þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 71-6013989 (I.R.S. Employer Identification Number) | |
8500 Freeport Parkway South, Suite 600 Irving, TX (Address of principal executive offices) | 75063-2547 (Zip code) |
Large accelerated filer o | Accelerated filer o | Non-accelerated filer þ | Smaller reporting company o | |||
(Do not check if a smaller reporting company) |
Page | |
EX-31.1 | |
EX-31.2 | |
EX-32.1 | |
EX-101 INSTANCE DOCUMENT | |
EX-101 SCHEMA DOCUMENT | |
EX-101 CALCULATION LINKBASE DOCUMENT | |
EX-101 LABELS LINKBASE DOCUMENT | |
EX-101 PRESENTATION LINKBASE DOCUMENT | |
EX-101 DEFINITION LINKBASE DOCUMENT |
June 30, 2013 | December 31, 2012 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 1,897,523 | $ | 920,780 | |||
Interest-bearing deposits | 669 | 254 | |||||
Securities purchased under agreements to resell (Note 9) | 250,000 | 3,000,000 | |||||
Federal funds sold | 1,520,000 | 2,219,000 | |||||
Trading securities | 8,541 | 7,541 | |||||
Available-for-sale securities (Note 3) | 5,534,154 | 5,772,153 | |||||
Held-to-maturity securities (a) (Note 4) | 4,903,278 | 5,199,875 | |||||
Advances (Notes 5 and 6) | 18,354,152 | 18,394,797 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses of $175 and $183 at June 30, 2013 and December 31, 2012, respectively (Note 6) | 104,378 | 121,478 | |||||
Accrued interest receivable | 68,229 | 72,531 | |||||
Premises and equipment, net | 19,394 | 20,202 | |||||
Derivative assets (Notes 9 and 10) | 11,856 | 13,947 | |||||
Other assets | 11,179 | 12,771 | |||||
TOTAL ASSETS | $ | 32,683,353 | $ | 35,755,329 | |||
LIABILITIES AND CAPITAL | |||||||
Deposits | |||||||
Interest-bearing | $ | 1,081,671 | $ | 1,177,935 | |||
Non-interest bearing | 29 | 29 | |||||
Total deposits | 1,081,700 | 1,177,964 | |||||
Consolidated obligations (Note 7) | |||||||
Discount notes | 7,569,453 | 6,984,378 | |||||
Bonds | 22,164,449 | 25,697,936 | |||||
Total consolidated obligations | 29,733,902 | 32,682,314 | |||||
Mandatorily redeemable capital stock | 4,229 | 4,504 | |||||
Accrued interest payable | 53,536 | 53,940 | |||||
Affordable Housing Program (Note 8) | 30,675 | 29,620 | |||||
Derivative liabilities (Notes 9 and 10) | 22,349 | 11,268 | |||||
Other liabilities (Note 13) | 24,148 | 25,085 | |||||
Total liabilities | 30,950,539 | 33,984,695 | |||||
Commitments and contingencies (Notes 6 and 14) | |||||||
CAPITAL (Note 11) | |||||||
Capital stock — Class B putable ($100 par value) issued and outstanding shares: 11,567,815 and 12,169,858 shares at June 30, 2013 and December 31, 2012, respectively | 1,156,781 | 1,216,986 | |||||
Retained earnings | |||||||
Unrestricted | 579,585 | 549,617 | |||||
Restricted | 30,316 | 22,276 | |||||
Total retained earnings | 609,901 | 571,893 | |||||
Accumulated other comprehensive income (loss) (Note 17) | (33,868 | ) | (18,245 | ) | |||
Total capital | 1,732,814 | 1,770,634 | |||||
TOTAL LIABILITIES AND CAPITAL | $ | 32,683,353 | $ | 35,755,329 |
(a) | Fair values: $4,977,733 and $5,283,965 at June 30, 2013 and December 31, 2012, respectively. |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
INTEREST INCOME | ||||||||||||||||
Advances | $ | 35,783 | $ | 47,145 | $ | 73,494 | $ | 97,574 | ||||||||
Prepayment fees on advances, net | 3,280 | 1,624 | 3,674 | 3,595 | ||||||||||||
Interest-bearing deposits | 325 | 331 | 748 | 484 | ||||||||||||
Securities purchased under agreements to resell | 356 | 955 | 1,086 | 1,521 | ||||||||||||
Federal funds sold | 525 | 679 | 1,188 | 1,115 | ||||||||||||
Available-for-sale securities | 5,749 | 7,924 | 11,703 | 15,526 | ||||||||||||
Held-to-maturity securities | 13,725 | 17,920 | 28,161 | 35,872 | ||||||||||||
Mortgage loans held for portfolio | 1,537 | 2,021 | 3,169 | 4,208 | ||||||||||||
Other | — | 1 | 1 | 1 | ||||||||||||
Total interest income | 61,280 | 78,600 | 123,224 | 159,896 | ||||||||||||
INTEREST EXPENSE | ||||||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 23,221 | 35,594 | 48,102 | 74,568 | ||||||||||||
Discount notes | 1,519 | 2,363 | 3,731 | 3,988 | ||||||||||||
Deposits | 28 | 80 | 64 | 123 | ||||||||||||
Mandatorily redeemable capital stock | 4 | 5 | 8 | 12 | ||||||||||||
Other borrowings | 2 | 1 | 4 | 2 | ||||||||||||
Total interest expense | 24,774 | 38,043 | 51,909 | 78,693 | ||||||||||||
NET INTEREST INCOME | 36,506 | 40,557 | 71,315 | 81,203 | ||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | — | (204 | ) | — | (204 | ) | ||||||||||
Net non-credit impairment losses on held-to-maturity securities recognized in other comprehensive income | — | 58 | — | (156 | ) | |||||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | — | (146 | ) | — | (360 | ) | ||||||||||
Net gains (losses) on trading securities | (104 | ) | (122 | ) | 240 | 60 | ||||||||||
Net gains (losses) on derivatives and hedging activities | 3,088 | (39 | ) | 4,876 | 2,538 | |||||||||||
Gains on other liabilities carried at fair value under the fair value option | — | 1,223 | — | 2,365 | ||||||||||||
Letter of credit fees | 1,141 | 1,170 | 2,305 | 2,399 | ||||||||||||
Other, net | 761 | 564 | 1,291 | 1,077 | ||||||||||||
Total other income | 4,886 | 2,650 | 8,712 | 8,079 | ||||||||||||
OTHER EXPENSE | ||||||||||||||||
Compensation and benefits | 9,146 | 9,929 | 20,075 | 21,376 | ||||||||||||
Other operating expenses | 6,663 | 7,186 | 12,858 | 13,476 | ||||||||||||
Finance Agency | 495 | 578 | 1,215 | 1,377 | ||||||||||||
Office of Finance | 541 | 505 | 1,209 | 1,079 | ||||||||||||
Other | 1 | — | 1 | — | ||||||||||||
Total other expense | 16,846 | 18,198 | 35,358 | 37,308 | ||||||||||||
INCOME BEFORE ASSESSMENTS | 24,546 | 25,009 | 44,669 | 51,974 | ||||||||||||
Affordable Housing Program assessment | 2,455 | 2,502 | 4,468 | 5,199 | ||||||||||||
NET INCOME | $ | 22,091 | $ | 22,507 | $ | 40,201 | $ | 46,775 |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||
NET INCOME | $ | 22,091 | $ | 22,507 | $ | 40,201 | $ | 46,775 | ||||||||
OTHER COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
Net unrealized losses on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | (42,622 | ) | (7,610 | ) | (19,492 | ) | (4,526 | ) | ||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | (195 | ) | — | (195 | ) | ||||||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | — | 137 | — | 351 | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 2,046 | 2,485 | 4,100 | 5,242 | ||||||||||||
Postretirement benefit plan | ||||||||||||||||
Prior service cost | — | — | (211 | ) | — | |||||||||||
Amortization of prior service credit included in net periodic benefit cost | (4 | ) | (9 | ) | (8 | ) | (18 | ) | ||||||||
Amortization of net actuarial gain included in net periodic benefit cost | (6 | ) | (9 | ) | (12 | ) | (17 | ) | ||||||||
Total other comprehensive income (loss) | (40,586 | ) | (5,201 | ) | (15,623 | ) | 837 | |||||||||
TOTAL COMPREHENSIVE INCOME (LOSS) | $ | (18,495 | ) | $ | 17,306 | $ | 24,578 | $ | 47,612 |
Accumulated | ||||||||||||||||||||||||||
Capital Stock Class B - Putable | Retained Earnings | Other Comprehensive | Total | |||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Income (Loss) | Capital | ||||||||||||||||||||
BALANCE, JANUARY 1, 2013 | 12,170 | $ | 1,216,986 | $ | 549,617 | $ | 22,276 | $ | 571,893 | $ | (18,245 | ) | $ | 1,770,634 | ||||||||||||
Proceeds from sale of capital stock | 4,736 | 473,672 | — | — | — | — | 473,672 | |||||||||||||||||||
Repurchase/redemption of capital stock | (5,362 | ) | (536,229 | ) | — | — | — | — | (536,229 | ) | ||||||||||||||||
Net shares reclassified from mandatorily redeemable capital stock | 3 | 246 | — | — | — | — | 246 | |||||||||||||||||||
Comprehensive income | ||||||||||||||||||||||||||
Net income | — | — | 32,161 | 8,040 | 40,201 | — | 40,201 | |||||||||||||||||||
Other comprehensive loss | — | — | — | — | — | (15,623 | ) | (15,623 | ) | |||||||||||||||||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||||||||||||||||||||||||
Cash | — | — | (87 | ) | — | (87 | ) | — | (87 | ) | ||||||||||||||||
Stock | 21 | 2,106 | (2,106 | ) | — | (2,106 | ) | — | — | |||||||||||||||||
BALANCE, JUNE 30, 2013 | 11,568 | $ | 1,156,781 | $ | 579,585 | $ | 30,316 | $ | 609,901 | $ | (33,868 | ) | $ | 1,732,814 | ||||||||||||
BALANCE, JANUARY 1, 2012 | 12,557 | $ | 1,255,793 | $ | 488,739 | $ | 5,918 | $ | 494,657 | $ | (45,615 | ) | $ | 1,704,835 | ||||||||||||
Proceeds from sale of capital stock | 3,059 | 305,920 | — | — | — | — | 305,920 | |||||||||||||||||||
Repurchase/redemption of capital stock | (3,585 | ) | (358,560 | ) | — | — | — | — | (358,560 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (9 | ) | (926 | ) | — | — | — | — | (926 | ) | ||||||||||||||||
Comprehensive income | ||||||||||||||||||||||||||
Net income | — | — | 37,420 | 9,355 | 46,775 | — | 46,775 | |||||||||||||||||||
Other comprehensive income | — | — | — | — | — | 837 | 837 | |||||||||||||||||||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||||||||||||||||||||||||
Cash | — | — | (89 | ) | — | (89 | ) | — | (89 | ) | ||||||||||||||||
Mandatorily redeemable capital stock | — | — | (5 | ) | — | (5 | ) | — | (5 | ) | ||||||||||||||||
Stock | 22 | 2,214 | (2,214 | ) | — | (2,214 | ) | — | — | |||||||||||||||||
BALANCE, JUNE 30, 2012 | 12,044 | $ | 1,204,441 | $ | 523,851 | $ | 15,273 | $ | 539,124 | $ | (44,778 | ) | $ | 1,698,787 |
For the Six Months Ended | |||||||
June 30, | |||||||
2013 | 2012 | ||||||
OPERATING ACTIVITIES | |||||||
Net income | $ | 40,201 | $ | 46,775 | |||
Adjustments to reconcile net income to net cash provided by operating activities | |||||||
Depreciation and amortization | |||||||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 15,453 | 22,119 | |||||
Concessions on consolidated obligation bonds | 962 | 2,306 | |||||
Premises, equipment and computer software costs | 2,611 | 3,370 | |||||
Non-cash interest on mandatorily redeemable capital stock | 7 | 17 | |||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | — | 360 | |||||
Unrealized gains on other liabilities carried at fair value under the fair value option | — | (2,365 | ) | ||||
Net increase in trading securities | (1,000 | ) | (942 | ) | |||
Loss due to change in net fair value adjustment on derivative and hedging activities | 35,625 | 47,179 | |||||
Decrease (increase) in accrued interest receivable | 4,401 | (2,498 | ) | ||||
Decrease in other assets | 465 | 1,631 | |||||
Increase (decrease) in Affordable Housing Program (AHP) liability | 1,055 | (1,829 | ) | ||||
Increase (decrease) in accrued interest payable | (404 | ) | 1,128 | ||||
Decrease in other liabilities | (1,168 | ) | (7,344 | ) | |||
Total adjustments | 58,007 | 63,132 | |||||
Net cash provided by operating activities | 98,208 | 109,907 | |||||
INVESTING ACTIVITIES | |||||||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | 256,138 | (527,539 | ) | ||||
Net decrease (increase) in securities purchased under agreements to resell | 2,750,000 | (500,000 | ) | ||||
Net decrease in federal funds sold | 699,000 | 72,000 | |||||
Decrease in loan to other FHLBank | — | 35,000 | |||||
Purchases of available-for-sale securities | — | (775,047 | ) | ||||
Proceeds from maturities of long-term held-to-maturity securities | 969,022 | 983,589 | |||||
Purchases of long-term held-to-maturity securities | (657,590 | ) | — | ||||
Principal collected on advances | 216,166,949 | 216,172,324 | |||||
Advances made | (216,294,710 | ) | (216,581,856 | ) | |||
Principal collected on mortgage loans held for portfolio | 16,867 | 22,112 | |||||
Purchases of premises, equipment and computer software | (870 | ) | (1,762 | ) | |||
Net cash provided by (used in) investing activities | 3,904,806 | (1,101,179 | ) | ||||
FINANCING ACTIVITIES | |||||||
Net decrease in deposits, including swap collateral held | (96,264 | ) | (375,094 | ) | |||
Net payments on derivative contracts with financing elements | (97,572 | ) | (15,187 | ) | |||
Net proceeds from issuance of consolidated obligations | |||||||
Discount notes | 129,071,395 | 163,537,474 | |||||
Bonds | 3,312,134 | 12,939,158 | |||||
Debt issuance costs | (665 | ) | (1,649 | ) | |||
Payments for maturing and retiring consolidated obligations | |||||||
Discount notes | (128,485,119 | ) | (163,827,950 | ) | |||
Bonds | (6,667,500 | ) | (10,906,405 | ) | |||
Proceeds from issuance of capital stock | 473,672 | 305,920 | |||||
Proceeds from issuance of mandatorily redeemable capital stock | 18 | — | |||||
Payments for redemption of mandatorily redeemable capital stock | (54 | ) | (11,037 | ) | |||
Payments for repurchase/redemption of capital stock | (536,229 | ) | (358,560 | ) | |||
Cash dividends paid | (87 | ) | (89 | ) | |||
Net cash provided by (used in) financing activities | (3,026,271 | ) | 1,286,581 | ||||
Net increase in cash and cash equivalents | 976,743 | 295,309 | |||||
Cash and cash equivalents at beginning of the period | 920,780 | 1,152,467 | |||||
Cash and cash equivalents at end of the period | $ | 1,897,523 | $ | 1,447,776 | |||
Supplemental Disclosures: | |||||||
Interest paid | $ | 78,073 | $ | 85,772 | |||
AHP payments, net | $ | 3,413 | $ | 7,028 | |||
Stock dividends issued | $ | 2,106 | $ | 2,214 | |||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | — | $ | 5 | |||
Capital stock reclassified to (from) mandatorily redeemable capital stock | $ | (246 | ) | $ | 926 |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||
Debentures | |||||||||||||||
U.S. government-guaranteed obligations | $ | 54,381 | $ | 198 | $ | 17 | $ | 54,562 | |||||||
Government-sponsored enterprises | 5,035,122 | 8,011 | 4,267 | 5,038,866 | |||||||||||
Other | 441,616 | 397 | 1,287 | 440,726 | |||||||||||
Total | $ | 5,531,119 | $ | 8,606 | $ | 5,571 | $ | 5,534,154 |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||
Debentures | |||||||||||||||
U.S. government-guaranteed obligations | $ | 56,119 | $ | 301 | $ | 3 | $ | 56,417 | |||||||
Government-sponsored enterprises | 5,236,358 | 22,280 | 644 | 5,257,994 | |||||||||||
Other | 457,149 | 867 | 274 | 457,742 | |||||||||||
Total | $ | 5,749,626 | $ | 23,448 | $ | 921 | $ | 5,772,153 |
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | 1 | $ | 11,084 | $ | 17 | — | $ | — | $ | — | 1 | $ | 11,084 | $ | 17 | |||||||||||||||||
Government-sponsored enterprises | 73 | 2,283,085 | 4,267 | — | — | — | 73 | 2,283,085 | 4,267 | |||||||||||||||||||||||
Other | 21 | 202,171 | 1,189 | 3 | 14,879 | 98 | 24 | 217,050 | 1,287 | |||||||||||||||||||||||
Total | 95 | $ | 2,496,340 | $ | 5,473 | 3 | $ | 14,879 | $ | 98 | 98 | $ | 2,511,219 | $ | 5,571 |
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | 1 | $ | 11,340 | $ | 3 | — | $ | — | $ | — | 1 | $ | 11,340 | $ | 3 | |||||||||||||||||
Government-sponsored enterprises | 23 | 448,123 | 629 | 1 | 2,373 | 15 | 24 | 450,496 | 644 | |||||||||||||||||||||||
Other | 18 | 141,151 | 274 | — | — | — | 18 | 141,151 | 274 | |||||||||||||||||||||||
Total | 42 | $ | 600,614 | $ | 906 | 1 | $ | 2,373 | $ | 15 | 43 | $ | 602,987 | $ | 921 |
June 30, 2013 | December 31, 2012 | ||||||||||||||||
Maturity | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | |||||||||||||
Debentures | |||||||||||||||||
Due after one year through five years | $ | 3,848,041 | $ | 3,849,384 | $ | 3,340,880 | $ | 3,349,030 | |||||||||
Due after five years through ten years | 1,678,969 | 1,680,631 | 2,401,976 | 2,416,299 | |||||||||||||
Due after ten years | 4,109 | 4,139 | 6,770 | 6,824 | |||||||||||||
Total | $ | 5,531,119 | $ | 5,534,154 | $ | 5,749,626 | $ | 5,772,153 |
June 30, 2013 | December 31, 2012 | ||||||
Amortized cost of available-for-sale securities | |||||||
Fixed-rate | $ | 5,456,119 | $ | 5,674,626 | |||
Variable-rate | 75,000 | 75,000 | |||||
Total | $ | 5,531,119 | $ | 5,749,626 |
Amortized Cost | OTTI Recorded in Accumulated Other Comprehensive Income (Loss) | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||
Debentures | |||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 35,473 | $ | — | $ | 35,473 | $ | 143 | $ | 71 | $ | 35,545 | |||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. government-guaranteed obligations | 11,493 | — | 11,493 | 63 | — | 11,556 | |||||||||||||||||
Government-sponsored enterprises | 4,674,305 | — | 4,674,305 | 61,242 | 1,143 | 4,734,404 | |||||||||||||||||
Non-agency residential mortgage-backed securities | 219,344 | 37,337 | 182,007 | 14,221 | — | 196,228 | |||||||||||||||||
4,905,142 | 37,337 | 4,867,805 | 75,526 | 1,143 | 4,942,188 | ||||||||||||||||||
Total | $ | 4,940,615 | $ | 37,337 | $ | 4,903,278 | $ | 75,669 | $ | 1,214 | $ | 4,977,733 |
Amortized Cost | OTTI Recorded in Accumulated Other Comprehensive Income (Loss) | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||
Debentures | |||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 38,759 | $ | — | $ | 38,759 | $ | 176 | $ | 175 | $ | 38,760 | |||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. government-guaranteed obligations | 12,973 | — | 12,973 | 60 | — | 13,033 | |||||||||||||||||
Government-sponsored enterprises | 4,947,206 | — | 4,947,206 | 78,023 | 271 | 5,024,958 | |||||||||||||||||
Non-agency residential mortgage-backed securities | 242,374 | 41,437 | 200,937 | 6,277 | — | 207,214 | |||||||||||||||||
5,202,553 | 41,437 | 5,161,116 | 84,360 | 271 | 5,245,205 | ||||||||||||||||||
Total | $ | 5,241,312 | $ | 41,437 | $ | 5,199,875 | $ | 84,536 | $ | 446 | $ | 5,283,965 |
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | — | $ | — | $ | — | 2 | $ | 17,111 | $ | 71 | 2 | $ | 17,111 | $ | 71 | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 15 | 738,108 | 886 | 11 | 99,427 | 257 | 26 | 837,535 | 1,143 | |||||||||||||||||||||||
Non-agency residential mortgage-backed securities | 1 | 17,703 | 37 | 29 | 178,525 | 23,079 | 30 | 196,228 | 23,116 | |||||||||||||||||||||||
16 | 755,811 | 923 | 40 | 277,952 | 23,336 | 56 | 1,033,763 | 24,259 | ||||||||||||||||||||||||
Total | 16 | $ | 755,811 | $ | 923 | 42 | $ | 295,063 | $ | 23,407 | 58 | $ | 1,050,874 | $ | 24,330 |
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | — | $ | — | $ | — | 2 | $ | 17,874 | $ | 175 | 2 | $ | 17,874 | $ | 175 | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
Government-sponsored enterprises | 5 | 27,577 | 9 | 13 | 125,534 | 262 | 18 | 153,111 | 271 | |||||||||||||||||||||||
Non-agency residential mortgage-backed securities | — | — | — | 30 | 207,214 | 35,160 | 30 | 207,214 | 35,160 | |||||||||||||||||||||||
5 | 27,577 | 9 | 43 | 332,748 | 35,422 | 48 | 360,325 | 35,431 | ||||||||||||||||||||||||
Total | 5 | $ | 27,577 | $ | 9 | 45 | $ | 350,622 | $ | 35,597 | 50 | $ | 378,199 | $ | 35,606 |
Months | Range of Annualized Rates | ||||
1 - 6 | 0.0 | % | - | 3.0% | |
7 - 12 | 1.0 | % | - | 4.0% | |
13 - 18 | 2.0 | % | - | 4.0% | |
19 - 30 | 2.0 | % | - | 5.0% | |
31 - 54 | 2.0 | % | - | 6.0% | |
Thereafter | 2.3 | % | - | 5.6% |
June 30, 2013 | Cumulative from Period of Initial Impairment Through June 30, 2013 | June 30, 2013 | ||||||||||||||||||||||||||
Period of Initial Impairment | Credit Rating | Unpaid Principal Balance | Amortized Cost | Non-Credit Component of OTTI | Accretion of Non-Credit Component | Carrying Value | Estimated Fair Value | |||||||||||||||||||||
Security #1 | Q1 2009 | Triple-C | $ | 13,605 | $ | 10,689 | $ | 10,271 | $ | 7,241 | $ | 7,659 | $ | 9,530 | ||||||||||||||
Security #2 | Q1 2009 | Triple-C | 13,761 | 13,067 | 12,389 | 7,780 | 8,458 | 11,260 | ||||||||||||||||||||
Security #3 | Q2 2009 | Single-C | 22,635 | 17,739 | 15,283 | 10,611 | 13,067 | 17,703 | ||||||||||||||||||||
Security #4 | Q2 2009 | Triple-C | 9,528 | 8,814 | 7,890 | 5,156 | 6,080 | 7,990 | ||||||||||||||||||||
Security #5 | Q3 2009 | Triple-C | 16,487 | 14,769 | 10,047 | 6,610 | 11,332 | 13,554 | ||||||||||||||||||||
Security #6 | Q3 2009 | Triple-C | 14,768 | 13,368 | 10,567 | 6,347 | 9,148 | 11,432 | ||||||||||||||||||||
Security #7 | Q3 2009 | Single-B | 5,362 | 5,284 | 3,575 | 2,056 | 3,765 | 4,684 | ||||||||||||||||||||
Security #8 | Q1 2010 | Triple-C | 8,071 | 8,049 | 4,968 | 2,727 | 5,808 | 6,791 | ||||||||||||||||||||
Security #9 | Q1 2010 | Triple-C | 3,391 | 3,354 | 2,208 | 1,203 | 2,349 | 2,897 | ||||||||||||||||||||
Security #10 | Q4 2010 | Triple-C | 6,534 | 6,110 | 3,331 | 1,386 | 4,165 | 5,226 | ||||||||||||||||||||
Security #11 | Q4 2010 | Triple-C | 7,935 | 7,931 | 4,096 | 1,746 | 5,581 | 6,551 | ||||||||||||||||||||
Security #12 | Q4 2010 | Triple-C | 4,238 | 4,155 | 1,820 | 765 | 3,100 | 3,608 | ||||||||||||||||||||
Security #13 | Q4 2010 | Triple-C | 5,152 | 5,137 | 2,418 | 1,143 | 3,862 | 4,323 | ||||||||||||||||||||
Security #14 | Q2 2011 | Triple-C | 13,617 | 13,387 | 5,942 | 2,697 | 10,142 | 11,743 | ||||||||||||||||||||
Totals | $ | 145,084 | $ | 131,853 | $ | 94,805 | $ | 57,468 | $ | 94,516 | $ | 117,292 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance of credit losses, beginning of period | $ | 13,039 | $ | 12,893 | $ | 13,039 | $ | 12,679 | |||||||
Credit losses on securities for which an other-than-temporary impairment was previously recognized | — | 146 | — | 360 | |||||||||||
Balance of credit losses, end of period | $ | 13,039 | $ | 13,039 | $ | 13,039 | $ | 13,039 |
June 30, 2013 | December 31, 2012 | |||||||||||||||||||||||
Maturity | Amortized Cost | Carrying Value | Estimated Fair Value | Amortized Cost | Carrying Value | Estimated Fair Value | ||||||||||||||||||
Debentures | ||||||||||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | 503 | $ | 503 | $ | 505 | ||||||||||||
Due after one year through five years | 15,539 | 15,539 | 15,664 | 10,331 | 10,331 | 10,423 | ||||||||||||||||||
Due after five years through ten years | 11,734 | 11,734 | 11,713 | 19,355 | 19,355 | 19,364 | ||||||||||||||||||
Due after ten years | 8,200 | 8,200 | 8,168 | 8,570 | 8,570 | 8,468 | ||||||||||||||||||
35,473 | 35,473 | 35,545 | 38,759 | 38,759 | 38,760 | |||||||||||||||||||
Mortgage-backed securities | 4,905,142 | 4,867,805 | 4,942,188 | 5,202,553 | 5,161,116 | 5,245,205 | ||||||||||||||||||
Total | $ | 4,940,615 | $ | 4,903,278 | $ | 4,977,733 | $ | 5,241,312 | $ | 5,199,875 | $ | 5,283,965 |
June 30, 2013 | December 31, 2012 | ||||||
Amortized cost of variable-rate held-to-maturity securities other than mortgage-backed securities | $ | 35,473 | $ | 38,759 | |||
Amortized cost of held-to-maturity mortgage-backed securities | |||||||
Fixed-rate pass-through securities | 416 | 454 | |||||
Collateralized mortgage obligations | |||||||
Fixed-rate | 943 | 1,050 | |||||
Variable-rate | 4,903,783 | 5,201,049 | |||||
4,905,142 | 5,202,553 | ||||||
Total | $ | 4,940,615 | $ | 5,241,312 |
June 30, 2013 | December 31, 2012 | |||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | 7,682 | 4.12 | % | ||||||
Due in one year or less | 9,929,175 | 0.38 | 8,950,062 | 0.70 | ||||||||||
Due after one year through two years | 1,089,780 | 1.90 | 1,886,603 | 1.04 | ||||||||||
Due after two years through three years | 930,033 | 1.73 | 942,691 | 2.37 | ||||||||||
Due after three years through four years | 881,797 | 2.93 | 434,521 | 3.00 | ||||||||||
Due after four years through five years | 1,780,335 | 3.23 | 1,865,480 | 3.40 | ||||||||||
Due after five years | 1,314,813 | 3.00 | 1,521,679 | 3.13 | ||||||||||
Amortizing advances | 2,130,083 | 3.79 | 2,319,538 | 3.94 | ||||||||||
Total par value | 18,056,016 | 1.54 | % | 17,928,256 | 1.79 | % | ||||||||
Deferred prepayment fees | (16,803 | ) | (19,006 | ) | ||||||||||
Commitment fees | (115 | ) | (118 | ) | ||||||||||
Hedging adjustments | 315,054 | 485,665 | ||||||||||||
Total | $ | 18,354,152 | $ | 18,394,797 |
Contractual Maturity or Next Call Date | June 30, 2013 | December 31, 2012 | ||||||
Overdrawn demand deposit accounts | $ | — | $ | 7,682 | ||||
Due in one year or less | 9,929,175 | 8,955,062 | ||||||
Due after one year through two years | 1,089,780 | 1,881,603 | ||||||
Due after two years through three years | 930,033 | 942,691 | ||||||
Due after three years through four years | 881,797 | 434,521 | ||||||
Due after four years through five years | 1,780,335 | 1,865,480 | ||||||
Due after five years | 1,314,813 | 1,521,679 | ||||||
Amortizing advances | 2,130,083 | 2,319,538 | ||||||
Total par value | $ | 18,056,016 | $ | 17,928,256 |
Contractual Maturity or Next Put Date | June 30, 2013 | December 31, 2012 | ||||||
Overdrawn demand deposit accounts | $ | — | $ | 7,682 | ||||
Due in one year or less | 12,147,646 | 11,193,533 | ||||||
Due after one year through two years | 1,012,380 | 1,876,203 | ||||||
Due after two years through three years | 813,533 | 786,691 | ||||||
Due after three years through four years | 631,797 | 392,021 | ||||||
Due after four years through five years | 481,264 | 601,359 | ||||||
Due after five years | 839,313 | 751,229 | ||||||
Amortizing advances | 2,130,083 | 2,319,538 | ||||||
Total par value | $ | 18,056,016 | $ | 17,928,256 |
June 30, 2013 | December 31, 2012 | ||||||
Fixed-rate | |||||||
Due in one year or less | $ | 8,942,965 | $ | 7,979,254 | |||
Due after one year | 8,058,051 | 7,883,320 | |||||
Total fixed-rate | 17,001,016 | 15,862,574 | |||||
Variable-rate | |||||||
Due in one year or less | 1,011,000 | 1,016,682 | |||||
Due after one year | 44,000 | 1,049,000 | |||||
Total variable-rate | 1,055,000 | 2,065,682 | |||||
Total par value | $ | 18,056,016 | $ | 17,928,256 |
June 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Conventional Loans | Government- Guaranteed/ Insured Loans | Total | Conventional Loans | Government- Guaranteed/ Insured Loans | Total | ||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
30-59 days delinquent | $ | 1,069 | $ | 2,613 | $ | 3,682 | $ | 1,344 | $ | 3,897 | $ | 5,241 | |||||||||||
60-89 days delinquent | 351 | 687 | 1,038 | 284 | 615 | 899 | |||||||||||||||||
90 days or more delinquent | 965 | 317 | 1,282 | 994 | 313 | 1,307 | |||||||||||||||||
Total past due | 2,385 | 3,617 | 6,002 | 2,622 | 4,825 | 7,447 | |||||||||||||||||
Total current loans | 48,656 | 49,272 | 97,928 | 57,257 | 56,204 | 113,461 | |||||||||||||||||
Total mortgage loans | $ | 51,041 | $ | 52,889 | $ | 103,930 | $ | 59,879 | $ | 61,029 | $ | 120,908 | |||||||||||
Other delinquency statistics: | |||||||||||||||||||||||
In process of foreclosure (1) | $ | 294 | $ | 4 | $ | 298 | $ | 465 | $ | 15 | $ | 480 | |||||||||||
Serious delinquency rate (2) | 1.9 | % | 0.6 | % | 1.2 | % | 1.6 | % | 0.5 | % | 1.1 | % | |||||||||||
Past due 90 days or more and still accruing interest (3) | $ | — | $ | 317 | $ | 317 | $ | — | $ | 313 | $ | 313 | |||||||||||
Non-accrual loans | $ | 965 | $ | — | $ | 965 | $ | 994 | $ | — | $ | 994 | |||||||||||
Troubled debt restructurings | $ | 124 | $ | — | $ | 124 | $ | 98 | $ | — | $ | 98 |
(1) | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. |
(2) | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio. |
(3) | Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days past due. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Balance, beginning of period | $ | 175 | $ | 190 | $ | 183 | $ | 192 | |||||||
Chargeoffs | — | — | (8 | ) | (2 | ) | |||||||||
Balance, end of period | $ | 175 | $ | 190 | $ | 175 | $ | 190 |
June 30, 2013 | December 31, 2012 | ||||||
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment | $ | 175 | $ | 183 | |||
Unpaid principal balance | |||||||
Individually evaluated for impairment | $ | 1,084 | $ | 1,092 | |||
Collectively evaluated for impairment | 49,957 | 58,787 | |||||
$ | 51,041 | $ | 59,879 |
June 30, 2013 | December 31, 2012 | ||||||
Fixed-rate | $ | 15,047,730 | $ | 18,763,230 | |||
Variable-rate | 4,485,000 | 4,235,000 | |||||
Step-up | 2,585,000 | 2,475,000 | |||||
Step-down | 100,000 | 100,000 | |||||
Total par value | $ | 22,217,730 | $ | 25,573,230 |
June 30, 2013 | December 31, 2012 | |||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in one year or less | $ | 12,624,940 | 0.80 | % | $ | 9,618,500 | 0.60 | % | ||||||
Due after one year through two years | 3,608,790 | 1.15 | 10,277,745 | 0.90 | ||||||||||
Due after two years through three years | 852,000 | 3.12 | 1,619,985 | 1.79 | ||||||||||
Due after three years through four years | 655,000 | 0.66 | 450,000 | 4.24 | ||||||||||
Due after four years through five years | 775,000 | 2.50 | 425,000 | 1.09 | ||||||||||
Due after five years | 3,702,000 | 1.86 | 3,182,000 | 2.21 | ||||||||||
Total par value | 22,217,730 | 1.18 | % | 25,573,230 | 1.07 | % | ||||||||
Premiums | 56,609 | 83,833 | ||||||||||||
Discounts | (5,299 | ) | (6,149 | ) | ||||||||||
Hedging adjustments | (104,591 | ) | 47,022 | |||||||||||
Total | $ | 22,164,449 | $ | 25,697,936 |
June 30, 2013 | December 31, 2012 | ||||||
Non-callable bonds | $ | 16,777,730 | $ | 21,088,230 | |||
Callable bonds | 5,440,000 | 4,485,000 | |||||
Total par value | $ | 22,217,730 | $ | 25,573,230 |
Contractual Maturity or Next Call Date | June 30, 2013 | December 31, 2012 | ||||||
Due in one year or less | $ | 17,794,940 | $ | 13,813,500 | ||||
Due after one year through two years | 3,188,790 | 9,467,745 | ||||||
Due after two years through three years | 832,000 | 1,459,985 | ||||||
Due after three years through four years | — | 430,000 | ||||||
Due after four years through five years | 300,000 | — | ||||||
Due after five years | 102,000 | 402,000 | ||||||
Total par value | $ | 22,217,730 | $ | 25,573,230 |
Book Value | Par Value | Weighted Average Implied Interest Rate | ||||||||
June 30, 2013 | $ | 7,569,453 | $ | 7,570,584 | 0.08 | % | ||||
December 31, 2012 | $ | 6,984,378 | $ | 6,986,856 | 0.15 | % |
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Balance, beginning of period | $ | 29,620 | $ | 32,313 | |||
AHP assessment | 4,468 | 5,199 | |||||
Grants funded, net of recaptured amounts | (3,413 | ) | (7,028 | ) | |||
Balance, end of period | $ | 30,675 | $ | 30,484 |
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statement of Condition | Net Amounts Presented in the Statement of Condition | Collateral Not Offset in the Statement of Condition (1) | Net Amount | ||||||||||||||||
June 30, 2013 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Derivatives | $ | 98,292 | $ | (86,488 | ) | $ | 11,804 | (2) | $ | (6,356 | ) | (3) | $ | 5,448 | ||||||
Securities purchased under agreements to resell | 250,000 | — | 250,000 | (250,000 | ) | — | ||||||||||||||
Total assets | $ | 348,292 | $ | (86,488 | ) | $ | 261,804 | $ | (256,356 | ) | $ | 5,448 | ||||||||
Liabilities | ||||||||||||||||||||
Derivatives | $ | 1,080,737 | $ | (1,058,391 | ) | $ | 22,346 | (2) | $ | — | $ | 22,346 | ||||||||
December 31, 2012 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Derivatives | $ | 118,714 | $ | (104,767 | ) | $ | 13,947 | $ | (10,583 | ) | (4) | $ | 3,364 | |||||||
Securities purchased under agreements to resell | 3,000,000 | — | 3,000,000 | (3,000,000 | ) | — | ||||||||||||||
Total assets | $ | 3,118,714 | $ | (104,767 | ) | $ | 3,013,947 | $ | (3,010,583 | ) | $ | 3,364 | ||||||||
Liabilities | ||||||||||||||||||||
Derivatives | $ | 1,344,588 | $ | (1,333,320 | ) | $ | 11,268 | $ | — | $ | 11,268 |
(1) | Any overcollateralization at an individual master agreement level is not included in the determination of the net unsecured amount. |
(2) | Excludes derivative assets and liabilities with gross fair values of $52,000 and $3,000, respectively, that were transacted with a central counterparty clearinghouse for which the enforceability of the legal right of offset has not yet been determined. Cash collateral pledged by the Bank to secure these positions totaled $335,000. |
(3) | Consists of $2,353,000 of securities pledged by a non-member bilateral counterparty and $4,003,000 of collateral pledged by member counterparties. |
(4) | Consists of $3,601,000 of securities pledged by a non-member bilateral counterparty and $6,982,000 of collateral pledged by member counterparties. |
June 30, 2013 | December 31, 2012 | |||||||||||||||||||||||
Notional Amount of Derivatives | Estimated Fair Value | Notional Amount of Derivatives | Estimated Fair Value | |||||||||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Derivatives designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Advances | $ | 5,927,818 | $ | 15,694 | $ | 360,139 | $ | 6,723,412 | $ | 115 | $ | 521,397 | ||||||||||||
Available-for-sale securities | 4,924,934 | 9,406 | 587,256 | 4,924,934 | 30 | 797,572 | ||||||||||||||||||
Consolidated obligation bonds | 15,906,730 | 51,890 | 126,115 | 19,401,230 | 95,457 | 16,946 | ||||||||||||||||||
Interest rate caps related to advances | 25,000 | 9 | — | 28,000 | 9 | — | ||||||||||||||||||
Total derivatives designated as hedging instruments under ASC 815 | 26,784,482 | 76,999 | 1,073,510 | 31,077,576 | 95,611 | 1,335,915 | ||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Advances | 15,291 | — | 189 | 5,292 | — | 59 | ||||||||||||||||||
Consolidated obligation bonds | 400,000 | 216 | — | 650,000 | 969 | — | ||||||||||||||||||
Basis swaps | 3,700,000 | 13,460 | — | 4,700,000 | 13,001 | — | ||||||||||||||||||
Intermediary transactions | 111,141 | 4,457 | 4,220 | 104,154 | 7,029 | 6,805 | ||||||||||||||||||
Interest rate swaptions related to optional advance commitments | — | — | — | 50,000 | — | — | ||||||||||||||||||
Interest rate caps | ||||||||||||||||||||||||
Held-to-maturity securities | 3,900,000 | 391 | — | 3,900,000 | 295 | — | ||||||||||||||||||
Intermediary transactions | 110,000 | 2,821 | 2,821 | 110,000 | 1,809 | 1,809 | ||||||||||||||||||
Total derivatives not designated as hedging instruments under ASC 815 | 8,236,432 | 21,345 | 7,230 | 9,519,446 | 23,103 | 8,673 | ||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 35,020,914 | 98,344 | 1,080,740 | $ | 40,597,022 | 118,714 | 1,344,588 | ||||||||||||||||
Cash collateral and related accrued interest | — | (971,903 | ) | — | (1,228,553 | ) | ||||||||||||||||||
Netting adjustments | (86,488 | ) | (86,488 | ) | (104,767 | ) | (104,767 | ) | ||||||||||||||||
Total collateral and netting adjustments(1) | (86,488 | ) | (1,058,391 | ) | (104,767 | ) | (1,333,320 | ) | ||||||||||||||||
Net derivative balances reported in statements of condition | $ | 11,856 | $ | 22,349 | $ | 13,947 | $ | 11,268 |
(1) | Amounts represent the effect of legally enforceable master netting agreements between the Bank and its bilateral derivative counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
Gain (Loss) Recognized in Earnings for the | Gain (Loss) Recognized in Earnings for the | ||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Derivatives and hedged items in ASC 815 fair value hedging relationships | |||||||||||||||
Interest rate swaps | $ | 1,529 | $ | (1,696 | ) | $ | 2,249 | $ | (2,317 | ) | |||||
Interest rate caps | 2 | (39 | ) | — | (74 | ) | |||||||||
Total net gain (loss) related to fair value hedge ineffectiveness | 1,531 | (1,735 | ) | 2,249 | (2,391 | ) | |||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||
Net interest income on interest rate swaps | 933 | 2,918 | 2,266 | 5,866 | |||||||||||
Interest rate swaps | |||||||||||||||
Advances | 46 | 14 | 51 | 48 | |||||||||||
Consolidated obligation bonds | (240 | ) | 78 | (615 | ) | 2,258 | |||||||||
Consolidated obligation discount notes | — | (160 | ) | — | 784 | ||||||||||
Basis swaps | 687 | 1,489 | 818 | 505 | |||||||||||
Intermediary transactions | 20 | 1 | 11 | (4 | ) | ||||||||||
Interest rate swaptions related to optional advance commitments | — | (1,234 | ) | — | (1,734 | ) | |||||||||
Interest rate caps | |||||||||||||||
Held-to-maturity securities | 111 | (1,416 | ) | 96 | (2,800 | ) | |||||||||
Intermediary transactions | — | 6 | — | 6 | |||||||||||
Total net gain related to derivatives not designated as hedging instruments under ASC 815 | 1,557 | 1,696 | 2,627 | 4,929 | |||||||||||
Net gains (losses) on derivatives and hedging activities reported in the statements of income | $ | 3,088 | $ | (39 | ) | $ | 4,876 | $ | 2,538 |
Hedged Item | Gain (Loss) on Derivatives | Gain (Loss) on Hedged Items | Net Fair Value Hedge Ineffectiveness (1) | Derivative Net Interest Income (Expense)(2) | ||||||||||||
Three Months Ended June 30, 2013 | ||||||||||||||||
Advances | $ | 117,583 | $ | (117,213 | ) | $ | 370 | $ | (36,335 | ) | ||||||
Available-for-sale securities | 138,055 | (136,047 | ) | 2,008 | (20,151 | ) | ||||||||||
Consolidated obligation bonds | (122,377 | ) | 121,530 | (847 | ) | 31,415 | ||||||||||
Total | $ | 133,261 | $ | (131,730 | ) | $ | 1,531 | $ | (25,071 | ) | ||||||
Three Months Ended June 30, 2012 | ||||||||||||||||
Advances | $ | (48,949 | ) | $ | 48,577 | $ | (372 | ) | $ | (43,334 | ) | |||||
Available-for-sale securities | (118,600 | ) | 117,506 | (1,094 | ) | (17,639 | ) | |||||||||
Consolidated obligation bonds | (13,472 | ) | 13,203 | (269 | ) | 44,339 | ||||||||||
Total | $ | (181,021 | ) | $ | 179,286 | $ | (1,735 | ) | $ | (16,634 | ) | |||||
Six Months Ended June 30, 2013 | ||||||||||||||||
Advances | $ | 161,874 | $ | (161,498 | ) | $ | 376 | $ | (75,208 | ) | ||||||
Available-for-sale securities | 166,506 | (165,054 | ) | 1,452 | (40,210 | ) | ||||||||||
Consolidated obligation bonds | (150,684 | ) | 151,105 | 421 | 61,924 | |||||||||||
Total | $ | 177,696 | $ | (175,447 | ) | $ | 2,249 | $ | (53,494 | ) | ||||||
Six Months Ended June 30, 2012 | ||||||||||||||||
Advances | $ | (3,209 | ) | $ | 2,653 | $ | (556 | ) | $ | (88,138 | ) | |||||
Available-for-sale securities | (95,947 | ) | 95,531 | (416 | ) | (33,957 | ) | |||||||||
Consolidated obligation bonds | (38,663 | ) | 37,244 | (1,419 | ) | 88,441 | ||||||||||
Total | $ | (137,819 | ) | $ | 135,428 | $ | (2,391 | ) | $ | (33,654 | ) |
(1) | Reported as net gains (losses) on derivatives and hedging activities in the statements of income. |
(2) | The net interest income (expense) associated with derivatives in ASC 815 fair value hedging relationships is reported in the statements of income in the interest income/expense line item for the indicated hedged item. |
June 30, 2013 | December 31, 2012 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Regulatory capital requirements: | |||||||||||||||
Risk-based capital | $ | 516,466 | $ | 1,770,911 | $ | 404,265 | $ | 1,793,383 | |||||||
Total capital | $ | 1,307,334 | $ | 1,770,911 | $ | 1,430,213 | $ | 1,793,383 | |||||||
Total capital-to-assets ratio | 4.00 | % | 5.42 | % | 4.00 | % | 5.02 | % | |||||||
Leverage capital | $ | 1,634,168 | $ | 2,656,367 | $ | 1,787,766 | $ | 2,690,075 | |||||||
Leverage capital-to-assets ratio | 5.00 | % | 8.13 | % | 5.00 | % | 7.52 | % |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Service cost | $ | 6 | $ | 4 | $ | 12 | $ | 8 | |||||||
Interest cost | 22 | 23 | 44 | 45 | |||||||||||
Amortization of prior service credit | (4 | ) | (9 | ) | (8 | ) | (18 | ) | |||||||
Amortization of net actuarial gain | (6 | ) | (9 | ) | (12 | ) | (17 | ) | |||||||
Net periodic benefit cost | $ | 18 | $ | 9 | $ | 36 | $ | 18 |
Estimated Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 1,897,523 | $ | 1,897,523 | $ | 1,897,523 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 669 | 669 | — | 669 | — | — | ||||||||||||||||||
Security purchased under agreement to resell | 250,000 | 250,000 | — | 250,000 | — | — | ||||||||||||||||||
Federal funds sold | 1,520,000 | 1,520,000 | — | 1,520,000 | — | — | ||||||||||||||||||
Trading securities (1) | 8,541 | 8,541 | 8,541 | — | — | — | ||||||||||||||||||
Available-for-sale securities (1) | 5,534,154 | 5,534,154 | — | 5,534,154 | — | — | ||||||||||||||||||
Held-to-maturity securities | 4,903,278 | 4,977,733 | — | 4,781,505 | (2) | 196,228 | (3) | — | ||||||||||||||||
Advances | 18,354,152 | 18,444,935 | — | 18,444,935 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 104,378 | 114,571 | — | 114,571 | — | — | ||||||||||||||||||
Accrued interest receivable | 68,229 | 68,229 | — | 68,229 | — | — | ||||||||||||||||||
Derivative assets (1) | 11,856 | 11,856 | — | 98,344 | — | (86,488 | ) | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,081,700 | 1,081,699 | — | 1,081,699 | — | — | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 7,569,453 | 7,569,099 | — | 7,569,099 | — | — | ||||||||||||||||||
Bonds | 22,164,449 | 22,147,199 | — | 22,147,199 | — | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 4,229 | 4,229 | 4,229 | — | — | — | ||||||||||||||||||
Accrued interest payable | 53,536 | 53,536 | — | 53,536 | — | — | ||||||||||||||||||
Derivative liabilities (1) | 22,349 | 22,349 | — | 1,080,740 | — | (1,058,391 | ) |
(1) | Financial instruments measured at fair value on a recurring basis as of June 30, 2013. |
(2) | Consists of the Bank's holdings of U.S. government-guaranteed debentures, U.S. government-guaranteed MBS and GSE MBS. |
(3) | Consists of the Bank's holdings of non-agency RMBS. |
(4) | Amounts represent the impact of legally enforceable master netting agreements between the Bank and its bilateral derivative counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
Estimated Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 920,780 | $ | 920,780 | $ | 920,780 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 254 | 254 | — | 254 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 3,000,000 | 3,000,000 | — | 3,000,000 | — | — | ||||||||||||||||||
Federal funds sold | 2,219,000 | 2,219,000 | — | 2,219,000 | — | — | ||||||||||||||||||
Trading securities (1) | 7,541 | 7,541 | 7,541 | — | — | — | ||||||||||||||||||
Available-for-sale securities (1) | 5,772,153 | 5,772,153 | — | 5,772,153 | — | — | ||||||||||||||||||
Held-to-maturity securities | 5,199,875 | 5,283,965 | — | 5,076,751 | (2) | 207,214 | (3) | — | ||||||||||||||||
Advances | 18,394,797 | 18,552,112 | — | 18,552,112 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 121,478 | 134,562 | — | 134,562 | — | — | ||||||||||||||||||
Accrued interest receivable | 72,531 | 72,531 | — | 72,531 | — | — | ||||||||||||||||||
Derivative assets (1) | 13,947 | 13,947 | — | 118,714 | — | (104,767 | ) | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,177,964 | 1,177,961 | — | 1,177,961 | — | — | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 6,984,378 | 6,985,001 | — | 6,985,001 | — | — | ||||||||||||||||||
Bonds | 25,697,936 | 25,836,987 | — | 25,836,987 | — | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 4,504 | 4,504 | 4,504 | — | — | — | ||||||||||||||||||
Accrued interest payable | 53,940 | 53,940 | — | 53,940 | — | — | ||||||||||||||||||
Derivative liabilities (1) | 11,268 | 11,268 | — | 1,344,588 | — | (1,333,320 | ) |
(1) | Financial instruments measured at fair value on a recurring basis as of December 31, 2012. |
(2) | Consists of the Bank's holdings of U.S. government-guaranteed debentures, U.S. government-guaranteed MBS and GSE MBS. |
(3) | Consists of the Bank's holdings of non-agency RMBS. |
(4) | Amounts represent the impact of legally enforceable master netting agreements between the Bank and its bilateral derivative counterparties that allow the Bank to offset positive and negative positions as well as the cash collateral held or placed with those same counterparties. |
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Balance at January 1, | $ | — | $ | 35,000 | |||
Loans made to: | |||||||
FHLBank of San Francisco | 475,000 | 200,000 | |||||
FHLBank of Atlanta | 200,000 | — | |||||
Collections from: | |||||||
FHLBank of Topeka | — | (35,000 | ) | ||||
FHLBank of San Francisco | (475,000 | ) | (200,000 | ) | |||
FHLBank of Atlanta | (200,000 | ) | — | ||||
Balance at June 30, | $ | — | $ | — |
Six Months Ended June 30, | |||||||
2013 | 2012 | ||||||
Balance at January 1, | $ | — | $ | — | |||
Borrowings from: | |||||||
FHLBank of San Francisco | 150,000 | 160,000 | |||||
FHLBank of Topeka | — | 40,000 | |||||
Repayments to: | |||||||
FHLBank of San Francisco | (150,000 | ) | (160,000 | ) | |||
FHLBank of Topeka | — | (40,000 | ) | ||||
Balance at June 30, | $ | — | $ | — |
Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) | Non-Credit Portion of Other-than-Temporary Impairment Losses on Held-to-Maturity Securities | Postretirement Benefits | Total Accumulated Other Comprehensive Income (Loss) | ||||||||||||
Three months ended June 30, 2013 | |||||||||||||||
Balance at April 1, 2013 | $ | 45,657 | $ | (39,383 | ) | $ | 444 | $ | 6,718 | ||||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||||||||||
Reclassification adjustment for amortization of prior service credits and net actuarial gains recognized in compensation and benefits expense | — | — | (10 | ) | (10 | ) | |||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||
Net unrealized losses on available-for-sale securities | (42,622 | ) | — | — | (42,622 | ) | |||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | 2,046 | — | 2,046 | |||||||||||
Total other comprehensive income (loss) | (42,622 | ) | 2,046 | (10 | ) | (40,586 | ) | ||||||||
Balance at June 30, 2013 | $ | 3,035 | $ | (37,337 | ) | $ | 434 | $ | (33,868 | ) | |||||
Six months ended June 30, 2013 | |||||||||||||||
Balance at January 1, 2013 | $ | 22,527 | $ | (41,437 | ) | $ | 665 | $ | (18,245 | ) | |||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||||||||||
Reclassification adjustment for amortization of prior service credits and net actuarial gains recognized in compensation and benefits expense | — | — | (20 | ) | (20 | ) | |||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||
Net unrealized losses on available-for-sale securities | (19,492 | ) | — | — | (19,492 | ) | |||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | 4,100 | — | 4,100 | |||||||||||
Prior service cost | — | — | (211 | ) | (211 | ) | |||||||||
Total other comprehensive income (loss) | (19,492 | ) | 4,100 | (231 | ) | (15,623 | ) | ||||||||
Balance at June 30, 2013 | $ | 3,035 | $ | (37,337 | ) | $ | 434 | $ | (33,868 | ) | |||||
_____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |
Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) | Non-Credit Portion of Other-than-Temporary Impairment Losses on Held-to-Maturity Securities | Postretirement Benefits | Total Accumulated Other Comprehensive Income (Loss) | ||||||||||||
Three months ended June 30, 2012 | |||||||||||||||
Balance at April 1, 2012 | $ | 8,281 | $ | (48,458 | ) | $ | 600 | $ | (39,577 | ) | |||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||||||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses on held-to-maturity securities recognized as credit losses in net income | — | 137 | — | 137 | |||||||||||
Reclassification adjustment for amortization of prior service credits and net actuarial gains recognized in compensation and benefits expense | — | — | (18 | ) | (18 | ) | |||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||
Net unrealized losses on available-for-sale securities | (7,610 | ) | — | — | (7,610 | ) | |||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | (195 | ) | — | (195 | ) | |||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | 2,485 | — | 2,485 | |||||||||||
Total other comprehensive income (loss) | (7,610 | ) | 2,427 | (18 | ) | (5,201 | ) | ||||||||
Balance at June 30, 2012 | $ | 671 | $ | (46,031 | ) | $ | 582 | $ | (44,778 | ) | |||||
Six months ended June 30, 2012 | |||||||||||||||
Balance at January 1, 2012 | $ | 5,197 | $ | (51,429 | ) | $ | 617 | $ | (45,615 | ) | |||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||||||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses on held-to-maturity securities recognized as credit losses in net income | — | 351 | — | 351 | |||||||||||
Reclassification adjustment for amortization of prior service credits and net actuarial gains recognized in compensation and benefits expense | — | — | (35 | ) | (35 | ) | |||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||
Net unrealized losses on available-for-sale securities | (4,526 | ) | — | — | (4,526 | ) | |||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | (195 | ) | — | (195 | ) | |||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | 5,242 | — | 5,242 | |||||||||||
Total other comprehensive income (loss) | (4,526 | ) | 5,398 | (35 | ) | 837 | |||||||||
Balance at June 30, 2012 | $ | 671 | $ | (46,031 | ) | $ | 582 | $ | (44,778 | ) |
MEMBERSHIP SUMMARY | |||||
June 30, 2013 | December 31, 2012 | ||||
Commercial banks | 698 | 702 | |||
Thrifts | 72 | 74 | |||
Credit unions | 93 | 90 | |||
Insurance companies | 24 | 23 | |||
Community Development Financial Institutions | 3 | 2 | |||
Total members | 890 | 891 | |||
Housing associates | 8 | 8 | |||
Non-member borrowers | 10 | 10 | |||
Total | 908 | 909 | |||
Community Financial Institutions (“CFIs”) (1) | 710 | 719 |
(1) | The figures presented above reflect the number of members that were Community Financial Institutions as of June 30, 2013 and December 31, 2012 based upon the definitions of Community Financial Institutions that applied as of those dates. |
Ending Rate | Average Rate | Average Rate | |||||||||
June 30, 2013 | December 31, 2012 | Second Quarter 2013 | Second Quarter 2012 | Six Months Ended June 30, 2013 | Six Months Ended June 30, 2012 | ||||||
Federal Funds Target (1) | 0.25% | 0.25% | 0.25% | 0.25% | 0.25% | 0.25% | |||||
Average Effective Federal Funds Rate (2) | 0.07% | 0.09% | 0.12% | 0.15% | 0.13% | 0.13% | |||||
1-month LIBOR (1) | 0.19% | 0.21% | 0.20% | 0.24% | 0.20% | 0.25% | |||||
3-month LIBOR (1) | 0.27% | 0.31% | 0.28% | 0.47% | 0.28% | 0.49% | |||||
2-year LIBOR (1) | 0.51% | 0.39% | 0.41% | 0.59% | 0.41% | 0.59% | |||||
5-year LIBOR (1) | 1.57% | 0.86% | 1.08% | 1.08% | 1.02% | 1.13% | |||||
10-year LIBOR (1) | 2.70% | 1.84% | 2.15% | 1.95% | 2.08% | 2.03% | |||||
3-month U.S. Treasury (1) | 0.04% | 0.05% | 0.05% | 0.09% | 0.07% | 0.08% | |||||
2-year U.S. Treasury (1) | 0.36% | 0.25% | 0.27% | 0.29% | 0.27% | 0.29% | |||||
5-year U.S. Treasury (1) | 1.41% | 0.72% | 0.91% | 0.79% | 0.87% | 0.84% | |||||
10-year U.S. Treasury (1) | 2.52% | 1.78% | 1.99% | 1.83% | 1.97% | 1.93% |
(1) | Source: Bloomberg |
(2) | Source: Federal Reserve Statistical Release |
• | The Bank ended the second quarter of 2013 with total assets of $32.7 billion compared with $35.8 billion at the end of 2012. The $3.1 billion decrease in total assets during the six-month period was attributable primarily to a $2.5 billion decrease in the Bank's short-term liquidity holdings and a $0.5 billion decrease in the Bank's long-term investments. |
• | Total advances were $18.4 billion at both June 30, 2013 and December 31, 2012. The Bank's lending activities remained subdued during the six-month period due largely to high deposit levels and weak demand for loans at member institutions. |
• | The Bank’s net income for the three and six months ended June 30, 2013 was $22.1 million and $40.2 million, respectively, including net interest income of $36.5 million and $71.3 million, respectively, and $3.1 million and $4.9 million, respectively, in net gains on derivatives and hedging activities. |
• | The Bank held $4.2 billion (notional) of interest rate swaps recorded as economic hedge derivatives with a net positive fair value of $13.1 million (excluding accrued interest) at June 30, 2013. If these derivatives are held to maturity, their values will ultimately decline to zero and be recorded as losses in future periods. The timing of these losses will depend upon a number of factors, including the relative level and volatility of future interest rates. |
• | Unrealized losses on the Bank’s holdings of non-agency residential MBS ("RMBS"), all of which are classified as held-to-maturity, totaled $23.1 million (11 percent of amortized cost) at June 30, 2013, as compared to $35.2 million (15 percent of amortized cost) at December 31, 2012. Based on its quarter-end analysis of the 30 securities in this portfolio, the Bank believes that the unrealized losses were principally the result of liquidity risk related discounts in the non-agency RMBS market and do not accurately reflect the currently likely future credit performance of the securities. Accordingly, no credit-related other-than-temporary impairment charges were recorded during the three months ended June 30, 2013. For a discussion of the Bank’s analysis, see “Item 1. Financial Statements” (specifically, Note 4 beginning on page 9 of this report). If the actual and/or projected performance of the loans underlying the |
• | At all times during the first six months of 2013, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s retained earnings increased to $609.9 million (or 1.9 percent of total assets) at June 30, 2013 from $571.9 million (or 1.6 percent of total assets) at December 31, 2012. |
• | During the first six months of 2013, the Bank paid dividends totaling $2.2 million; the Bank’s first and second quarter dividends were each paid at an annualized rate of 0.375 percent, which exceeded the upper end of the Federal Reserve’s target for the federal funds rate of 0.25 percent for each of the preceding quarters by 12.5 basis points. |
• | While the Bank cannot predict future economic conditions, it does not expect that its advances balances will increase significantly for some period of time. Therefore, its future adjusted earnings will likely be lower than they would have been otherwise. As advances are paid off, the Bank's general practice is to repurchase capital stock in proportion to the reduction in outstanding advances. The Bank expects that its ability to adjust its capital levels in response to changes in the amount of advances outstanding combined with the accumulation of retained earnings in recent years will help to mitigate the negative impact that the current subdued lending activity would otherwise be expected to have on the Bank’s shareholders. While there can be no assurances, based on its current expectations the Bank anticipates that its earnings will be sufficient both to continue paying quarterly dividends at a rate equal to or slightly above the upper end of the target range for the federal funds rate and to continue building retained earnings for the foreseeable future. In addition, the Bank currently expects to continue its quarterly repurchases of surplus stock. |
2013 | 2012 | ||||||||||||||||||
Second Quarter | First Quarter | Fourth Quarter | Third Quarter | Second Quarter | |||||||||||||||
Balance sheet (at quarter end) | |||||||||||||||||||
Advances | $ | 18,354,152 | $ | 15,722,021 | $ | 18,394,797 | $ | 19,480,464 | $ | 19,207,379 | |||||||||
Investments (1) | 12,216,642 | 12,842,591 | 16,198,823 | 15,420,149 | 13,805,508 | ||||||||||||||
Mortgage loans | 104,553 | 113,480 | 121,661 | 131,130 | 140,633 | ||||||||||||||
Allowance for credit losses on mortgage loans | 175 | 175 | 183 | 183 | 190 | ||||||||||||||
Total assets | 32,683,353 | 31,033,504 | 35,755,329 | 35,188,141 | 34,728,987 | ||||||||||||||
Consolidated obligations — discount notes | 7,569,453 | 4,557,939 | 6,984,378 | 5,692,560 | 9,507,659 | ||||||||||||||
Consolidated obligations — bonds | 22,164,449 | 23,605,673 | 25,697,936 | 26,286,910 | 22,049,307 | ||||||||||||||
Total consolidated obligations(2) | 29,733,902 | 28,163,612 | 32,682,314 | 31,979,470 | 31,556,966 | ||||||||||||||
Mandatorily redeemable capital stock(3) | 4,229 | 4,246 | 4,504 | 4,531 | 4,890 | ||||||||||||||
Capital stock — putable | 1,156,781 | 1,109,003 | 1,216,986 | 1,248,279 | 1,204,441 | ||||||||||||||
Unrestricted retained earnings | 579,585 | 562,951 | 549,617 | 536,951 | 523,851 | ||||||||||||||
Restricted retained earnings | 30,316 | 25,898 | 22,276 | 18,824 | 15,273 | ||||||||||||||
Total retained earnings | 609,901 | 588,849 | 571,893 | 555,775 | 539,124 | ||||||||||||||
Accumulated other comprehensive income (loss) | (33,868 | ) | 6,718 | (18,245 | ) | (31,531 | ) | (44,778 | ) | ||||||||||
Total capital | 1,732,814 | 1,704,570 | 1,770,634 | 1,772,523 | 1,698,787 | ||||||||||||||
Dividends paid(3) | 1,039 | 1,154 | 1,142 | 1,105 | 1,146 | ||||||||||||||
Income statement (for the quarter) | |||||||||||||||||||
Net interest income (4) | $ | 36,506 | $ | 34,809 | $ | 38,459 | $ | 41,727 | $ | 40,557 | |||||||||
Other income (loss) | 4,886 | 3,826 | (1,073 | ) | (4,803 | ) | 2,650 | ||||||||||||
Other expense | 16,846 | 18,512 | 18,208 | 17,195 | 18,198 | ||||||||||||||
AHP assessment | 2,455 | 2,013 | 1,918 | 1,973 | 2,502 | ||||||||||||||
Net income | 22,091 | 18,110 | 17,260 | 17,756 | 22,507 | ||||||||||||||
Performance ratios | |||||||||||||||||||
Net interest margin(5) | 0.45 | % | 0.42 | % | 0.42 | % | 0.46 | % | 0.46 | % | |||||||||
Return on average assets | 0.28 | 0.22 | 0.19 | 0.19 | 0.26 | ||||||||||||||
Return on average equity | 5.21 | 4.33 | 3.89 | 4.10 | 5.38 | ||||||||||||||
Return on average capital stock (6) | 8.07 | 6.53 | 5.63 | 5.85 | 7.66 | ||||||||||||||
Total average equity to average assets | 5.29 | 5.05 | 4.86 | 4.75 | 4.81 | ||||||||||||||
Regulatory capital ratio(7) | 5.42 | 5.48 | 5.02 | 5.14 | 5.03 | ||||||||||||||
Dividend payout ratio (3)(8) | 4.70 | 6.37 | 6.62 | 6.22 | 5.09 | ||||||||||||||
Average effective federal funds rate(9) | 0.12 | % | 0.14 | % | 0.16 | % | 0.15 | % | 0.15 | % |
(1) | Investments consist of federal funds sold, interest-bearing deposits, securities purchased under agreements to resell and securities classified as held-to-maturity, available-for-sale, and trading. |
(2) | The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on the consolidated obligations of all of the FHLBanks. At June 30, 2013, March 31, 2013, December 31, 2012, September 30, 2012, and June 30, 2012, the outstanding consolidated obligations (at par value) of all 12 FHLBanks totaled approximately $705 billion, $666 billion, $688 billion, $674 billion, and $685 billion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $30 billion, $28 billion, $33 billion, $32 billion, and $31 billion, respectively. |
(3) | Mandatorily redeemable capital stock represents capital stock that is classified as a liability under generally accepted accounting principles. Dividends on mandatorily redeemable capital stock are recorded as interest expense and excluded from dividends paid. Dividends paid on mandatorily redeemable capital stock totaled $4 thousand, $5 thousand, $4 thousand, $5 thousand, and $7 thousand for the quarters ended June 30, 2013, March 31, 2013, December 31, 2012, September 30, 2012, and June 30, 2012, respectively. |
(4) | Net interest income excludes the net interest income/expense associated with interest rate exchange agreements that do not qualify for hedge accounting. The net interest income associated with such agreements totaled $0.9 million, $1.3 million, $2.1 million, $2.5 million, and $2.9 million for the quarters ended June 30, 2013, March 31, 2013, December 31, 2012, September 30, 2012, and June 30, 2012, respectively. |
(5) | Net interest margin is net interest income as a percentage of average earning assets. |
(6) | Return on average capital stock is derived by dividing net income by average capital stock balances excluding mandatorily redeemable capital stock. |
(7) | The regulatory capital ratio is computed by dividing regulatory capital (the sum of capital stock — putable, mandatorily redeemable capital stock and retained earnings) by total assets at each quarter-end. |
(8) | Dividend payout ratio is computed by dividing dividends paid by net income for each quarter. |
(9) | Rates obtained from the Federal Reserve Statistical Release. |
• | a new minimum ratio of common equity tier 1 capital to risk-weighted assets, a higher minimum ratio of tier 1 capital to risk-weighted assets and a common equity tier 1 capital conservation buffer; |
• | revised methodologies for calculation of risk-weighted assets to enhance risk sensitivity; and |
• | a minimum supplementary leverage ratio for financial institutions subject to the “advanced approaches” risk-based capital rules. |
June 30, 2013 | |||||||||||||||
Increase (Decrease) | Balance at | ||||||||||||||
Balance | Amount | Percentage | December 31, 2012 | ||||||||||||
Advances | $ | 18,354 | $ | (41 | ) | (0.2 | )% | $ | 18,395 | ||||||
Short-term liquidity holdings | |||||||||||||||
Non-interest bearing excess cash balances (1) | 1,800 | 900 | 100.0 | % | 900 | ||||||||||
Securities purchased under agreements to resell | 250 | (2,750 | ) | (91.7 | )% | 3,000 | |||||||||
Federal funds sold | 1,520 | (699 | ) | (31.5 | )% | 2,219 | |||||||||
Long-term investments | |||||||||||||||
Available-for-sale securities | 5,534 | (238 | ) | (4.1 | )% | 5,772 | |||||||||
Held-to-maturity securities | 4,903 | (297 | ) | (5.7 | )% | 5,200 | |||||||||
Mortgage loans, net | 104 | (17 | ) | (14.0 | )% | 121 | |||||||||
Total assets | 32,683 | (3,072 | ) | (8.6 | )% | 35,755 | |||||||||
Consolidated obligations — bonds | 22,164 | (3,534 | ) | (13.8 | )% | 25,698 | |||||||||
Consolidated obligations — discount notes | 7,569 | 585 | 8.4 | % | 6,984 | ||||||||||
Total consolidated obligations | 29,733 | (2,949 | ) | (9.0 | )% | 32,682 | |||||||||
Mandatorily redeemable capital stock | 4 | (1 | ) | (20.0 | )% | 5 | |||||||||
Capital stock | 1,157 | (60 | ) | (4.9 | )% | 1,217 | |||||||||
Retained earnings | 610 | 38 | 6.6 | % | 572 | ||||||||||
Average total assets | 32,888 | (2,591 | ) | (7.3 | )% | 35,479 | |||||||||
Average capital stock | 1,111 | (98 | ) | (8.1 | )% | 1,209 | |||||||||
Average mandatorily redeemable capital stock | 4 | (1 | ) | (20.0 | )% | 5 |
(1) | Represents excess cash held at the Federal Reserve Bank of Dallas. These amounts are classified as “Cash and due from banks” in the Bank’s statements of condition. |
June 30, 2013 | December 31, 2012 | ||||||||||||
Amount | Percent | Amount | Percent | ||||||||||
Commercial banks | $ | 13,788 | 76 | % | $ | 13,703 | 77 | % | |||||
Thrift institutions | 2,655 | 15 | 2,612 | 15 | |||||||||
Credit unions | 1,174 | 7 | 1,160 | 6 | |||||||||
Insurance companies | 376 | 2 | 375 | 2 | |||||||||
Community Development Financial Institutions | 1 | — | — | — | |||||||||
Total member advances | 17,994 | 100 | 17,850 | 100 | |||||||||
Housing associates | 30 | — | 43 | — | |||||||||
Non-member borrowers | 32 | — | 35 | — | |||||||||
Total par value of advances | $ | 18,056 | 100 | % | $ | 17,928 | 100 | % | |||||
Total par value of advances outstanding to CFIs (1) | $ | 5,744 | 32 | % | $ | 5,496 | 31 | % |
(1) | The figures presented above reflect the advances outstanding to CFIs as of June 30, 2013 and December 31, 2012 based upon the definitions of CFIs that applied as of those dates. |
Name | Par Value of Advances | Percent of Total Par Value of Advances | |||||
Texas Capital Bank, N.A. | $ | 1,300 | 7.2 | % | |||
Comerica Bank | 1,000 | 5.5 | |||||
Beal Bank USA | 860 | 4.8 | |||||
ViewPoint Bank, N.A. | 803 | 4.5 | |||||
Prosperity Bank | 781 | 4.3 | |||||
$ | 4,744 | 26.3 | % |
June 30, 2013 | December 31, 2012 | ||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||
Fixed-rate | $ | 14,871 | 82.4 | % | $ | 13,543 | 75.5 | % | |||||
Adjustable/variable-rate indexed | 1,055 | 5.8 | 2,066 | 11.6 | |||||||||
Amortizing | 2,130 | 11.8 | 2,319 | 12.9 | |||||||||
Total par value | $ | 18,056 | 100.0 | % | $ | 17,928 | 100.0 | % |
Balance Sheet Classification | Total Long-Term | ||||||||||||||||
Held-to-Maturity | Available-for-Sale | Investments | Held-to-Maturity | ||||||||||||||
June 30, 2013 | (at carrying value) | (at fair value) | (at carrying value) | (at fair value) | |||||||||||||
Debentures | |||||||||||||||||
U.S. government-guaranteed obligations | $ | 35 | $ | 54 | $ | 89 | $ | 36 | |||||||||
Government-sponsored enterprises | — | 5,039 | 5,039 | — | |||||||||||||
Other | — | 441 | 441 | — | |||||||||||||
Total debentures | 35 | 5,534 | 5,569 | 36 | |||||||||||||
MBS portfolio | |||||||||||||||||
U.S. government-guaranteed obligations | 12 | — | 12 | 12 | |||||||||||||
Government-sponsored enterprises | 4,674 | — | 4,674 | 4,734 | |||||||||||||
Non-agency RMBS | 182 | — | 182 | 196 | |||||||||||||
Total MBS | 4,868 | — | 4,868 | 4,942 | |||||||||||||
Total long-term investments | $ | 4,903 | $ | 5,534 | $ | 10,437 | $ | 4,978 | |||||||||
Balance Sheet Classification | Total Long-Term | ||||||||||||||||
Held-to-Maturity | Available-for-Sale | Investments | Held-to-Maturity | ||||||||||||||
December 31, 2012 | (at carrying value) | (at fair value) | (at carrying value) | (at fair value) | |||||||||||||
Debentures | |||||||||||||||||
U.S. government-guaranteed obligations | $ | 39 | $ | 56 | $ | 95 | $ | 39 | |||||||||
Government-sponsored enterprises | — | 5,258 | 5,258 | — | |||||||||||||
Other | — | 458 | 458 | — | |||||||||||||
Total debentures | 39 | 5,772 | 5,811 | 39 | |||||||||||||
MBS portfolio | |||||||||||||||||
U.S. government-guaranteed obligations | 13 | — | 13 | 13 | |||||||||||||
Government-sponsored enterprises | 4,947 | — | 4,947 | 5,025 | |||||||||||||
Non-agency RMBS | 201 | — | 201 | 207 | |||||||||||||
Total MBS | 5,161 | — | 5,161 | 5,245 | |||||||||||||
Total long-term investments | $ | 5,200 | $ | 5,772 | $ | 10,972 | $ | 5,284 |
Credit Rating | Number of Securities | Unpaid Principal Balance | Amortized Cost | Carrying Value | Estimated Fair Value | Unrealized Losses | |||||||||||||||||
Double-A | 2 | $ | 5,027 | $ | 5,028 | $ | 5,028 | $ | 4,857 | $ | 171 | ||||||||||||
Single-A | 4 | 12,497 | 12,498 | 12,498 | 11,962 | 536 | |||||||||||||||||
Triple-B | 3 | 16,215 | 16,217 | 16,217 | 14,894 | 1,323 | |||||||||||||||||
Double-B | 3 | 23,278 | 23,278 | 23,278 | 21,090 | 2,188 | |||||||||||||||||
Single-B | 5 | 35,832 | 35,755 | 34,234 | 30,817 | 4,938 | |||||||||||||||||
Triple-C | 12 | 117,087 | 108,829 | 77,685 | 94,905 | 13,924 | |||||||||||||||||
Single-C | 1 | 22,635 | 17,739 | 13,067 | 17,703 | 36 | |||||||||||||||||
Total | 30 | $ | 232,571 | $ | 219,344 | $ | 182,007 | $ | 196,228 | $ | 23,116 |
Credit Enhancement Statistics | |||||||||||||||||||||||||||||||
Classification and Year of Securitization | Number of Securities | Unpaid Principal Balance | Amortized Cost | Estimated Fair Value | Unrealized Losses | Weighted Average Collateral Delinquency(1)(2) | Current Weighted Average (1)(3) | Original Weighted Average(1) | Minimum Current(4) | ||||||||||||||||||||||
Prime(5) | |||||||||||||||||||||||||||||||
Fixed-rate collateral | |||||||||||||||||||||||||||||||
2006 | 1 | $ | 23 | $ | 18 | $ | 18 | $ | — | 13.26 | % | 0.41 | % | 8.89 | % | 0.41 | % | ||||||||||||||
2003 | 6 | 19 | 19 | 18 | 1 | 1.55 | % | 7.34 | % | 3.94 | % | 4.37 | % | ||||||||||||||||||
Total fixed-rate prime collateral | 7 | 42 | 37 | 36 | 1 | 7.84 | % | 3.62 | % | 6.60 | % | 0.41 | % | ||||||||||||||||||
Option ARM collateral | |||||||||||||||||||||||||||||||
2005 | 15 | 133 | 130 | 113 | 17 | 25.17 | % | 39.05 | % | 43.02 | % | 16.85 | % | ||||||||||||||||||
2004 | 2 | 10 | 10 | 8 | 2 | 19.34 | % | 25.29 | % | 29.93 | % | 24.62 | % | ||||||||||||||||||
Total option ARM prime collateral | 17 | 143 | 140 | 121 | 19 | 24.78 | % | 38.13 | % | 42.14 | % | 16.85 | % | ||||||||||||||||||
Total prime collateral | 24 | 185 | 177 | 157 | 20 | 20.92 | % | 30.28 | % | 34.06 | % | 0.41 | % | ||||||||||||||||||
Alt-A(5) | |||||||||||||||||||||||||||||||
Fixed-rate collateral | |||||||||||||||||||||||||||||||
2005 | 1 | 14 | 13 | 12 | 1 | 12.18 | % | 4.47 | % | 6.84 | % | 4.47 | % | ||||||||||||||||||
2004 | 1 | 1 | 1 | 1 | — | 12.56 | % | 82.18 | % | 6.85 | % | 82.18 | % | ||||||||||||||||||
2002 | 2 | 3 | 3 | 3 | — | 6.98 | % | 18.69 | % | 4.51 | % | 16.73 | % | ||||||||||||||||||
Total fixed-rate Alt-A collateral | 4 | 18 | 17 | 16 | 1 | 11.17 | % | 8.54 | % | 6.39 | % | 4.47 | % | ||||||||||||||||||
Option ARM collateral | |||||||||||||||||||||||||||||||
2005 | 2 | 30 | 25 | 23 | 2 | 37.58 | % | 22.45 | % | 39.43 | % | 17.36 | % | ||||||||||||||||||
Total Alt-A collateral | 6 | 48 | 42 | 39 | 3 | 27.94 | % | 17.37 | % | 27.38 | % | 4.47 | % | ||||||||||||||||||
Total non-agency RMBS | 30 | $ | 233 | $ | 219 | $ | 196 | $ | 23 | 22.35 | % | 27.65 | % | 32.70 | % | 0.41 | % | ||||||||||||||
Total fixed-rate collateral | 11 | $ | 60 | $ | 54 | $ | 52 | $ | 2 | 8.81 | % | 5.05 | % | 6.54 | % | 0.41 | % | ||||||||||||||
Total option ARM collateral | 19 | 173 | 165 | 144 | 21 | 27.00 | % | 35.40 | % | 41.67 | % | 16.85 | % | ||||||||||||||||||
Total non-agency RMBS | 30 | $ | 233 | $ | 219 | $ | 196 | $ | 23 | 22.35 | % | 27.65 | % | 32.70 | % | 0.41 | % |
(1) | Weighted average percentages are computed based upon unpaid principal balances. |
(2) | Collateral delinquency reflects the percentage of the underlying loan balances that are 60 or more days past due, including loans in foreclosure and real estate owned; as of June 30, 2013, actual cumulative loan losses in the pools of loans underlying the Bank’s non-agency RMBS portfolio ranged from 0 percent to 11.77 percent. |
(3) | Current credit enhancement percentages reflect the ability of subordinated classes of securities to absorb principal losses and interest shortfalls before the senior classes held by the Bank are impacted (i.e., the losses, expressed as a percentage of the outstanding principal balances, that could be incurred in the underlying loan pools before the securities held by the Bank would be impacted, assuming that all of those losses occurred on the measurement date). Depending upon the timing and amount of losses in the underlying loan pools, it is possible that the senior classes held by the Bank could bear losses in scenarios where the cumulative loan losses do not exceed the current credit enhancement percentage. |
(4) | Minimum credit enhancement reflects the security in each vintage year with the lowest current credit enhancement. |
(5) | Reflects the label assigned to the securities by the originator at the time of issuance. |
Unpaid Principal Balance at June 30, 2013 | Projected Prepayment Rates(2) | Projected Default Rates(2) | Projected Loss Severities(2) | ||||||||||||||||||||||||||||
Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | ||||||||||||||||||||||||||
Year of Securitization | Low | High | Low | High | Low | High | |||||||||||||||||||||||||
Prime (1) | |||||||||||||||||||||||||||||||
2003 | $ | 19,491 | 18.65 | % | 11.76 | % | 21.86 | % | 0.75 | % | 0.23 | % | 3.84 | % | 27.16 | % | 25.13 | % | 30.64 | % | |||||||||||
Alt-A(1) | |||||||||||||||||||||||||||||||
2006 | 22,635 | 10.59 | % | 10.59 | % | 10.59 | % | 31.08 | % | 31.08 | % | 31.08 | % | 46.29 | % | 46.29 | % | 46.29 | % | ||||||||||||
2005 | 177,177 | 5.68 | % | 4.59 | % | 10.94 | % | 37.18 | % | 14.08 | % | 53.26 | % | 38.31 | % | 31.27 | % | 47.73 | % | ||||||||||||
2004 | 9,886 | 6.46 | % | 6.17 | % | 10.83 | % | 30.64 | % | 17.82 | % | 31.71 | % | 35.33 | % | 35.20 | % | 39.05 | % | ||||||||||||
2002 | 3,382 | 17.64 | % | 15.23 | % | 18.20 | % | 4.77 | % | 3.52 | % | 10.14 | % | 31.44 | % | 29.66 | % | 39.10 | % | ||||||||||||
Total Alt-A collateral | 213,080 | 6.42 | % | 4.59 | % | 18.20 | % | 35.71 | % | 3.52 | % | 53.26 | % | 38.91 | % | 29.66 | % | 47.73 | % | ||||||||||||
Total non-agency RMBS | $ | 232,571 | 7.45 | % | 4.59 | % | 21.86 | % | 32.78 | % | 0.23 | % | 53.26 | % | 37.93 | % | 25.13 | % | 47.73 | % |
(1) | The Bank’s non-agency RMBS holdings are classified as prime or Alt-A in the table above based upon the assumptions that were used to analyze the securities. |
(2) | Prepayment rates reflect the weighted average of projected future voluntary prepayments. Default rates reflect the total balance of loans projected to default as a percentage of the current unpaid principal balance of each of the underlying loan pools. Loss severities reflect the total projected loan losses as a percentage of the total balance of loans that are projected to default. |
Expiration | Notional Amount | Strike Rate | |||||
First quarter 2014 | $ | 500 | 6.00 | % | |||
First quarter 2014 | 500 | 6.50 | % | ||||
Third quarter 2014 | 700 | 6.50 | % | ||||
Fourth quarter 2014 | 250 | 6.00 | % | ||||
Fourth quarter 2014 | 250 | 6.50 | % | ||||
First quarter 2015 | 150 | 6.75 | % | ||||
Second quarter 2015 | 250 | 6.50 | % | ||||
Third quarter 2015 | 150 | 6.75 | % | ||||
Third quarter 2015 | 200 | 6.50 | % | ||||
Fourth quarter 2015 | 250 | 6.00 | % | ||||
Fourth quarter 2015 | 250 | 7.00 | % | ||||
Second quarter 2016 | 200 | 6.50 | % | ||||
Second quarter 2016 | 250 | 7.00 | % | ||||
$ | 3,900 |
June 30, 2013 | December 31, 2012 | ||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||
Fixed-rate | |||||||||||||
Non-callable | $ | 12,303 | 55.3 | % | $ | 16,863 | 66.0 | % | |||||
Callable | 2,745 | 12.4 | 1,900 | 7.4 | |||||||||
Variable-rate | 4,485 | 20.2 | 4,235 | 16.5 | |||||||||
Callable step-up | 2,585 | 11.6 | 2,475 | 9.7 | |||||||||
Callable step-down | 100 | 0.5 | 100 | 0.4 | |||||||||
Total par value | $ | 22,218 | 100.0 | % | $ | 25,573 | 100.0 | % |
Name | Par Value of Capital Stock | Percent of Total Par Value of Capital Stock | |||||
Texas Capital Bank, N.A. | $ | 57,568 | 5.0 | % | |||
Comerica Bank | 48,082 | 4.1 | |||||
Prosperity Bank | 44,933 | 3.9 | |||||
Beal Bank USA | 37,799 | 3.3 | |||||
ViewPoint Bank, N.A. | 34,409 | 3.0 | |||||
$ | 222,791 | 19.3 | % |
Date of Repurchase by the Bank | Shares Repurchased | Amount of Repurchase | Amount Classified as Mandatorily Redeemable Capital Stock at Date of Repurchase | ||||||||
January 31, 2013 | 1,984,274 | $ | 198,427 | $ | — | ||||||
April 30, 2013 | 1,685,559 | 168,556 | — | ||||||||
July 31, 2013 | 1,828,794 | 182,879 | — |
June 30, 2013 | December 31, 2012 | ||||||||||||
Par Value of Capital Stock | Percent of Total Par Value of Capital Stock | Par Value of Capital Stock | Percent of Total Par Value of Capital Stock | ||||||||||
Commercial banks | $ | 840 | 72 | % | $ | 897 | 73 | % | |||||
Thrifts | 140 | 12 | 142 | 12 | |||||||||
Credit unions | 138 | 12 | 132 | 11 | |||||||||
Insurance companies | 39 | 4 | 46 | 4 | |||||||||
Total capital stock classified as capital | 1,157 | 100 | 1,217 | 100 | |||||||||
Mandatorily redeemable capital stock | 4 | — | 5 | — | |||||||||
Total regulatory capital stock | $ | 1,161 | 100 | % | $ | 1,222 | 100 | % |
Shortcut Method | Long-Haul Method | Economic Hedges | Total | ||||||||||||
June 30, 2013 | |||||||||||||||
Advances | $ | 4,624 | $ | 1,329 | $ | 15 | $ | 5,968 | |||||||
Investments | — | 4,925 | 3,900 | 8,825 | |||||||||||
Consolidated obligation bonds | — | 15,907 | 400 | 16,307 | |||||||||||
Balance sheet | — | — | 3,700 | 3,700 | |||||||||||
Intermediary positions | — | — | 221 | 221 | |||||||||||
Total notional balance | $ | 4,624 | $ | 22,161 | $ | 8,236 | $ | 35,021 | |||||||
December 31, 2012 | |||||||||||||||
Advances | $ | 5,235 | $ | 1,517 | $ | 55 | $ | 6,807 | |||||||
Investments | — | 4,925 | 3,900 | 8,825 | |||||||||||
Consolidated obligation bonds | — | 19,401 | 650 | 20,051 | |||||||||||
Balance sheet | — | — | 4,700 | 4,700 | |||||||||||
Intermediary positions | — | — | 214 | 214 | |||||||||||
Total notional balance | $ | 5,235 | $ | 25,843 | $ | 9,519 | $ | 40,597 |
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Optional Advance Commitments | Balance Sheet | Total | |||||||||||||||||||||
Three Months Ended June 30, 2013 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 26 | $ | (1 | ) | $ | — | $ | — | $ | — | $ | 25 | ||||||||||||
Net interest settlements included in net interest income (2) | (38 | ) | (47 | ) | 33 | — | — | — | (52 | ) | |||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net gains (losses) on fair value hedges | — | 2 | (1 | ) | — | — | — | 1 | |||||||||||||||||||
Net gains (losses) on economic hedges | — | — | (1 | ) | — | — | 1 | — | |||||||||||||||||||
Net interest settlements on economic hedges | — | — | 1 | — | — | 1 | 2 | ||||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | 2 | (1 | ) | — | — | 2 | 3 | |||||||||||||||||||
Net impact of derivatives and hedging activities | $ | (38 | ) | $ | (19 | ) | $ | 31 | $ | — | $ | — | $ | 2 | $ | (24 | ) | ||||||||||
Three Months Ended June 30, 2012 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 26 | $ | (1 | ) | $ | — | $ | — | $ | — | $ | 25 | ||||||||||||
Net interest settlements included in net interest income (2) | (44 | ) | (44 | ) | 45 | — | — | — | (43 | ) | |||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net gains losses on fair value hedges | (1 | ) | (1 | ) | — | — | — | — | (2 | ) | |||||||||||||||||
Net gains (losses) on economic hedges | — | (2 | ) | — | — | (1 | ) | 2 | (1 | ) | |||||||||||||||||
Net interest settlements on economic hedges | — | — | — | 1 | — | 2 | 3 | ||||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | (1 | ) | (3 | ) | — | 1 | (1 | ) | 4 | — | |||||||||||||||||
Net impact of derivatives and hedging activities | (45 | ) | (21 | ) | 44 | 1 | (1 | ) | 4 | (18 | ) | ||||||||||||||||
Net gain on hedged financial instruments carried at fair value | — | — | — | — | 1 | — | 1 | ||||||||||||||||||||
$ | (45 | ) | $ | (21 | ) | $ | 44 | $ | 1 | $ | — | $ | 4 | $ | (17 | ) | |||||||||||
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Optional Advance Commitments | Balance Sheet | Total | |||||||||||||||||||||
Six Months Ended June 30, 2013 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 53 | $ | (2 | ) | $ | — | $ | — | $ | — | $ | 51 | ||||||||||||
Net interest settlements included in net interest income (2) | (78 | ) | (94 | ) | 65 | — | — | — | (107 | ) | |||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net gains on fair value hedges | — | 2 | — | — | — | — | 2 | ||||||||||||||||||||
Net gains (losses) on economic hedges | — | — | (1 | ) | — | — | 1 | — | |||||||||||||||||||
Net interest settlements on economic hedges | — | — | 1 | — | — | 2 | 3 | ||||||||||||||||||||
Total net gain on derivatives and hedging activities | — | 2 | — | — | — | 3 | 5 | ||||||||||||||||||||
Net impact of derivatives and hedging activities | $ | (78 | ) | $ | (39 | ) | $ | 63 | $ | — | $ | — | $ | 3 | $ | (51 | ) | ||||||||||
Six Months Ended June 30, 2012 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (1 | ) | $ | 51 | $ | (1 | ) | $ | — | $ | — | $ | — | $ | 49 | |||||||||||
Net interest settlements included in net interest income (2) | (91 | ) | (85 | ) | 90 | — | — | — | (86 | ) | |||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net losses on fair value hedges | (1 | ) | — | (1 | ) | — | — | — | (2 | ) | |||||||||||||||||
Net gains (losses) on economic hedges | — | (3 | ) | 2 | 1 | (2 | ) | 1 | (1 | ) | |||||||||||||||||
Net interest settlements on economic hedges | — | — | — | 1 | — | 5 | 6 | ||||||||||||||||||||
Total net gain (loss) on derivatives and hedging activities | (1 | ) | (3 | ) | 1 | 2 | (2 | ) | 6 | 3 | |||||||||||||||||
Net impact of derivatives and hedging activities | (93 | ) | (37 | ) | 90 | 2 | (2 | ) | 6 | (34 | ) | ||||||||||||||||
Net gain on hedged financial instruments carried at fair value | — | — | — | — | 2 | — | 2 | ||||||||||||||||||||
$ | (93 | ) | $ | (37 | ) | $ | 90 | $ | 2 | $ | — | $ | 6 | $ | (32 | ) |
(1) | Represents the amortization/accretion of hedging fair value adjustments for both open and closed hedge positions. |
(2) | Represents interest income/expense on derivatives included in net interest income. |
Credit Rating(1) | Number of Bilateral Counterparties | Notional Principal(2) | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To Counterparty | Other Collateral Pledged From Counterparty | Net Credit Exposure | |||||||||||||||||
Non-member counterparties | |||||||||||||||||||||||
Asset positions with credit exposure | |||||||||||||||||||||||
A | 1 | $ | 1,015.0 | $ | 2.6 | $ | — | $ | (2.4 | ) | $ | 0.2 | |||||||||||
Cleared derivatives (3) | — | 52.0 | — | 0.3 | — | 0.3 | |||||||||||||||||
Liability positions with credit exposure | |||||||||||||||||||||||
Aa (4) | 1 | 1,485.5 | (8.8 | ) | 9.3 | — | 0.5 | ||||||||||||||||
A | 3 | 10,253.2 | (206.4 | ) | 211.2 | — | 4.8 | ||||||||||||||||
Cleared derivatives (3) | — | 3.0 | — | — | — | — | |||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 5 | 12,808.7 | (212.6 | ) | 220.8 | (2.4 | ) | 5.8 | |||||||||||||||
Liability positions without credit exposure (4) | 9 | 22,101.6 | (770.5 | ) | 751.3 | — | — | ||||||||||||||||
Total non-member counterparties | 14 | 34,910.3 | (983.1 | ) | $ | 972.1 | $ | (2.4 | ) | $ | 5.8 | ||||||||||||
Member institutions (5) | |||||||||||||||||||||||
Asset positions | 8 | 45.9 | 4.0 | ||||||||||||||||||||
Liability positions | 4 | 64.7 | (3.2 | ) | |||||||||||||||||||
Total member institutions | 12 | 110.6 | 0.8 | ||||||||||||||||||||
Total | 26 | $ | 35,020.9 | $ | (982.3 | ) |
(1) | Credit ratings shown in the table are obtained from Moody’s and are as of June 30, 2013. |
(2) | Includes amounts that had not settled as of June 30, 2013. |
(3) | The counterparty to the Bank's cleared derivatives transactions is unrated. |
(4) | The figures for liability positions without credit exposure as of June 30, 2013 include transactions with two counterparties that are affiliated with a non-member shareholder of the Bank. Transactions with those counterparties had an aggregate notional principal of $9.3 billion as of June 30, 2013. The figures for liability positions with credit exposure to Aa-rated counterparties as of June 30, 2013 consisted of transactions with another counterparty that is affiliated with a member institution; transactions with this counterparty had an aggregate notional principal of $1.5 billion as of June 30, 2013 and represented a net credit exposure of $0.5 million to the Bank as of June 30, 2013. |
(5) | This product offering and the collateral provisions associated therewith are discussed in the paragraph below. |
For the Three Months Ended June 30, | |||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense(c) | Average Rate(a)(c) | Average Balance | Interest Income/ Expense(c) | Average Rate(a)(c) | ||||||||||||||||
Assets | |||||||||||||||||||||
Interest-bearing deposits (b) | $ | 1,114 | $ | 1 | 0.12 | % | $ | 848 | $ | — | 0.16 | % | |||||||||
Securities purchased under agreements to resell | 1,384 | — | 0.10 | % | 2,340 | 1 | 0.16 | % | |||||||||||||
Federal funds sold | 2,069 | — | 0.10 | % | 1,928 | 1 | 0.14 | % | |||||||||||||
Investments | |||||||||||||||||||||
Trading | 8 | — | — | % | 7 | — | — | % | |||||||||||||
Available-for-sale (d) | 5,672 | 6 | 0.41 | % | 5,567 | 8 | 0.57 | % | |||||||||||||
Held-to-maturity (d) | 4,980 | 14 | 1.10 | % | 5,790 | 18 | 1.24 | % | |||||||||||||
Advances (e) | 17,419 | 39 | 0.90 | % | 18,959 | 49 | 1.03 | % | |||||||||||||
Mortgage loans held for portfolio | 109 | 1 | 5.63 | % | 147 | 2 | 5.51 | % | |||||||||||||
Total earning assets | 32,755 | 61 | 0.75 | % | 35,586 | 79 | 0.88 | % | |||||||||||||
Cash and due from banks | 432 | 158 | |||||||||||||||||||
Other assets | 118 | 118 | |||||||||||||||||||
Derivatives netting adjustment (b) | (1,113 | ) | (848 | ) | |||||||||||||||||
Fair value adjustment on available-for-sale securities (d) | 37 | 13 | |||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (d) | (39 | ) | (48 | ) | |||||||||||||||||
Total assets | $ | 32,190 | 61 | 0.76 | % | $ | 34,979 | 79 | 0.90 | % | |||||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing deposits (b) | $ | 1,053 | — | 0.01 | % | $ | 1,171 | — | 0.03 | % | |||||||||||
Consolidated obligations | |||||||||||||||||||||
Bonds | 22,774 | 23 | 0.41 | % | 21,726 | 36 | 0.66 | % | |||||||||||||
Discount notes | 6,489 | 2 | 0.09 | % | 9,917 | 3 | 0.10 | % | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | 9 | — | 0.26 | % | 9 | — | 0.30 | % | |||||||||||||
Total interest-bearing liabilities | 30,325 | 25 | 0.33 | % | 32,823 | 39 | 0.46 | % | |||||||||||||
Other liabilities | 1,276 | 1,321 | |||||||||||||||||||
Derivatives netting adjustment (b) | (1,113 | ) | (848 | ) | |||||||||||||||||
Total liabilities | 30,488 | 25 | 0.33 | % | 33,296 | 39 | 0.46 | % | |||||||||||||
Total capital | 1,702 | 1,683 | |||||||||||||||||||
Total liabilities and capital | $ | 32,190 | 0.31 | % | $ | 34,979 | 0.44 | % | |||||||||||||
Net interest income | $ | 36 | $ | 40 | |||||||||||||||||
Net interest margin | 0.45 | % | 0.46 | % | |||||||||||||||||
Net interest spread | 0.42 | % | 0.42 | % | |||||||||||||||||
Impact of non-interest bearing funds | 0.03 | % | 0.04 | % |
(a) | Percentages are annualized figures. Amounts used to calculate average rates are based on whole dollars. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(b) | The Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement. The average balances of interest-bearing deposit assets for the three months ended June 30, 2013 and 2012 in the table above include $1.1 billion and $0.8 billion, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balance of the interest-bearing deposit liabilities for the three months ended June 30, 2012 in the table above includes $1 million which is classified as derivative assets/liabilities on the statement of condition. The average balance of interest-bearing deposit liabilities that were classified as derivative assets/liabilities during the three months ended June 30, 2013 was less than $10,000. |
(c) | Interest income/expense and average rates include the effects of associated interest rate exchange agreements to the extent such agreements qualify for fair value hedge accounting. If the agreements do not qualify for hedge accounting or were not designated in a hedging relationship for accounting purposes, the net interest income/expense associated with such agreements is recorded in other income (loss) in the statements of income and therefore excluded from the Yield and Spread Analysis. Net interest income on economic hedge derivatives totaled $0.9 million and $2.9 million for the three months ended June 30, 2013 and 2012, respectively, the components of which are presented below in the sub-section entitled “Other Income (Loss).” |
(d) | Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost. |
(e) | Interest income and average rates include prepayment fees on advances. |
For the Six Months Ended June 30, | |||||||||||||||||||||
2013 | 2012 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense(c) | Average Rate(a)(c) | Average Balance | Interest Income/ Expense(c) | Average Rate(a)(c) | ||||||||||||||||
Assets | |||||||||||||||||||||
Interest-bearing deposits (b) | $ | 1,143 | $ | 1 | 0.13 | % | $ | 717 | $ | — | 0.14 | % | |||||||||
Securities purchased under agreements to resell | 1,918 | 1 | 0.11 | % | 2,136 | 2 | 0.14 | % | |||||||||||||
Federal funds sold | 2,158 | 1 | 0.11 | % | 1,889 | 1 | 0.12 | % | |||||||||||||
Investments | |||||||||||||||||||||
Trading | 8 | — | — | % | 7 | — | — | % | |||||||||||||
Available-for-sale (d) | 5,694 | 12 | 0.41 | % | 5,397 | 16 | 0.58 | % | |||||||||||||
Held-to-maturity (d) | 5,112 | 28 | 1.10 | % | 6,031 | 36 | 1.19 | % | |||||||||||||
Advances (e) | 17,485 | 77 | 0.88 | % | 18,840 | 101 | 1.07 | % | |||||||||||||
Mortgage loans held for portfolio | 113 | 3 | 5.59 | % | 152 | 4 | 5.54 | % | |||||||||||||
Total earning assets | 33,631 | 123 | 0.73 | % | 35,169 | 160 | 0.91 | % | |||||||||||||
Cash and due from banks | 291 | 130 | |||||||||||||||||||
Other assets | 118 | 118 | |||||||||||||||||||
Derivatives netting adjustment (b) | (1,143 | ) | (718 | ) | |||||||||||||||||
Fair value adjustment on available-for-sale securities (d) | 31 | 5 | |||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (d) | (40 | ) | (49 | ) | |||||||||||||||||
Total assets | $ | 32,888 | 123 | 0.75 | % | $ | 34,655 | 160 | 0.92 | % | |||||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing deposits (b) | $ | 1,096 | — | 0.01 | % | $ | 1,213 | — | 0.02 | % | |||||||||||
Consolidated obligations | |||||||||||||||||||||
Bonds | 23,380 | 48 | 0.41 | % | 21,306 | 75 | 0.70 | % | |||||||||||||
Discount notes | 6,529 | 4 | 0.11 | % | 9,852 | 4 | 0.08 | % | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | 9 | — | 0.28 | % | 8 | — | 0.32 | % | |||||||||||||
Total interest-bearing liabilities | 31,014 | 52 | 0.33 | % | 32,379 | 79 | 0.49 | % | |||||||||||||
Other liabilities | 1,318 | 1,310 | |||||||||||||||||||
Derivatives netting adjustment (b) | (1,143 | ) | (718 | ) | |||||||||||||||||
Total liabilities | 31,189 | 52 | 0.33 | % | 32,971 | 79 | 0.48 | % | |||||||||||||
Total capital | 1,699 | 1,684 | |||||||||||||||||||
Total liabilities and capital | $ | 32,888 | 0.32 | % | $ | 34,655 | 0.45 | % | |||||||||||||
Net interest income | $ | 71 | $ | 81 | |||||||||||||||||
Net interest margin | 0.43 | % | 0.47 | % | |||||||||||||||||
Net interest spread | 0.40 | % | 0.42 | % | |||||||||||||||||
Impact of non-interest bearing funds | 0.03 | % | 0.05 | % |
(a) | Percentages are annualized figures. Amounts used to calculate average rates are based on whole dollars. Accordingly, recalculations based upon the disclosed amounts (millions) may not produce the same results. |
(b) | The Bank offsets the fair value amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral against the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement. The average balances of interest-bearing deposit assets for the six months ended June 30, 2013 and 2012 in the table above include $1.1 billion and $0.7 billion, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balance of the interest-bearing deposit liabilities for the six months ended June 30, 2012 in the table above includes $1.0 million which is classified as derivative assets/liabilities on the statement of condition. The average balance of interest-bearing deposit liabilities that were classified as derivative assets/liabilities during the six months ended June 30, 2013 was less than $10,000. |
(c) | Interest income/expense and average rates include the effects of associated interest rate exchange agreements to the extent such agreements qualify for fair value hedge accounting. If the agreements do not qualify for hedge accounting or were not designated in a hedging relationship for accounting purposes, the net interest income/expense associated with such agreements is recorded in other income (loss) in the statements of income and therefore excluded from the Yield and Spread Analysis. Net interest income on economic hedge derivatives totaled $2.3 million and $5.9 million for the six months ended June 30, 2013 and 2012, respectively, the components of which are presented below in the sub-section entitled “Other Income (Loss).” |
(d) | Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost. |
(e) | Interest income and average rates include prepayment fees on advances. |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||||||||||
June 30, 2013 vs. 2012 | June 30, 2013 vs. 2012 | ||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||||||
Interest income | |||||||||||||||||||||||
Interest-bearing deposits | $ | 1 | $ | — | $ | 1 | $ | 1 | $ | — | $ | 1 | |||||||||||
Securities purchased under agreements to resell | (1 | ) | — | (1 | ) | — | (1 | ) | (1 | ) | |||||||||||||
Federal funds sold | — | (1 | ) | (1 | ) | — | — | — | |||||||||||||||
Investments | |||||||||||||||||||||||
Trading | — | — | — | — | — | — | |||||||||||||||||
Available-for-sale | — | (2 | ) | (2 | ) | 1 | (5 | ) | (4 | ) | |||||||||||||
Held-to-maturity | (2 | ) | (2 | ) | (4 | ) | (5 | ) | (3 | ) | (8 | ) | |||||||||||
Advances | (4 | ) | (6 | ) | (10 | ) | (7 | ) | (17 | ) | (24 | ) | |||||||||||
Mortgage loans held for portfolio | (1 | ) | — | (1 | ) | (1 | ) | — | (1 | ) | |||||||||||||
Total interest income | (7 | ) | (11 | ) | (18 | ) | (11 | ) | (26 | ) | (37 | ) | |||||||||||
Interest expense | |||||||||||||||||||||||
Interest-bearing deposits | — | — | — | — | — | — | |||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||
Bonds | 2 | (15 | ) | (13 | ) | 4 | (31 | ) | (27 | ) | |||||||||||||
Discount notes | (1 | ) | — | (1 | ) | (1 | ) | 1 | — | ||||||||||||||
Mandatorily redeemable capital stock and other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total interest expense | 1 | (15 | ) | (14 | ) | 3 | (30 | ) | (27 | ) | |||||||||||||
Changes in net interest income | $ | (8 | ) | $ | 4 | $ | (4 | ) | $ | (14 | ) | $ | 4 | $ | (10 | ) |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||
Net interest income (expense) associated with: | |||||||||||||||
Economic hedge derivatives related to consolidated obligation federal funds floater bonds | $ | 223 | $ | 106 | $ | 590 | $ | 31 | |||||||
Economic hedge derivatives related to consolidated obligation discount notes | — | 175 | — | 524 | |||||||||||
Stand-alone economic hedge derivatives (basis swaps) | 750 | 2,647 | 1,714 | 5,353 | |||||||||||
Member/offsetting swaps | 8 | 4 | 15 | 8 | |||||||||||
Economic hedge derivatives related to advances | (48 | ) | (14 | ) | (53 | ) | (50 | ) | |||||||
Total net interest income associated with economic hedge derivatives | 933 | 2,918 | 2,266 | 5,866 | |||||||||||
Gains (losses) related to economic hedge derivatives | |||||||||||||||
Stand-alone derivatives (basis swaps) | 687 | 1,489 | 818 | 505 | |||||||||||
Federal funds floater swaps | (240 | ) | 78 | (615 | ) | 2,258 | |||||||||
Interest rate caps related to held-to-maturity securities | 111 | (1,416 | ) | 96 | (2,800 | ) | |||||||||
Discount note swaps | — | (160 | ) | — | 784 | ||||||||||
Member/offsetting swaps and caps | 20 | 7 | 11 | 2 | |||||||||||
Swaptions related to optional advance commitments | — | (1,234 | ) | — | (1,734 | ) | |||||||||
Other economic hedge derivatives (advance swaps) | 46 | 14 | 51 | 48 | |||||||||||
Total fair value gains (losses) related to economic hedge derivatives | 624 | (1,222 | ) | 361 | (937 | ) | |||||||||
Gains (losses) related to fair value hedge ineffectiveness | |||||||||||||||
Advances and associated hedges | 370 | (372 | ) | 376 | (556 | ) | |||||||||
Available-for-sale securities and associated hedges | 2,008 | (1,094 | ) | 1,452 | (416 | ) | |||||||||
Consolidated obligation bonds and associated hedges | (847 | ) | (269 | ) | 421 | (1,419 | ) | ||||||||
Total fair value hedge ineffectiveness | 1,531 | (1,735 | ) | 2,249 | (2,391 | ) | |||||||||
Total net gains (losses) on derivatives and hedging activities | 3,088 | (39 | ) | 4,876 | 2,538 | ||||||||||
Net gains (losses) on unhedged trading securities | (104 | ) | (122 | ) | 240 | 60 | |||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | — | (146 | ) | — | (360 | ) | |||||||||
Gains on other liabilities carried at fair value under the fair value option (optional advance commitments) | — | 1,223 | — | 2,365 | |||||||||||
Service fees | 764 | 757 | 1,316 | 1,276 | |||||||||||
Letter of credit fees | 1,141 | 1,170 | 2,305 | 2,399 | |||||||||||
Other, net | (3 | ) | (193 | ) | (25 | ) | (199 | ) | |||||||
Total other | 1,798 | 2,689 | 3,836 | 5,541 | |||||||||||
Total other income | $ | 4,886 | $ | 2,650 | $ | 8,712 | $ | 8,079 |
Up 200 Basis Points(1) | Down 200 Basis Points(2) | Up 100 Basis Points(1) | Down 100 Basis Points(2) | ||||||||||||||||||||||||||||
Base Case Market Value of Equity | Estimated Market Value of Equity | Percentage Change from Base Case | Estimated Market Value of Equity | Percentage Change from Base Case | Estimated Market Value of Equity | Percentage Change from Base Case | Estimated Market Value of Equity | Percentage Change from Base Case | |||||||||||||||||||||||
December 2012 | $ | 1.927 | $ | 1.868 | (3.06 | )% | $ | 1.983 | 2.91 | % | $ | 1.903 | (1.25 | )% | $ | 1.961 | 1.76 | % | |||||||||||||
January 2013 | 1.707 | 1.629 | (4.57 | )% | 1.765 | 3.40 | % | 1.675 | (1.87 | )% | 1.736 | 1.70 | % | ||||||||||||||||||
February 2013 | 1.817 | 1.725 | (5.06 | )% | 1.878 | 3.36 | % | 1.778 | (2.15 | )% | 1.850 | 1.82 | % | ||||||||||||||||||
March 2013 | 1.852 | 1.748 | (5.62 | )% | 1.916 | 3.46 | % | 1.809 | (2.32 | )% | 1.887 | 1.89 | % | ||||||||||||||||||
April 2013 | 1.747 | 1.655 | (5.27 | )% | 1.807 | 3.43 | % | 1.709 | (2.18 | )% | 1.784 | 2.12 | % | ||||||||||||||||||
May 2013 | 1.821 | 1.692 | (7.08 | )% | 1.897 | 4.17 | % | 1.764 | (3.13 | )% | 1.858 | 2.03 | % | ||||||||||||||||||
June 2013 | 1.888 | 1.722 | (8.79 | )% | 1.979 | 4.82 | % | 1.812 | (4.03 | )% | 1.932 | 2.33 | % |
(1) | In the up 100 and up 200 basis point scenarios, the estimated market value of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates. |
(2) | Pursuant to guidance issued by the Finance Agency, the estimated market value of equity is calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates, subject to a floor of 0.35 percent. |
Base Case Interest Rates | Duration of Equity | ||||||||||||||
Asset Duration | Liability Duration | Duration Gap | Duration of Equity | Up 100(1) | Up 200(1) | Down 100(2) | Down 200(2) | ||||||||
December 2012 | 0.47 | (0.40) | 0.07 | 1.56 | 1.87 | 2.54 | 3.39 | 3.41 | |||||||
January 2013 | 0.48 | (0.41) | 0.07 | 1.62 | 2.69 | 3.74 | 3.79 | 3.93 | |||||||
February 2013 | 0.53 | (0.44) | 0.09 | 1.96 | 2.97 | 3.93 | 4.15 | 4.25 | |||||||
March 2013 | 0.55 | (0.46) | 0.09 | 1.93 | 3.29 | 4.33 | 4.37 | 4.44 | |||||||
April 2013 | 0.54 | (0.45) | 0.09 | 1.96 | 3.15 | 4.12 | 4.66 | 4.64 | |||||||
May 2013 | 0.57 | (0.43) | 0.14 | 2.62 | 4.02 | 5.11 | 4.03 | 4.48 | |||||||
June 2013 | 0.56 | (0.35) | 0.21 | 3.97 | 4.92 | 6.11 | 3.08 | 4.60 |
(1) | In the up 100 and up 200 scenarios, the duration of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates. |
(2) | Pursuant to guidance issued by the Finance Agency, the duration of equity was calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates, subject to a floor of 0.35 percent. |
31.1 | Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
31.2 | Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
32.1 | Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
101 | The following materials from the Bank’s quarterly report on Form 10-Q for the quarterly period ended June 30, 2013, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of June 30, 2013 and December 31, 2012, (ii) Statements of Income for the Three and Six Months Ended June 30, 2013 and 2012, (iii) Statements of Comprehensive Income (Loss) for the Three and Six Months Ended June 30, 2013 and 2012, (iv) Statements of Capital for the Six Months Ended June 30, 2013 and 2012, (v) Statements of Cash Flows for the Six Months Ended June 30, 2013 and 2012, and (vi) Notes to the Financial Statements for the quarter ended June 30, 2013. | |
Pursuant to Rule 406T of Regulation S-T, the XBRL-related information in Exhibit 101 attached hereto is being furnished and shall not be deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), or otherwise subject to the liability of that section, and shall not be incorporated by reference into any registration statement or other document filed under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing. |
Federal Home Loan Bank of Dallas | ||
August 12, 2013 | By | /s/ Michael Sims |
Date | Michael Sims | |
Chief Operating Officer, Executive Vice President — Finance and Chief Financial Officer (Principal Financial Officer) | ||
August 12, 2013 | By | /s/ Tom Lewis |
Date | Tom Lewis | |
Senior Vice President and Chief Accounting Officer (Principal Accounting Officer) |
31.1 | Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
31.2 | Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
32.1 | Certification of principal executive officer and principal financial officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
101 | The following materials from the Bank’s quarterly report on Form 10-Q for the quarterly period ended June 30, 2013, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of June 30, 2013 and December 31, 2012, (ii) Statements of Income for the Three and Six Months Ended June 30, 2013 and 2012, (iii) Statements of Comprehensive Income (Loss) for the Three and Six Months Ended June 30, 2013 and 2012, (iv) Statements of Capital for the Six Months Ended June 30, 2013 and 2012, (v) Statements of Cash Flows for the Six Months Ended June 30, 2013 and 2012, and (vi) Notes to the Financial Statements for the quarter ended June 30, 2013. | |
Pursuant to Rule 406T of Regulation S-T, the XBRL-related information in Exhibit 101 attached hereto is being furnished and shall not be deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liability of that section, and shall not be incorporated by reference into any registration statement or other document filed under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such filing. |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Dallas; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
/s/ Terry Smith |
Terry Smith |
President and Chief Executive Officer |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Dallas; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
5. | The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
/s/ Michael Sims |
Michael Sims |
Chief Operating Officer, Executive Vice President — Finance and Chief Financial 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. |
/s/ Terry Smith | /s/ Michael Sims | |
Terry Smith President and Chief Executive Officer | Michael Sims Chief Operating Officer, Executive Vice President - Finance and Chief Financial Officer | |
August 12, 2013 | August 12, 2013 |
Assets and Liabilities Subject to Offsetting
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets and Liabilities Subject to Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets and Liabilities Subject to Offsetting [Text Block] | Assets and Liabilities Subject to Offsetting The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement (including any cash collateral remitted to or received from the counterparty). The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of June 30, 2013 or December 31, 2012. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $100,000 to $500,000) are met. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions. The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of June 30, 2013 and December 31, 2012, based on the terms of the Bank's master netting arrangements (in thousands).
_____________________________
|
Employee Retirement Plans (Details) (Other Postretirement Benefit Plans, Defined Benefit [Member], USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Other Postretirement Benefit Plans, Defined Benefit [Member]
|
||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Service cost | $ 6 | $ 4 | $ 12 | $ 8 |
Interest cost | 22 | 23 | 44 | 45 |
Amortization of prior service credit | (4) | (9) | (8) | (18) |
Amortization of net actuarial gain | (6) | (9) | (12) | (17) |
Net periodic benefit cost | $ 18 | $ 9 | $ 36 | $ 18 |
Recently Issued Accounting Guidance
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Recently Issued Accounting Guidance [Abstract] | |
Description of New Accounting Pronouncements Not yet Adopted [Text Block] | Recently Issued Accounting Guidance Presentation of Comprehensive Income. On February 5, 2013, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2013-02 "Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income" ("ASU 2013-02"), which requires an entity to report, either on the face of the statement where net income is presented or in the notes, the effect of significant reclassifications out of accumulated other comprehensive income on the respective line items in net income if the amount being reclassified is required under U.S. GAAP to be reclassified in its entirety to net income. For other amounts that are not required under U.S. GAAP to be reclassified in their entirety to net income in the same reporting period, an entity is required to cross-reference other disclosures required under U.S. GAAP that provide additional detail about those amounts. The guidance in ASU 2013-02 is effective prospectively for fiscal years, and interim periods within those years, beginning after December 15, 2012 (January 1, 2013 for the Bank). The adoption of this guidance did not have any impact on the Bank’s results of operations or financial condition. The required disclosures are presented in Note 17. Disclosures about Offsetting Assets and Liabilities. On December 16, 2011, the FASB issued ASU 2011-11 "Disclosures about Offsetting Assets and Liabilities," which, as clarified, requires enhanced disclosures about derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset in the statement of financial position or subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset. This information is intended to enable users of an entity's financial statements to evaluate the effect or potential effect of netting arrangements on an entity's financial position, including the effect or potential effect of rights of setoff associated with these types of financial instruments. The eligibility criteria for offsetting are different in International Financial Reporting Standards ("IFRSs") and U.S. GAAP. For example, unlike IFRSs, U.S. GAAP allows entities the option to present net in their balance sheets derivatives that are subject to a legally enforceable netting arrangement with the same party where rights of setoff are only available in the event of default or bankruptcy. The new disclosure requirements allow investors to better compare financial statements prepared in accordance with IFRSs or U.S. GAAP and improve transparency in the reporting of how entities mitigate credit risk, including disclosure of related collateral pledged or received. The guidance is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods (January 1, 2013 for the Bank), and is to be applied retrospectively to all periods presented. The adoption of this guidance did not have any impact on the Bank’s results of operations or financial condition. The required disclosures are presented in Note 9. Asset Classification and Charge-offs. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, "Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention" ("AB 2012-02"). The guidance establishes a standard and uniform methodology for classifying assets and prescribes the timing of asset charge-offs, excluding investment securities. The guidance in AB 2012-02 is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The adoption of the accounting guidance in AB 2012-02, which is effective January 1, 2015, is not expected to have a significant impact on the Bank's results of operations or financial condition. Joint and Several Liability Arrangements. On February 28, 2013, the FASB issued ASU 2013-04 “Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date” (“ASU 2013-04”), which provides guidance for the recognition, measurement and disclosure of obligations resulting from joint and several liability arrangements for which the total amount of the obligation within the scope of the guidance is fixed at the reporting date. ASU 2013-04 requires an entity to measure these obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. ASU 2013-04 also requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. The guidance in ASU 2013-04 is effective for fiscal years, and interim periods within those years, beginning after December 15, 2013 (January 1, 2014 for the Bank) and is to be applied retrospectively to all prior periods presented. The adoption of this guidance will not have any impact on the Bank's financial condition or results of operations. |
Transactions with Other FHLBanks
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Other FHLBanks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Other FHLBanks [Text Block] | Transactions with Other FHLBanks Occasionally, the Bank loans (or borrows) short-term federal funds to (or from) other FHLBanks. During the six months ended June 30, 2013 and 2012, interest income from loans to other FHLBanks totaled $1,507 and $744, respectively. The following table summarizes the Bank’s loans to other FHLBanks during the six months ended June 30, 2013 and 2012 (in thousands).
During the six months ended June 30, 2013 and 2012, interest expense on borrowings from other FHLBanks totaled $292 and $611, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2013 and 2012 (in thousands).
The Bank has, from time to time, assumed the outstanding debt of another FHLBank rather than issue new debt. In connection with these transactions, the Bank becomes the primary obligor for the transferred debt. The Bank did not assume any debt from other FHLBanks during the six months ended June 30, 2013 or 2012. Occasionally, the Bank transfers debt to other FHLBanks. In connection with these transactions, the assuming FHLBank becomes the primary obligor for the transferred debt. The Bank did not transfer any debt to other FHLBanks during the six months ended June 30, 2013 or 2012. |
Commitments and Contingencies (Details) (USD $)
|
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 972,207,000 | $ 1,228,375,000 |
Other FHLBanks [Member]
|
||
Commitments and Contingencies [Line Items] | ||
Debt, Gross | 675,000,000,000 | |
Loan Origination Commitments [Member]
|
||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Asset | 35,663,000 | 77,212,000 |
Standby Letters of Credit [Member]
|
||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Asset | 2,999,341,000 | 2,947,267,000 |
Unsecured Debt [Member] | Unsecured Debt [Member]
|
||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 40,000,000 |
Derivatives and Hedging Activities
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Derivatives and Hedging Activities Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption, cap and forward rate agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives, nor is it currently a party to any swaptions or forward rate agreements. The Bank uses interest rate exchange agreements in two ways: either by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment or by designating the agreement as a hedge of some defined risk in the course of its balance sheet management (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs. The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or to act as an intermediary between its members and the Bank’s derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit. At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. This process includes linking all derivatives that are designated as fair value hedges to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges. Investments — The Bank has invested in agency and non-agency MBS, all of which are classified as held-to-maturity. The interest rate and prepayment risk associated with these investment securities is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some investment securities with either callable or non-callable consolidated obligations or interest rate exchange agreements, including caps and interest rate swaps. A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank has entered into interest rate cap agreements. These derivatives are treated as economic hedges. The Bank has also invested in agency and other highly rated debentures. Substantially all of the Bank's available-for-sale securities are fixed-rate debentures. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges. Advances — The Bank issues both fixed-rate and variable-rate advances. When appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed coupon and receives a variable coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates. A small portion of the Bank’s variable-rate advances are subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank generally enters into interest rate cap agreements. This type of hedge is treated as a fair value hedge. The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance. The Bank enters into optional advance commitments with its members. In an optional advance commitment, the Bank sells an option to the member that provides the member with the right to enter into an advance at a specified fixed rate and term on a specified future date, provided the member has satisfied all of the customary requirements for such advance. Optional advance commitments involving Community Investment Program (“CIP”) and Economic Development Program (“EDP”) advances with a commitment period of three months or less are currently provided at no cost to members. The Bank may hedge an optional advance commitment through the use of an interest rate swaption. In this case, the swaption will function as the hedging instrument for both the commitment and, if the option is exercised by the member, the subsequent advance. These swaptions are treated as economic hedges. Consolidated Obligations — While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances. To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate assets, typically one-month or three-month LIBOR. These transactions are treated as fair value hedges. On occasion, the Bank may enter into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s discount note hedging are treated as economic hedges. The Bank may also use interest rate exchange agreements to convert variable-rate consolidated obligation bonds from one index rate (e.g., the daily effective federal funds rate) to another index rate (e.g., one-month or three-month LIBOR); these transactions are treated as economic hedges. The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars. Balance Sheet Management — From time to time, the Bank may enter into interest rate basis swaps to reduce its exposure to changing spreads between one-month and three-month LIBOR. In addition, to reduce its exposure to reset risk, the Bank may occasionally enter into forward rate agreements. These derivatives are treated as economic hedges. Intermediation — The Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges. Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement (including any cash collateral remitted to or received from the counterparty). Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. Any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Net interest income/expense associated with derivatives that qualify for fair value hedge accounting under ASC 815 is recorded as a component of net interest income. An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value adjustments associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Cash flows associated with derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivatives contain an other-than-insignificant financing element, in which case the cash flows are reported as cash flows from financing activities. If hedging relationships meet certain criteria specified in ASC 815, they are eligible for hedge accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances. The Bank records the changes in fair value of the derivative and the hedged item beginning on the trade date. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment, the Bank will continue to carry the derivative on the statement of condition at its fair value, cease to adjust the hedged asset or liability for changes in fair value, and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing changes in the fair value of the derivative in current period earnings. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives at June 30, 2013 and December 31, 2012 (in thousands).
_____________________________
The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the statements of income for the three and six months ended June 30, 2013 and 2012 (in thousands).
The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in ASC 815 fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2013 and 2012 (in thousands).
_____________________________
Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Risk Management Policy and Finance Agency regulations. The Bank has transacted substantially all of its interest rate exchange agreements bilaterally with large financial institutions under master netting agreements. Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations. The notional amount of interest rate exchange agreements does not reflect the Bank’s credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on bilateral derivative agreements is presented in Note 9. Based on the netting provisions and collateral requirements of its master agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements. |
Assets and Liabilities Subject to Offsetting (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Offsetting Assets and Liabilities [Line Items] | ||||||||||||||
Derivative Asset, Fair Value, Subject to Master Netting Arrangement | $ 98,292 | $ 118,714 | ||||||||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (86,488) | [1] | (104,767) | [1] | ||||||||||
Offsetting Derivative Assets | 11,804 | [2] | 13,947 | |||||||||||
Derivative, Collateral, Obligation to Return Securities | (6,356) | [3],[4] | (10,583) | [3],[5] | ||||||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 5,448 | 3,364 | ||||||||||||
Securities Purchased under Agreements to Resell, Gross | 250,000 | 3,000,000 | ||||||||||||
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral | 0 | 0 | ||||||||||||
Securities Purchased under Agreements to Resell | 250,000 | 3,000,000 | ||||||||||||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | (250,000) | [3] | (3,000,000) | [3] | ||||||||||
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral | 0 | 0 | ||||||||||||
Offsetting Assets, Gross | 348,292 | 3,118,714 | ||||||||||||
Assets, Amounts Offset Against Collateral | (86,488) | (104,767) | ||||||||||||
Offsetting Assets, Total | 261,804 | 3,013,947 | ||||||||||||
Offsetting Assets, Collateral Not Offset in the Statement of Condition | (256,356) | [3] | (3,010,583) | [3] | ||||||||||
Offsetting Assets, Amount Not Offset Against Collateral | 5,448 | 3,364 | ||||||||||||
Derivative Liability, Fair Value, Subject to Master Netting Arrangement | 1,080,737 | 1,344,588 | ||||||||||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (1,058,391) | [1] | (1,333,320) | [1] | ||||||||||
Offsetting Derivative Liabilities | 22,346 | [2] | 11,268 | |||||||||||
Derivative, Collateral, Right to Reclaim Securities | 0 | [3] | 0 | [3] | ||||||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 22,346 | 11,268 | ||||||||||||
Derivative, Collateral, Right to Reclaim Cash | 972,207 | 1,228,375 | ||||||||||||
Non-member Counterparty [Member]
|
||||||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||||||
Derivative, Collateral, Obligation to Return Securities | 2,353 | 3,601 | ||||||||||||
Member Counterparties [Member]
|
||||||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||||||
Derivative, Collateral, Obligation to Return Securities | 4,003 | 6,982 | ||||||||||||
Exchange Cleared [Member]
|
||||||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||||||
Derivative Asset, Not Subject to Master Netting Arrangement | 52 | |||||||||||||
Derivative Liability, Not Subject to Master Netting Arrangement | 3 | |||||||||||||
Derivative, Collateral, Right to Reclaim Cash | $ 335 | |||||||||||||
|
Transactions with Other FHLBanks (Table)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Other FHLBanks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Loans to Other Federal Home Loan Banks [Table Text Block] | The following table summarizes the Bank’s loans to other FHLBanks during the six months ended June 30, 2013 and 2012 (in thousands).
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Loans from Other Federal Home Loan Banks [Table Text Block] | The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2013 and 2012 (in thousands).
|
Available-for-Sale Securities (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Major Security Types. Available-for-sale securities as of June 30, 2013 were as follows (in thousands):
Available-for-sale securities as of December 31, 2012 were as follows (in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member]
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of June 30, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at June 30, 2013 and December 31, 2012 are presented below (in thousands).
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | The following table provides interest rate payment terms for investment securities classified as available-for-sale at June 30, 2013 and December 31, 2012 (in thousands):
|
Basis of Presentation (Policies)
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Basis of Presentation [Abstract] | |
Loans and Leases Receivable, Nonaccrual Loan and Lease Status, Policy [Policy Text Block] | The Bank places a conventional mortgage loan on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on non-accrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on non-accrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on non-accrual status may be restored to accrual status when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) the loan otherwise becomes well secured and in the process of collection. A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Collateral-dependent loans that are on non-accrual status are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. A collateral-dependent loan is impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal and interest on the loan. Interest income on impaired loans is recognized in the same manner as it is for non-accrual loans noted above. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the recorded investment in the loan will not be recovered. |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement (including any cash collateral remitted to or received from the counterparty). |
Derivatives, Policy [Policy Text Block] | Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement (including any cash collateral remitted to or received from the counterparty). Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. Any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Net interest income/expense associated with derivatives that qualify for fair value hedge accounting under ASC 815 is recorded as a component of net interest income. An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value adjustments associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” Cash flows associated with derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivatives contain an other-than-insignificant financing element, in which case the cash flows are reported as cash flows from financing activities. If hedging relationships meet certain criteria specified in ASC 815, they are eligible for hedge accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances. The Bank records the changes in fair value of the derivative and the hedged item beginning on the trade date. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment, the Bank will continue to carry the derivative on the statement of condition at its fair value, cease to adjust the hedged asset or liability for changes in fair value, and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing changes in the fair value of the derivative in current period earnings. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. |
Derivatives, Embedded Derivatives [Policy Text Block] | The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. |
Derivatives and Hedging Activities (Tables)
|
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives at June 30, 2013 and December 31, 2012 (in thousands).
_____________________________
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the statements of income for the three and six months ended June 30, 2013 and 2012 (in thousands).
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in ASC 815 fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2013 and 2012 (in thousands).
_____________________________
|
Consolidated Obligations (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at June 30, 2013 and December 31, 2012 (in thousands, at par value).
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s consolidated obligation bonds outstanding at June 30, 2013 and December 31, 2012, by contractual maturity (dollars in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Consolidated Obligation Bonds by Call Feature [Table Text Block] | At June 30, 2013 and December 31, 2012, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Consolidated Obligation Bonds by Contractual Maturity or Next Call Date [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding at June 30, 2013 and December 31, 2012, by the earlier of contractual maturity or next possible call date (in thousands, at par value):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Short-term Debt [Table Text Block] | At June 30, 2013 and December 31, 2012, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):
|
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
|
Dec. 31, 2012
|
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 4,940,615 | $ 5,241,312 |
Collateralized Mortgage Backed Securities [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 4,905,142 | 5,202,553 |
Fixed Interest Rate [Member] | Mortgage Passthrough Securities [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 416 | 454 |
Fixed Interest Rate [Member] | Collateralized Mortgage Obligations [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 943 | 1,050 |
Adjustable Interest Rate [Member] | Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 35,473 | 38,759 |
Adjustable Interest Rate [Member] | Collateralized Mortgage Obligations [Member]
|
||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 4,903,783 | $ 5,201,049 |
Accumulated Other Comprehensive Income (Loss)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table presents the changes in the components of accumulated other comprehensive income (loss) for the three and six months ended June 30, 2013 and 2012 (in thousands).
_____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |
Statements of Capital (Unaudited) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
Beginning balance | $ 1,770,634 | $ 1,704,835 | ||
Proceeds from sale of capital stock | 473,672 | 305,920 | ||
Repurchase/redemption of capital stock | (536,229) | (358,560) | ||
Shares reclassified from (to) mandatorily redeemable capital stock | 246 | (926) | ||
Comprehensive income | ||||
Net income | 22,091 | 22,507 | 40,201 | 46,775 |
Other comprehensive income (loss) | (40,586) | (5,201) | (15,623) | 837 |
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Cash | (87) | (89) | ||
Mandatorily redeemable capital stock | (5) | |||
Ending balance | 1,732,814 | 1,698,787 | 1,732,814 | 1,698,787 |
Capital Stock Class B - Putable, Shares
|
||||
Beginning balance, shares | 12,170 | 12,557 | ||
Proceeds from sale of capital stock, shares | 4,736 | 3,059 | ||
Repurchase/redemption of capital stock, shares | (5,362) | (3,585) | ||
Shares reclassified from (to) mandatorily redeemable capital stock, shares | 3 | (9) | ||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Stock, shares | 21 | 22 | ||
Ending balance, shares | 11,568 | 12,044 | 11,568 | 12,044 |
Capital Stock Class B - Putable, Par Value
|
||||
Beginning balance | 1,216,986 | 1,255,793 | ||
Proceeds from sale of capital stock | 473,672 | 305,920 | ||
Repurchase/redemption of capital stock | (536,229) | (358,560) | ||
Shares reclassified from (to) mandatorily redeemable capital stock | 246 | (926) | ||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Stock | 2,106 | 2,214 | ||
Ending balance | 1,156,781 | 1,204,441 | 1,156,781 | 1,204,441 |
Retained Earnings
|
||||
Beginning balance | 571,893 | 494,657 | ||
Comprehensive income | ||||
Net income | 40,201 | 46,775 | ||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Cash | (87) | (89) | ||
Mandatorily redeemable capital stock | (5) | |||
Stock | (2,106) | (2,214) | ||
Ending balance | 609,901 | 539,124 | 609,901 | 539,124 |
Retained Earnings, Restricted
|
||||
Beginning balance | 22,276 | 5,918 | ||
Comprehensive income | ||||
Net income | 8,040 | 9,355 | ||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Ending balance | 30,316 | 15,273 | 30,316 | 15,273 |
Retained Earnings, Unrestricted
|
||||
Beginning balance | 549,617 | 488,739 | ||
Comprehensive income | ||||
Net income | 32,161 | 37,420 | ||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Cash | (87) | (89) | ||
Mandatorily redeemable capital stock | (5) | |||
Stock | (2,106) | (2,214) | ||
Ending balance | 579,585 | 523,851 | 579,585 | 523,851 |
Accumulated Other Comprehensive Income (Loss)
|
||||
Beginning balance | (18,245) | (45,615) | ||
Comprehensive income | ||||
Other comprehensive income (loss) | (15,623) | 837 | ||
Dividends on capital stock (at 0.375 percent annualized rate) | ||||
Ending balance | $ (33,868) | $ (44,778) | $ (33,868) | $ (44,778) |
Statements of Cash Flows (Unaudited) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |
---|---|---|
Jun. 30, 2013
|
Jun. 30, 2012
|
|
OPERATING ACTIVITIES | ||
Net income | $ 40,201 | $ 46,775 |
Depreciation and amortization | ||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 15,453 | 22,119 |
Concessions on consolidated obligation bonds | 962 | 2,306 |
Premises, equipment and computer software costs | 2,611 | 3,370 |
Non-cash interest on mandatorily redeemable capital stock | 7 | 17 |
Credit component of other-than-temporary impairment losses on held-to-maturity securities | 0 | 360 |
Unrealized gains on other liabilities carried at fair value under the fair value option | 0 | (2,365) |
Net increase in trading securities | (1,000) | (942) |
Loss due to change in net fair value adjustment on derivative and hedging activities | 35,625 | 47,179 |
Decrease (increase) in accrued interest receivable | 4,401 | (2,498) |
Decrease in other assets | 465 | 1,631 |
Increase (decrease) in Affordable Housing Program (AHP) liability | 1,055 | (1,829) |
Increase (decrease) in accrued interest payable | (404) | 1,128 |
Decrease in other liabilities | (1,168) | (7,344) |
Total adjustments | 58,007 | 63,132 |
Net cash provided by operating activities | 98,208 | 109,907 |
INVESTING ACTIVITIES | ||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | 256,138 | (527,539) |
Net decrease (increase) in securities purchased under agreements to resell | 2,750,000 | (500,000) |
Net decrease in federal funds sold | 699,000 | 72,000 |
Decrease in loan to other FHLBank | 0 | 35,000 |
Purchases of available-for-sale securities | 0 | (775,047) |
Proceeds from maturities of long-term held-to-maturity securities | 969,022 | 983,589 |
Purchases of long-term held-to-maturity securities | (657,590) | 0 |
Principal collected on advances | 216,166,949 | 216,172,324 |
Advances made | (216,294,710) | (216,581,856) |
Principal collected on mortgage loans held for portfolio | 16,867 | 22,112 |
Purchases of premises, equipment and computer software | (870) | (1,762) |
Net cash provided by (used in) investing activities | 3,904,806 | (1,101,179) |
FINANCING ACTIVITIES | ||
Net decrease in deposits, including swap collateral held | (96,264) | (375,094) |
Net payments on derivative contracts with financing elements | (97,572) | (15,187) |
Net proceeds from issuance of consolidated obligations | ||
Discount notes | 129,071,395 | 163,537,474 |
Bonds | 3,312,134 | 12,939,158 |
Debt issuance costs | (665) | (1,649) |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (128,485,119) | (163,827,950) |
Bonds | (6,667,500) | (10,906,405) |
Proceeds from issuance of capital stock | 473,672 | 305,920 |
Proceeds from issuance of mandatorily redeemable capital stock | 18 | 0 |
Payments for redemption of mandatorily redeemable capital stock | (54) | (11,037) |
Payments for repurchase/redemption of capital stock | (536,229) | (358,560) |
Cash dividends paid | (87) | (89) |
Net cash provided by (used in) financing activities | (3,026,271) | 1,286,581 |
Net increase in cash and cash equivalents | 976,743 | 295,309 |
Cash and cash equivalents at beginning of the period | 920,780 | 1,152,467 |
Cash and cash equivalents at end of the period | 1,897,523 | 1,447,776 |
Supplemental Disclosures: | ||
Interest paid | 78,073 | 85,772 |
AHP payments, net | 3,413 | 7,028 |
Stock dividends issued | 2,106 | 2,214 |
Dividends paid through issuance of mandatorily redeemable capital stock | 0 | 5 |
Capital stock reclassified to (from) mandatorily redeemable capital stock | $ (246) | $ 926 |
Available-for-Sale Securities
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities Disclosure [Text Block] | Available-for-Sale Securities Major Security Types. Available-for-sale securities as of June 30, 2013 were as follows (in thousands):
Available-for-sale securities as of December 31, 2012 were as follows (in thousands):
Other debentures are fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures is guaranteed by an agency of the U.S. government. The amortized cost of the Bank's available-for-sale securities includes hedging adjustments. The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of June 30, 2013. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of December 31, 2012. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
At June 30, 2013, the gross unrealized losses on the Bank’s available-for-sale securities were $5,571,000. All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by government-sponsored enterprises (“GSEs”), or fully secured by collateral that is guaranteed by the U.S government. As of June 30, 2013, the U.S. government and the issuers of the Bank’s holdings of GSE debentures were rated triple-A by Moody’s Investors Service (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”) and AA+ by Standard and Poor’s (“S&P”). The Bank's holdings of other debentures were rated Aaa by Moody's and AA+ by S&P at that date; the other debentures are not rated by Fitch. Based upon the Bank's assessment of the strength of the government guaranty, the Bank expects that the U.S. government-guaranteed debenture that was in an unrealized loss position at June 30, 2013 would not be settled at an amount less than the Bank's amortized cost basis in the investment. In addition, based upon the Bank’s assessment of the creditworthiness of the issuers of the GSE debentures and the credit ratings assigned by each of the nationally recognized statistical rating organizations (“NRSROs”), the Bank expects that its holdings of GSE debentures that were in an unrealized loss position at June 30, 2013 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Further, based on the creditworthiness of the issuer of the Bank's holdings of other debentures, the U.S. government's guaranty of the payment of principal and interest on the collateral securing those debentures, and the guaranty of the payment of interest on the debentures by an agency of the U.S. government, the Bank expects that its holdings of other debentures that were in an unrealized loss position at June 30, 2013 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases, the Bank does not consider any of these investments to be other-than-temporarily impaired at June 30, 2013. Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at June 30, 2013 and December 31, 2012 are presented below (in thousands).
Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as available-for-sale at June 30, 2013 and December 31, 2012 (in thousands):
At June 30, 2013 and December 31, 2012, all of the Bank's fixed-rate available-for-sale securities were swapped to a variable rate. |
Basis of Presentation
|
6 Months Ended |
---|---|
Jun. 30, 2013
|
|
Basis of Presentation [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period. The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2012. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2012 filed with the SEC on March 25, 2013 (the “2012 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2012 10-K. The Bank is one of 12 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks and the Office of Finance. Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant assumptions include those that are used by the Bank in its periodic evaluation of its holdings of non-agency residential mortgage-backed securities for other-than-temporary impairment (“OTTI”). Significant estimates include the valuations of the Bank’s investment securities, as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates. |
Held-to-Maturity Securities (Details) (USD $)
In Thousands, unless otherwise specified |
Jun. 30, 2013
position
|
Dec. 31, 2012
position
|
||||
---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 4,940,615 | $ 5,241,312 | ||||
Other Than Temporarily Impaired Losses, Non Credit Losses, Held-to-maturity Securities | 37,337 | 41,437 | ||||
Held-to-maturity securities | 4,903,278 | [1] | 5,199,875 | [1] | ||
Held-to-maturity Securities, Unrecognized Holding Gain | 75,669 | 84,536 | ||||
Held-to-maturity Securities, Unrecognized Holding Loss | 1,214 | 446 | ||||
Held-to-maturity Securities, Fair Value | 4,977,733 | 5,283,965 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | 16 | 5 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 755,811 | 27,577 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | 923 | 9 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | 42 | 45 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 295,063 | 350,622 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | 23,407 | 35,597 | ||||
Held-to-maturity, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 58 | 50 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 1,050,874 | 378,199 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Aggregate Losses | 24,330 | 35,606 | ||||
US Government Agencies Debt Securities [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 35,473 | 38,759 | ||||
Other Than Temporarily Impaired Losses, Non Credit Losses, Held-to-maturity Securities | 0 | 0 | ||||
Held-to-maturity securities | 35,473 | 38,759 | ||||
Held-to-maturity Securities, Unrecognized Holding Gain | 143 | 176 | ||||
Held-to-maturity Securities, Unrecognized Holding Loss | 71 | 175 | ||||
Held-to-maturity Securities, Fair Value | 35,545 | 38,760 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | 0 | 0 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 0 | 0 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | 0 | 0 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | 2 | 2 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 17,111 | 17,874 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | 71 | 175 | ||||
Held-to-maturity, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 2 | 2 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 17,111 | 17,874 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Aggregate Losses | 71 | 175 | ||||
Held To Maturity Securities Other Than Mortgage Backed Securities [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held To Maturity Securities Debt Maturities Within One Year Amortized Cost | 0 | 503 | ||||
Held-to-maturity Securities, Debt Maturities, within One Year, Net Carrying Amount | 0 | 503 | ||||
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 0 | 505 | ||||
Held To Maturity Securities Debt Maturities After One Through Five Years Amortized Cost | 15,539 | 10,331 | ||||
Held-to-maturity Securities, Debt Maturities, after One Through Five Years, Net Carrying Amount | 15,539 | 10,331 | ||||
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 15,664 | 10,423 | ||||
Held To Maturity Securities Debt Maturities After Five Through Ten Years Amortized Cost | 11,734 | 19,355 | ||||
Held-to-maturity Securities, Debt Maturities, after Five Through Ten Years, Net Carrying Amount | 11,734 | 19,355 | ||||
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 11,713 | 19,364 | ||||
Held To Maturity Securities Debt Maturities After Ten Years Amortized Cost | 8,200 | 8,570 | ||||
Held-to-maturity Securities, Debt Maturities, after Ten Years, Net Carrying Amount | 8,200 | 8,570 | ||||
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 8,168 | 8,468 | ||||
Held To Maturity Securities Debt Maturities Amortized Cost | 35,473 | 38,759 | ||||
Held-to-maturity Securities, Debt Maturities, Net Carrying Amount | 35,473 | 38,759 | ||||
Held-to-maturity Securities, Debt Maturities, Fair Value | 35,545 | 38,760 | ||||
Mortgage Backed Securities, US Government Guaranteed [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 11,493 | 12,973 | ||||
Other Than Temporarily Impaired Losses, Non Credit Losses, Held-to-maturity Securities | 0 | 0 | ||||
Held-to-maturity securities | 11,493 | 12,973 | ||||
Held-to-maturity Securities, Unrecognized Holding Gain | 63 | 60 | ||||
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | ||||
Held-to-maturity Securities, Fair Value | 11,556 | 13,033 | ||||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 4,674,305 | 4,947,206 | ||||
Other Than Temporarily Impaired Losses, Non Credit Losses, Held-to-maturity Securities | 0 | 0 | ||||
Held-to-maturity securities | 4,674,305 | 4,947,206 | ||||
Held-to-maturity Securities, Unrecognized Holding Gain | 61,242 | 78,023 | ||||
Held-to-maturity Securities, Unrecognized Holding Loss | 1,143 | 271 | ||||
Held-to-maturity Securities, Fair Value | 4,734,404 | 5,024,958 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | 15 | 5 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 738,108 | 27,577 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | 886 | 9 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | 11 | 13 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 99,427 | 125,534 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | 257 | 262 | ||||
Held-to-maturity, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 26 | 18 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 837,535 | 153,111 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Aggregate Losses | 1,143 | 271 | ||||
Private Label Residential Mortgage Backed Securities [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 219,344 | 242,374 | ||||
Other Than Temporarily Impaired Losses, Non Credit Losses, Held-to-maturity Securities | 37,337 | 41,437 | ||||
Held-to-maturity securities | 182,007 | 200,937 | ||||
Held-to-maturity Securities, Unrecognized Holding Gain | 14,221 | 6,277 | ||||
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | ||||
Held-to-maturity Securities, Fair Value | 196,228 | 207,214 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | 1 | 0 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 17,703 | 0 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | 37 | 0 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | 29 | 30 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 178,525 | 207,214 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | 23,079 | 35,160 | ||||
Held-to-maturity, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 30 | 30 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 196,228 | 207,214 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Aggregate Losses | 23,116 | 35,160 | ||||
Collateralized Mortgage Backed Securities [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 4,905,142 | 5,202,553 | ||||
Other Than Temporarily Impaired Losses, Non Credit Losses, Held-to-maturity Securities | 37,337 | 41,437 | ||||
Held-to-maturity securities | 4,867,805 | 5,161,116 | ||||
Held-to-maturity Securities, Unrecognized Holding Gain | 75,526 | 84,360 | ||||
Held-to-maturity Securities, Unrecognized Holding Loss | 1,143 | 271 | ||||
Held-to-maturity Securities, Fair Value | 4,942,188 | 5,245,205 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | 16 | 5 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 755,811 | 27,577 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | 923 | 9 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | 40 | 43 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 277,952 | 332,748 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | 23,336 | 35,422 | ||||
Held-to-maturity, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 56 | 48 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 1,033,763 | 360,325 | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Aggregate Losses | 24,259 | 35,431 | ||||
Held-to-maturity Securities, Premium (Discounts), Net | (41,981) | (52,608) | ||||
US Treasury and Government [Member]
|
||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Aggregate Losses | $ 1,214 | |||||
|
Held-to-Maturity Securities (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-maturity Securities [Table Text Block] | Held-to-maturity securities as of June 30, 2013 were as follows (in thousands):
Held-to-maturity securities as of December 31, 2012 were as follows (in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Projected Annualized Home Price Recovery Rates [Table Text Block] | Under those recovery paths, home prices were projected to increase as set forth in the table below.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents a rollforward for the three and six months ended June 30, 2013 and 2012 of the amount related to credit losses on the Bank’s non-agency RMBS holdings for which a portion of an other-than-temporary impairment was recognized in other comprehensive income (loss) (in thousands).
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member]
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of June 30, 2013. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income (loss) and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential mortgage-backed securities, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of December 31, 2012. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income (loss) and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential mortgage-backed securities, gross unrecognized holding gains) and are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities [Table Text Block] | The following table sets forth additional information for each of the securities that was deemed to be other-than-temporarily impaired in a prior period (in thousands). All of the Bank’s non-agency RMBS are rated by Moody’s, S&P and/or Fitch. The credit ratings presented in the table represent the lowest rating assigned to the security by any of these NRSROs as of June 30, 2013.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at June 30, 2013 and December 31, 2012 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | The following table provides interest rate payment terms for investment securities classified as held-to-maturity at June 30, 2013 and December 31, 2012 (in thousands):
|
Affordable Housing Program ("AHP") (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program (“AHP”) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | The following table summarizes the changes in the Bank’s AHP liability during the six months ended June 30, 2013 and 2012 (in thousands):
|
Estimated Fair Values (Tables)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2013
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping and Hierarchy [Table Text Block] | The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at June 30, 2013 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE
___________________________
The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2012 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE
___________________________
|
Estimated Fair Values (Narrative) (Details) (USD $)
|
Dec. 31, 2012
|
---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Optional Advance Commitments Excluding Commitments to Fund CIP and EDP Advances | $ 50,000,000 |
Other Liabilities [Member]
|
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Fair Value, Option, Ineligible Items, Aggregate Carrying Amount | $ 25,085,000 |