
• | establish a process to grant or deny requests for accommodations to employees and job applicants based on their religious beliefs or practices; |
• | provide information in its annual reports to the Finance Agency about its efforts to advance diversity and inclusion through identifying and selecting MWDOB firms for participation in financial transactions with the FHLBank, identifying ways in which it may give consideration to MWDOB business with the FHLBank when reviewing and evaluating vendor contract proposals, and enhancing customer access by MWDOB businesses (including through the FHLBank's affordable housing and community investment programs; |
• | report data regarding the number of diverse individuals currently in supervisory or managerial positions and its strategies for promoting the diversity of supervisors and managers; |
• | classify and provide additional data in its annual reports about the number of, and amounts paid under, its MWDOB contracts, as well as demographic data regarding the categories of MWDOB entities to which it awards vendor contracts; and |
• | provide data to the Finance Agency regarding the type of contracts it considers exempt from these diversity and inclusion requirements, as well as the criteria and rationale for establishing such exemptions and an analysis of any potential negative or adverse impact such exemptions might have on contracting opportunities for MWDOB businesses or diverse individuals. |
June 30, 2017 | AA | A | Total | |||||||||
Domestic | $ | — | $ | 965 | $ | 965 | ||||||
Canada | — | 255 | 255 | |||||||||
Sweden | 970 | — | 970 | |||||||||
Australia | 720 | — | 720 | |||||||||
Total unsecured credit exposure | $ | 1,690 | $ | 1,220 | $ | 2,910 |
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
June 30, 2017 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 335 | $ | — | $ | — | $ | 335 | ||||||||||||
Securities purchased under agreements to resell | — | 2,527 | — | — | — | 2,527 | ||||||||||||||||||
Federal funds sold | — | 1,690 | 885 | — | — | 2,575 | ||||||||||||||||||
Total short-term investments | — | 4,217 | 1,220 | — | — | 5,437 | ||||||||||||||||||
Long-term investments: | ||||||||||||||||||||||||
GSE and TVA debentures | — | 4,728 | — | — | — | 4,728 | ||||||||||||||||||
GSE MBS | — | 4,832 | — | — | — | 4,832 | ||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,848 | — | — | — | 2,848 | ||||||||||||||||||
Private-label RMBS and ABS | — | 6 | 17 | 5 | 269 | 297 | ||||||||||||||||||
Total long-term investments | — | 12,414 | 17 | 5 | 269 | 12,705 | ||||||||||||||||||
Total investments, carrying value | $ | — | $ | 16,631 | $ | 1,237 | $ | 5 | $ | 269 | $ | 18,142 | ||||||||||||
Percentage of total | — | % | 92 | % | 7 | % | — | % | 1 | % | 100 | % |
Three Months Ended June 30, 2017 | Three Months Ended June 30, 2016 | |||||||||||||||||||||||
LRA Activity | Original | Advantage | Total | Original | Advantage | Total | ||||||||||||||||||
Liability, beginning of period | $ | 8 | $ | 123 | $ | 131 | $ | 9 | $ | 88 | $ | 97 | ||||||||||||
Additions | — | 6 | 6 | 1 | 9 | 10 | ||||||||||||||||||
Claims paid | — | — | — | — | — | — | ||||||||||||||||||
Distributions to PFIs | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Liability, end of period | $ | 8 | $ | 129 | $ | 137 | $ | 9 | $ | 97 | $ | 106 |
Six Months Ended June 30, 2017 | Six Months Ended June 30, 2016 | |||||||||||||||||||||||
LRA Activity | Original | Advantage | Total | Original | Advantage | Total | ||||||||||||||||||
Liability, beginning of period | $ | 8 | $ | 118 | $ | 126 | $ | 9 | $ | 83 | $ | 92 | ||||||||||||
Additions | — | 11 | 11 | 1 | 14 | 15 | ||||||||||||||||||
Claims paid | — | — | — | — | — | — | ||||||||||||||||||
Distributions to PFIs | — | — | — | (1 | ) | — | (1 | ) | ||||||||||||||||
Liability, end of period | $ | 8 | $ | 129 | $ | 137 | $ | 9 | $ | 97 | $ | 106 |
June 30, 2017 | Notional Amount | Net Estimated Fair Value Before Collateral and Variation Margin for Daily Settled Contracts | Cash Collateral Pledged To (From) Counterparties and Variation Margin for Daily Settled Contracts (1) | Net Credit Exposure | ||||||||||||
Non-member counterparties: | ||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||
Uncleared derivatives - AA | $ | 2,713 | $ | 12 | $ | (8 | ) | $ | 4 | |||||||
Uncleared derivatives - A | 3,681 | 40 | (36 | ) | 4 | |||||||||||
Uncleared derivatives - BBB | 78 | — | — | — | ||||||||||||
Cleared derivatives (2) | 13,103 | 80 | 54 | 134 | ||||||||||||
Liability positions with credit exposure | ||||||||||||||||
Bilateral derivatives - A | 3,777 | (5 | ) | 9 | 4 | |||||||||||
Cleared derivatives (2) | 2,738 | (1 | ) | 10 | 9 | |||||||||||
Total derivative positions with credit exposure to non-member counterparties | 26,090 | 126 | 29 | 155 | ||||||||||||
Member institutions (3) | 7 | — | — | — | ||||||||||||
Subtotal - derivative positions with credit exposure | 26,097 | $ | 126 | $ | 29 | $ | 155 | |||||||||
Derivative positions without credit exposure | 1,735 | |||||||||||||||
Total derivative positions | $ | 27,832 |
(1) | Includes variation margin for daily settled contracts of $20 million at June 30, 2017. |
(2) | Represents derivative transactions cleared with a clearinghouse, which is not rated. |
(3) | Includes MDCs from member institutions (MPP). |
Date | VaR | |||
June 30, 2017 | $ | 289 | ||
December 31, 2016 | 239 |
June 30, 2017 | Down 200 (1) | Down 100 (1) | Base | Up 100 | Up 200 | |||||||||||||||
MVE | $ | 2,720 | $ | 2,846 | $ | 2,823 | $ | 2,760 | $ | 2,679 | ||||||||||
Percent change in MVE from base | (3.6 | )% | 0.8 | % | 0 | % | (2.2 | )% | (5.1 | )% | ||||||||||
MVE/Book value of equity (2) | 94.1 | % | 98.5 | % | 97.7 | % | 95.5 | % | 92.7 | % | ||||||||||
Duration of equity (3) | (5.2) | (0.9) | 1.7 | 2.7 | 3.2 |
December 31, 2016 | ||||||||||||||||||||
MVE | $ | 2,545 | $ | 2,634 | $ | 2,604 | $ | 2,546 | $ | 2,467 | ||||||||||
Percent change in MVE from base | (2.3 | )% | 1.1 | % | 0 | % | (2.2 | )% | (5.3 | )% | ||||||||||
MVE/Book value of equity (2) | 97.7 | % | 101.1 | % | 99.9 | % | 97.7 | % | 94.7 | % | ||||||||||
Duration of equity (3) | (5.3) | (0.1) | 1.7 | 2.8 | 3.4 |
(1) | Given the current low interest rate environment, we adjusted the downward rate shocks to prevent the assumed interest rate from becoming negative. |
(2) | The change in the MVE/book value of equity from December 31, 2016 resulted primarily from the change in market value of the assets and liabilities in response to changes in the market environment and changes in portfolio composition. |
(3) | We use interest rate shocks in 50 bp increments to determine duration of equity. |
Exhibit Number | Description | |
31.1 | Certification of the President - Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.2 | Certification of the Executive Vice President - Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
31.3 | Certification of the Senior Vice President - Chief Accounting Officer pursuant to Section 302 of the Sarbanes - Oxley Act of 2002 | |
32 | Certification of the President - Chief Executive Officer, Executive Vice President - Chief Financial Officer, and Senior Vice President - Chief Accounting Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||
August 10, 2017 | By: | /s/ CINDY L. KONICH |
Name: | Cindy L. Konich | |
Title: | President - Chief Executive Officer | |
August 10, 2017 | By: | /s/ GREGORY L. TEARE |
Name: | Gregory L. Teare | |
Title: | Executive Vice President - Chief Financial Officer | |
August 10, 2017 | 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. |
Document and Entity Information - shares |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Jul. 31, 2017 |
|
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Indianapolis | |
Entity Central Index Key | 0001331754 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2017 | |
Document Fiscal Year Focus | 2017 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Common B Shares Outstanding | 18,949,958 |
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 |
Held-to-Maturity Securities - Estimated Fair Values | $ 5,675,036 | $ 5,848,692 |
Allowance for loan losses | $ (850) | $ (850) |
Class B-1 [Member] | ||
Common stock issued (in shares) | 17,002,171 | 14,897,390 |
Common stock outstanding (in shares) | 17,002,171 | 14,897,390 |
Class B-2 [Member] | ||
Common stock issued (in shares) | 16,266 | 28,416 |
Common stock outstanding (in shares) | 16,266 | 28,416 |
Statements of Capital (Unaudited) (Parenthetical) |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Statement of Stockholders' Equity [Abstract] | ||
Annualized Dividend Rate on Capital Stock (percentage) | 4.25% | 4.25% |
Summary of Significant Accounting Policies |
6 Months Ended |
---|---|
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 1 - Summary of Significant Accounting Policies We use certain acronyms and terms throughout these notes to financial statements, which are defined in the Glossary of Terms. Unless the context otherwise requires, the terms "Bank," "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management. Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. Certain disclosures that would substantially duplicate the disclosures in the financial statements, and notes thereto, included in our 2016 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our 2016 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 calendar year or any other interim period. Our significant accounting policies and certain other disclosures are set forth in our 2016 Form 10-K in Note 1 - Summary of Significant Accounting Policies. There have been no significant changes to these policies through June 30, 2017, except for our policy on derivatives, which has been updated to reflect changes made to the CME rulebook. Derivatives. We record derivative instruments, related cash collateral (including initial and variation margin received or pledged/posted) and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met, as either derivative assets or derivative liabilities at their estimated fair values. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. We use two clearinghouses for all cleared derivative transactions, LCH and CME. Effective January 3, 2017, CME made certain amendments to its rulebook, including changing the legal characterization of variation margin payments to be daily settled contracts, rather than cash collateral. Variation margin payments related to LCH contracts continue to be characterized as cash collateral. Initial margin continues to be considered by both clearinghouses as cash collateral. Use of Estimates. When preparing financial statements in accordance with GAAP, we are required 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. The most significant estimates include derivatives and hedging activities, fair value estimates, the provision for credit losses, and OTTI. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. Reclassifications. We have reclassified certain amounts from the prior period to conform to the current period presentation. These reclassifications had no effect on net income, total comprehensive income, total capital, or net cash flows. |
Recently Adopted and Issued Accounting Guidance |
6 Months Ended |
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Jun. 30, 2017 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Recently Adopted Accounting Guidance. Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the FASB issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt host contracts. The amendments require entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This amended guidance was effective for the interim and annual periods beginning on January 1, 2017. The adoption of this guidance on January 1, 2017 had no effect on our financial condition, results of operations, or cash flows. Recently Issued Accounting Guidance. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amendments to shorten the amortization period for certain callable debt securities purchased at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. No change is required for securities purchased at a discount. These amendments are effective beginning on January 1, 2019. Early adoption is permitted; however, we plan to adopt the amendments on the effective date. The amendments should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. We are in the process of evaluating these amendments; therefore, their effect on our financial condition, results of operations, and cash flows has not yet been determined. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amendments to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that an employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the income statement. These amendments are effective for interim and annual periods beginning on January 1, 2018. Early adoption is permitted; however, we plan to adopt the amendments on the effective date. The amendments should be applied retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the income statement and prospectively, on and after the effective date, for the capitalization of the service cost component of net periodic pension cost and net periodic postretirement benefit. The adoption of these amendments will result in a reclassification on the income statement only. As such, it will have no effect on our financial condition, results of operations, or cash flows. Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify existing guidance on the classification of certain cash receipts and payments on the statement of cash flows to reduce current and potential future diversity in practice regarding eight specific cash flow issues. These amendments are effective for interim and annual periods beginning on January 1, 2018. Early adoption is permitted; however, we plan to adopt the amendments on the effective date. These amendments should be applied using a retrospective transition method to each period presented. The adoption of these amendments will have no effect on our financial condition, results of operations, or cash flows. |
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 our AFS securities by type of security.
Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.
Realized Gains and Losses. There were no sales of AFS securities during the three or six months ended June 30, 2017. As of June 30, 2017, we had no intention of selling the 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. |
Held-to-Maturity Securities |
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Held-to-maturity Securities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-Maturity Securities | Note 4 - Held-to-Maturity Securities Major Security Types. The following table presents our HTM securities by type of security.
Unrealized Loss Positions. The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
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Other-Than-Temporary Impairment |
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Other than Temporary Impairment Losses, Investments [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other-Than-Temporary-Impairment | Note 5 - Other-Than-Temporary Impairment OTTI Evaluation Process and Results - Private-label RMBS and ABS. On a quarterly basis, we evaluate for OTTI our individual AFS and HTM investment securities that have been previously OTTI or are in an unrealized loss position. Significant Inputs. The FHLBanks developed a short-term housing price forecast with projected changes ranging from a decrease of 5% to an increase of 11% over a twelve-month period. For the vast majority of housing markets, the changes range from an increase of 1% to an increase of 6%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The following table presents the significant modeling assumptions used to determine the amount of credit loss recognized in earnings during the three months ended June 30, 2017 on the two securities for which an OTTI was determined to have occurred, as well as the related current credit enhancement.
Results of OTTI Evaluation Process - Private-label RMBS and ABS. As part of our evaluation, we consider whether we intend to sell each security and whether it is more likely than not that we will be required to sell the security before its anticipated recovery of amortized cost. If either of these conditions is met, we recognize an OTTI loss in earnings equal to the entire difference between the debt security's amortized cost and its estimated fair value at the statement of condition date. We did not have any such change in intent or likelihood during the three and six months ended June 30, 2017. For those remaining securities that meet neither of these conditions, we performed a cash flow analysis to determine whether we expect to recover the entire amortized cost of each security. As a result of our analysis, on two securities previously OTTI, credit losses were recognized for the three and six months ended June 30, 2017 of $111 and $193, respectively. OTTI credit losses were recognized on one security for the three and six months ended June 30, 2016 of $93. We determined that the unrealized losses on the remaining private-label RMBS and ABS were temporary as we expect to recover the entire amortized cost. Evaluation Process and Results - All Other AFS and HTM Securities. Other U.S. and GSE Obligations and TVA Debentures. For other U.S. obligations, GSE obligations, and TVA debentures, we determined that, based on current expectations, the strength of the issuers' guarantees through direct obligations of or support from the United States government is sufficient to protect us from any losses. As a result, all of the gross unrealized losses as of June 30, 2017 are considered temporary. |
Advances |
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Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | Note 6 - Advances The following table presents advances outstanding by year of contractual maturity.
The following table presents advances outstanding by the earlier of the year of contractual maturity or the next call date and next put date.
In accordance with the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 repaid all of their outstanding advances and had their memberships terminated by February 19, 2017. Under the Final Membership Rule, captive insurance companies that were admitted as FHLBank members prior to September 12, 2014, and do not meet the new definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership, shall have their memberships terminated no later than February 19, 2021. Prior to termination, new or renewed extensions of credit to such members will be subject to certain restrictions relating to maturity dates and the ratio of advances to the captive insurer's total assets and may be subject to additional restrictions at our discretion. The outstanding advances to these captive insurers mature on various dates through 2025. Credit Risk Exposure and Security Terms. At June 30, 2017 and December 31, 2016, our top five borrowers held 45% and 43%, respectively, of total advances outstanding, at par. We held sufficient collateral to secure the advances to these borrowers. See Note 9 - Allowance for Credit Losses in our 2016 Form 10-K for information related to credit risk on advances and allowance methodology for credit losses. |
Mortgage Loans Held for Portfolio |
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Mortgage Loans on Real Estate [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio | Note 7 - Mortgage Loans Held for Portfolio The following tables present information on mortgage loans held for portfolio by term, type, and product.
In December 2016, we agreed to sell a 90% participating interest in a $100 million MCC of certain newly acquired MPP loans to the FHLBank of Atlanta. Principal amounts settled in December 2016 totaled $72 million, and the remaining $18 million settled in January 2017. See Note 8 - Allowance for Credit Losses for information related to our credit risk on mortgage loans and allowance methodology for loan losses. |
Allowance for Credit Losses |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses | Note 8 - Allowance for Credit Losses A description of the allowance methodologies for our portfolio segments as well as our policy for impairing financing receivables and charging them off when necessary is disclosed in Note 1 - Summary of Significant Accounting Policies and Note 9 - Allowance for Credit Losses in our 2016 Form 10-K. Conventional Mortgage Loans. Conventional MPP. The following table presents the activity in the LRA.
The following table presents the impact of credit enhancements on the allowance for MPP loan losses.
Credit Quality Indicators. The tables below present the key credit quality indicators for our mortgage loans held for portfolio.
Allowance for Loan Losses on Mortgage Loans. The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology.
Individually Evaluated Impaired Loans. The tables below present the conventional loans individually evaluated for impairment with and without an allowance for loan losses. The first table presents the recorded investment, UPB and related allowance associated with these loans, while the next table presents the average recorded investment of these loans and related interest income recognized. Due to the minimal change in terms of modified loans (i.e., no principal forgiven), our pre-modification recorded investment in TDRs was not materially different than the post-modification recorded investment.
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Derivative and Hedging Activities |
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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. Derivative Notional Amounts. We record derivative instruments, related cash collateral (including initial and variation margin received or pledged/posted) and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of derivative assets and liabilities.
The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral received from or pledged to counterparties and variation margin for daily settled contracts.
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 the counterparties to our derivative transactions. For our uncleared derivatives, we have credit support agreements 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 uncleared derivative instruments in net liability positions. The aggregate estimated fair value of all uncleared 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, 2017 was $6,480, for which we have posted collateral, including accrued interest, with an estimated fair value of $8,173 in the normal course of business. In addition, we held other derivative instruments in a net liability position of $491 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 $500 of collateral (at estimated fair value) to our uncleared derivative counterparties at June 30, 2017. For cleared derivatives, the clearinghouse is our counterparty. We use two clearinghouses for all cleared derivative transactions, LCH and CME. Collateral is required to be posted daily for changes in the value of cleared derivatives to mitigate each counterparty's credit risk. The clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies us. The requirement that we post initial and variation margin through the clearing agent for the benefit of the clearinghouse exposes us to institutional credit risk in the event that the clearing agent or clearinghouse fails to meet its obligations. Effective January 3, 2017, CME made certain amendments to its rulebook, including changing the legal characterization of variation margin payments to be daily settled contracts, rather than cash collateral. Variation margin payments related to LCH contracts continue to be characterized as cash collateral. Initial margin continues to be considered by both clearinghouses as cash collateral. For cleared derivatives, the clearinghouse determines margin requirements, into which credit ratings are not generally factored. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At June 30, 2017, we were not required by our clearing agents to post any additional margin. |
Consolidated Obligations |
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Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated Obligations | Note 10 - Consolidated Obligations In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all FHLBank outstanding consolidated obligations. The par values of the FHLBanks' outstanding consolidated obligations at June 30, 2017 and December 31, 2016 totaled $1.0 trillion and $989.3 billion, respectively. Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance.
CO Bonds. The following table presents our CO bonds outstanding by contractual maturity.
The following tables present our participation in CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date.
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Affordable Housing Program |
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Affordable Housing Program (AHP) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program | Note 11 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation.
We had no outstanding principal in AHP-related advances at June 30, 2017 or December 31, 2016. |
Capital |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital | Note 12 - Capital Mandatorily Redeemable Capital Stock. The following table presents the activity related to MRCS.
In accordance with the Final Membership Rule, captive insurance companies that were admitted as FHLBank members on or after September 12, 2014 had their memberships terminated by February 19, 2017. As a result, all of their outstanding Class B stock, totaling $3,021 at December 31, 2016, was repurchased on or before February 19, 2017. Captive insurance companies that were admitted as FHLBank members prior to September 12, 2014, and do not meet the new definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership, shall have their memberships terminated no later than February 19, 2021. Upon termination, all of their outstanding Class B stock shall be repurchased, or redeemed after a five-year redemption period. As a result of, and effective with, the Final Membership Rule in February 2016, we reclassified all of the outstanding Class B stock of our captive insurance company members totaling $178,898 to MRCS. The following table presents MRCS by contractual year of redemption. The year of redemption is the later of: (i) the final year of the five-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement.
The following table presents the distributions related to MRCS.
Capital Requirements. We are subject to capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 15 - Capital in our 2016 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at June 30, 2017 and December 31, 2016. For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital.
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Accumulated Other Comprehensive Income |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AOCI Attributable to Parent [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income | Note 13 - Accumulated Other Comprehensive Income (Loss) The following table presents a summary of the changes in the components of AOCI for the three and six months ended June 30, 2016 and 2017.
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Segment Information |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Information | Note 14 - Segment Information The following table presents our financial performance by operating segment.
We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Direct other income and expense items also affect each segment's results. Direct other income/expense related to the Traditional segment includes the direct earnings impact of derivatives and hedging activities related to advances and investments as well as all other income and expense not associated with mortgage loans. The Mortgage Loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and MPF Program and volume-driven costs associated with master servicing and quality control fees. The assessments related to AHP have been allocated to each segment based upon its proportionate share of income before assessments. The following table presents asset balances by operating segment.
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Estimated Fair Values |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Fair Values | Note 15 - Estimated Fair Values The following tables present the carrying value and estimated fair value of each of our financial instruments. 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, among other considerations, future business opportunities and the net profitability of assets and liabilities.
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 2016 Form 10-K. No changes have been made in the current year. 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 or non-recurring basis on our statement of condition.
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 were determined 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 readily available.
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Commitments and Contingencies |
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Commitments and Contingencies | Note 16 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts.
Pledged Collateral. At June 30, 2017 and December 31, 2016, we had pledged cash collateral, at par, of $92,222 and $35,421, respectively, to counterparties and clearing agents. Additionally, at June 30, 2017, variation margin for daily settled contracts totaled $19,748. At June 30, 2017 and December 31, 2016, we had not pledged any securities as collateral. Legal Proceedings. We are subject to legal proceedings arising in the normal course of business. We record an accrual for a loss contingency when it is probable that a loss for which we could be liable has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these proceedings could have a material effect on our financial condition, results of operations or cash flows. In 2010, we filed a complaint asserting claims against several entities for negligent misrepresentation and violations of state and federal securities law occurring in connection with the sale of private-label RMBS to us. In 2013, 2014 and 2015, we executed confidential settlement agreements with certain defendants in this litigation, pursuant to which we have dismissed all pending claims against, and provided legal releases to, certain entities with respect to all applicable securities at issue in the litigation, in consideration of our receipt of cash payments from or on behalf of those defendants. We had previously dismissed the complaint as to the other named defendants. As a result, all proceedings in the RMBS litigation we filed have been concluded. Cash settlement payments, net of legal fees and litigation expenses, totaled $178 for both the three and six months ended June 30, 2017, compared to $60 for the both the three and six months ended June 30, 2016, and were recorded in other income. 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 10 - Consolidated Obligations; Note 12 - Capital; and Note 15 - Estimated Fair Values. |
Transactions with Related Parties and Other Entities |
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Transactions with Related Parties and Other Entities | Note 17 - Related Party and Other Transactions Transactions with Related Parties. The following table presents the aggregate outstanding balances with directors' financial institutions and their balance as a percent of the total balance on our statement of condition.
The par values at June 30, 2017 reflect changes in the composition of directors' financial institutions effective January 1, 2017, due to changes in board membership resulting from the 2016 director election. The following table presents transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions.
Transactions with Other FHLBanks. In December 2016, we agreed to sell a 90% participating interest in a $100 million MCC of certain newly acquired MPP loans to the FHLBank of Atlanta. Principal amounts settled in December 2016 totaled $72 million, and the remaining $18 million settled in January 2017. |
Summary of Significant Accounting Policies (Policies) |
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Accounting Policies [Abstract] | |
Basis of Presentation, Policy | Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | Derivatives. We record derivative instruments, related cash collateral (including initial and variation margin received or pledged/posted) and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met, as either derivative assets or derivative liabilities at their estimated fair values. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. We use two clearinghouses for all cleared derivative transactions, LCH and CME. Effective January 3, 2017, CME made certain amendments to its rulebook, including changing the legal characterization of variation margin payments to be daily settled contracts, rather than cash collateral. Variation margin payments related to LCH contracts continue to be characterized as cash collateral. Initial margin continues to be considered by both clearinghouses as cash collateral. |
Reclassifications, Policy | Reclassifications. We have reclassified certain amounts from the prior period to conform to the current period presentation. These reclassifications had no effect on net income, total comprehensive income, total capital, or net cash flows. |
Use of Estimates, Policy | Use of Estimates. When preparing financial statements in accordance with GAAP, we are required 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. The most significant estimates include derivatives and hedging activities, fair value estimates, the provision for credit losses, and OTTI. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. |
Available-for-Sale Securities (Tables) |
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Available-for-Sale (AFS) Securities by Major Security Type | The following table presents our AFS securities by type of security.
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AFS Securities in a Continuous Unrealized Loss Position | The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
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AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees.
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Held-to-Maturity Securities (Tables) |
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HTM Securities by Major Security Type | The following table presents our HTM securities by type of security.
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HTM Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
HTM Securities in a Continuous Unrealized Loss Position | The following table presents impaired HTM securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
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Other-Than-Temporary Impairment (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other than Temporary Impairment Losses, Investments [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized in Earnings [Table Text Block] | The following table presents the significant modeling assumptions used to determine the amount of credit loss recognized in earnings during the three months ended June 30, 2017 on the two securities for which an OTTI was determined to have occurred, as well as the related current credit enhancement.
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Advances (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Advances Redemption Terms | The following table presents advances outstanding by year of contractual maturity.
The following table presents advances outstanding by the earlier of the year of contractual maturity or the next call date and next put date.
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Mortgage Loans Held for Portfolio (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans on Real Estate [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term, type, and product.
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Allowance for Credit Losses (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in Lender Risk Account | The following table presents the activity in the LRA.
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Impact of MPP Risk Sharing Structure on Allowance for Credit Losses | The following table presents the impact of credit enhancements on the allowance for MPP loan losses.
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Recorded Investment in Delinquent Mortgage Loans | The tables below present the key credit quality indicators for our mortgage loans held for portfolio.
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Rollforward of Allowance for Credit Losses on Mortgage Loans | The tables below present a rollforward of our allowance for loan losses, the allowance for loan losses by impairment methodology, and the recorded investment in mortgage loans by impairment methodology.
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Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] |
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Individually Evaluated Impaired Loan Statistics by Product Class Level | The first table presents the recorded investment, UPB and related allowance associated with these loans, while the next table presents the average recorded investment of these loans and related interest income recognized. Due to the minimal change in terms of modified loans (i.e., no principal forgiven), our pre-modification recorded investment in TDRs was not materially different than the post-modification recorded investment.
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Average Recorded Investment and Interest Income on Impaired Loans |
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Derivative and Hedging Activities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of derivative assets and liabilities.
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Offsetting of Derivative Assets and Derivative Liabilities | The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral received from or pledged to counterparties and variation margin for daily settled contracts.
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Components of Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents the components of net gains (losses) on derivatives and hedging activities reported in other income (loss).
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Effect of Fair Value Hedge-Related Derivative Instruments | 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.
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Consolidated Obligations (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount Notes | The following table presents our discount notes outstanding, all of which are due within one year of issuance.
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CO Bonds by Year of Contractual Maturity | The following table presents our CO bonds outstanding by contractual maturity.
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CO Bonds by Redemption Feature | The following tables present our participation in CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date.
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CO Bonds by Contractual Maturity or Next Call Date |
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Affordable Housing Program (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program (AHP) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation.
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Capital (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS Activity | The following table presents the activity related to MRCS.
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Mandatorily Redeemable Capital Stock [Table Text Block] |
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Schedule of Distributions on Mandatorily Redeemable Capital Stock |
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Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | We are subject to capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 15 - Capital in our 2016 Form 10-K. As presented in the following table, we were in compliance with the Finance Agency's capital requirements at June 30, 2017 and December 31, 2016. For regulatory purposes, AOCI is not considered capital; MRCS, however, is considered capital.
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Accumulated Other Comprehensive Income (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AOCI Attributable to Parent [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of AOCI for the three and six months ended June 30, 2016 and 2017.
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Segment Information (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment.
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Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment.
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Estimated Fair Values (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping | The following tables present the carrying value and estimated fair value of each of our financial instruments. 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, among other considerations, future business opportunities and the net profitability of assets and liabilities.
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Schedule of Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis | 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 or non-recurring basis on our statement of condition.
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Reconciliation of AFS Private-label RMBS Measured at Estimated Fair Value on a Recurring Basis using Level 3 Significant Inputs | 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 were determined 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 readily available.
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Commitments and Contingencies (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts.
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Transactions with Related Parties and Other Entities (Tables) - Directors' Financial Institutions |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Related Party Transaction [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Outstanding Balances and Balance as a Percent of Total Balance with Respect to Transactions with Related Parties | The following table presents the aggregate outstanding balances with directors' financial institutions and their balance as a percent of the total balance on our statement of condition.
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Directors' Financial institutions Activity [Table Text Block] | The following table presents transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions.
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Available-for-Sale Securities (Major Security Types) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
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---|---|---|---|---|---|
Schedule of Available-for-sale Securities [Line Items] | |||||
Amortized Cost | [1] | $ 6,966,055 | $ 5,993,429 | ||
Non-Credit OTTI | (106) | (263) | |||
Gross Unrealized Gains | 106,066 | 71,104 | |||
Gross Unrealized Losses | (205) | (4,435) | |||
Estimated Fair Value | 7,071,810 | 6,059,835 | |||
GSE and TVA debentures | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Amortized Cost | [1] | 4,681,231 | 4,693,211 | ||
Non-Credit OTTI | 0 | 0 | |||
Gross Unrealized Gains | 46,946 | 25,624 | |||
Gross Unrealized Losses | (128) | (4,201) | |||
Estimated Fair Value | 4,728,049 | 4,714,634 | |||
GSE MBS | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Amortized Cost | [1] | 2,069,238 | 1,058,037 | ||
Non-Credit OTTI | 0 | 0 | |||
Gross Unrealized Gains | 30,337 | 18,279 | |||
Gross Unrealized Losses | (77) | (234) | |||
Estimated Fair Value | 2,099,498 | 1,076,082 | |||
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Amortized Cost | [1] | 215,586 | 242,181 | ||
Non-Credit OTTI | (106) | (263) | |||
Gross Unrealized Gains | 28,783 | 27,201 | |||
Gross Unrealized Losses | 0 | 0 | |||
Estimated Fair Value | $ 244,263 | $ 269,119 | |||
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Available-for-Sale Securities (Unrealized Loss Positions) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
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Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 89,963 | $ 525,722 |
Less than 12 Months, Unrealized Losses | (205) | (3,604) |
12 Months or More, Estimated Fair Value | 2,649 | 257,810 |
12 Months or More, Unrealized Losses | (106) | (1,094) |
Total Estimated Fair Value | 92,612 | 783,532 |
Total Unrealized Losses | (311) | (4,698) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 40,168 | 525,722 |
Less than 12 Months, Unrealized Losses | (128) | (3,604) |
12 Months or More, Estimated Fair Value | 0 | 176,104 |
12 Months or More, Unrealized Losses | 0 | (597) |
Total Estimated Fair Value | 40,168 | 701,826 |
Total Unrealized Losses | (128) | (4,201) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 49,795 | 0 |
Less than 12 Months, Unrealized Losses | (77) | 0 |
12 Months or More, Estimated Fair Value | 0 | 78,704 |
12 Months or More, Unrealized Losses | 0 | (234) |
Total Estimated Fair Value | 49,795 | 78,704 |
Total Unrealized Losses | (77) | (234) |
Residential Mortgage Backed Securities [Member] | Private-label RMBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 2,649 | 3,002 |
12 Months or More, Unrealized Losses | (106) | (263) |
Total Estimated Fair Value | 2,649 | 3,002 |
Total Unrealized Losses | $ (106) | $ (263) |
Available-for-Sale Securities (Year of Contractual Maturity) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
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Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | $ 6,966,055 | $ 5,993,429 | |
Estimated Fair Value | 7,071,810 | 6,059,835 | ||
Non-MBS | ||||
Available-for-sale Securities [Line Items] | ||||
Due in one year or less, Amortized Cost | 338,025 | 972,508 | ||
Due after one year through five years, Amortized Cost | 2,251,296 | 1,841,488 | ||
Due after five years through ten years, Amortized Cost | 1,839,988 | 1,734,156 | ||
Due after ten years, Amortized Cost | 251,922 | 145,059 | ||
Amortized Cost | 4,681,231 | 4,693,211 | ||
Due in one year or less, Estimated Fair Value | 338,371 | 974,215 | ||
Due after one year through five years, Estimated Fair Value | 2,273,386 | 1,855,517 | ||
Due after five years through ten years, Estimated Fair Value | 1,863,092 | 1,740,029 | ||
Due after ten years, Estimated Fair Value | 253,200 | 144,873 | ||
Estimated Fair Value | 4,728,049 | 4,714,634 | ||
MBS | ||||
Available-for-sale Securities [Line Items] | ||||
Amortized Cost | 2,284,824 | 1,300,218 | ||
Estimated Fair Value | $ 2,343,761 | $ 1,345,201 | ||
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Held-to-Maturity Securities (Major Security Types) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
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---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | $ 5,633,245 | $ 5,819,676 | ||
Non-Credit (OTTI) | (53) | (103) | |||
Carrying Value | 5,633,192 | 5,819,573 | |||
Gross Unrecognized Holding Gains | 52,812 | 51,993 | |||
Gross Unrecognized Holding Losses | (10,968) | (22,874) | |||
Estimated Fair Value | 5,675,036 | 5,848,692 | |||
Other U.S. obligations -guaranteed MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 2,848,319 | 2,678,437 | ||
Non-Credit (OTTI) | 0 | 0 | |||
Carrying Value | 2,848,319 | 2,678,437 | |||
Gross Unrecognized Holding Gains | 7,496 | 5,412 | |||
Gross Unrecognized Holding Losses | (6,294) | (12,720) | |||
Estimated Fair Value | 2,849,521 | 2,671,129 | |||
GSE MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 2,731,973 | 3,082,343 | ||
Non-Credit (OTTI) | 0 | 0 | |||
Carrying Value | 2,731,973 | 3,082,343 | |||
Gross Unrecognized Holding Gains | 45,066 | 46,480 | |||
Gross Unrecognized Holding Losses | (3,783) | (8,841) | |||
Estimated Fair Value | 2,773,256 | 3,119,982 | |||
Asset-backed Securities [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 8,277 | 9,148 | ||
Non-Credit (OTTI) | (53) | (103) | |||
Carrying Value | 8,224 | 9,045 | |||
Gross Unrecognized Holding Gains | 32 | 40 | |||
Gross Unrecognized Holding Losses | (533) | (780) | |||
Estimated Fair Value | 7,723 | 8,305 | |||
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 44,676 | 49,748 | ||
Non-Credit (OTTI) | 0 | 0 | |||
Carrying Value | 44,676 | 49,748 | |||
Gross Unrecognized Holding Gains | 218 | 61 | |||
Gross Unrecognized Holding Losses | (358) | (533) | |||
Estimated Fair Value | $ 44,536 | $ 49,276 | |||
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Held-to-Maturity Securities (Unrealized Loss Position) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
|||
---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | |||||
Less than 12 Months, Estimated Fair Value | $ 1,044,327 | $ 1,667,467 | |||
Less than 12 Months, Unrealized Losses | (6,139) | (8,974) | |||
12 Months or More, Estimated Fair Value | 1,199,266 | 1,770,397 | |||
12 Months or More, Unrealized Losses | (4,850) | (13,963) | |||
Total Estimated Fair Value | 2,243,593 | 3,437,864 | |||
Unrealized Loss Position | [1] | (10,989) | (22,937) | ||
Gross Unrecognized Holding Losses | (10,968) | (22,874) | |||
Non-Credit (OTTI) | (53) | (103) | |||
Gross Unrecognized Holding Gains | 52,812 | 51,993 | |||
Other U.S. obligations -guaranteed MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Less than 12 Months, Estimated Fair Value | 467,766 | 367,474 | |||
Less than 12 Months, Unrealized Losses | (2,648) | (997) | |||
12 Months or More, Estimated Fair Value | 1,031,269 | 1,426,182 | |||
12 Months or More, Unrealized Losses | (3,646) | (11,723) | |||
Total Estimated Fair Value | 1,499,035 | 1,793,656 | |||
Unrealized Loss Position | [1] | (6,294) | (12,720) | ||
Gross Unrecognized Holding Losses | (6,294) | (12,720) | |||
Non-Credit (OTTI) | 0 | 0 | |||
Gross Unrecognized Holding Gains | 7,496 | 5,412 | |||
GSE MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Less than 12 Months, Estimated Fair Value | 569,000 | 1,281,827 | |||
Less than 12 Months, Unrealized Losses | (3,488) | (7,915) | |||
12 Months or More, Estimated Fair Value | 142,130 | 320,141 | |||
12 Months or More, Unrealized Losses | (295) | (926) | |||
Total Estimated Fair Value | 711,130 | 1,601,968 | |||
Unrealized Loss Position | [1] | (3,783) | (8,841) | ||
Gross Unrecognized Holding Losses | (3,783) | (8,841) | |||
Non-Credit (OTTI) | 0 | 0 | |||
Gross Unrecognized Holding Gains | 45,066 | 46,480 | |||
Asset-backed Securities [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Less than 12 Months, Estimated Fair Value | 0 | 0 | |||
Less than 12 Months, Unrealized Losses | 0 | 0 | |||
12 Months or More, Estimated Fair Value | 7,724 | 8,304 | |||
12 Months or More, Unrealized Losses | (554) | (843) | |||
Total Estimated Fair Value | 7,724 | 8,304 | |||
Unrealized Loss Position | [1] | (554) | (843) | ||
Gross Unrecognized Holding Losses | (533) | (780) | |||
Non-Credit (OTTI) | (53) | (103) | |||
Gross Unrecognized Holding Gains | 32 | 40 | |||
Residential Mortgage Backed Securities [Member] | Private-label RMBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Less than 12 Months, Estimated Fair Value | 7,561 | 18,166 | |||
Less than 12 Months, Unrealized Losses | (3) | (62) | |||
12 Months or More, Estimated Fair Value | 18,143 | 15,770 | |||
12 Months or More, Unrealized Losses | (355) | (471) | |||
Total Estimated Fair Value | 25,704 | 33,936 | |||
Unrealized Loss Position | [1] | (358) | (533) | ||
Gross Unrecognized Holding Losses | (358) | (533) | |||
Non-Credit (OTTI) | 0 | 0 | |||
Gross Unrecognized Holding Gains | $ 218 | $ 61 | |||
|
Other-Than-Temporary Impairment (Securities with OTTI Losses) (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||
---|---|---|---|---|---|---|---|
Jun. 30, 2017
USD ($)
securities
|
Jun. 30, 2016
USD ($)
securities
|
Jun. 30, 2017
USD ($)
securities
|
Jun. 30, 2016
USD ($)
securities
|
||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Projected Change In The Twelve Month Housing Price Percentage Rate Maximum Decrease | (5.00%) | (5.00%) | |||||
Projected Change In The Twelve Month Housing Price Percentage Rate Maximum Increase | 11.00% | 11.00% | |||||
Projected Change In The Short Term Housing Price Percentage Rate Maximum Decrease In Vast Majority Of Markets | 1.00% | 1.00% | |||||
Number of securities | securities | 2 | 1 | 2 | 1 | |||
Net other-than-temporary impairment losses, credit portion | $ | $ 111 | $ 93 | $ 193 | $ 93 | |||
Projected Change In The Shortterm Housing Price Percentage Rate Maximum Increase In Vast Majority Of Markets | 6.00% | 6.00% | |||||
Subprime [Member] | Private-label RMBS | Residential Mortgage Backed Securities [Member] | |||||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Prepayent Rates | [1] | 7.00% | |||||
Other Than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Qualitative Disclosures, Default Rate | [1] | 41.00% | |||||
Loss Severities | [1] | 40.00% | |||||
Current Credit Enhancement | [1] | 0.00% | 0.00% | ||||
Prime [Member] | Private-label RMBS | Residential Mortgage Backed Securities [Member] | |||||||
Other than Temporary Impairment, Disclosure [Line Items] | |||||||
Prepayent Rates | 9.00% | ||||||
Other Than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Qualitative Disclosures, Default Rate | 13.00% | ||||||
Loss Severities | 33.00% | ||||||
Current Credit Enhancement | 0.00% | 0.00% | |||||
|
Advances (Narratives) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Federal Home Loan Bank, Advances [Line Items] | ||
Percent of Advances Par Value Held by Top Five Borrowers | 45.00% | 43.00% |
Total advances, par value | $ 32,288,737 | $ 28,131,960 |
Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Year of Contractual Maturity, Amount | ||
Overdrawn demand and overnight deposit accounts | $ 1,779 | $ 0 |
Due in 1 year or less | 16,238,103 | 12,598,864 |
Due after 1 year through 2 years | 2,374,373 | 2,752,629 |
Due after 2 years through 3 years | 2,791,702 | 1,920,962 |
Due after 3 years through 4 years | 2,098,808 | 2,605,198 |
Due after 4 years through 5 years | 2,084,100 | 2,009,395 |
Thereafter | 6,699,872 | 6,244,912 |
Total advances, par value | $ 32,288,737 | $ 28,131,960 |
Year of Contractual Maturity, WAIR % | ||
Overdrawn demand and overnight deposit accounts | 3.38% | 0.00% |
Due in 1 year or less | 1.24% | 0.91% |
Due after 1 year through 2 years | 1.78% | 1.74% |
Due after 2 years through 3 years | 1.74% | 2.10% |
Due after 3 years through 4 years | 1.63% | 1.38% |
Due after 4 years through 5 years | 1.69% | 1.47% |
Thereafter | 1.46% | 1.20% |
Total advances, par value | 1.42% | 1.22% |
Fair-value hedging adjustments | $ (51,704) | $ (57,716) |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 16,317 | 21,709 |
Total Advances | $ 32,253,350 | $ 28,095,953 |
Advances Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Advances [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 1,779 | $ 0 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 23,793,604 | 19,390,714 |
Due after 1 year through 2 years | 1,967,873 | 2,502,629 |
Due after 2 years through 3 years | 2,066,702 | 1,856,463 |
Due after 3 years through 4 years | 1,326,508 | 1,548,998 |
Due after 4 years through 5 years | 870,300 | 900,095 |
Thereafter | 2,261,971 | 1,933,061 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 16,419,603 | 12,767,364 |
Due after 1 year through 2 years | 2,374,373 | 2,757,629 |
Due after 2 years through 3 years | 3,029,302 | 1,915,962 |
Due after 3 years through 4 years | 2,565,308 | 2,605,198 |
Due after 4 years through 5 years | 2,416,500 | 2,535,895 |
Thereafter | 5,481,872 | 5,549,912 |
Total advances, par value | $ 32,288,737 | $ 28,131,960 |
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands |
1 Months Ended | 6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Jan. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
|||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | $ 9,293,390 | $ 9,674,447 | |||||||
Unamortized premiums | 210,116 | 221,789 | |||||||
Unamortized discounts | (2,383) | (2,593) | |||||||
Fair-value hedging adjustments | 1,124 | 1,649 | |||||||
Allowance for loan losses | (850) | (850) | |||||||
Total mortgage loans held for portfolio, net | 9,501,397 | 9,894,442 | |||||||
Principal Amount of Mortgage Loans Sold | $ 18,000 | 72,000 | |||||||
Fixed-rate long-term mortgages | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | 8,086,412 | 8,499,668 | |||||||
Fixed-rate medium-term mortgages | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | [1] | 1,206,978 | $ 1,174,779 | ||||||
Fixed-rate medium-term mortgages | Maximum | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Original term | 15 years | ||||||||
Conventional | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | 8,796,407 | $ 9,212,060 | |||||||
Mortgage Purchase Program | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | 8,930,194 | 9,339,161 | |||||||
Mortgage Partnership Finance Program | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | 363,196 | 335,286 | |||||||
Conventional | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Allowance for loan losses | (850) | (850) | $ (850) | $ (850) | $ (850) | $ (1,125) | |||
Conventional | Mortgage Purchase Program | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Allowance for loan losses | (750) | (750) | |||||||
Government-guaranteed or -insured | |||||||||
Mortgage Loans on Real Estate [Line Items] | |||||||||
Mortgage Loans Held for Portfolio, UPB | $ 496,983 | $ 462,387 | |||||||
|
Allowance for Credit Losses (Credit Enhancements) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||||
Balance of LRA, beginning of period | $ 130,728 | $ 96,663 | $ 125,683 | $ 91,552 | |||||||||
Additions | 6,536 | 10,011 | 11,767 | 15,418 | |||||||||
Claim paid | (146) | (276) | (248) | (485) | |||||||||
Distributions to members | (277) | (833) | (361) | (920) | |||||||||
Balance of LRA, end of period | 136,841 | 105,565 | 136,841 | 105,565 | |||||||||
Allowance for loan losses | 850 | 850 | $ 850 | ||||||||||
Conventional | |||||||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||||
Allowance for loan losses | 850 | $ 850 | 850 | $ 850 | $ 850 | 850 | $ 850 | $ 1,125 | |||||
Mortgage Purchase Program | Conventional | |||||||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||||
Estimated incurred losses remaining after borrower's equity, before credit enhancements | [1] | 7,432 | 7,432 | 8,689 | |||||||||
Allowance for unrecoverable PMI/SMI | 50 | 50 | 50 | ||||||||||
Allowance for loan losses | 750 | 750 | 750 | ||||||||||
Mortgage Purchase Program | Conventional | PMI | |||||||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||||
Portion of estimated losses recoverable from | (1,791) | (1,791) | (1,981) | ||||||||||
Mortgage Purchase Program | Conventional | LRA | |||||||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||||
Portion of estimated losses recoverable from | [2] | (1,876) | (1,876) | (2,418) | |||||||||
Mortgage Purchase Program | Conventional | SMI | |||||||||||||
Credit Enhancement Fund [Roll Forward] | |||||||||||||
Portion of estimated losses recoverable from | $ (3,065) | $ (3,065) | $ (3,590) | ||||||||||
|
Allowance for Credit Losses (Allowance) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Dec. 31, 2016 |
||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||||
Allowance for loan losses on mortgage loans, beginning of period | $ 850 | ||||||||
Provision for (reversal of) loan losses | $ 130 | $ (242) | 281 | $ (217) | |||||
Allowance for loan losses on mortgage loans, end of period | 850 | 850 | |||||||
Total allowance for loan losses | 850 | 850 | $ 850 | $ 850 | |||||
Total recorded investment | 9,935,903 | 9,541,098 | |||||||
Conventional | |||||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||||
Allowance for loan losses on mortgage loans, beginning of period | 850 | 850 | 850 | 1,125 | |||||
Charge-offs, net of recoveries | 130 | 242 | 281 | 58 | |||||
Provision for (reversal of) loan losses | 130 | (242) | 281 | (217) | |||||
Allowance for loan losses on mortgage loans, end of period | 850 | 850 | 850 | 850 | |||||
Allowance for loan losses, loans collectively evaluated for impairment | 730 | 750 | |||||||
Allowance for loan losses, loans individually evaluated for impairment | [1] | 120 | 100 | ||||||
Total allowance for loan losses | 850 | $ 850 | 850 | $ 1,125 | 850 | 850 | |||
Recorded Investment, loans collectively evaluated for impairment | 9,450,390 | 9,020,194 | |||||||
Recorded Investment, loans individually evaluated for impairment | [1] | 15,221 | 15,507 | ||||||
Total recorded investment | 9,465,611 | 9,035,701 | |||||||
Principal paid in full by servicers | 3,273 | 2,814 | |||||||
Potential claims included in allowance | 73 | 70 | |||||||
Mortgage Purchase Program | Conventional | |||||||||
Allowance for Loan and Lease Losses [Roll Forward] | |||||||||
Allowance for loan losses on mortgage loans, beginning of period | 750 | ||||||||
Allowance for loan losses on mortgage loans, end of period | 750 | 750 | |||||||
Total allowance for loan losses | $ 750 | $ 750 | $ 750 | $ 750 | |||||
|
Allowance for Credit Losses (Past Due) (Details) - USD ($) $ in Thousands |
6 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | $ 84,187 | $ 109,341 | |||||||
Total current | 9,851,716 | 9,431,757 | |||||||
Total recorded investment | 9,935,903 | 9,541,098 | |||||||
In process of foreclosure | [1] | $ 13,833 | $ 17,749 | ||||||
Serious delinquency rate (percentage) | [2] | 0.24% | 0.33% | ||||||
Past due 90 days or more still accruing interest | [3] | $ 21,006 | $ 27,725 | ||||||
On non-accrual status | $ 4,022 | 4,699 | |||||||
Delinquent loan receivable (in days) | 90 days | ||||||||
Conventional | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | $ 68,631 | 86,260 | |||||||
Total current | 9,396,980 | 8,949,441 | |||||||
Total recorded investment | 9,465,611 | 9,035,701 | |||||||
In process of foreclosure | [1] | $ 13,833 | $ 17,749 | ||||||
Serious delinquency rate (percentage) | [2] | 0.24% | 0.32% | ||||||
Past due 90 days or more still accruing interest | [3] | $ 19,543 | $ 25,375 | ||||||
On non-accrual status | 4,022 | 4,699 | |||||||
US Government Agency Insured Loans [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 15,556 | 23,081 | |||||||
Total current | 454,736 | 482,316 | |||||||
Total recorded investment | 470,292 | 505,397 | |||||||
In process of foreclosure | [1] | $ 0 | $ 0 | ||||||
Serious delinquency rate (percentage) | [2] | 0.31% | 0.46% | ||||||
Past due 90 days or more still accruing interest | [3] | $ 1,463 | $ 2,350 | ||||||
On non-accrual status | 0 | 0 | |||||||
Financing Receivables, 30 to 59 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 48,753 | 63,301 | |||||||
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 36,986 | 46,118 | |||||||
Financing Receivables, 30 to 59 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 11,767 | 17,183 | |||||||
Financing Receivables, 60 to 89 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 11,292 | 14,592 | |||||||
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 8,966 | 11,044 | |||||||
Financing Receivables, 60 to 89 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 2,326 | 3,548 | |||||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 24,142 | 31,448 | |||||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | 22,679 | 29,098 | |||||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | US Government Agency Insured Loans [Member] | |||||||||
Financing Receivable, Recorded Investment [Line Items] | |||||||||
Total past due | $ 1,463 | $ 2,350 | |||||||
|
Allowance for Credit Losses (Impaired Debt) (Details) - Mortgage Purchase Program - Conventional - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
||||
Financing Receivable, Impaired [Line Items] | ||||||||
Conventional loans without allowance for loan losses, Recorded Investment | [1] | $ 13,945 | $ 13,945 | $ 15,158 | ||||
Conventional loans with allowance for loan losses, Recorded Investment | 1,276 | 1,276 | 349 | |||||
Total recorded investment | 15,221 | 15,221 | 15,507 | |||||
Conventional loans without allowance for loan losses, UPB | [1] | 14,007 | 14,007 | 15,219 | ||||
Conventional loans with allowance for loan losses, UPB | 1,279 | 1,279 | 358 | |||||
Total UPB | 15,286 | 15,286 | 15,577 | |||||
Allowance for loan losses | 47 | 47 | $ 30 | |||||
Conventional loans without allowance, Average Recorded Investment | 14,537 | $ 16,474 | 14,475 | $ 16,330 | ||||
Conventional loans without allowance, Interest Income Recognized | 161 | 175 | 354 | 387 | ||||
Conventional loans with allowance, Average Recorded Investment | 1,279 | 1,268 | 1,283 | 1,272 | ||||
Conventional loans with allowance, Interest Income Recognized | 19 | 17 | 25 | 28 | ||||
Impaired Financing Receivable, Average Recorded Investment | 15,816 | 17,742 | 15,758 | 17,602 | ||||
Impaired Financing Receivable, Interest Income, Accrual Method | $ 180 | $ 192 | $ 379 | $ 415 | ||||
|
Derivative and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 92,236 | $ 35,422 |
Notional Amount of Derivatives | 27,831,640 | 25,812,444 |
Estimated Fair Value of Derivative Assets | 216,093 | 233,101 |
Estimated Fair Value of Derivative Liabilities | 91,918 | 103,107 |
Netting adjustments, assets | (89,505) | (133,089) |
Derivative Asset Fair Value Gross Asset and Right to Reclaim Cash Offset | 28,713 | 34,836 |
Netting adjustments, liabilities | (89,505) | (133,089) |
Cash collateral and related accrued interest, liabilities | (19) | 55,207 |
Derivative Asset, net | 155,301 | 134,848 |
Derivative Liability, net | 2,394 | 25,225 |
Derivative, Collateral, Obligation to Return Cash | 43,756 | 55,793 |
Variation Margin for Daily Settled Contracts, Net | 19,748 | |
Derivatives designated as hedging instruments: | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 26,869,481 | 23,998,498 |
Estimated Fair Value of Derivative Assets | 215,237 | 230,705 |
Estimated Fair Value of Derivative Liabilities | 91,410 | 102,201 |
Derivatives designated as hedging instruments: | Interest-rate swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 26,869,481 | 23,998,498 |
Estimated Fair Value of Derivative Assets | 215,237 | 230,705 |
Estimated Fair Value of Derivative Liabilities | 91,410 | 102,201 |
Derivatives not designated as hedging instruments: | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 962,159 | 1,813,946 |
Estimated Fair Value of Derivative Assets | 856 | 2,396 |
Estimated Fair Value of Derivative Liabilities | 508 | 906 |
Derivatives not designated as hedging instruments: | Interest-rate swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 131,500 | 901,344 |
Estimated Fair Value of Derivative Assets | 255 | 1,430 |
Estimated Fair Value of Derivative Liabilities | 17 | 31 |
Derivatives not designated as hedging instruments: | Interest Rate Swaption [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 200,000 | 350,000 |
Estimated Fair Value of Derivative Assets | 0 | 2 |
Estimated Fair Value of Derivative Liabilities | 0 | 50 |
Derivatives not designated as hedging instruments: | Interest-rate caps/floors | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 323,500 | 364,500 |
Estimated Fair Value of Derivative Assets | 189 | 322 |
Estimated Fair Value of Derivative Liabilities | 0 | 2 |
Derivatives not designated as hedging instruments: | Interest-rate forwards | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 154,000 | 99,100 |
Estimated Fair Value of Derivative Assets | 392 | 339 |
Estimated Fair Value of Derivative Liabilities | 0 | 352 |
Mortgages [Member] | Derivatives not designated as hedging instruments: | Interest-rate forwards | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount of Derivatives | 153,159 | 99,002 |
Estimated Fair Value of Derivative Assets | 20 | 303 |
Estimated Fair Value of Derivative Liabilities | $ 491 | $ 471 |
Derivative and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Variation Margin for Daily Settled Contracts, Net | $ (19,748) | |
Derivative Asset, Gross recognized amount | 215,681 | $ 232,459 |
Derivative Liability, Gross recognized amount | 91,427 | 102,284 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | (60,792) | (98,253) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (89,524) | (77,882) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 154,889 | 134,206 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | 1,903 | 24,402 |
Derivative Asset, Derivative instruments not meeting netting requirements | 412 | 642 |
Derivative Liability, Derivative instruments not meeting netting requirements | 491 | 823 |
Derivative Asset, net | 155,301 | 134,848 |
Derivative Liability, net | 2,394 | 25,225 |
Uncleared | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | 81,432 | 86,606 |
Derivative Liability, Gross recognized amount | 36,230 | 45,449 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | (69,910) | (76,255) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (34,327) | (21,047) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 11,522 | 10,351 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | 1,903 | 24,402 |
Cleared | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative Asset, Gross recognized amount | 134,249 | 145,853 |
Derivative Liability, Gross recognized amount | 55,197 | 56,835 |
Derivative Asset Gross Netting Adjustment and Cash Collateral | 9,118 | (21,998) |
Derivative Liability, Gross amounts of netting adjustments and cash collateral | (55,197) | (56,835) |
Derivative Asset,Net amounts after netting adjustments and cash collateral | 143,367 | 123,855 |
Derivative Liability, Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 |
Derivative and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ (3,859) | $ (2,134) | $ (7,833) | $ (2,577) |
Total net gain (loss) on derivatives not designated as hedging instruments | (801) | (659) | (1,152) | (2,313) |
Derivative Instruments, Other Gain (Loss) | (50) | 0 | (100) | 0 |
Net gains (losses) on derivatives and hedging activities | (4,710) | (2,793) | (9,085) | (4,890) |
Interest-rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | (3,859) | (2,134) | (7,833) | (2,577) |
Total net gain (loss) on derivatives not designated as hedging instruments | (66) | (198) | (88) | (1,413) |
Interest Rate Swaption [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (38) | 0 | (177) | 0 |
Interest-rate caps/floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (177) | (16) | (131) | (47) |
Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (773) | (2,863) | (941) | (5,337) |
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | (144) | (12) | (291) | (124) |
Mortgages [Member] | Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) on derivatives not designated as hedging instruments | $ 397 | $ 2,430 | $ 476 | $ 4,608 |
Derivative and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | $ (56,588) | $ (69,857) | $ (29,329) | $ (210,174) |
Gain (Loss) on Hedged Item | 52,729 | 67,723 | 21,496 | 207,597 |
Net Fair Value Hedge Ineffectiveness | (3,859) | (2,134) | (7,833) | (2,577) |
Effect on Net Interest Income | (18,463) | (47,001) | (43,419) | (95,728) |
Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | (24,561) | (26,669) | (8,825) | (119,715) |
Gain (Loss) on Hedged Item | 23,769 | 25,772 | 9,241 | 119,978 |
Net Fair Value Hedge Ineffectiveness | (792) | (897) | 416 | 263 |
Effect on Net Interest Income | (8,912) | (25,941) | (20,391) | (53,904) |
Available-for-sale Securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | (42,407) | (51,639) | (25,332) | (111,255) |
Gain (Loss) on Hedged Item | 40,147 | 47,568 | 20,064 | 107,262 |
Net Fair Value Hedge Ineffectiveness | (2,260) | (4,071) | (5,268) | (3,993) |
Effect on Net Interest Income | (13,928) | (25,700) | (30,793) | (52,091) |
CO bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivatives | 10,380 | 8,451 | 4,828 | 20,796 |
Gain (Loss) on Hedged Item | (11,187) | (5,617) | (7,809) | (19,643) |
Net Fair Value Hedge Ineffectiveness | (807) | 2,834 | (2,981) | 1,153 |
Effect on Net Interest Income | $ 4,377 | $ 4,640 | $ 7,765 | $ 10,267 |
Derivative and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash collateral pledged to counterparties | $ 92,236 | $ 35,422 |
Cash collateral received from counterparties | 43,756 | $ 55,793 |
Net liability position, aggregate fair value | 6,480 | |
Collateral already posted, estimated fair value | 8,173 | |
Other derivative instruments in a net liability position | 491 | |
Additional collateral, fair value | $ 500 |
Consolidated Obligations (Details) - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Schedule of Short-term and Long-term Debt [Line Items] | ||
FHLB System outstanding consolidated obligations | $ 1,000,000,000 | $ 989,300,000 |
Discount Notes maturity period (years) | 1 year | |
Discount Note [Abstract] | ||
Discount Notes - Book Value | $ 21,036,075 | 16,801,763 |
Discount Notes - Par Value | $ 21,072,353 | $ 16,819,659 |
Weighted average effective interest rate (percentage) | 0.96% | 0.51% |
CO Bonds [Abstract] | ||
Due in 1 year or less | $ 14,708,530 | $ 16,234,460 |
Due after 1 year through 2 years | 8,357,605 | 6,122,190 |
Due after 2 years through 3 years | 3,300,980 | 2,718,945 |
Due after 3 years through 4 years | 1,458,370 | 1,684,530 |
Due after 4 years through 5 years | 993,820 | 1,040,000 |
Thereafter | 6,495,000 | 5,708,000 |
Unamortized premiums | 28,092 | 27,462 |
Unamortized discounts | (12,116) | (12,059) |
Unamortized concessions | (13,989) | (13,705) |
Fair-value hedging adjustments | $ (34,656) | $ (42,544) |
Due in 1 year or less, WAIR % | 1.12% | 0.85% |
Due after 1 year through 2 years, WAIR % | 1.31% | 0.96% |
Due after 2 years through 3 years, WAIR % | 2.08% | 1.65% |
Due after 3 years through 4 years, WAIR % | 2.51% | 3.17% |
Due after 4 years through 5 years, WAIR % | 2.06% | 2.17% |
Thereafter, WAIR % | 2.87% | 2.92% |
Total WAIR% | 1.66% | 1.44% |
CO Bonds, Par value | $ 35,314,305 | $ 33,508,125 |
Due in 1 year or less | 23,234,530 | 23,825,460 |
Due after 1 year through 2 years | 7,629,605 | 4,675,190 |
Due after 2 years through 3 years | 2,212,980 | 2,240,945 |
Due after 3 years through 4 years | 827,370 | 1,257,530 |
Due after 4 years through 5 years | 381,820 | 474,000 |
Thereafter | 1,028,000 | 1,035,000 |
Bonds | 35,281,636 | 33,467,279 |
Federal Home Loan Bank Consolidated Obligations With No Related Option Feature [Member] | ||
CO Bonds [Abstract] | ||
CO Bonds, Par value | 26,086,305 | 25,627,125 |
Federal Home Loan Bank Consolidated Obligations Callable Option [Member] | ||
CO Bonds [Abstract] | ||
CO Bonds, Par value | $ 9,228,000 | $ 7,881,000 |
Affordable Housing Program (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|||
Affordable Housing Program Funding Obligation [Roll Forward] | ||||||
Balance at beginning of period | $ 27,203 | $ 28,235 | $ 26,598 | $ 31,103 | ||
Assessment (expense) | 4,381 | 2,717 | 8,090 | 5,817 | ||
Subsidy usage, net | [1] | (6,955) | (5,029) | (10,059) | (10,997) | |
Balance at end of period | $ 24,629 | $ 25,923 | $ 24,629 | $ 25,923 | ||
|
Capital (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
Feb. 01, 2016 |
||||||
Capital [Abstract] | |||||||||||
Financial Instruments Subject to Mandatory Redemption Past Contractual Redemption Date Due to Outstanding Activity To Be Repurchased or Redeemed No Later Than February 19 2017 | $ 3,021 | ||||||||||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | |||||||||||
Liability at beginning of period | $ 166,930 | $ 192,548 | $ 170,043 | $ 14,063 | |||||||
Reclassification from capital stock | 0 | 0 | 0 | 178,898 | |||||||
Redemptions/repurchases | (95) | (14,945) | (3,208) | (16,396) | |||||||
Accrued distributions | 0 | 0 | 0 | 1,038 | |||||||
Liability at end of period | 166,835 | 177,603 | 166,835 | 177,603 | |||||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||||||||
Year 1 | [1] | 10,476 | 10,476 | 8,630 | |||||||
Year 2 | 0 | 0 | 5,054 | ||||||||
Year 3 | 13 | 13 | 13 | ||||||||
Year 4 | 73 | 73 | 0 | ||||||||
Year 5 | 4,085 | 4,085 | 4,158 | ||||||||
Thereafter | [2] | 152,188 | 152,188 | 152,188 | |||||||
Financial Instruments Subject to Mandatory Redemption, Past Contractual Redemption Date, Due to Outstanding Activity | 5,422 | 5,422 | 5,609 | ||||||||
Recorded as interest expense | 1,756 | 1,871 | 3,509 | 2,868 | |||||||
Recorded as distributions from retained earnings | 0 | 0 | 0 | 1,038 | |||||||
Total | 1,756 | $ 1,871 | 3,509 | $ 3,906 | |||||||
Regulatory Capital Requirements [Abstract] | |||||||||||
Federal Home Loan Bank, Risk-Based Capital, Required | 851,196 | 851,196 | 760,946 | ||||||||
Federal Home Loan Bank, Risk-Based Capital, Actual | $ 2,793,846 | $ 2,793,846 | $ 2,549,871 | ||||||||
Regulatory permanent capital-to-asset ratio, Required (percentage) | 4.00% | 4.00% | 4.00% | ||||||||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual (percentage) | 4.60% | 4.60% | 4.73% | ||||||||
Federal Home Loan Bank, Regulatory Capital, Required | $ 2,428,479 | $ 2,428,479 | $ 2,156,296 | ||||||||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 2,793,846 | $ 2,793,846 | $ 2,549,871 | ||||||||
Leverage ratio, Required (percentage) | 5.00% | 5.00% | 5.00% | ||||||||
Federal Home Loan Bank, Leverage Ratio, Actual (percentage) | 6.90% | 6.90% | 7.10% | ||||||||
Federal Home Loan Bank, Leverage Capital, Required | $ 3,035,599 | $ 3,035,599 | $ 2,695,370 | ||||||||
Federal Home Loan Bank, Leverage Capital, Actual | $ 4,190,769 | $ 4,190,769 | $ 3,824,806 | ||||||||
Class B Stock of Captive Insurance Company Members Reclassified to MRCS | $ 178,898 | ||||||||||
|
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
|
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | $ 73 | $ 93 | $ 155 | $ 93 | ||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 96,420 | 96,420 | $ 56,368 | |||||
Net change in unrealized gains (losses) on available-for-sale securities | 14,854 | (693) | 37,610 | (906) | ||||
Net change in fair value | 85 | 28 | 2 | 52 | ||||
Accretion of non-credit portion | (6) | (8) | (12) | (16) | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 16,371 | (1,928) | 40,052 | (7,658) | ||||
Accumulated Other Comprehensive Income (Loss) [Member] | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 96,420 | 15,220 | 96,420 | 15,220 | $ 80,049 | 56,368 | $ 17,148 | $ 22,878 |
Net change in unrealized gains (losses) on available-for-sale securities | 15,844 | (1,199) | 39,192 | (7,203) | ||||
Net change in fair value | 85 | 28 | 2 | 52 | ||||
Accretion of non-credit portion | 6 | 8 | 12 | 16 | ||||
Non-credit portion of OTTI losses | 111 | 93 | 193 | 93 | ||||
Pension benefits, net | 325 | (858) | 653 | (616) | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 16,371 | (1,928) | 40,052 | (7,658) | ||||
Unrealized Gains (Losses) on AFS Securities | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 77,078 | (809) | 77,078 | (809) | 62,224 | 39,468 | (116) | 97 |
Net change in unrealized gains (losses) on available-for-sale securities | 14,854 | (693) | ||||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 14,854 | (693) | 37,610 | (906) | ||||
Unrealized Gains (Losses) on AFS Securities | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Net change in unrealized gains (losses) on available-for-sale securities | 37,610 | (906) | ||||||
Non-Credit OTTI | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | 155 | 93 | ||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | 28,677 | 24,077 | 28,677 | 24,077 | 27,529 | 26,938 | 24,462 | 30,229 |
Net change in unrealized gains (losses) on available-for-sale securities | 990 | (506) | 1,582 | (6,297) | ||||
Net change in fair value | 85 | 28 | 2 | 52 | ||||
Non-credit portion of OTTI losses | 73 | 93 | ||||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 1,148 | (385) | 1,739 | (6,152) | ||||
Non-Credit OTTI | HTM Securities [Member] | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | (53) | (116) | (53) | (116) | (97) | (103) | (124) | (132) |
Accretion of non-credit portion | 6 | 8 | 12 | 16 | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | 44 | 8 | 50 | 16 | ||||
Pension Benefits | ||||||||
Accumulated Other Comprehensive Income [Roll Forward] | ||||||||
Accumulated Other Comprehensive Income (Loss), before Federal Home Loan Bank Assessments | (9,282) | (7,932) | (9,282) | (7,932) | $ (9,607) | $ (9,935) | $ (7,074) | $ (7,316) |
Pension benefits, net | 325 | (858) | 653 | (616) | ||||
Other Comprehensive Income (Loss), before Tax, Portion Attributable to Parent | $ 325 | $ (858) | $ 653 | $ (616) |
Segment Information (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Segment Reporting Information [Line Items] | |||||
Net interest income | $ 65,065 | $ 45,599 | $ 124,068 | $ 94,970 | |
Provision for (reversal of) credit losses | 130 | (242) | 281 | (217) | |
Other income (loss) | (3,833) | (1,883) | (7,498) | (3,085) | |
Other expenses | 19,044 | 18,653 | 38,897 | 36,800 | |
Income before assessments | 42,058 | 25,305 | 77,392 | 55,302 | |
Affordable Housing Program assessments | 4,381 | 2,717 | 8,090 | 5,817 | |
Net Income | 37,677 | 22,588 | 69,302 | 49,485 | |
Assets | 60,711,976 | 60,711,976 | $ 53,907,400 | ||
Traditional | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 47,255 | 32,418 | 88,791 | 65,490 | |
Provision for (reversal of) credit losses | 0 | 0 | 0 | 0 | |
Other income (loss) | (3,329) | (1,518) | (7,003) | (2,460) | |
Other expenses | 16,031 | 15,816 | 32,826 | 31,226 | |
Income before assessments | 27,895 | 15,084 | 48,962 | 31,804 | |
Affordable Housing Program assessments | 2,965 | 1,695 | 5,247 | 3,467 | |
Net Income | 24,930 | 13,389 | 43,715 | 28,337 | |
Assets | 50,817,534 | 50,817,534 | 44,406,003 | ||
Mortgage Loans | |||||
Segment Reporting Information [Line Items] | |||||
Net interest income | 17,810 | 13,181 | 35,277 | 29,480 | |
Provision for (reversal of) credit losses | 130 | (242) | 281 | (217) | |
Other income (loss) | (504) | (365) | (495) | (625) | |
Other expenses | 3,013 | 2,837 | 6,071 | 5,574 | |
Income before assessments | 14,163 | 10,221 | 28,430 | 23,498 | |
Affordable Housing Program assessments | 1,416 | 1,022 | 2,843 | 2,350 | |
Net Income | 12,747 | $ 9,199 | 25,587 | $ 21,148 | |
Assets | $ 9,894,442 | $ 9,894,442 | $ 9,501,397 |
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Variation Margin for Daily Settled Contracts, Net | $ (19,748) | |||||
Assets: | ||||||
Cash and due from banks | 92,082 | $ 546,612 | ||||
AFS securities | 7,071,810 | 6,059,835 | ||||
Held-to-maturity securities (estimated fair values of $5,675,036 and $5,848,692, respectively) (Notes 4 and 5) | 5,633,192 | 5,819,573 | ||||
HTM securities | 5,675,036 | 5,848,692 | ||||
Accrued interest receivable | 99,055 | 93,716 | ||||
Derivative assets, net | 155,301 | 134,848 | ||||
Netting adjustment | (60,792) | (98,253) | ||||
Consolidated Obligations: | ||||||
Accrued interest payable | 117,220 | 98,411 | ||||
Derivative liabilities, net (Note 9) | 2,394 | 25,225 | ||||
Netting adjustment | (89,524) | (77,882) | ||||
MRCS | 166,835 | $ 166,930 | 170,043 | $ 177,603 | $ 192,548 | $ 14,063 |
Level 1 [Member] | ||||||
Assets: | ||||||
Cash and due from banks | 92,082 | 546,612 | ||||
Interest-bearing deposits | 334,192 | 150,072 | ||||
Securities purchased under agreements to resell | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
AFS securities | 0 | 0 | ||||
HTM securities | 0 | 0 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net | 0 | 0 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative assets, net | 0 | 0 | ||||
Grantor trust assets (included in other assets) | 20,233 | 18,117 | ||||
Liabilities: | ||||||
Deposits | 0 | 0 | ||||
Consolidated Obligations: | ||||||
Discount notes | 0 | 0 | ||||
Bonds | 0 | 0 | ||||
Accrued interest payable | 0 | 0 | ||||
Derivative liabilities, net (Note 9) | 0 | 0 | ||||
MRCS | 166,835 | 170,043 | ||||
Level 2 [Member] | ||||||
Assets: | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 240 | 153 | ||||
Securities purchased under agreements to resell | 2,527,005 | 1,781,309 | ||||
Federal funds sold | 2,575,000 | 1,650,000 | ||||
AFS securities | 6,827,547 | 5,790,716 | ||||
HTM securities | 5,622,777 | 5,791,111 | ||||
Advances | 32,212,637 | 28,059,477 | ||||
Mortgage loans held for portfolio, net | 9,982,042 | 9,567,140 | ||||
Accrued interest receivable | 99,055 | 93,716 | ||||
Derivative assets, net | 216,093 | 233,101 | ||||
Grantor trust assets (included in other assets) | 0 | 0 | ||||
Liabilities: | ||||||
Deposits | 674,476 | 524,073 | ||||
Consolidated Obligations: | ||||||
Discount notes | 21,072,353 | 16,819,659 | ||||
Bonds | 35,464,780 | 33,614,346 | ||||
Accrued interest payable | 117,220 | 98,411 | ||||
Derivative liabilities, net (Note 9) | 91,918 | 103,107 | ||||
MRCS | 0 | 0 | ||||
Level 3 [Member] | ||||||
Assets: | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 0 | 0 | ||||
Securities purchased under agreements to resell | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
AFS securities | 244,263 | 269,119 | ||||
HTM securities | 52,259 | 57,581 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net | 14,827 | 20,254 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative assets, net | 0 | 0 | ||||
Grantor trust assets (included in other assets) | 0 | 0 | ||||
Liabilities: | ||||||
Deposits | 0 | 0 | ||||
Consolidated Obligations: | ||||||
Discount notes | 0 | 0 | ||||
Bonds | 0 | 0 | ||||
Accrued interest payable | 0 | 0 | ||||
Derivative liabilities, net (Note 9) | 0 | 0 | ||||
MRCS | 0 | 0 | ||||
Fair Value | ||||||
Assets: | ||||||
Cash and due from banks | 92,082 | 546,612 | ||||
Interest-bearing deposits | 334,432 | 150,225 | ||||
Securities purchased under agreements to resell | 2,527,005 | 1,781,309 | ||||
Federal funds sold | 2,575,000 | 1,650,000 | ||||
AFS securities | 7,071,810 | 6,059,835 | ||||
HTM securities | 5,675,036 | 5,848,692 | ||||
Advances | 32,212,637 | 28,059,477 | ||||
Mortgage loans held for portfolio, net | 9,996,869 | 9,587,394 | ||||
Accrued interest receivable | 99,055 | 93,716 | ||||
Derivative assets, net | 155,301 | 134,848 | ||||
Grantor trust assets (included in other assets) | 20,233 | 18,117 | ||||
Liabilities: | ||||||
Deposits | 674,476 | 524,073 | ||||
Consolidated Obligations: | ||||||
Discount notes | 21,072,353 | 16,819,659 | ||||
Bonds | 35,464,780 | 33,614,346 | ||||
Accrued interest payable | 117,220 | 98,411 | ||||
Derivative liabilities, net (Note 9) | 2,394 | 25,225 | ||||
MRCS | 166,835 | 170,043 | ||||
Carrying value | ||||||
Assets: | ||||||
Cash and due from banks | 92,082 | 546,612 | ||||
Interest-bearing deposits | 334,432 | 150,225 | ||||
Securities purchased under agreements to resell | 2,527,000 | 1,781,309 | ||||
Federal funds sold | 2,575,000 | 1,650,000 | ||||
AFS securities | 7,071,810 | 6,059,835 | ||||
Held-to-maturity securities (estimated fair values of $5,675,036 and $5,848,692, respectively) (Notes 4 and 5) | 5,633,192 | 5,819,573 | ||||
Advances | 32,253,350 | 28,095,953 | ||||
Mortgage loans held for portfolio, net | 9,894,442 | 9,501,397 | ||||
Accrued interest receivable | 99,055 | 93,716 | ||||
Derivative assets, net | 155,301 | 134,848 | ||||
Grantor trust assets (included in other assets) | 20,233 | 18,117 | ||||
Liabilities: | ||||||
Deposits | 674,476 | 524,073 | ||||
Consolidated Obligations: | ||||||
Discount notes | 21,036,075 | 16,801,763 | ||||
Bonds | 35,281,636 | 33,467,279 | ||||
Accrued interest payable | 117,220 | 98,411 | ||||
Derivative liabilities, net (Note 9) | 2,394 | 25,225 | ||||
MRCS | $ 166,835 | $ 170,043 |
Estimated Fair Values (Estimated Fair Value on a Recurring and Non-Recurring Basis) (Details) - USD ($) |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Variation Margin for Daily Settled Contracts, Net | $ 19,748,000 | |
AFS securities | 7,071,810,000 | $ 6,059,835,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 155,301,000 | 134,848,000 |
Netting adjustment | (60,792,000) | (98,253,000) |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 2,394,000 | 25,225,000 |
Netting adjustment | (89,524,000) | (77,882,000) |
GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 4,728,049,000 | 4,714,634,000 |
GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 2,099,498,000 | 1,076,082,000 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 244,263,000 | 269,119,000 |
Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 7,071,810,000 | 6,059,835,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 155,301,000 | 134,848,000 |
Netting adjustment | (60,792,000) | (98,253,000) |
Grantor trust assets (included in other assets) | 20,233,000 | 18,117,000 |
Total assets at estimated fair value | 7,247,344,000 | 6,212,800,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 2,394,000 | 25,225,000 |
Netting adjustment | (89,524,000) | (77,882,000) |
Total liabilities at recurring estimated fair value | 2,394,000 | 25,225,000 |
Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 154,889,000 | 134,206,000 |
Netting adjustment | (60,792,000) | (98,253,000) |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 1,903,000 | 24,402,000 |
Netting adjustment | (89,524,000) | (77,882,000) |
Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 392,000 | 339,000 |
Netting adjustment | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 352,000 |
Netting adjustment | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 20,000 | 303,000 |
Netting adjustment | 0 | |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 491,000 | 471,000 |
Netting adjustment | 0 | 0 |
Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 4,728,049,000 | 4,714,634,000 |
Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 2,099,498,000 | 1,076,082,000 |
Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 244,263,000 | 269,119,000 |
Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at estimated fair value | 4,107,000 | 3,492,000 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 4,107,000 | 3,492,000 |
Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 20,233,000 | 18,117,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Mortgage loans held for portfolio | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 20,233,000 | 18,117,000 |
Total assets at estimated fair value | 20,233,000 | 18,117,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Total liabilities at recurring estimated fair value | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 1 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at estimated fair value | 0 | 0 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 0 | 0 |
Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,827,547,000 | 5,790,716,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 216,093,000 | 233,101,000 |
Grantor trust assets (included in other assets) | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 91,918,000 | 103,107,000 |
Mortgage loans held for portfolio | 9,982,042,000 | 9,567,140,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 6,827,547,000 | 5,790,716,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 216,093,000 | 233,101,000 |
Grantor trust assets (included in other assets) | 0 | 0 |
Total assets at estimated fair value | 7,043,640,000 | 6,023,817,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 91,918,000 | 103,107,000 |
Total liabilities at recurring estimated fair value | 91,918,000 | 103,107,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 215,681,000 | 232,459,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 91,427,000 | 102,284,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 392,000 | 339,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 352,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 20,000 | 303,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 491,000 | 471,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 4,728,049,000 | 4,714,634,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 2,099,498,000 | 1,076,082,000 |
Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 2 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at estimated fair value | 0 | 0 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | 0 | 0 |
Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 244,263,000 | 269,119,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Mortgage loans held for portfolio | 14,827,000 | 20,254,000 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 244,263,000 | 269,119,000 |
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Grantor trust assets (included in other assets) | 0 | 0 |
Total assets at estimated fair value | 244,263,000 | 269,119,000 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Total liabilities at recurring estimated fair value | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest-rate forwards | Mortgages [Member] | ||
Derivative Asset [Abstract] | ||
Derivative Asset | 0 | 0 |
Netting adjustment | 0 | |
Derivative Liability [Abstract] | ||
Derivative liabilities, net (Note 9) | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | GSE and TVA debentures | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | GSE MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 0 | 0 |
Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | Residential Mortgage Backed Securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
AFS securities | 244,263,000 | 269,119,000 |
Level 3 [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||
Derivative Asset [Abstract] | ||
Total assets at estimated fair value | 4,107,000 | 3,492,000 |
Derivative Liability [Abstract] | ||
Mortgage loans held for portfolio | $ 4,107,000 | $ 3,492,000 |
Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Net change in fair value not in excess of cumulative non-credit losses in OCI | $ 85 | $ 28 | $ 2 | $ 52 |
Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 319,186 | |||
Accretion of credit losses in interest income | 3,656 | 5,300 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (155) | (93) | ||
Net change in fair value not in excess of cumulative non-credit losses in OCI | 2 | 52 | ||
Unrealized gains (losses) in OCI | 1,582 | (6,297) | ||
Non-Credit Portion of OTTI Losses | 155 | 93 | ||
Settlements | (30,096) | (30,098) | ||
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | 3,501 | 4,347 | ||
Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Private-label RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, end of period | 244,263 | 288,143 | 244,263 | 288,143 |
Private-label RMBS | Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member] | Level 3 [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 257,671 | 300,758 | 269,119 | |
Accretion of credit losses in interest income | 1,785 | 2,164 | ||
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (73) | (93) | ||
Net change in fair value not in excess of cumulative non-credit losses in OCI | 85 | 28 | ||
Unrealized gains (losses) in OCI | 990 | (506) | ||
Non-Credit Portion of OTTI Losses | 73 | 93 | ||
Settlements | (16,268) | (14,301) | ||
Balance, end of period | 244,263 | 288,143 | $ 244,263 | $ 288,143 |
Net gains (losses) included in earnings attributable to changes in fair value relating to assets still held at end of period | $ 1,712 | $ 2,071 |
Commitments and Contingencies (Details) - USD ($) |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Loss Contingencies [Line Items] | |||||
Commitments to fund additional Advances are generally for periods up | 6 months | ||||
Period for Mortgage Loan Commitments | 91 days | ||||
Cash collateral pledged | $ 92,222,000 | $ 92,222,000 | $ 35,421,000 | ||
Variation Margin for Daily Settled Contracts, Net | 19,748,000 | 19,748,000 | |||
Gain (Loss) Related to Litigation Settlement | 178,000 | $ 60,000 | 178,000 | $ 60,000 | |
Letters of credit outstanding | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments, Total | 296,368,000 | 296,368,000 | |||
Standby Letters of Credit [Member] | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 121,273,000 | 121,273,000 | |||
Off-balance-sheet commitments expire after one year | 175,095,000 | 175,095,000 | |||
Unused lines of credit | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 1,082,709,000 | 1,082,709,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 1,082,709,000 | 1,082,709,000 | |||
Commitments to fund additional advances | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 55,000,000 | 55,000,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 55,000,000 | 55,000,000 | |||
CO bonds | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 616,400,000 | 616,400,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Off-balance-sheet commitments, Total | 616,400,000 | 616,400,000 | |||
MDCs | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments, Total | 153,159,000 | 153,159,000 | |||
MDCs | Interest-rate forwards | |||||
Loss Contingencies [Line Items] | |||||
Off-balance-sheet commitments expire within one year | 153,159,000 | 153,159,000 | |||
Off-balance-sheet commitments expire after one year | 0 | 0 | |||
Standby Letters of Credit [Member] | |||||
Loss Contingencies [Line Items] | |||||
Maximum line of credit | $ 50,000,000 | $ 50,000,000 |
Transactions with Related Parties and Other Entities (Details) - USD ($) $ in Thousands |
1 Months Ended | 3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|---|
Jan. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Related Party Transaction [Line Items] | ||||||
Principal Amount of Mortgage Loans Sold | $ 18,000 | $ 72,000 | ||||
Proceeds from issuance of capital stock | $ 209,263 | $ 51,539 | ||||
Total advances, par value | 28,131,960 | $ 32,288,737 | 32,288,737 | |||
Total mortgage loans held for portfolio, UPB | 9,293,390 | 9,674,447 | 9,674,447 | |||
Directors' Financial Institutions | ||||||
Related Party Transaction [Line Items] | ||||||
Net Capital Stock Issuances To Directors' Financial Institutions | 2,364 | $ 629 | 3,574 | 629 | ||
Net Advances to Directors Financial Institutions | 77,100 | 112,390 | 64,851 | 163,961 | ||
Capital Stock, including MRCS, par value | $ 50,810 | $ 40,227 | $ 40,227 | |||
Capital Stock, including MRCS, % of Total (percentage) | 3.00% | 2.00% | 2.00% | |||
Total advances, par value | $ 627,105 | $ 573,208 | $ 573,208 | |||
Advances, % of Total (percentage) | 2.00% | 2.00% | 2.00% | |||
Mortgage loans purchased from Directors' Financial Institutions | $ 10,570 | $ 13,930 | $ 14,047 | $ 18,996 |
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