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 | Emerging growth 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 |
September 30, 2017 | December 31, 2016 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 147,528 | $ | 27,696 | |||
Interest-bearing deposits | 327 | 255 | |||||
Securities purchased under agreements to resell (Note 10) | 2,300,000 | 3,100,000 | |||||
Federal funds sold | 9,830,000 | 6,242,000 | |||||
Trading securities (Note 3) | 114,547 | 111,638 | |||||
Available-for-sale securities (Notes 4, 10 and 15) ($565,892 and $613,351 pledged at September 30, 2017 and December 31, 2016, respectively, which could be rehypothecated) | 14,978,247 | 13,175,933 | |||||
Held-to-maturity securities (a) (Note 5) | 2,032,355 | 2,499,595 | |||||
Advances (Notes 6 and 7) | 36,287,884 | 32,506,175 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses of $141 at both September 30, 2017 and December 31, 2016, respectively (Note 7) | 576,806 | 123,961 | |||||
Loan to other FHLBank (Note 17) | — | 290,000 | |||||
Accrued interest receivable | 112,555 | 87,977 | |||||
Premises and equipment, net | 17,353 | 17,972 | |||||
Derivative assets (Notes 10 and 11) | 43,043 | 15,637 | |||||
Other assets | 9,238 | 13,238 | |||||
TOTAL ASSETS | $ | 66,449,883 | $ | 58,212,077 | |||
LIABILITIES AND CAPITAL | |||||||
Deposits | |||||||
Interest-bearing | $ | 996,127 | $ | 1,040,139 | |||
Non-interest bearing | 19 | 19 | |||||
Total deposits | 996,146 | 1,040,158 | |||||
Consolidated obligations (Note 8) | |||||||
Discount notes | 31,438,766 | 26,941,782 | |||||
Bonds | 30,060,229 | 26,997,487 | |||||
Total consolidated obligations | 61,498,995 | 53,939,269 | |||||
Loan from other FHLBank (Note 17) | 250,000 | — | |||||
Mandatorily redeemable capital stock | 7,032 | 3,417 | |||||
Accrued interest payable | 67,680 | 43,274 | |||||
Affordable Housing Program (Note 9) | 29,556 | 22,871 | |||||
Derivative liabilities (Notes 10 and 11) | 14,337 | 14,343 | |||||
Other liabilities (Note 4) | 297,552 | 331,403 | |||||
Total liabilities | 63,161,298 | 55,394,735 | |||||
Commitments and contingencies (Notes 7 and 15) | |||||||
CAPITAL (Note 12) | |||||||
Capital stock | |||||||
Capital stock — Class B-1 putable ($100 par value) issued and outstanding shares: 8,062,143 and 6,904,110 shares at September 30, 2017 and December 31, 2016, respectively | 806,214 | 690,411 | |||||
Capital stock — Class B-2 putable ($100 par value) issued and outstanding shares: 14,006,005 and 12,397,371 shares at September 30, 2017 and December 31, 2016, respectively | 1,400,601 | 1,239,737 | |||||
Total Class B Capital Stock | 2,206,815 | 1,930,148 | |||||
Retained earnings | |||||||
Unrestricted | 818,251 | 745,104 | |||||
Restricted | 102,663 | 78,880 | |||||
Total retained earnings | 920,914 | 823,984 | |||||
Accumulated other comprehensive income (Note 18) | 160,856 | 63,210 | |||||
Total capital | 3,288,585 | 2,817,342 | |||||
TOTAL LIABILITIES AND CAPITAL | $ | 66,449,883 | $ | 58,212,077 |
(a) | Fair values: $2,057,431 and $2,514,512 at September 30, 2017 and December 31, 2016, respectively. |
For the Three Months Ended | For the Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
INTEREST INCOME | ||||||||||||||||
Advances | $ | 123,268 | $ | 56,830 | $ | 294,405 | $ | 152,180 | ||||||||
Prepayment fees on advances, net | 366 | 2,160 | 1,310 | 3,502 | ||||||||||||
Interest-bearing deposits | 697 | 1,012 | 1,635 | 2,531 | ||||||||||||
Securities purchased under agreements to resell | 1,963 | 2,593 | 3,685 | 4,758 | ||||||||||||
Federal funds sold | 25,748 | 5,535 | 56,073 | 14,737 | ||||||||||||
Trading securities | 581 | 579 | 1,729 | 2,336 | ||||||||||||
Available-for-sale securities | 64,171 | 36,347 | 169,756 | 92,170 | ||||||||||||
Held-to-maturity securities | 9,557 | 7,393 | 27,220 | 22,721 | ||||||||||||
Mortgage loans held for portfolio | 4,502 | 813 | 8,462 | 2,377 | ||||||||||||
Total interest income | 230,853 | 113,262 | 564,275 | 297,312 | ||||||||||||
INTEREST EXPENSE | ||||||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 88,201 | 36,086 | 226,548 | 96,681 | ||||||||||||
Discount notes | 77,612 | 31,916 | 153,947 | 80,752 | ||||||||||||
Deposits | 2,463 | 586 | 6,838 | 1,641 | ||||||||||||
Mandatorily redeemable capital stock | 40 | 6 | 91 | 23 | ||||||||||||
Other borrowings | 45 | — | 99 | — | ||||||||||||
Total interest expense | 168,361 | 68,594 | 387,523 | 179,097 | ||||||||||||
NET INTEREST INCOME | 62,492 | 44,668 | 176,752 | 118,215 | ||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||
Total other-than-temporary impairment losses on held-to-maturity securities | — | — | — | (310 | ) | |||||||||||
Net non-credit impairment losses on held-to-maturity securities recognized in other comprehensive income | — | (8 | ) | — | 290 | |||||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | — | (8 | ) | — | (20 | ) | ||||||||||
Net gains (losses) on trading securities | 296 | (797 | ) | 2,344 | 9,133 | |||||||||||
Net gains (losses) on derivatives and hedging activities | 345 | 197 | 5,974 | (20,563 | ) | |||||||||||
Realized gains on sales of held-to-maturity securities | 2,093 | 65 | 3,983 | 794 | ||||||||||||
Realized gains on sales of available-for-sale securities | — | 889 | 1,837 | 5,104 | ||||||||||||
Letter of credit fees | 2,061 | 1,430 | 5,454 | 4,275 | ||||||||||||
Other, net | 668 | 629 | 2,318 | 1,979 | ||||||||||||
Total other income | 5,463 | 2,405 | 21,910 | 702 | ||||||||||||
OTHER EXPENSE | ||||||||||||||||
Compensation and benefits | 12,551 | 14,468 | 38,722 | 38,069 | ||||||||||||
Other operating expenses | 6,640 | 6,788 | 18,352 | 17,970 | ||||||||||||
Finance Agency | 834 | 630 | 2,554 | 2,004 | ||||||||||||
Office of Finance | 1,088 | 842 | 2,693 | 2,322 | ||||||||||||
Discretionary grants and donations | 2,065 | 592 | 3,277 | 1,541 | ||||||||||||
Derivative clearing fees | 313 | 280 | 927 | 786 | ||||||||||||
Total other expense | 23,491 | 23,600 | 66,525 | 62,692 | ||||||||||||
INCOME BEFORE ASSESSMENTS | 44,464 | 23,473 | 132,137 | 56,225 | ||||||||||||
Affordable Housing Program assessment | 4,451 | 2,348 | 13,223 | 5,625 | ||||||||||||
NET INCOME | $ | 40,013 | $ | 21,125 | $ | 118,914 | $ | 50,600 |
For the Three Months Ended | For the Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
NET INCOME | $ | 40,013 | $ | 21,125 | $ | 118,914 | $ | 50,600 | ||||||||
OTHER COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | 27,278 | 97,845 | 101,518 | 92,381 | ||||||||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | — | (889 | ) | (1,837 | ) | (5,104 | ) | |||||||||
Unrealized gains (losses) on cash flow hedges | (917 | ) | 2,147 | (6,668 | ) | (12,980 | ) | |||||||||
Reclassification adjustment for losses on cash flow hedges included in net income | 491 | 990 | 1,927 | 2,570 | ||||||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | — | — | (302 | ) | |||||||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | — | 8 | — | 12 | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 822 | 1,076 | 2,752 | 3,505 | ||||||||||||
Postretirement benefit plan | ||||||||||||||||
Amortization of prior service cost included in net periodic benefit cost | 5 | 5 | 15 | 15 | ||||||||||||
Amortization of net actuarial gain included in net periodic benefit cost | (9 | ) | (25 | ) | (61 | ) | (74 | ) | ||||||||
Total other comprehensive income | 27,670 | 101,157 | 97,646 | 80,023 | ||||||||||||
TOTAL COMPREHENSIVE INCOME | $ | 67,683 | $ | 122,282 | $ | 216,560 | $ | 130,623 |
Capital Stock Class B-1 - Putable (Membership/Excess) | Capital Stock Class B-2 - Putable (Activity) | Accumulated Other Comprehensive Income (Loss) | |||||||||||||||||||||||||||||||
Retained Earnings | Total Capital | ||||||||||||||||||||||||||||||||
Shares | Par Value | Shares | Par Value | Unrestricted | Restricted | Total | |||||||||||||||||||||||||||
BALANCE, JANUARY 1, 2017 | 6,904 | $ | 690,411 | 12,397 | $ | 1,239,737 | $ | 745,104 | $ | 78,880 | $ | 823,984 | $ | 63,210 | $ | 2,817,342 | |||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | 8,252 | 825,222 | (8,252 | ) | (825,222 | ) | — | — | — | — | — | ||||||||||||||||||||||
Proceeds from sale of capital stock | 72 | 7,225 | 9,984 | 998,353 | — | — | — | — | 1,005,578 | ||||||||||||||||||||||||
Repurchase/redemption of capital stock | (7,303 | ) | (730,329 | ) | — | — | — | — | — | — | (730,329 | ) | |||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (79 | ) | (7,963 | ) | (123 | ) | (12,267 | ) | — | — | — | — | (20,230 | ) | |||||||||||||||||||
Comprehensive income | |||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 95,131 | 23,783 | 118,914 | — | 118,914 | ||||||||||||||||||||||||
Other comprehensive income | — | — | — | — | — | — | — | 97,646 | 97,646 | ||||||||||||||||||||||||
Dividends on capital stock (a) | |||||||||||||||||||||||||||||||||
Cash | — | — | — | — | (198 | ) | — | (198 | ) | — | (198 | ) | |||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | (138 | ) | — | (138 | ) | — | (138 | ) | |||||||||||||||||||||
Stock | 216 | 21,648 | — | — | (21,648 | ) | — | (21,648 | ) | — | — | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2017 | 8,062 | $ | 806,214 | 14,006 | $ | 1,400,601 | $ | 818,251 | $ | 102,663 | $ | 920,914 | $ | 160,856 | $ | 3,288,585 | |||||||||||||||||
BALANCE, JANUARY 1, 2016 | 6,325 | $ | 632,454 | 9,077 | $ | 907,678 | $ | 699,213 | $ | 62,990 | $ | 762,203 | $ | (103,023 | ) | $ | 2,199,312 | ||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | 5,734 | 573,408 | (5,734 | ) | (573,408 | ) | — | — | — | — | — | ||||||||||||||||||||||
Proceeds from sale of capital stock | 48 | 4,761 | 8,718 | 871,790 | — | — | — | — | 876,551 | ||||||||||||||||||||||||
Repurchase/redemption of capital stock | (5,486 | ) | (548,550 | ) | — | — | — | — | — | — | (548,550 | ) | |||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (1 | ) | (68 | ) | — | — | — | — | — | — | (68 | ) | |||||||||||||||||||||
Comprehensive income | |||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 40,480 | 10,120 | 50,600 | — | 50,600 | ||||||||||||||||||||||||
Other comprehensive income | — | — | — | — | — | — | — | 80,023 | 80,023 | ||||||||||||||||||||||||
Dividends on capital stock (b) | |||||||||||||||||||||||||||||||||
Cash | — | — | — | — | (198 | ) | — | (198 | ) | — | (198 | ) | |||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | (5 | ) | — | (5 | ) | — | (5 | ) | |||||||||||||||||||||
Stock | 120 | 11,977 | — | — | (11,977 | ) | — | (11,977 | ) | — | — | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2016 | 6,740 | $ | 673,982 | 12,061 | $ | 1,206,060 | $ | 727,513 | $ | 73,110 | $ | 800,623 | $ | (23,000 | ) | $ | 2,657,665 |
For the Nine Months Ended | |||||||
September 30, | |||||||
2017 | 2016 | ||||||
OPERATING ACTIVITIES | |||||||
Net income | $ | 118,914 | $ | 50,600 | |||
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 | 69,451 | 64,114 | |||||
Concessions on consolidated obligations | 3,233 | 3,633 | |||||
Premises, equipment and computer software costs | 2,770 | 2,944 | |||||
Non-cash interest on mandatorily redeemable capital stock | 61 | 22 | |||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | — | 20 | |||||
Gains on sales of held-to-maturity securities | (3,983 | ) | (794 | ) | |||
Gains on sales of available-for-sale securities | (1,837 | ) | (5,104 | ) | |||
Net increase in trading securities | (2,751 | ) | (9,599 | ) | |||
Loss due to changes in net fair value adjustment on derivative and hedging activities | 32,759 | 59,297 | |||||
Increase in accrued interest receivable | (24,600 | ) | (22,178 | ) | |||
Decrease (increase) in other assets | 4,486 | (28 | ) | ||||
Increase (decrease) in Affordable Housing Program (AHP) liability | 6,685 | (487 | ) | ||||
Increase (decrease) in accrued interest payable | 24,402 | (2,166 | ) | ||||
Increase in other liabilities | 2,246 | 3,486 | |||||
Total adjustments | 112,922 | 93,160 | |||||
Net cash provided by operating activities | 231,836 | 143,760 | |||||
INVESTING ACTIVITIES | |||||||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | 80,051 | (482,108 | ) | ||||
Net decrease (increase) in securities purchased under agreements to resell | 800,000 | (2,250,000 | ) | ||||
Net increase in federal funds sold | (3,588,000 | ) | (4,632,000 | ) | |||
Decrease in loan to other FHLBank | 290,000 | — | |||||
Decrease in trading securities held for investment | — | 102,215 | |||||
Purchases of available-for-sale securities | (2,380,099 | ) | (5,807,501 | ) | |||
Proceeds from maturities of available-for-sale securities | 412,625 | 37,186 | |||||
Proceeds from sales of available-for-sale securities | 250,262 | 2,655,395 | |||||
Proceeds from sales of held-to-maturity securities | 162,789 | 129,857 | |||||
Proceeds from maturities of held-to-maturity securities | 438,128 | 434,292 | |||||
Purchases of held-to-maturity securities | (125,000 | ) | — | ||||
Principal collected on advances | 408,582,680 | 441,973,938 | |||||
Advances made | (412,379,559 | ) | (449,027,085 | ) | |||
Principal collected on mortgage loans held for portfolio | 17,268 | 10,643 | |||||
Purchases of mortgage loans held for portfolio | (468,033 | ) | (25,570 | ) | |||
Purchases of premises, equipment and computer software | (2,695 | ) | (2,850 | ) | |||
Net cash used in investing activities | (7,909,583 | ) | (16,883,588 | ) | |||
For the Nine Months Ended | |||||||
September 30, | |||||||
2017 | 2016 | ||||||
FINANCING ACTIVITIES | |||||||
Net increase (decrease) in deposits, including swap collateral held | (138,458 | ) | 75,481 | ||||
Net payments on derivative contracts with financing elements | (65,707 | ) | (48,590 | ) | |||
Increase in loan from other FHLBank | 250,000 | — | |||||
Net proceeds from issuance of consolidated obligations | |||||||
Discount notes | 267,181,998 | 276,563,409 | |||||
Bonds | 16,764,354 | 19,079,312 | |||||
Debt issuance costs | (3,854 | ) | (3,686 | ) | |||
Payments for maturing and retiring consolidated obligations | |||||||
Discount notes | (262,710,106 | ) | (266,023,001 | ) | |||
Bonds | (13,738,885 | ) | (13,993,680 | ) | |||
Proceeds from issuance of capital stock | 1,005,578 | 876,551 | |||||
Payments for redemption of mandatorily redeemable capital stock | (16,814 | ) | (6,683 | ) | |||
Payments for repurchase/redemption of capital stock | (730,329 | ) | (548,550 | ) | |||
Cash dividends paid | (198 | ) | (198 | ) | |||
Net cash provided by financing activities | 7,797,579 | 15,970,365 | |||||
Net increase (decrease) in cash and cash equivalents | 119,832 | (769,463 | ) | ||||
Cash and cash equivalents at beginning of the period | 27,696 | 837,202 | |||||
Cash and cash equivalents at end of the period | $ | 147,528 | $ | 67,739 | |||
Supplemental Disclosures: | |||||||
Interest paid | $ | 341,792 | $ | 160,096 | |||
AHP payments, net | $ | 6,538 | $ | 6,112 | |||
Stock dividends issued | $ | 21,648 | $ | 11,977 | |||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 138 | $ | 5 | |||
Variation margin recharacterized as settlement payments on derivative contracts (Note 10) | $ | 72,053 | $ | — | |||
Net capital stock reclassified to mandatorily redeemable capital stock | $ | 20,230 | $ | 68 |
• | For fair value hedges, measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. |
• | Partial-term fair value hedges of interest-rate risk, in which it can be assumed that the hedged item has a term that reflects only the designated cash flows being hedged. |
• | For prepayable financial instruments, consideration only of how changes in the benchmark interest rate affect a decision to settle a debt instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest rate risk. |
• | For a cash flow hedge of interest-rate risk of a variable-rate financial instrument, designation of the variability in cash flows attributable to the contractually specified interest rate as the hedged risk. |
• | For a closed portfolio of prepayable financial assets or one or more beneficial interests secured by a portfolio of prepayable financial instruments, designation of an amount that is not expected to be affected by prepayments, defaults and other events affecting the timing and amount of cash flows as a hedged item. |
September 30, 2017 | December 31, 2016 | ||||||
U.S. Treasury Note | $ | 102,986 | $ | 101,495 | |||
Other | 11,561 | 10,143 | |||||
Total | $ | 114,547 | $ | 111,638 |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||
Debentures | |||||||||||||||
U.S. government-guaranteed obligations | $ | 476,655 | $ | 8,399 | $ | — | $ | 485,054 | |||||||
GSE obligations | 6,544,363 | 84,444 | 37 | 6,628,770 | |||||||||||
Other | 182,608 | 1,275 | — | 183,883 | |||||||||||
7,203,626 | 94,118 | 37 | 7,297,707 | ||||||||||||
GSE commercial mortgage-backed securities | 7,616,353 | 71,528 | 7,341 | 7,680,540 | |||||||||||
Total | $ | 14,819,979 | $ | 165,646 | $ | 7,378 | $ | 14,978,247 |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||
Debentures | |||||||||||||||
U.S. government-guaranteed obligations | $ | 489,573 | $ | 6,325 | $ | — | $ | 495,898 | |||||||
GSE obligations | 6,475,140 | 52,746 | 2,361 | 6,525,525 | |||||||||||
Other | 318,223 | 1,770 | — | 319,993 | |||||||||||
7,282,936 | 60,841 | 2,361 | 7,341,416 | ||||||||||||
GSE commercial MBS | 5,834,410 | 32,861 | 32,754 | 5,834,517 | |||||||||||
Total | $ | 13,117,346 | $ | 93,702 | $ | 35,115 | $ | 13,175,933 |
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 | ||||||||||||||||||||||||
GSE debentures | 3 | $ | 61,779 | $ | 37 | — | $ | — | $ | — | 3 | $ | 61,779 | $ | 37 | |||||||||||||||||
GSE commercial MBS | 24 | 619,365 | 1,703 | 36 | 1,305,580 | 5,638 | 60 | 1,924,945 | 7,341 | |||||||||||||||||||||||
Total | 27 | $ | 681,144 | $ | 1,740 | 36 | $ | 1,305,580 | $ | 5,638 | 63 | $ | 1,986,724 | $ | 7,378 |
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 | ||||||||||||||||||||||||
GSE debentures | 8 | $ | 839,683 | $ | 2,293 | 1 | $ | 50,476 | $ | 68 | 9 | $ | 890,159 | $ | 2,361 | |||||||||||||||||
GSE commercial MBS | 49 | 1,388,917 | 15,595 | 46 | 1,531,930 | 17,159 | 95 | 2,920,847 | 32,754 | |||||||||||||||||||||||
Total | 57 | $ | 2,228,600 | $ | 17,888 | 47 | $ | 1,582,406 | $ | 17,227 | 104 | $ | 3,811,006 | $ | 35,115 |
September 30, 2017 | December 31, 2016 | ||||||||||||||||
Maturity | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | |||||||||||||
Debentures | |||||||||||||||||
Due in one year or less | $ | 757,337 | $ | 757,739 | $ | 1,001,054 | $ | 1,003,309 | |||||||||
Due after one year through five years | 2,827,166 | 2,858,239 | 2,079,374 | 2,100,171 | |||||||||||||
Due after five years through ten years | 3,382,191 | 3,441,560 | 3,989,554 | 4,022,456 | |||||||||||||
Due after ten years | 236,932 | 240,169 | 212,954 | 215,480 | |||||||||||||
7,203,626 | 7,297,707 | 7,282,936 | 7,341,416 | ||||||||||||||
GSE commercial MBS | 7,616,353 | 7,680,540 | 5,834,410 | 5,834,517 | |||||||||||||
Total | $ | 14,819,979 | $ | 14,978,247 | $ | 13,117,346 | $ | 13,175,933 |
Amortized Cost | OTTI Recorded in Accumulated Other Comprehensive Income | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||
Debentures | |||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 11,460 | $ | — | $ | 11,460 | $ | 22 | $ | 1 | $ | 11,481 | |||||||||||
State housing agency obligations | 160,000 | — | 160,000 | 288 | 182 | 160,106 | |||||||||||||||||
171,460 | — | 171,460 | 310 | 183 | 171,587 | ||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. government-guaranteed residential MBS | 2,060 | — | 2,060 | 5 | — | 2,065 | |||||||||||||||||
GSE residential MBS | 1,739,123 | — | 1,739,123 | 12,049 | 1,816 | 1,749,356 | |||||||||||||||||
Non-agency residential MBS | 98,852 | 14,405 | 84,447 | 15,731 | 906 | 99,272 | |||||||||||||||||
GSE commercial MBS | 35,265 | — | 35,265 | — | 114 | 35,151 | |||||||||||||||||
1,875,300 | 14,405 | 1,860,895 | 27,785 | 2,836 | 1,885,844 | ||||||||||||||||||
Total | $ | 2,046,760 | $ | 14,405 | $ | 2,032,355 | $ | 28,095 | $ | 3,019 | $ | 2,057,431 |
Amortized Cost | OTTI Recorded in Accumulated Other Comprehensive Income | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||
Debentures | |||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 15,973 | $ | — | $ | 15,973 | $ | 8 | $ | 94 | $ | 15,887 | |||||||||||
State housing agency obligations | 110,000 | — | 110,000 | 15 | 1,410 | 108,605 | |||||||||||||||||
125,973 | — | 125,973 | 23 | 1,504 | 124,492 | ||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. government-guaranteed residential MBS | 2,578 | — | 2,578 | 2 | 3 | 2,577 | |||||||||||||||||
GSE residential MBS | 2,211,159 | — | 2,211,159 | 12,086 | 7,914 | 2,215,331 | |||||||||||||||||
Non-agency residential MBS | 115,230 | 17,157 | 98,073 | 14,508 | 2,032 | 110,549 | |||||||||||||||||
GSE commercial MBS | 61,812 | — | 61,812 | — | 249 | 61,563 | |||||||||||||||||
2,390,779 | 17,157 | 2,373,622 | 26,596 | 10,198 | 2,390,020 | ||||||||||||||||||
Total | $ | 2,516,752 | $ | 17,157 | $ | 2,499,595 | $ | 26,619 | $ | 11,702 | $ | 2,514,512 |
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 | $ | 499 | $ | 1 | — | $ | — | $ | — | 1 | $ | 499 | $ | 1 | |||||||||||||||||
State housing agency obligations | 1 | 34,818 | 182 | — | — | — | 1 | 34,818 | 182 | |||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
GSE residential MBS | 7 | 10,004 | 27 | 26 | 593,726 | 1,789 | 33 | 603,730 | 1,816 | |||||||||||||||||||||||
Non-agency residential MBS | — | — | — | 17 | 60,931 | 2,925 | 17 | 60,931 | 2,925 | |||||||||||||||||||||||
GSE commercial MBS | — | — | — | 1 | 35,151 | 114 | 1 | 35,151 | 114 | |||||||||||||||||||||||
Total | 9 | $ | 45,321 | $ | 210 | 44 | $ | 689,808 | $ | 4,828 | 53 | $ | 735,129 | $ | 5,038 |
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 | $ | 10,998 | $ | 94 | — | $ | — | $ | — | 2 | $ | 10,998 | $ | 94 | |||||||||||||||||
State housing agency obligations | 1 | 33,590 | 1,410 | — | — | — | 1 | 33,590 | 1,410 | |||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
U.S. government-guaranteed residential MBS | 2 | 832 | 3 | — | — | — | 2 | 832 | 3 | |||||||||||||||||||||||
GSE residential MBS | 24 | 513,602 | 1,291 | 33 | 790,653 | 6,623 | 57 | 1,304,255 | 7,914 | |||||||||||||||||||||||
Non-agency residential MBS | 1 | 267 | 2 | 18 | 75,897 | 5,913 | 19 | 76,164 | 5,915 | |||||||||||||||||||||||
GSE commercial MBS | — | — | — | 3 | 61,563 | 249 | 3 | 61,563 | 249 | |||||||||||||||||||||||
Total | 30 | $ | 559,289 | $ | 2,800 | 54 | $ | 928,113 | $ | 12,785 | 84 | $ | 1,487,402 | $ | 15,585 |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance of credit losses, beginning of period | $ | 9,961 | $ | 11,120 | $ | 10,515 | $ | 11,696 | |||||||
Credit losses on securities for which an other-than-temporary impairment was previously recognized | — | 8 | — | 20 | |||||||||||
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (263 | ) | (313 | ) | (817 | ) | (901 | ) | |||||||
Balance of credit losses, end of period | 9,698 | 10,815 | 9,698 | 10,815 | |||||||||||
Cumulative principal shortfalls on securities held at end of period | (1,973 | ) | (1,865 | ) | (1,973 | ) | (1,865 | ) | |||||||
Cumulative amortization of the time value of credit losses at end of period | 550 | 418 | 550 | 418 | |||||||||||
Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period | $ | 8,275 | $ | 9,368 | $ | 8,275 | $ | 9,368 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
Maturity | Amortized Cost | Carrying Value | Estimated Fair Value | Amortized Cost | Carrying Value | Estimated Fair Value | ||||||||||||||||||
Debentures | ||||||||||||||||||||||||
Due in one year or less | $ | 1,737 | $ | 1,737 | $ | 1,740 | $ | 2,007 | $ | 2,007 | $ | 2,007 | ||||||||||||
Due after one year through five years | 4,495 | 4,495 | 4,500 | 2,874 | 2,874 | 2,882 | ||||||||||||||||||
Due after five years through ten years | 5,228 | 5,228 | 5,241 | 11,092 | 11,092 | 10,998 | ||||||||||||||||||
Due after ten years | 160,000 | 160,000 | 160,106 | 110,000 | 110,000 | 108,605 | ||||||||||||||||||
171,460 | 171,460 | 171,587 | 125,973 | 125,973 | 124,492 | |||||||||||||||||||
Mortgage-backed securities | 1,875,300 | 1,860,895 | 1,885,844 | 2,390,779 | 2,373,622 | 2,390,020 | ||||||||||||||||||
Total | $ | 2,046,760 | $ | 2,032,355 | $ | 2,057,431 | $ | 2,516,752 | $ | 2,499,595 | $ | 2,514,512 |
September 30, 2017 | December 31, 2016 | ||||||
Amortized cost of variable-rate held-to-maturity securities other than MBS | $ | 171,460 | $ | 125,973 | |||
Amortized cost of held-to-maturity MBS | |||||||
Fixed-rate pass-through securities | 125 | 147 | |||||
Collateralized mortgage obligations | |||||||
Fixed-rate | 240 | 305 | |||||
Variable-rate | 1,839,670 | 2,328,515 | |||||
Variable-rate multi-family MBS | 35,265 | 61,812 | |||||
1,875,300 | 2,390,779 | ||||||
Total | $ | 2,046,760 | $ | 2,516,752 |
September 30, 2017 | December 31, 2016 | |||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in one year or less | $ | 23,796,032 | 1.27 | % | $ | 17,477,220 | 0.71 | % | ||||||
Due after one year through two years | 1,971,426 | 1.58 | 5,115,095 | 1.07 | ||||||||||
Due after two years through three years | 1,092,150 | 2.07 | 1,059,823 | 1.63 | ||||||||||
Due after three years through four years | 1,319,770 | 1.60 | 1,347,926 | 1.56 | ||||||||||
Due after four years through five years | 515,743 | 1.88 | 593,061 | 1.74 | ||||||||||
Due after five years | 6,159,839 | 1.33 | 5,431,116 | 0.85 | ||||||||||
Amortizing advances | 1,414,163 | 2.68 | 1,448,003 | 2.76 | ||||||||||
Total par value | 36,269,123 | 1.40 | % | 32,472,244 | 0.97 | % | ||||||||
Premiums | 26 | 52 | ||||||||||||
Deferred net prepayment fees | (11,760 | ) | (13,272 | ) | ||||||||||
Commitment fees | (118 | ) | (123 | ) | ||||||||||
Hedging adjustments | 30,613 | 47,274 | ||||||||||||
Total | $ | 36,287,884 | $ | 32,506,175 |
Contractual Maturity or Next Call Date | September 30, 2017 | December 31, 2016 | ||||||
Due in one year or less | $ | 30,384,616 | $ | 25,953,500 | ||||
Due after one year through two years | 1,609,346 | 2,336,974 | ||||||
Due after two years through three years | 909,850 | 989,223 | ||||||
Due after three years through four years | 637,070 | 757,626 | ||||||
Due after four years through five years | 398,473 | 443,311 | ||||||
Due after five years | 915,605 | 543,607 | ||||||
Amortizing advances | 1,414,163 | 1,448,003 | ||||||
Total par value | $ | 36,269,123 | $ | 32,472,244 |
Contractual Maturity or Next Put Date | September 30, 2017 | December 31, 2016 | ||||||
Due in one year or less | $ | 24,440,032 | $ | 18,153,670 | ||||
Due after one year through two years | 1,781,926 | 4,473,645 | ||||||
Due after two years through three years | 1,099,650 | 1,024,823 | ||||||
Due after three years through four years | 1,319,770 | 1,347,926 | ||||||
Due after four years through five years | 480,743 | 593,061 | ||||||
Due after five years | 5,732,839 | 5,431,116 | ||||||
Amortizing advances | 1,414,163 | 1,448,003 | ||||||
Total par value | $ | 36,269,123 | $ | 32,472,244 |
September 30, 2017 | December 31, 2016 | ||||||
Fixed-rate | |||||||
Due in one year or less | $ | 18,269,208 | $ | 13,417,280 | |||
Due after one year | 5,788,507 | 6,215,744 | |||||
Total fixed-rate | 24,057,715 | 19,633,024 | |||||
Variable-rate | |||||||
Due in one year or less | 5,602,224 | 4,136,153 | |||||
Due after one year | 6,609,184 | 8,703,067 | |||||
Total variable-rate | 12,211,408 | 12,839,220 | |||||
Total par value | $ | 36,269,123 | $ | 32,472,244 |
September 30, 2017 | December 31, 2016 | ||||||||||||||||||||||
Conventional Loans | Government- Guaranteed/ Insured Loans | Total | Conventional Loans | Government- Guaranteed/ Insured Loans | Total | ||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
30-59 days delinquent | $ | 4,639 | $ | 903 | $ | 5,542 | $ | 899 | $ | 989 | $ | 1,888 | |||||||||||
60-89 days delinquent | 283 | 97 | 380 | 191 | 172 | 363 | |||||||||||||||||
90 days or more delinquent | 252 | 96 | 348 | 276 | 130 | 406 | |||||||||||||||||
Total past due | 5,174 | 1,096 | 6,270 | 1,366 | 1,291 | 2,657 | |||||||||||||||||
Total current loans | 553,748 | 19,389 | 573,137 | 99,690 | 22,386 | 122,076 | |||||||||||||||||
Total mortgage loans | $ | 558,922 | $ | 20,485 | $ | 579,407 | $ | 101,056 | $ | 23,677 | $ | 124,733 | |||||||||||
Other delinquency statistics: | |||||||||||||||||||||||
In process of foreclosure (1) | $ | 158 | $ | 27 | $ | 185 | $ | 57 | $ | 28 | $ | 85 | |||||||||||
Serious delinquency rate (2) | 0.1 | % | 0.5 | % | 0.1 | % | 0.3 | % | 0.6 | % | 0.3 | % | |||||||||||
Past due 90 days or more and still accruing interest (3) | $ | — | $ | 96 | $ | 96 | $ | — | $ | 130 | $ | 130 | |||||||||||
Nonaccrual loans | $ | 252 | $ | — | $ | 252 | $ | 276 | $ | — | $ | 276 | |||||||||||
Troubled debt restructurings | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
(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 loan portfolio. |
(3) | Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due. |
September 30, 2017 | December 31, 2016 | ||||||
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment | $ | 141 | $ | 141 | |||
Recorded investment | |||||||
Individually evaluated for impairment | $ | 252 | $ | 276 | |||
Collectively evaluated for impairment | 558,670 | 100,780 | |||||
$ | 558,922 | $ | 101,056 |
September 30, 2017 | December 31, 2016 | ||||||
Variable-rate | $ | 15,111,000 | $ | 13,151,000 | |||
Fixed-rate | 11,712,360 | 10,952,280 | |||||
Step-up | 3,184,500 | 2,829,500 | |||||
Step-down | 150,000 | 200,000 | |||||
Total par value | $ | 30,157,860 | $ | 27,132,780 |
September 30, 2017 | December 31, 2016 | |||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in one year or less | $ | 17,385,930 | 1.16 | % | $ | 16,586,590 | 0.66 | % | ||||||
Due after one year through two years | 3,934,000 | 1.26 | 4,045,240 | 1.42 | ||||||||||
Due after two years through three years | 2,067,035 | 1.56 | 1,617,600 | 1.15 | ||||||||||
Due after three years through four years | 2,103,820 | 1.52 | 980,100 | 1.63 | ||||||||||
Due after four years through five years | 1,880,525 | 1.72 | 1,546,000 | 1.38 | ||||||||||
Due after five years | 2,786,550 | 2.16 | 2,357,250 | 1.99 | ||||||||||
Total par value | 30,157,860 | 1.35 | % | 27,132,780 | 0.99 | % | ||||||||
Premiums | 7,489 | 10,993 | ||||||||||||
Discounts | (1,719 | ) | (1,477 | ) | ||||||||||
Debt issuance costs | (1,930 | ) | (1,308 | ) | ||||||||||
Hedging adjustments | (101,471 | ) | (143,501 | ) | ||||||||||
Total | $ | 30,060,229 | $ | 26,997,487 |
September 30, 2017 | December 31, 2016 | ||||||
Non-callable bonds | $ | 24,346,360 | $ | 21,747,530 | |||
Callable bonds | 5,811,500 | 5,385,250 | |||||
Total par value | $ | 30,157,860 | $ | 27,132,780 |
Contractual Maturity or Next Call Date | September 30, 2017 | December 31, 2016 | ||||||
Due in one year or less | $ | 22,823,430 | $ | 21,749,840 | ||||
Due after one year through two years | 3,708,000 | 3,607,240 | ||||||
Due after two years through three years | 1,647,035 | 1,262,600 | ||||||
Due after three years through four years | 1,186,820 | 415,100 | ||||||
Due after four years through five years | 625,525 | 89,000 | ||||||
Due after five years | 167,050 | 9,000 | ||||||
Total par value | $ | 30,157,860 | $ | 27,132,780 |
Book Value | Par Value | Weighted Average Implied Interest Rate | ||||||||
September 30, 2017 | $ | 31,438,766 | $ | 31,490,238 | 1.01 | % | ||||
December 31, 2016 | $ | 26,941,782 | $ | 26,964,305 | 0.46 | % |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Balance, beginning of period | $ | 22,871 | $ | 22,710 | |||
AHP assessment | 13,223 | 5,625 | |||||
Grants funded, net of recaptured amounts | (6,538 | ) | (6,112 | ) | |||
Balance, end of period | $ | 29,556 | $ | 22,223 |
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 Unsecured Amount | ||||||||||||||||
September 30, 2017 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 28,096 | $ | (2,875 | ) | $ | 25,221 | $ | (23,987 | ) | (2) | $ | 1,234 | |||||||
Cleared derivatives | 163,741 | (145,919 | ) | 17,822 | — | 17,822 | ||||||||||||||
Total derivatives | 191,837 | (148,794 | ) | 43,043 | (23,987 | ) | 19,056 | |||||||||||||
Securities purchased under agreements to resell | 2,300,000 | — | 2,300,000 | (2,300,000 | ) | — | ||||||||||||||
Total assets | $ | 2,491,837 | $ | (148,794 | ) | $ | 2,343,043 | $ | (2,323,987 | ) | $ | 19,056 | ||||||||
Liabilities | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 166,400 | $ | (152,063 | ) | $ | 14,337 | $ | — | $ | 14,337 | |||||||||
Cleared derivatives | 237,409 | (237,409 | ) | — | — | (3) | — | |||||||||||||
Total liabilities | $ | 403,809 | $ | (389,472 | ) | $ | 14,337 | $ | — | $ | 14,337 | |||||||||
December 31, 2016 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 12,620 | $ | (3,443 | ) | $ | 9,177 | $ | (8,511 | ) | (2) | $ | 666 | |||||||
Cleared derivatives | 227,785 | (221,325 | ) | 6,460 | — | 6,460 | ||||||||||||||
Total derivatives | 240,405 | (224,768 | ) | 15,637 | (8,511 | ) | 7,126 | |||||||||||||
Securities purchased under agreements to resell | 3,100,000 | — | 3,100,000 | (3,100,000 | ) | — | ||||||||||||||
Total assets | $ | 3,340,405 | $ | (224,768 | ) | $ | 3,115,637 | $ | (3,108,511 | ) | $ | 7,126 | ||||||||
Liabilities | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 256,453 | $ | (243,853 | ) | $ | 12,600 | $ | — | $ | 12,600 | |||||||||
Cleared derivatives | 200,832 | (199,089 | ) | 1,743 | (1,743 | ) | (4) | — | ||||||||||||
Total liabilities | $ | 457,285 | $ | (442,942 | ) | $ | 14,343 | $ | (1,743 | ) | $ | 12,600 |
(1) | Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. |
(2) | Consists of collateral pledged by member counterparties. |
(3) | The Bank had pledged securities with an aggregate fair value of $565,892,000 at September 30, 2017 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
(4) | Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with an aggregate fair value of $611,608,000 at December 31, 2016 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
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 | $ | 5,314,124 | $ | 18,587 | $ | 51,918 | $ | 5,002,011 | $ | 20,367 | $ | 74,032 | ||||||||||||
Available-for-sale securities | 14,755,408 | 118,883 | 225,663 | 13,106,770 | 175,507 | 223,122 | ||||||||||||||||||
Consolidated obligation bonds | 13,310,375 | 11,731 | 86,814 | 12,776,280 | 10,756 | 129,772 | ||||||||||||||||||
Consolidated obligation discount notes | 425,000 | 15,856 | 619 | 425,000 | 19,050 | 486 | ||||||||||||||||||
Interest rate swaptions related to advances | 2,000 | 30 | — | 3,000 | 66 | — | ||||||||||||||||||
Total derivatives designated as hedging instruments under ASC 815 | 33,806,907 | 165,087 | 365,014 | 31,313,061 | 225,746 | 427,412 | ||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Available-for-sale securities | 2,993 | 19 | 32 | 2,624 | 34 | 27 | ||||||||||||||||||
Consolidated obligation discount notes | — | — | — | 1,276,563 | 2,626 | — | ||||||||||||||||||
Basis swaps | — | — | — | 1,000,000 | — | 676 | ||||||||||||||||||
Intermediary transactions | 2,338,817 | 26,113 | 23,094 | 341,671 | 11,174 | 10,128 | ||||||||||||||||||
Other | 342,000 | 389 | 15,334 | 325,000 | — | 18,479 | ||||||||||||||||||
Mortgage delivery commitments | 58,411 | — | 118 | 2,030 | 2 | — | ||||||||||||||||||
Interest rate caps | ||||||||||||||||||||||||
Held-to-maturity securities | 1,200,000 | 12 | — | 1,200,000 | 260 | — | ||||||||||||||||||
Intermediary transactions | 80,000 | 217 | 217 | 80,000 | 563 | 563 | ||||||||||||||||||
Total derivatives not designated as hedging instruments under ASC 815 | 4,022,221 | 26,750 | 38,795 | 4,227,888 | 14,659 | 29,873 | ||||||||||||||||||
Total derivatives before collateral, variation margin for daily settled contracts and netting adjustments | $ | 37,829,128 | 191,837 | 403,809 | $ | 35,540,949 | 240,405 | 457,285 | ||||||||||||||||
Cash collateral (including related accrued interest) and variation margin for daily settled contracts | (200 | ) | (240,878 | ) | (94,650 | ) | (312,824 | ) | ||||||||||||||||
Netting adjustments | (148,594 | ) | (148,594 | ) | (130,118 | ) | (130,118 | ) | ||||||||||||||||
Total collateral, variation margin for daily settled contracts and netting adjustments(1) | (148,794 | ) | (389,472 | ) | (224,768 | ) | (442,942 | ) | ||||||||||||||||
Net derivative balances reported in statements of condition | $ | 43,043 | $ | 14,337 | $ | 15,637 | $ | 14,343 |
(1) | Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (including variation margin for daily settled contracts) as well as any 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 September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Derivatives and hedged items in ASC 815 fair value hedging relationships | |||||||||||||||
Interest rate swaps | $ | (1,561 | ) | $ | 2,071 | $ | (5,964 | ) | $ | (23,148 | ) | ||||
Interest rate swaptions | — | (1 | ) | (36 | ) | (8 | ) | ||||||||
Total net gain (loss) related to fair value hedge ineffectiveness | (1,561 | ) | 2,070 | (6,000 | ) | (23,156 | ) | ||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||
Interest rate swaps | 545 | (2,720 | ) | 8,162 | 1,209 | ||||||||||
Net interest income on interest rate swaps | 360 | 836 | 1,281 | 1,817 | |||||||||||
Interest rate caps | (13 | ) | (2 | ) | (247 | ) | (528 | ) | |||||||
Mortgage delivery commitments | 794 | 13 | 2,257 | 95 | |||||||||||
Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815 | 1,686 | (1,873 | ) | 11,453 | 2,593 | ||||||||||
Price alignment amount on variation margin for daily settled derivative contracts | 220 | — | 521 | — | |||||||||||
Net gains (losses) on derivatives and hedging activities reported in the statements of income | $ | 345 | $ | 197 | $ | 5,974 | $ | (20,563 | ) |
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 September 30, 2017 | ||||||||||||||||
Advances | $ | 7,294 | $ | (7,227 | ) | $ | 67 | $ | (7,001 | ) | ||||||
Available-for-sale securities | 8,527 | (8,726 | ) | (199 | ) | (23,785 | ) | |||||||||
Consolidated obligation bonds | (3,078 | ) | 1,649 | (1,429 | ) | 8,299 | ||||||||||
Total | $ | 12,743 | $ | (14,304 | ) | $ | (1,561 | ) | $ | (22,487 | ) | |||||
Three Months Ended September 30, 2016 | ||||||||||||||||
Advances | $ | 39,433 | $ | (39,327 | ) | $ | 106 | $ | (15,458 | ) | ||||||
Available-for-sale securities | 114,056 | (111,855 | ) | 2,201 | (37,119 | ) | ||||||||||
Consolidated obligation bonds | (42,596 | ) | 42,359 | (237 | ) | 12,298 | ||||||||||
Total | $ | 110,893 | $ | (108,823 | ) | $ | 2,070 | $ | (40,279 | ) | ||||||
Nine Months Ended September 30, 2017 | ||||||||||||||||
Advances | $ | 15,340 | $ | (15,101 | ) | $ | 239 | $ | (26,787 | ) | ||||||
Available-for-sale securities | (75,804 | ) | 69,316 | (6,488 | ) | (82,190 | ) | |||||||||
Consolidated obligation bonds | 42,313 | (42,064 | ) | 249 | 31,406 | |||||||||||
Total | $ | (18,151 | ) | $ | 12,151 | $ | (6,000 | ) | $ | (77,571 | ) | |||||
Nine Months Ended September 30, 2016 | ||||||||||||||||
Advances | $ | (26,126 | ) | $ | 25,899 | $ | (227 | ) | $ | (49,862 | ) | |||||
Available-for-sale securities | (423,390 | ) | 404,240 | (19,150 | ) | (112,314 | ) | |||||||||
Consolidated obligation bonds | 15,239 | (19,018 | ) | (3,779 | ) | 45,643 | ||||||||||
Total | $ | (434,277 | ) | $ | 411,121 | $ | (23,156 | ) | $ | (116,533 | ) |
(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. |
Derivatives in Cash Flow Hedging Relationships | Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest rate swaps related to anticipated issuances of consolidated obligation discount notes | ||||||||||||||||
Amount of gains (losses) recognized in other comprehensive income on derivatives (effective portion) | $ | (917 | ) | $ | 2,147 | $ | (6,668 | ) | $ | (12,980 | ) | |||||
Amount of losses reclassified from AOCI into interest expense (effective portion) (1) | 491 | 990 | 1,927 | 2,570 | ||||||||||||
Amount of losses recognized in net gains (losses) on derivatives and hedging activities (ineffective portion) | — | — | — | — |
(1) | Represents net interest expense associated with the derivatives. |
September 30, 2017 | December 31, 2016 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Regulatory capital requirements: | |||||||||||||||
Risk-based capital | $ | 801,028 | $ | 3,134,761 | $ | 683,690 | $ | 2,757,549 | |||||||
Total capital | $ | 2,657,995 | $ | 3,134,761 | $ | 2,328,483 | $ | 2,757,549 | |||||||
Total capital-to-assets ratio | 4.00 | % | 4.72 | % | 4.00 | % | 4.74 | % | |||||||
Leverage capital | $ | 3,322,494 | $ | 4,702,141 | $ | 2,910,604 | $ | 4,136,324 | |||||||
Leverage capital-to-assets ratio | 5.00 | % | 7.08 | % | 5.00 | % | 7.11 | % |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Service cost | $ | 5 | $ | 6 | $ | 17 | $ | 17 | |||||||
Interest cost | 6 | 7 | 16 | 22 | |||||||||||
Amortization of prior service cost | 5 | 5 | 15 | 15 | |||||||||||
Amortization of net actuarial gain | (9 | ) | (25 | ) | (61 | ) | (74 | ) | |||||||
Net periodic benefit cost (credit) | $ | 7 | $ | (7 | ) | $ | (13 | ) | $ | (20 | ) |
Estimated Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 147,528 | $ | 147,528 | $ | 147,528 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 327 | 327 | — | 327 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 2,300,000 | 2,300,000 | — | 2,300,000 | — | — | ||||||||||||||||||
Federal funds sold | 9,830,000 | 9,830,000 | — | 9,830,000 | — | — | ||||||||||||||||||
Trading securities (1) | 114,547 | 114,547 | 11,561 | 102,986 | — | — | ||||||||||||||||||
Available-for-sale securities (1) | 14,978,247 | 14,978,247 | — | 14,978,247 | — | — | ||||||||||||||||||
Held-to-maturity securities | 2,032,355 | 2,057,431 | — | 1,958,159 | (2) | 99,272 | (3) | — | ||||||||||||||||
Advances | 36,287,884 | 36,324,051 | — | 36,324,051 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 576,806 | 579,998 | — | 579,998 | — | — | ||||||||||||||||||
Accrued interest receivable | 112,555 | 112,555 | — | 112,555 | — | — | ||||||||||||||||||
Derivative assets (1) | 43,043 | 43,043 | — | 191,837 | — | (148,794 | ) | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 996,146 | 996,143 | — | 996,143 | — | — | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 31,438,766 | 31,436,890 | — | 31,436,890 | — | — | ||||||||||||||||||
Bonds | 30,060,229 | 30,053,933 | — | 30,053,933 | — | — | ||||||||||||||||||
Loan from other FHLBank | 250,000 | 250,000 | — | 250,000 | — | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 7,032 | 7,032 | 7,032 | — | — | — | ||||||||||||||||||
Accrued interest payable | 67,680 | 67,680 | — | 67,680 | — | — | ||||||||||||||||||
Derivative liabilities (1) | 14,337 | 14,337 | — | 403,809 | — | (389,472 | ) |
(1) | Financial instruments measured at fair value on a recurring basis as of September 30, 2017. |
(2) | Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS. |
(3) | Consists of the Bank's holdings of non-agency RMBS. |
(4) | Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (including variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. The estimated fair values of the Bank's derivative assets and liabilities are before consideration of variation margin for daily settled contracts. |
Estimated Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 27,696 | $ | 27,696 | $ | 27,696 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 255 | 255 | — | 255 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 3,100,000 | 3,100,000 | — | 3,100,000 | — | — | ||||||||||||||||||
Federal funds sold | 6,242,000 | 6,242,000 | — | 6,242,000 | — | — | ||||||||||||||||||
Trading securities (1) | 111,638 | 111,638 | 10,143 | 101,495 | — | — | ||||||||||||||||||
Available-for-sale securities (1) | 13,175,933 | 13,175,933 | — | 13,175,933 | — | — | ||||||||||||||||||
Held-to-maturity securities | 2,499,595 | 2,514,512 | — | 2,403,963 | (2) | 110,549 | (3) | — | ||||||||||||||||
Advances | 32,506,175 | 32,514,400 | — | 32,514,400 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 123,961 | 127,486 | — | 127,486 | — | — | ||||||||||||||||||
Loan to other FHLBank | 290,000 | 290,000 | — | 290,000 | — | — | ||||||||||||||||||
Accrued interest receivable | 87,977 | 87,977 | — | 87,977 | — | — | ||||||||||||||||||
Derivative assets (1) | 15,637 | 15,637 | — | 240,405 | — | (224,768 | ) | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,040,158 | 1,040,149 | — | 1,040,149 | — | — | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 26,941,782 | 26,937,934 | — | 26,937,934 | — | — | ||||||||||||||||||
Bonds | 26,997,487 | 26,917,278 | — | 26,917,278 | — | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 3,417 | 3,417 | 3,417 | — | — | — | ||||||||||||||||||
Accrued interest payable | 43,274 | 43,274 | — | 43,274 | — | — | ||||||||||||||||||
Derivative liabilities (1) | 14,343 | 14,343 | — | 457,285 | — | (442,942 | ) |
(1) | Financial instruments measured at fair value on a recurring basis as of December 31, 2016. |
(2) | Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS, GSE RMBS and GSE commercial MBS. |
(3) | Consists of the Bank's holdings of non-agency RMBS. |
(4) | Amounts represent the impact of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its 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. |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Balance at January 1, | $ | 290,000 | $ | — | |||
Loans made to: | |||||||
FHLBank of Topeka | — | 112,000 | |||||
FHLBank of Boston | 225,000 | — | |||||
Collections from: | |||||||
FHLBank of San Francisco | (290,000 | ) | — | ||||
FHLBank of Topeka | — | (112,000 | ) | ||||
FHLBank of Boston | (225,000 | ) | — | ||||
Balance at September 30, | $ | — | $ | — |
Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Balance at January 1, | $ | — | $ | — | |||
Borrowings from: | |||||||
FHLBank of Indianapolis | 20,000 | — | |||||
FHLBank of Topeka | 10,000 | 125,000 | |||||
FHLBank of Atlanta | 250,000 | — | |||||
Repayments to: | |||||||
FHLBank of Indianapolis | (20,000 | ) | — | ||||
FHLBank of Topeka | (10,000 | ) | (125,000 | ) | |||
Balance at September 30, | $ | 250,000 | $ | — |
Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) | Net Unrealized Gains (Losses) on Cash Flow Hedges | Non-Credit Portion of Other-than-Temporary Impairment Losses on Held-to-Maturity Securities | Postretirement Benefits | Total AOCI | |||||||||||||||
Three Months Ended September 30, 2017 | |||||||||||||||||||
Balance at July 1, 2017 | $ | 130,990 | $ | 16,065 | $ | (15,227 | ) | $ | 1,358 | $ | 133,186 | ||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Losses on cash flow hedges included in interest expense | — | 491 | — | — | 491 | ||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense | — | — | — | (4 | ) | (4 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized gains on available-for-sale securities | 27,278 | — | — | — | 27,278 | ||||||||||||||
Unrealized losses on cash flow hedges | — | (917 | ) | — | — | (917 | ) | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 822 | — | 822 | ||||||||||||||
Total other comprehensive income (loss) | 27,278 | (426 | ) | 822 | (4 | ) | 27,670 | ||||||||||||
Balance at September 30, 2017 | $ | 158,268 | $ | 15,639 | $ | (14,405 | ) | $ | 1,354 | $ | 160,856 | ||||||||
Three Months Ended September 30, 2016 | |||||||||||||||||||
Balance at July 1, 2016 | $ | (91,957 | ) | $ | (14,394 | ) | $ | (19,245 | ) | $ | 1,439 | $ | (124,157 | ) | |||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Realized gains on sales of available-for-sale securities included in net income | (889 | ) | — | — | — | (889 | ) | ||||||||||||
Losses on cash flow hedges included in interest expense | — | 990 | — | — | 990 | ||||||||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities recognized as credit losses in net income | — | — | 8 | — | 8 | ||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense | — | — | — | (20 | ) | (20 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized gains on available-for-sale securities | 97,845 | — | — | — | 97,845 | ||||||||||||||
Unrealized gains on cash flow hedges | — | 2,147 | — | — | 2,147 | ||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 1,076 | — | 1,076 | ||||||||||||||
Total other comprehensive income (loss) | 96,956 | 3,137 | 1,084 | (20 | ) | 101,157 | |||||||||||||
Balance at September 30, 2016 | $ | 4,999 | $ | (11,257 | ) | $ | (18,161 | ) | $ | 1,419 | $ | (23,000 | ) | ||||||
Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) | Net Unrealized Gains (Losses) on Cash Flow Hedges | Non-Credit Portion of Other-than-Temporary Impairment Losses on Held-to-Maturity Securities | Postretirement Benefits | Total AOCI | |||||||||||||||
Nine Months Ended September 30, 2017 | |||||||||||||||||||
Balance at January 1, 2017 | $ | 58,587 | $ | 20,380 | $ | (17,157 | ) | $ | 1,400 | $ | 63,210 | ||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Realized gains on sales of available-for-sale securities included in net income | (1,837 | ) | — | — | — | (1,837 | ) | ||||||||||||
Losses on cash flow hedges included in interest expense | — | 1,927 | — | — | 1,927 | ||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense | — | — | — | (46 | ) | (46 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized gains on available-for-sale securities | 101,518 | — | — | — | 101,518 | ||||||||||||||
Unrealized losses on cash flow hedges | — | (6,668 | ) | — | — | (6,668 | ) | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 2,752 | — | 2,752 | ||||||||||||||
Total other comprehensive income (loss) | 99,681 | (4,741 | ) | 2,752 | (46 | ) | 97,646 | ||||||||||||
Balance at September 30, 2017 | $ | 158,268 | $ | 15,639 | $ | (14,405 | ) | $ | 1,354 | $ | 160,856 | ||||||||
Nine Months Ended September 30, 2016 | |||||||||||||||||||
Balance at January 1, 2016 | $ | (82,278 | ) | $ | (847 | ) | $ | (21,376 | ) | $ | 1,478 | $ | (103,023 | ) | |||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Realized gains on sales of available-for-sale securities included in net income | (5,104 | ) | — | — | — | (5,104 | ) | ||||||||||||
Losses on cash flow hedges included in interest expense | — | 2,570 | — | — | 2,570 | ||||||||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities recognized as credit losses in net income | — | — | 12 | — | 12 | ||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in compensation and benefits expense | — | — | — | (59 | ) | (59 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized gains on available-for-sale securities | 92,381 | — | — | — | 92,381 | ||||||||||||||
Unrealized losses on cash flow hedges | — | (12,980 | ) | — | — | (12,980 | ) | ||||||||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | — | — | (302 | ) | — | (302 | ) | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 3,505 | — | 3,505 | ||||||||||||||
Total other comprehensive income (loss) | 87,277 | (10,410 | ) | 3,215 | (59 | ) | 80,023 | ||||||||||||
Balance at September 30, 2016 | $ | 4,999 | $ | (11,257 | ) | $ | (18,161 | ) | $ | 1,419 | $ | (23,000 | ) |
MEMBERSHIP SUMMARY | |||||
September 30, 2017 | December 31, 2016 | ||||
Commercial banks | 609 | 621 | |||
Savings institutions | 59 | 60 | |||
Credit unions | 114 | 108 | |||
Insurance companies | 35 | 37 | |||
Community Development Financial Institutions | 6 | 5 | |||
Total members | 823 | 831 | |||
Housing associates | 8 | 8 | |||
Non-member borrowers | 8 | 8 | |||
Total | 839 | 847 | |||
Community Financial Institutions (“CFIs”) (1) | 601 | 619 |
(1) | The figures shown reflect the number of institutions that were Community Financial Institutions as of September 30, 2017 and December 31, 2016 based upon the definitions of Community Financial Institutions that applied as of those dates. |
Ending Rate | Average Rate | Average Rate | |||||||||
September 30, 2017 | December 31, 2016 | Third Quarter 2017 | Third Quarter 2016 | Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | ||||||
Federal Funds Target (1) | 1.25% | 0.75% | 1.25% | 0.50% | 1.03% | 0.50% | |||||
Average Effective Federal Funds Rate (2) | 1.06% | 0.55% | 1.14% | 0.40% | 0.93% | 0.38% | |||||
1-month LIBOR (1) | 1.23% | 0.77% | 1.23% | 0.51% | 1.04% | 0.46% | |||||
3-month LIBOR (1) | 1.33% | 1.00% | 1.31% | 0.79% | 1.20% | 0.69% | |||||
2-year LIBOR (1) | 1.74% | 1.45% | 1.60% | 0.96% | 1.57% | 0.92% | |||||
5-year LIBOR (1) | 2.00% | 1.98% | 1.88% | 1.14% | 1.93% | 1.21% | |||||
10-year LIBOR (1) | 2.29% | 2.34% | 2.20% | 1.43% | 2.26% | 1.60% | |||||
3-month U.S. Treasury (1) | 1.06% | 0.51% | 1.05% | 0.30% | 0.86% | 0.28% | |||||
2-year U.S. Treasury (1) | 1.47% | 1.20% | 1.36% | 0.73% | 1.30% | 0.78% | |||||
5-year U.S. Treasury (1) | 1.92% | 1.93% | 1.81% | 1.13% | 1.86% | 1.24% | |||||
10-year U.S. Treasury (1) | 2.33% | 2.45% | 2.24% | 1.56% | 2.32% | 1.74% |
(1) | Source: Bloomberg (reflects upper end of target range) |
(2) | Source: Federal Reserve Statistical Release |
• | The Bank ended the third quarter of 2017 with total assets of $66.4 billion compared with $58.2 billion at the end of 2016. The $8.2 billion increase in total assets during the nine-month period was attributable primarily to increases in the Bank's advances ($3.8 billion), short-term liquidity portfolio ($2.5 billion), long-term investments ($1.3 billion) and mortgage loans held for portfolio ($0.5 billion). |
• | Total advances increased from $32.5 billion at December 31, 2016 to $36.3 billion at September 30, 2017. |
• | During the first, second and third quarters of 2017, the Bank acquired $55.9 million, $198.5 million and $199.6 million (unpaid principal balances), respectively, of conventional mortgage loans through the MPF Program. |
• | The Bank’s net income for the three and nine months ended September 30, 2017 was $40.0 million and $118.9 million, respectively, as compared to $21.1 million and $50.6 million during the corresponding periods in 2016. The increase of $18.9 million for the three months ended September 30, 2017 compared to the corresponding period in 2016 was due primarily to a $17.8 million increase in net interest income, a $2.0 million increase in gains on sales of held-to-maturity securities and a $1.2 million favorable change in the aggregate net gains and losses associated with the Bank's derivatives and hedging activities and its trading securities portfolio (most of which are expected to be transitory in nature), offset by a $2.1 million increase in Affordable Housing Program expenses. The increase of $68.3 million for the nine months ended September 30, 2017 compared to the corresponding period in 2016 was due primarily to a $58.5 million increase in net interest income and a $19.7 million favorable change in the aggregate net gains and losses associated with the Bank's derivatives and hedging activities and its trading securities portfolio (most of which are expected to be transitory in nature), offset by a $3.8 million increase in other expenses and a $7.6 million increase in Affordable Housing Program expenses. For additional discussion, see the section entitled "Results of Operations" beginning on page 63 of this report. |
• | At all times during the first nine months of 2017, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s retained earnings increased to $920.9 million at September 30, 2017 from $824.0 million at December 31, 2016. Retained earnings was 1.39 percent and 1.42 percent of total assets at September 30, 2017 and December 31, 2016, respectively. |
• | During the first nine months of 2017, the Bank paid dividends totaling $22.0 million. The Bank’s first quarter 2017 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 0.599 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2016) and 1.599 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2016 plus 1.0 percent), respectively. The Bank’s second quarter 2017 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 0.83 percent (a rate equal to average one-month LIBOR for the first quarter of 2017) and 1.83 percent (a rate equal to average one-month LIBOR for the first quarter |
2017 | 2016 | ||||||||||||||||||
Third Quarter | Second Quarter | First Quarter | Fourth Quarter | Third Quarter | |||||||||||||||
Balance sheet (at quarter end) | |||||||||||||||||||
Advances | $ | 36,287,884 | $ | 34,132,238 | $ | 31,058,811 | $ | 32,506,175 | $ | 31,821,835 | |||||||||
Investments (1) | 29,255,476 | 28,122,619 | 26,040,636 | 25,419,421 | 26,200,193 | ||||||||||||||
Mortgage loans | 576,947 | 379,026 | 178,248 | 124,102 | 70,129 | ||||||||||||||
Allowance for credit losses on mortgage loans | 141 | 141 | 141 | 141 | 141 | ||||||||||||||
Total assets | 66,449,883 | 62,862,497 | 57,525,685 | 58,212,077 | 58,357,619 | ||||||||||||||
Consolidated obligations — discount notes | 31,438,766 | 28,014,878 | 22,783,297 | 26,941,782 | 31,099,645 | ||||||||||||||
Consolidated obligations — bonds | 30,060,229 | 30,020,333 | 30,127,957 | 26,997,487 | 23,122,425 | ||||||||||||||
Total consolidated obligations(2) | 61,498,995 | 58,035,211 | 52,911,254 | 53,939,269 | 54,222,070 | ||||||||||||||
Mandatorily redeemable capital stock(3) | 7,032 | 23,146 | 2,865 | 3,417 | 2,341 | ||||||||||||||
Capital stock — putable | 2,206,815 | 2,114,575 | 1,952,078 | 1,930,148 | 1,880,042 | ||||||||||||||
Unrestricted retained earnings | 818,251 | 794,884 | 767,134 | 745,104 | 727,513 | ||||||||||||||
Restricted retained earnings | 102,663 | 94,660 | 85,908 | 78,880 | 73,110 | ||||||||||||||
Total retained earnings | 920,914 | 889,544 | 853,042 | 823,984 | 800,623 | ||||||||||||||
Accumulated other comprehensive income (loss) | 160,856 | 133,186 | 136,180 | 63,210 | (23,000 | ) | |||||||||||||
Total capital | 3,288,585 | 3,137,305 | 2,941,300 | 2,817,342 | 2,657,665 | ||||||||||||||
Dividends paid(3) | 8,643 | 7,261 | 6,080 | 5,488 | 4,665 | ||||||||||||||
Income statement (for the quarter) | |||||||||||||||||||
Net interest income | $ | 62,492 | $ | 61,514 | $ | 52,746 | $ | 46,815 | $ | 44,668 | |||||||||
Other income | 5,463 | 7,890 | 8,557 | 7,122 | 2,405 | ||||||||||||||
Other expense | 23,491 | 20,774 | 22,260 | 21,882 | 23,600 | ||||||||||||||
AHP assessment | 4,451 | 4,867 | 3,905 | 3,206 | 2,348 | ||||||||||||||
Net income | 40,013 | 43,763 | 35,138 | 28,849 | 21,125 | ||||||||||||||
Performance ratios | |||||||||||||||||||
Net interest margin(4) | 0.39 | % | 0.42 | % | 0.38 | % | 0.32 | % | 0.31 | % | |||||||||
Net interest spread (5) | 0.32 | 0.37 | 0.34 | 0.29 | 0.28 | ||||||||||||||
Return on average assets | 0.25 | 0.30 | 0.25 | 0.20 | 0.15 | ||||||||||||||
Return on average equity | 4.83 | 5.74 | 4.83 | 4.12 | 3.23 | ||||||||||||||
Return on average capital stock (6) | 7.12 | 8.55 | 7.05 | 5.90 | 4.49 | ||||||||||||||
Total average equity to average assets | 5.12 | 5.23 | 5.21 | 4.80 | 4.61 | ||||||||||||||
Regulatory capital ratio(7) | 4.72 | 4.82 | 4.88 | 4.74 | 4.60 | ||||||||||||||
Dividend payout ratio (3)(8) | 21.60 | 16.59 | 17.30 | 19.02 | 22.08 |
(1) | Investments consist of interest-bearing deposits, federal funds sold, securities purchased under agreements to resell, loans to other FHLBanks 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 September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016 and September 30, 2016, the outstanding consolidated obligations (at par value) of all of the FHLBanks totaled approximately $1.028 trillion, $1.012 trillion, $959 billion, $989 billion and $968 billion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $62 billion, $58 billion, $53 billion, $54 billion and $54 billion, respectively. |
(3) | Mandatorily redeemable capital stock represents capital stock that is classified as a liability under accounting principles generally accepted in the United States of America. Dividends on mandatorily redeemable capital stock are recorded as interest expense and excluded from dividends paid. Dividends paid on mandatorily redeemable capital stock totaled $47 thousand, $8 thousand, $6 thousand, $4 thousand and $9 thousand for the quarters ended September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016 and September 30, 2016, respectively. |
(4) | Net interest margin is net interest income as a percentage of average earning assets. |
(5) | Net interest spread is the difference between the yield on interest-earning assets and the cost of interest-bearing liabilities. |
(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. |
September 30, 2017 | |||||||||||||||
Increase (Decrease) | Balance at | ||||||||||||||
Balance | Amount | Percentage | December 31, 2016 | ||||||||||||
Advances | $ | 36,288 | $ | 3,782 | 11.6 | % | $ | 32,506 | |||||||
Short-term liquidity holdings | |||||||||||||||
Securities purchased under agreements to resell | 2,300 | (800 | ) | (25.8 | )% | 3,100 | |||||||||
Federal funds sold | 9,830 | 3,588 | 57.5 | % | 6,242 | ||||||||||
Loan to other FHLBank | — | (290 | ) | (100.0 | )% | 290 | |||||||||
Long-term investments | |||||||||||||||
Trading securities | 103 | 2 | 2.0 | % | 101 | ||||||||||
Available-for-sale securities | 14,978 | 1,802 | 13.7 | % | 13,176 | ||||||||||
Held-to-maturity securities | 2,032 | (468 | ) | (18.7 | )% | 2,500 | |||||||||
Mortgage loans held for portfolio, net | 577 | 453 | 365.3 | % | 124 | ||||||||||
Total assets | 66,450 | 8,238 | 14.2 | % | 58,212 | ||||||||||
Consolidated obligations — bonds | 30,060 | 3,063 | 11.3 | % | 26,997 | ||||||||||
Consolidated obligations — discount notes | 31,439 | 4,497 | 16.7 | % | 26,942 | ||||||||||
Total consolidated obligations | 61,499 | 7,560 | 14.0 | % | 53,939 | ||||||||||
Mandatorily redeemable capital stock | 7 | 4 | 133.3 | % | 3 | ||||||||||
Capital stock | 2,207 | 277 | 14.4 | % | 1,930 | ||||||||||
Retained earnings | 921 | 97 | 11.8 | % | 824 | ||||||||||
Average total assets | 59,783 | 6,883 | 13.0 | % | 52,900 | ||||||||||
Average capital stock | 2,102 | 312 | 17.4 | % | 1,790 | ||||||||||
Average mandatorily redeemable capital stock | 10 | 5 | 100.0 | % | 5 |
September 30, 2017 | December 31, 2016 | ||||||||||||
Amount | Percent | Amount | Percent | ||||||||||
Commercial banks | $ | 27,383 | 75 | % | $ | 23,416 | 72 | % | |||||
Credit unions | 3,431 | 10 | 2,851 | 9 | |||||||||
Insurance companies | 3,127 | 9 | 2,817 | 9 | |||||||||
Savings institutions | 2,176 | 6 | 3,318 | 10 | |||||||||
Community Development Financial Institutions | 14 | — | 14 | — | |||||||||
Total member advances | 36,131 | 100 | 32,416 | 100 | |||||||||
Housing associates | 118 | — | 46 | — | |||||||||
Non-member borrowers | 20 | — | 10 | — | |||||||||
Total par value of advances | $ | 36,269 | 100 | % | $ | 32,472 | 100 | % | |||||
Total par value of advances outstanding to CFIs (1) | $ | 7,555 | 21 | % | $ | 6,758 | 21 | % |
(1) | The figures shown reflect the advances outstanding to CFIs as of September 30, 2017 and December 31, 2016 based upon the definitions of CFIs that applied as of those dates. |
Name | Par Value of Advances | Percent of Total Par Value of Advances | |||||
Comerica Bank | $ | 3,300 | 9.1 | % | |||
Texas Capital Bank, N.A. | 2,500 | 6.9 | |||||
Iberiabank | 1,945 | 5.4 | |||||
Life Insurance Company of the Southwest | 1,332 | 3.7 | |||||
Trustmark National Bank | 1,250 | 3.4 | |||||
$ | 10,327 | 28.5 | % |
September 30, 2017 | December 31, 2016 | ||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||
Fixed-rate | $ | 22,644 | 62.4 | % | $ | 18,185 | 56.0 | % | |||||
Adjustable/variable-rate indexed | 12,211 | 33.7 | 12,839 | 39.5 | |||||||||
Amortizing | 1,414 | 3.9 | 1,448 | 4.5 | |||||||||
Total par value | $ | 36,269 | 100.0 | % | $ | 32,472 | 100.0 | % |
Balance Sheet Classification | Total Long-Term | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Investments | Held-to-Maturity | |||||||||||||||||
September 30, 2017 | (at carrying value) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||||||
Debentures | |||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 12 | $ | 485 | $ | 103 | $ | 600 | $ | 12 | |||||||||||
GSE obligations | — | 6,629 | — | 6,629 | — | ||||||||||||||||
State housing agency obligations | 160 | — | — | 160 | 160 | ||||||||||||||||
Other | — | 183 | — | 183 | — | ||||||||||||||||
Total debentures | 172 | 7,297 | 103 | 7,572 | 172 | ||||||||||||||||
Mortgage-backed securities ("MBS") portfolio | |||||||||||||||||||||
U.S. government-guaranteed residential MBS | 2 | — | — | 2 | 2 | ||||||||||||||||
GSE residential MBS | 1,739 | — | — | 1,739 | 1,749 | ||||||||||||||||
GSE commercial MBS | 35 | 7,681 | — | 7,716 | 35 | ||||||||||||||||
Non-agency residential MBS | 84 | — | — | 84 | 99 | ||||||||||||||||
Total MBS | 1,860 | 7,681 | — | 9,541 | 1,885 | ||||||||||||||||
Total long-term investments | $ | 2,032 | $ | 14,978 | $ | 103 | $ | 17,113 | $ | 2,057 | |||||||||||
Balance Sheet Classification | Total Long-Term | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Investments | Held-to-Maturity | |||||||||||||||||
December 31, 2016 | (at carrying value) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||||||
Debentures | |||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 16 | $ | 496 | $ | 101 | $ | 613 | $ | 16 | |||||||||||
GSE obligations | — | 6,526 | — | 6,526 | — | ||||||||||||||||
State housing agency obligations | 110 | — | — | 110 | 109 | ||||||||||||||||
Other | — | 320 | — | 320 | — | ||||||||||||||||
Total debentures | 126 | 7,342 | 101 | 7,569 | 125 | ||||||||||||||||
Mortgage-backed securities portfolio | |||||||||||||||||||||
U.S. government-guaranteed residential MBS | 3 | — | — | 3 | 3 | ||||||||||||||||
GSE residential MBS | 2,211 | — | — | 2,211 | 2,215 | ||||||||||||||||
GSE commercial MBS | 61 | 5,834 | — | 5,895 | 61 | ||||||||||||||||
Non-agency residential MBS | 98 | — | — | 98 | 111 | ||||||||||||||||
Total MBS | 2,373 | 5,834 | — | 8,207 | 2,390 | ||||||||||||||||
Total long-term investments | $ | 2,499 | $ | 13,176 | $ | 101 | $ | 15,776 | $ | 2,515 |
Credit Rating | Number of Securities | Unpaid Principal Balance | Amortized Cost | Carrying Value | Estimated Fair Value | Unrealized Losses | |||||||||||||||||
Single-A | 1 | $ | 5,783 | $ | 5,783 | $ | 5,783 | $ | 5,609 | $ | 174 | ||||||||||||
Triple-B | 3 | 12,794 | 12,794 | 12,794 | 12,557 | 237 | |||||||||||||||||
Single-B | 5 | 16,067 | 15,955 | 14,462 | 15,095 | 860 | |||||||||||||||||
Triple-C | 13 | 72,387 | 64,226 | 51,314 | 65,923 | 1,648 | |||||||||||||||||
Not Rated | 1 | 94 | 94 | 94 | 88 | 6 | |||||||||||||||||
Total | 23 | $ | 107,125 | $ | 98,852 | $ | 84,447 | $ | 99,272 | $ | 2,925 |
Expiration | Notional Amount | |||
Third quarter 2018 | $ | 200 | ||
First quarter 2019 | 250 | |||
Third quarter 2021 (1) | 750 | |||
$ | 1,200 | |||
(1) This cap is effective beginning in August 2018 and its notional balance declines by $250 million in August 2019 and again in August 2020, to $500 million and $250 million, respectively. |
September 30, 2017 | December 31, 2016 | ||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||
Variable-rate | $ | 15,111 | 50.1 | % | $ | 13,151 | 48.5 | % | |||||
Fixed-rate | |||||||||||||
Non-callable | 9,235 | 30.6 | 8,597 | 31.7 | |||||||||
Callable | 2,477 | 8.2 | 2,356 | 8.7 | |||||||||
Callable step-up | 3,185 | 10.6 | 2,829 | 10.4 | |||||||||
Callable step-down | 150 | 0.5 | 200 | 0.7 | |||||||||
Total par value | $ | 30,158 | 100.0 | % | $ | 27,133 | 100.0 | % |
Name | Par Value of Capital Stock | Percent of Total Par Value of Capital Stock | |||||
Comerica Bank | $ | 142,300 | 6.4 | % | |||
Iberiabank | 93,672 | 4.2 | |||||
Texas Capital Bank, N.A. | 92,700 | 4.2 | |||||
Centennial Bank | 68,781 | 3.1 | |||||
Whitney Bank | 67,088 | 3.0 | |||||
$ | 464,541 | 20.9 | % |
September 30, 2017 | December 31, 2016 | ||||||||||||
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 | $ | 1,585 | 72 | % | $ | 1,378 | 71 | % | |||||
Credit unions | 315 | 14 | 224 | 12 | |||||||||
Insurance companies | 179 | 8 | 156 | 8 | |||||||||
Savings institutions | 127 | 6 | 171 | 9 | |||||||||
Community Development Financial Institutions | 1 | — | 1 | — | |||||||||
Total capital stock classified as capital | 2,207 | 100 | 1,930 | 100 | |||||||||
Mandatorily redeemable capital stock | 7 | — | 3 | — | |||||||||
Total regulatory capital stock | $ | 2,214 | 100 | % | $ | 1,933 | 100 | % |
Fair Value Hedges | |||||||||||||||||||
Shortcut Method | Long-Haul Method | Cash Flow Hedges | Economic Hedges | Total | |||||||||||||||
September 30, 2017 | |||||||||||||||||||
Advances | $ | 4,408 | $ | 908 | $ | — | $ | — | $ | 5,316 | |||||||||
Investments | — | 14,756 | — | 1,203 | 15,959 | ||||||||||||||
Consolidated obligation bonds | — | 13,310 | — | — | 13,310 | ||||||||||||||
Consolidated obligation discount notes | — | — | 425 | — | 425 | ||||||||||||||
Intermediary positions | — | — | — | 2,419 | 2,419 | ||||||||||||||
Other | — | — | — | 400 | 400 | ||||||||||||||
Total notional balance | $ | 4,408 | $ | 28,974 | $ | 425 | $ | 4,022 | $ | 37,829 | |||||||||
December 31, 2016 | |||||||||||||||||||
Advances | $ | 3,835 | $ | 1,170 | $ | — | $ | — | $ | 5,005 | |||||||||
Investments | — | 13,107 | — | 1,203 | 14,310 | ||||||||||||||
Consolidated obligation bonds | — | 12,776 | — | — | 12,776 | ||||||||||||||
Consolidated obligation discount notes | — | — | 425 | 1,276 | 1,701 | ||||||||||||||
Balance sheet | — | — | — | 1,000 | 1,000 | ||||||||||||||
Intermediary positions | — | — | — | 422 | 422 | ||||||||||||||
Other | — | — | — | 327 | 327 | ||||||||||||||
Total notional balance | $ | 3,835 | $ | 27,053 | $ | 425 | $ | 4,228 | $ | 35,541 |
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Intermediary Transactions | Other | Total | |||||||||||||||||||||
Three Months Ended September 30, 2017 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 16 | $ | (1 | ) | $ | — | $ | — | $ | — | $ | 15 | ||||||||||||
Net interest settlements included in net interest income (2) | (7 | ) | (40 | ) | 10 | (1 | ) | — | — | (38 | ) | ||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net losses on fair value hedges | — | — | (2 | ) | — | — | — | (2 | ) | ||||||||||||||||||
Net gains (losses) on economic hedges | — | — | — | — | (1 | ) | 2 | 1 | |||||||||||||||||||
Price alignment amount | — | — | — | — | — | 1 | 1 | ||||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | — | (2 | ) | — | (1 | ) | 3 | — | ||||||||||||||||||
Net impact of derivatives and hedging activities | $ | (7 | ) | $ | (24 | ) | $ | 7 | $ | (1 | ) | $ | (1 | ) | $ | 3 | $ | (23 | ) | ||||||||
Three Months Ended September 30, 2016 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 17 | $ | (1 | ) | $ | — | $ | — | $ | — | $ | 16 | ||||||||||||
Net interest settlements included in net interest income (2) | (16 | ) | (55 | ) | 13 | (1 | ) | — | — | (59 | ) | ||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net gains on fair value hedges | — | 2 | — | — | — | — | 2 | ||||||||||||||||||||
Net losses on economic hedges | — | — | — | (2 | ) | — | (2 | ) | (4 | ) | |||||||||||||||||
Net interest settlements on economic hedges | — | — | — | 1 | — | — | 1 | ||||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | 2 | — | (1 | ) | — | (2 | ) | (1 | ) | |||||||||||||||||
Net impact of derivatives and hedging activities | $ | (16 | ) | $ | (36 | ) | $ | 12 | $ | (2 | ) | $ | — | $ | (2 | ) | $ | (44 | ) | ||||||||
Nine Months Ended September 30, 2017 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | — | $ | 49 | $ | (3 | ) | $ | — | $ | — | $ | — | $ | 46 | ||||||||||||
Net interest settlements included in net interest income (2) | (28 | ) | (132 | ) | 35 | (2 | ) | — | — | (127 | ) | ||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net losses on fair value hedges | — | (6 | ) | — | — | — | — | (6 | ) | ||||||||||||||||||
Net gains on economic hedges | — | — | — | — | 3 | 7 | 10 | ||||||||||||||||||||
Net interest settlements on economic hedges | — | — | — | — | — | 1 | 1 | ||||||||||||||||||||
Price alignment amount | — | — | — | — | — | 1 | 1 | ||||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | (6 | ) | — | — | 3 | 9 | 6 | |||||||||||||||||||
Net impact of derivatives and hedging activities | $ | (28 | ) | $ | (89 | ) | $ | 32 | $ | (2 | ) | $ | 3 | $ | 9 | $ | (75 | ) | |||||||||
Nine Months Ended September 30, 2016 | |||||||||||||||||||||||||||
Amortization/accretion of hedging activities in net interest income (1) | $ | (1 | ) | $ | 55 | $ | (6 | ) | $ | — | $ | — | $ | — | $ | 48 | |||||||||||
Net interest settlements included in net interest income (2) | (51 | ) | (168 | ) | 50 | (3 | ) | — | — | (172 | ) | ||||||||||||||||
Net gain (loss) on derivatives and hedging activities | |||||||||||||||||||||||||||
Net losses on fair value hedges | — | (19 | ) | (4 | ) | — | — | — | (23 | ) | |||||||||||||||||
Net gains (losses) on economic hedges | — | (3 | ) | (2 | ) | — | — | 5 | — | ||||||||||||||||||
Net interest settlements on economic hedges | — | — | — | 1 | — | 1 | 2 | ||||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | (22 | ) | (6 | ) | 1 | — | 6 | (21 | ) | |||||||||||||||||
Net impact of derivatives and hedging activities | (52 | ) | (135 | ) | 38 | (2 | ) | — | 6 | (145 | ) | ||||||||||||||||
Net gain on hedged financial instrument classified as trading | — | 2 | — | — | — | — | 2 | ||||||||||||||||||||
$ | (52 | ) | $ | (133 | ) | $ | 38 | $ | (2 | ) | $ | — | $ | 6 | $ | (143 | ) |
(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 and Variation Margin for Daily Settled Contracts | Cash Collateral Pledged To (From) Counterparty and Variation Margin Paid (Received) on Daily Settled Contracts | Other Collateral Pledged To Counterparty | Net Credit Exposure | |||||||||||||||||
Non-member counterparties | |||||||||||||||||||||||
Asset positions with credit exposure | |||||||||||||||||||||||
Single-A | 1 | $ | 5.0 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Cleared derivatives (3) | — | 15,463.1 | 2.3 | 11.3 | 535.2 | 548.8 | |||||||||||||||||
Liability positions with credit exposure | |||||||||||||||||||||||
Single-A | 1 | 175.4 | (6.2 | ) | 6.2 | — | — | ||||||||||||||||
Triple-B (4) | 2 | 2,123.1 | (47.0 | ) | 48.2 | — | 1.2 | ||||||||||||||||
Cleared derivatives (3) | — | 9,626.2 | (75.9 | ) | 80.2 | 30.7 | 35.0 | ||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 4 | 27,392.8 | (126.8 | ) | 145.9 | 565.9 | 585.0 | ||||||||||||||||
Liability positions without credit exposure (4) | 14 | 9,168.5 | (107.2 | ) | 94.8 | — | — | ||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank did not have credit exposure | 14 | 9,168.5 | (107.2 | ) | 94.8 | — | — | ||||||||||||||||
Total non-member counterparties | 18 | 36,561.3 | (234.0 | ) | $ | 240.7 | $ | 565.9 | $ | 585.0 | |||||||||||||
Member institutions | |||||||||||||||||||||||
Interest rate exchange agreements (5) | |||||||||||||||||||||||
Asset positions | 8 | 1,139.4 | 24.0 | ||||||||||||||||||||
Liability positions | 3 | 70.0 | (1.9 | ) | |||||||||||||||||||
Mortgage delivery commitments | — | 58.4 | — | ||||||||||||||||||||
Total member institutions | 11 | 1,267.8 | 22.1 | ||||||||||||||||||||
Total | 29 | $ | 37,829.1 | $ | (211.9 | ) |
(1) | Credit ratings shown in the table reflect the lowest rating from Moody’s, S&P or Fitch and are as of September 30, 2017. |
(2) | Includes amounts that had not settled as of September 30, 2017. |
(3) | Each of the counterparties to the Bank's cleared derivatives transactions is rated double-A. |
(4) | The figures for the liability positions with credit exposure for triple-B rated counterparties included transactions with a counterparty that is affiliated with a non-member shareholder of the Bank. Transactions with that counterparty had an aggregate notional principal of $1.2 billion and a net credit exposure of $1.0 million as of September 30, 2017. The figures for the liability positions without credit exposure included transactions with a counterparty that is affiliated with the same non-member shareholder of the Bank and transactions with another counterparty that is affiliated with a member institution. Transactions with those counterparties had an aggregate notional principal of $1.1 billion as of September 30, 2017. |
(5) | This product offering and the collateral provisions associated therewith are discussed in the paragraph below. |
For the Three Months Ended September 30, | |||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Rate(1) | Average Balance | Interest Income/ Expense | Average Rate(1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 257 | $ | 1 | 1.08 | % | $ | 1,019 | $ | 1 | 0.40 | % | |||||||||
Securities purchased under agreements to resell | 653 | 2 | 1.19 | % | 2,409 | 3 | 0.43 | % | |||||||||||||
Federal funds sold | 8,673 | 26 | 1.18 | % | 5,386 | 6 | 0.41 | % | |||||||||||||
Investments | |||||||||||||||||||||
Trading | 115 | — | 2.03 | % | 119 | — | 1.95 | % | |||||||||||||
Available-for-sale (3) | 14,562 | 64 | 1.76 | % | 13,080 | 36 | 1.11 | % | |||||||||||||
Held-to-maturity (3) | 2,132 | 10 | 1.79 | % | 2,785 | 7 | 1.06 | % | |||||||||||||
Advances (4) | 37,169 | 124 | 1.33 | % | 32,336 | 59 | 0.73 | % | |||||||||||||
Mortgage loans held for portfolio | 480 | 4 | 3.75 | % | 67 | 1 | 4.89 | % | |||||||||||||
Total earning assets | 64,041 | 231 | 1.44 | % | 57,201 | 113 | 0.79 | % | |||||||||||||
Cash and due from banks | 35 | 39 | |||||||||||||||||||
Other assets | 194 | 152 | |||||||||||||||||||
Derivatives netting adjustment (2) | (260 | ) | (1,021 | ) | |||||||||||||||||
Fair value adjustment on available-for-sale securities (3) | 134 | (46 | ) | ||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3) | (15 | ) | (19 | ) | |||||||||||||||||
Total assets | $ | 64,129 | 231 | 1.44 | % | $ | 56,306 | 113 | 0.80 | % | |||||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 951 | 3 | 1.03 | % | $ | 794 | 1 | 0.29 | % | |||||||||||
Consolidated obligations | |||||||||||||||||||||
Bonds | 29,462 | 88 | 1.20 | % | 21,186 | 36 | 0.68 | % | |||||||||||||
Discount notes | 29,895 | 78 | 1.04 | % | 31,447 | 32 | 0.41 | % | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | 28 | — | 1.23 | % | 4 | — | 0.53 | % | |||||||||||||
Total interest-bearing liabilities | 60,336 | 169 | 1.12 | % | 53,431 | 69 | 0.51 | % | |||||||||||||
Other liabilities | 767 | 1,298 | |||||||||||||||||||
Derivatives netting adjustment (2) | (260 | ) | (1,021 | ) | |||||||||||||||||
Total liabilities | 60,843 | 169 | 1.11 | % | 53,708 | 69 | 0.51 | % | |||||||||||||
Total capital | 3,286 | 2,598 | |||||||||||||||||||
Total liabilities and capital | $ | 64,129 | 1.05 | % | $ | 56,306 | 0.49 | % | |||||||||||||
Net interest income | $ | 62 | $ | 44 | |||||||||||||||||
Net interest margin | 0.39 | % | 0.31 | % | |||||||||||||||||
Net interest spread | 0.32 | % | 0.28 | % | |||||||||||||||||
Impact of non-interest bearing funds | 0.07 | % | 0.03 | % |
(1) | 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. |
(2) | 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 transacted under a master netting agreement or other similar arrangement. The average balances of interest-bearing deposit assets for the three months ended September 30, 2017 and 2016 in the table above include $256 million and $1.0 billion, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balance of interest-bearing deposit liabilities for the three months ended September 30, 2017 and 2016 in the table above includes $3 million and $2 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. |
(3) | Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost. |
(4) | Interest income and average rates include net prepayment fees on advances. |
For the Nine Months Ended September 30, | |||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Rate(1) | Average Balance | Interest Income/ Expense | Average Rate(1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 244 | $ | 2 | 0.90 | % | $ | 898 | $ | 3 | 0.38 | % | |||||||||
Securities purchased under agreements to resell | 455 | 4 | 1.08 | % | 1,637 | 5 | 0.39 | % | |||||||||||||
Federal funds sold | 7,690 | 56 | 0.97 | % | 5,083 | 15 | 0.39 | % | |||||||||||||
Investments | |||||||||||||||||||||
Trading | 113 | 1 | 2.03 | % | 180 | 2 | 1.73 | % | |||||||||||||
Available-for-sale (3) | 13,913 | 170 | 1.63 | % | 12,144 | 92 | 1.01 | % | |||||||||||||
Held-to-maturity (3) | 2,318 | 27 | 1.57 | % | 2,971 | 22 | 1.02 | % | |||||||||||||
Advances (4) | 34,701 | 296 | 1.14 | % | 29,021 | 156 | 0.72 | % | |||||||||||||
Mortgage loans held for portfolio | 295 | 8 | 3.82 | % | 58 | 3 | 5.46 | % | |||||||||||||
Total earning assets | 59,729 | 564 | 1.26 | % | 51,992 | 298 | 0.76 | % | |||||||||||||
Cash and due from banks | 34 | 45 | |||||||||||||||||||
Other assets | 208 | 147 | |||||||||||||||||||
Derivatives netting adjustment (2) | (281 | ) | (902 | ) | |||||||||||||||||
Fair value adjustment on available-for-sale securities (3) | 109 | (72 | ) | ||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3) | (16 | ) | (20 | ) | |||||||||||||||||
Total assets | $ | 59,783 | 564 | 1.26 | % | $ | 51,190 | 298 | 0.77 | % | |||||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 1,111 | 7 | 0.82 | % | $ | 858 | 2 | 0.26 | % | |||||||||||
Consolidated obligations | |||||||||||||||||||||
Bonds | 29,752 | 227 | 1.02 | % | 19,794 | 97 | 0.65 | % | |||||||||||||
Discount notes | 25,476 | 154 | 0.81 | % | 27,860 | 81 | 0.39 | % | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | 27 | — | 0.96 | % | 21 | — | 0.14 | % | |||||||||||||
Total interest-bearing liabilities | 56,366 | 388 | 0.92 | % | 48,533 | 180 | 0.49 | % | |||||||||||||
Other liabilities | 599 | 1,135 | |||||||||||||||||||
Derivatives netting adjustment (2) | (281 | ) | (902 | ) | |||||||||||||||||
Total liabilities | 56,684 | 388 | 0.91 | % | 48,766 | 180 | 0.49 | % | |||||||||||||
Total capital | 3,099 | 2,424 | |||||||||||||||||||
Total liabilities and capital | $ | 59,783 | 0.86 | % | $ | 51,190 | 0.47 | % | |||||||||||||
Net interest income | $ | 176 | $ | 118 | |||||||||||||||||
Net interest margin | 0.40 | % | 0.30 | % | |||||||||||||||||
Net interest spread | 0.34 | % | 0.27 | % | |||||||||||||||||
Impact of non-interest bearing funds | 0.06 | % | 0.03 | % |
(1) | 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. |
(2) | 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 transacted under a master netting agreement or other similar arrangement. The average balances of interest-bearing deposit assets for the nine months ended September 30, 2017 and 2016 in the table above include $243 million and $898 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balance of interest-bearing deposit liabilities for the nine months ended September 30, 2017 and 2016 in the table above includes $37 million and $4 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. |
(3) | Average balances for available-for-sale and held-to-maturity securities are calculated based upon amortized cost. |
(4) | Interest income and average rates include net prepayment fees on advances. |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||||||||||
September 30, 2017 vs. 2016 | September 30, 2017 vs. 2016 | ||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||||||
Interest income | |||||||||||||||||||||||
Interest-bearing deposits | $ | (1 | ) | $ | 1 | $ | — | $ | (3 | ) | $ | 2 | $ | (1 | ) | ||||||||
Securities purchased under agreements to resell | (3 | ) | 2 | (1 | ) | (5 | ) | 4 | (1 | ) | |||||||||||||
Federal funds sold | 5 | 15 | 20 | 9 | 32 | 41 | |||||||||||||||||
Investments | |||||||||||||||||||||||
Trading | — | — | — | (1 | ) | — | (1 | ) | |||||||||||||||
Available-for-sale | 5 | 23 | 28 | 15 | 63 | 78 | |||||||||||||||||
Held-to-maturity | (1 | ) | 4 | 3 | (6 | ) | 11 | 5 | |||||||||||||||
Advances | 10 | 55 | 65 | 35 | 105 | 140 | |||||||||||||||||
Mortgage loans held for portfolio | 3 | — | 3 | 6 | (1 | ) | 5 | ||||||||||||||||
Total interest income | 18 | 100 | 118 | 50 | 216 | 266 | |||||||||||||||||
Interest expense | |||||||||||||||||||||||
Interest-bearing deposits | — | 2 | 2 | 1 | 4 | 5 | |||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||
Bonds | 18 | 34 | 52 | 62 | 68 | 130 | |||||||||||||||||
Discount notes | (2 | ) | 48 | 46 | (7 | ) | 80 | 73 | |||||||||||||||
Mandatorily redeemable capital stock and other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total interest expense | 16 | 84 | 100 | 56 | 152 | 208 | |||||||||||||||||
Changes in net interest income | $ | 2 | $ | 16 | $ | 18 | $ | (6 | ) | $ | 64 | $ | 58 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Net interest income (expense) associated with: | |||||||||||||||
Member/offsetting swaps | $ | 118 | $ | 42 | $ | 288 | $ | 152 | |||||||
Economic hedge derivatives related to advances | 1 | 14 | 2 | (27 | ) | ||||||||||
Economic hedge derivatives related to trading securities | — | — | — | (296 | ) | ||||||||||
Economic hedge derivatives related to available-for-sale securities | (4 | ) | (4 | ) | (11 | ) | (14 | ) | |||||||
Economic hedge derivatives related to consolidated obligation discount notes | — | 167 | (503 | ) | 627 | ||||||||||
Interest rate basis swaps | — | — | 385 | — | |||||||||||
Other stand-alone economic hedge derivatives | 245 | 617 | 1,120 | 1,375 | |||||||||||
Total net interest income associated with economic hedge derivatives | 360 | 836 | 1,281 | 1,817 | |||||||||||
Gains (losses) related to economic hedge derivatives | |||||||||||||||
Interest rate swaps | |||||||||||||||
Advances | (1 | ) | 30 | (3 | ) | 27 | |||||||||
Available-for-sale securities | 2 | 27 | (18 | ) | (177 | ) | |||||||||
Trading securities | — | — | — | (2,067 | ) | ||||||||||
Mortgage loans held for portfolio | 178 | — | 178 | — | |||||||||||
Consolidated obligation bonds | 29 | — | 29 | (1,905 | ) | ||||||||||
Consolidated obligation discount notes | — | (857 | ) | 310 | 437 | ||||||||||
Interest rate basis swaps | — | — | 186 | — | |||||||||||
Other stand-alone economic hedge derivatives | 439 | (1,946 | ) | 3,987 | 4,620 | ||||||||||
Mortgage delivery commitments | 794 | 13 | 2,257 | 95 | |||||||||||
Interest rate caps related to held-to-maturity securities | (13 | ) | (2 | ) | (247 | ) | (528 | ) | |||||||
Member/offsetting swaps and caps | (102 | ) | 26 | 3,493 | 274 | ||||||||||
Total fair value gains (losses) related to economic hedge derivatives | 1,326 | (2,709 | ) | 10,172 | 776 | ||||||||||
Price alignment amount on daily settled derivative contracts | 220 | — | 521 | — | |||||||||||
Gains (losses) related to fair value hedge ineffectiveness | |||||||||||||||
Advances and associated hedges | 67 | 106 | 239 | (227 | ) | ||||||||||
Available-for-sale securities and associated hedges | (199 | ) | 2,201 | (6,488 | ) | (19,150 | ) | ||||||||
Consolidated obligation bonds and associated hedges | (1,429 | ) | (237 | ) | 249 | (3,779 | ) | ||||||||
Total fair value hedge ineffectiveness | (1,561 | ) | 2,070 | (6,000 | ) | (23,156 | ) | ||||||||
Total net gains (losses) on derivatives and hedging activities | 345 | 197 | 5,974 | (20,563 | ) | ||||||||||
Net gains (losses) on trading securities | 296 | (797 | ) | 2,344 | 9,133 | ||||||||||
Credit component of other-than-temporary impairment losses on held-to-maturity securities | — | (8 | ) | — | (20 | ) | |||||||||
Gains on sales of held-to-maturity securities | 2,093 | 65 | 3,983 | 794 | |||||||||||
Gains on sales of available-for-sale securities | — | 889 | 1,837 | 5,104 | |||||||||||
Service fees | 592 | 619 | 1,745 | 1,640 | |||||||||||
Letter of credit fees | 2,061 | 1,430 | 5,454 | 4,275 | |||||||||||
Other, net | 76 | 10 | 573 | 339 | |||||||||||
Total other | 5,118 | 2,208 | 15,936 | 21,265 | |||||||||||
Total other income | $ | 5,463 | $ | 2,405 | $ | 21,910 | $ | 702 |
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 2016 | $ | 2.932 | $ | 2.930 | (0.07 | )% | $ | 2.986 | 1.84 | % | $ | 2.944 | 0.41 | % | $ | 2.934 | 0.07 | % | |||||||||||||
January 2017 | 3.053 | 3.052 | (0.03 | )% | 3.123 | 2.29 | % | 3.064 | 0.36 | % | 3.064 | 0.36 | % | ||||||||||||||||||
February 2017 | 3.089 | 3.109 | 0.65 | % | 3.141 | 1.68 | % | 3.111 | 0.71 | % | 3.085 | (0.13 | )% | ||||||||||||||||||
March 2017 | 3.053 | 3.046 | (0.23 | )% | 3.112 | 1.93 | % | 3.060 | 0.23 | % | 3.043 | (0.33 | )% | ||||||||||||||||||
April 2017 | 3.094 | 3.048 | (1.49 | )% | 3.204 | 3.56 | % | 3.075 | (0.61 | )% | 3.113 | 0.61 | % | ||||||||||||||||||
May 2017 | 3.171 | 3.117 | (1.70 | )% | 3.280 | 3.44 | % | 3.149 | (0.69 | )% | 3.183 | 0.38 | % | ||||||||||||||||||
June 2017 | 3.239 | 3.180 | (1.82 | )% | 3.334 | 2.93 | % | 3.214 | (0.77 | )% | 3.249 | 0.31 | % | ||||||||||||||||||
July 2017 | 3.350 | 3.298 | (1.55 | )% | 3.453 | 3.07 | % | 3.328 | (0.66 | )% | 3.357 | 0.21 | % | ||||||||||||||||||
August 2017 | 3.411 | 3.380 | (0.91 | )% | 3.532 | 3.55 | % | 3.400 | (0.32 | )% | 3.410 | (0.03 | )% | ||||||||||||||||||
September 2017 | 3.373 | 3.328 | (1.33 | )% | 3.458 | 2.52 | % | 3.355 | (0.53 | )% | 3.375 | 0.06 | % |
(1) | In the up 100 and up 200 scenarios, the estimated market value of equity is calculated under assumed instantaneous +100 and +200 basis point parallel shifts in interest rates. |
(2) | 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 0.01 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 2016 | 0.26 | (0.32) | (0.06) | (0.90) | 0.03 | 0.88 | (0.72) | 0.86 | |||||||
January 2017 | 0.27 | (0.32) | (0.05) | (0.78) | 0.02 | 0.76 | (0.56) | 1.18 | |||||||
February 2017 | 0.24 | (0.32) | (0.08) | (1.14) | (0.32) | 0.39 | (1.08) | 0.81 | |||||||
March 2017 | 0.26 | (0.31) | (0.05) | (0.59) | 0.13 | 0.79 | (0.42) | 1.25 | |||||||
April 2017 | 0.26 | (0.25) | 0.01 | 0.44 | 0.77 | 1.00 | 0.52 | 1.84 | |||||||
May 2017 | 0.26 | (0.25) | 0.01 | 0.50 | 0.88 | 1.08 | 0.62 | 2.10 | |||||||
June 2017 | 0.26 | (0.25) | 0.01 | 0.54 | 0.94 | 1.13 | 0.49 | 1.82 | |||||||
July 2017 | 0.25 | (0.25) | — | 0.44 | 0.81 | 0.98 | 0.48 | 1.72 | |||||||
August 2017 | 0.24 | (0.25) | (0.01) | 0.08 | 0.48 | 0.63 | 0.28 | 1.55 | |||||||
September 2017 | 0.26 | (0.26) | — | 0.32 | 0.68 | 0.89 | 0.18 | 1.27 |
(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) | The duration of equity was calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates. |
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 September 30, 2017, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of September 30, 2017 and December 31, 2016; (ii) Statements of Income for the Three and Nine Months Ended September 30, 2017 and 2016; (iii) Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2017 and 2016; (iv) Statements of Capital for the Nine Months Ended September 30, 2017 and 2016; (v) Statements of Cash Flows for the Nine Months Ended September 30, 2017 and 2016; and (vi) Notes to the Financial Statements for the quarter ended September 30, 2017. | |
November 13, 2017 | By | /s/ Tom Lewis |
Date | Tom Lewis | |
Executive Vice President and Chief Financial Officer (Principal Financial and Accounting Officer) |
31.1 | ||
31.2 | ||
32.1 | ||
101 | The following materials from the Bank’s quarterly report on Form 10-Q for the quarterly period ended September 30, 2017, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of September 30, 2017 and December 31, 2016; (ii) Statements of Income for the Three and Nine Months Ended September 30, 2017 and 2016; (iii) Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2017 and 2016; (iv) Statements of Capital for the Nine Months Ended September 30, 2017 and 2016; (v) Statements of Cash Flows for the Nine Months Ended September 30, 2017 and 2016; and (vi) Notes to the Financial Statements for the quarter ended September 30, 2017. | |
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/ Sanjay Bhasin |
Sanjay Bhasin |
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/ Tom Lewis |
Tom Lewis |
Executive Vice President 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/ Sanjay Bhasin | /s/ Tom Lewis | |
Sanjay Bhasin President and Chief Executive Officer | Tom Lewis Executive Vice President and Chief Financial Officer | |
November 13, 2017 | November 13, 2017 |
Document and Entity Information Document - shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2017 |
Oct. 31, 2017 |
|
Entity Information [Line Items] | ||
Entity Registrant Name | Federal Home Loan Bank of Dallas | |
Entity Central Index Key | 0001331757 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2017 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 22,130,009 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes |
Statements of Condition (Unaudited) Parenthetical - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
ASSETS | ||
Held-to-maturity securities, Fair Value | $ 2,057,431 | $ 2,514,512 |
Loans and Leases Receivable, Allowance | 141 | 141 |
Trading Securities Pledged as Collateral | 0 | 0 |
Derivative, Collateral, Right to Reclaim Securities | $ 565,892 | $ 613,351 |
Capital Stock - Class B-1 - Membership/Excess | ||
CAPITAL (Note 12) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 8,062,143 | 6,904,110 |
Common Stock, Shares, Outstanding | 8,062,143 | 6,904,110 |
Capital Stock Class B-2 - Activity | ||
CAPITAL (Note 12) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 14,006,005 | 12,397,371 |
Common Stock, Shares, Outstanding | 14,006,005 | 12,397,371 |
Conventional Mortgage Loan [Member] | ||
ASSETS | ||
Financing Receivable, Allowance for Credit Losses, Collectively Evaluated for Impairment | $ 141 | $ 141 |
Statements of Income (Unaudited) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|
INTEREST INCOME | ||||
Advances | $ 123,268 | $ 56,830 | $ 294,405 | $ 152,180 |
Prepayment fees on advances, net | 366 | 2,160 | 1,310 | 3,502 |
Interest-bearing deposits | 697 | 1,012 | 1,635 | 2,531 |
Securities purchased under agreements to resell | 1,963 | 2,593 | 3,685 | 4,758 |
Federal funds sold | 25,748 | 5,535 | 56,073 | 14,737 |
Trading securities | 581 | 579 | 1,729 | 2,336 |
Available-for-sale securities | 64,171 | 36,347 | 169,756 | 92,170 |
Held-to-maturity securities | 9,557 | 7,393 | 27,220 | 22,721 |
Mortgage loans held for portfolio | 4,502 | 813 | 8,462 | 2,377 |
Total interest income | 230,853 | 113,262 | 564,275 | 297,312 |
Consolidated obligations | ||||
Bonds | 88,201 | 36,086 | 226,548 | 96,681 |
Discount notes | 77,612 | 31,916 | 153,947 | 80,752 |
Deposits | 2,463 | 586 | 6,838 | 1,641 |
Mandatorily redeemable capital stock | 40 | 6 | 91 | 23 |
Other borrowings | 45 | 0 | 99 | 0 |
Total interest expense | 168,361 | 68,594 | 387,523 | 179,097 |
NET INTEREST INCOME | 62,492 | 44,668 | 176,752 | 118,215 |
OTHER INCOME (LOSS) | ||||
Total other-than-temporary impairment losses on held-to-maturity securities | 0 | 0 | 0 | (310) |
Net non-credit impairiment losses on held -to-maturity securities recognized in other comprehensive income | 0 | (8) | 0 | 290 |
Credit component of other-than-temporary impairment losses on held-to-maturity securities | 0 | (8) | 0 | (20) |
Net gains (losses) on trading securities | 296 | (797) | 2,344 | 9,133 |
Net gains (losses) on derivatives and hedging activities | 345 | 197 | 5,974 | (20,563) |
Realized gains on sales of held-to-maturity securities | 2,093 | 65 | 3,983 | 794 |
Realized gains on sales of available-for-sale securities | 0 | 889 | 1,837 | 5,104 |
Letter of credit fees | 2,061 | 1,430 | 5,454 | 4,275 |
Other, net | 668 | 629 | 2,318 | 1,979 |
Total other income | 5,463 | 2,405 | 21,910 | 702 |
OTHER EXPENSE | ||||
Compensation and benefits | 12,551 | 14,468 | 38,722 | 38,069 |
Other operating expenses | 6,640 | 6,788 | 18,352 | 17,970 |
Finance Agency | 834 | 630 | 2,554 | 2,004 |
Office of Finance | 1,088 | 842 | 2,693 | 2,322 |
Discretionary grants and donations | 2,065 | 592 | 3,277 | 1,541 |
Derivative clearing fees | 313 | 280 | 927 | 786 |
Total other expense | 23,491 | 23,600 | 66,525 | 62,692 |
INCOME BEFORE ASSESSMENTS | 44,464 | 23,473 | 132,137 | 56,225 |
Affordable Housing Program assessment | 4,451 | 2,348 | 13,223 | 5,625 |
NET INCOME | $ 40,013 | $ 21,125 | $ 118,914 | $ 50,600 |
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|
NET INCOME | $ 40,013 | $ 21,125 | $ 118,914 | $ 50,600 |
OTHER COMPREHENSIVE INCOME (LOSS) | ||||
Net unrealized gains on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | 27,278 | 97,845 | 101,518 | 92,381 |
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | 0 | (889) | (1,837) | (5,104) |
Unrealized gains (losses) on cash flow hedges | (917) | 2,147 | (6,668) | (12,980) |
Reclassification adjustment for losses on cash flow hedges included in net income | 491 | 990 | 1,927 | 2,570 |
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 0 | 0 | 0 | (302) |
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | 0 | 8 | 0 | 12 |
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 822 | 1,076 | 2,752 | 3,505 |
Postretirement benefit plan | ||||
Amortization of prior service cost included in net periodic benefit cost | 5 | 5 | 15 | 15 |
Amortization of net actuarial gain included in net periodic benefit cost | (9) | (25) | (61) | (74) |
Total other comprehensive income | 27,670 | 101,157 | 97,646 | 80,023 |
TOTAL COMPREHENSIVE INCOME | $ 67,683 | $ 122,282 | $ 216,560 | $ 130,623 |
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance | $ 2,817,342 | $ 2,199,312 | ||||||||
Proceeds from sale of capital stock | 1,005,578 | 876,551 | ||||||||
Repurchase/redemption of capital stock | (730,329) | (548,550) | ||||||||
Shares reclassified to mandatorily redeemable capital stock | (20,230) | (68) | ||||||||
Comprehensive income | ||||||||||
Net income | $ 40,013 | $ 21,125 | 118,914 | 50,600 | ||||||
Other comprehensive income | 27,670 | 101,157 | 97,646 | 80,023 | ||||||
Dividends on capital stock | ||||||||||
Cash | (198) | [1] | (198) | [2] | ||||||
Mandatorily redeemable capital stock | (138) | [1] | (5) | [2] | ||||||
Ending balance | $ 3,288,585 | $ 2,657,665 | $ 3,288,585 | $ 2,657,665 | ||||||
Capital Stock Class B-2 - Activity | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance, shares | 12,397 | 9,077 | ||||||||
Beginning balance | $ 1,239,737 | $ 907,678 | ||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock, Value | $ (825,222) | $ (573,408) | ||||||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | (8,252) | (5,734) | ||||||||
Proceeds from sale of capital stock, shares | 9,984 | 8,718 | ||||||||
Proceeds from sale of capital stock | $ 998,353 | $ 871,790 | ||||||||
Repurchase/redemption of capital stock, shares | 0 | 0 | ||||||||
Repurchase/redemption of capital stock | $ 0 | $ 0 | ||||||||
Shares reclassified to mandatorily redeemable capital stock, shares | (123) | 0 | ||||||||
Shares reclassified to mandatorily redeemable capital stock | $ (12,267) | $ 0 | ||||||||
Dividends on capital stock | ||||||||||
Stock, shares | 0 | 0 | [2] | |||||||
Stock | $ 0 | $ 0 | [2] | |||||||
Ending balance, shares | 14,006 | 12,061 | 14,006 | 12,061 | ||||||
Ending balance | $ 1,400,601 | $ 1,206,060 | $ 1,400,601 | $ 1,206,060 | ||||||
Capital Stock - Class B-1 - Membership/Excess | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance, shares | 6,904 | 6,325 | ||||||||
Beginning balance | $ 690,411 | $ 632,454 | ||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock, Value | $ 825,222 | $ 573,408 | ||||||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | 8,252 | 5,734 | ||||||||
Proceeds from sale of capital stock, shares | 72 | 48 | ||||||||
Proceeds from sale of capital stock | $ 7,225 | $ 4,761 | ||||||||
Repurchase/redemption of capital stock, shares | (7,303) | (5,486) | ||||||||
Repurchase/redemption of capital stock | $ (730,329) | $ (548,550) | ||||||||
Shares reclassified to mandatorily redeemable capital stock, shares | (79) | (1) | ||||||||
Shares reclassified to mandatorily redeemable capital stock | $ (7,963) | $ (68) | ||||||||
Dividends on capital stock | ||||||||||
Stock, shares | 216 | [1] | 120 | [2] | ||||||
Stock | $ 21,648 | [1] | $ 11,977 | [2] | ||||||
Ending balance, shares | 8,062 | 6,740 | 8,062 | 6,740 | ||||||
Ending balance | $ 806,214 | $ 673,982 | $ 806,214 | $ 673,982 | ||||||
Retained Earnings | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance | 823,984 | 762,203 | ||||||||
Comprehensive income | ||||||||||
Net income | 118,914 | 50,600 | ||||||||
Dividends on capital stock | ||||||||||
Cash | (198) | [1] | (198) | [2] | ||||||
Mandatorily redeemable capital stock | (138) | [1] | (5) | [2] | ||||||
Stock | (21,648) | [1] | (11,977) | [2] | ||||||
Ending balance | 920,914 | 800,623 | 920,914 | 800,623 | ||||||
Retained Earnings, Restricted | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance | 78,880 | 62,990 | ||||||||
Comprehensive income | ||||||||||
Net income | 23,783 | 10,120 | ||||||||
Dividends on capital stock | ||||||||||
Ending balance | 102,663 | 73,110 | 102,663 | 73,110 | ||||||
Retained Earnings, Unrestricted | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance | 745,104 | 699,213 | ||||||||
Comprehensive income | ||||||||||
Net income | 95,131 | 40,480 | ||||||||
Dividends on capital stock | ||||||||||
Cash | (198) | [1] | (198) | [2] | ||||||
Mandatorily redeemable capital stock | (138) | [1] | (5) | [2] | ||||||
Stock | (21,648) | [1] | (11,977) | [2] | ||||||
Ending balance | 818,251 | 727,513 | 818,251 | 727,513 | ||||||
Accumulated Other Comprehensive Income (Loss) | ||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Beginning balance | 63,210 | (103,023) | ||||||||
Comprehensive income | ||||||||||
Other comprehensive income | 27,670 | 101,157 | 97,646 | 80,023 | ||||||
Dividends on capital stock | ||||||||||
Ending balance | $ 160,856 | $ (23,000) | $ 160,856 | $ (23,000) | ||||||
|
Statements of Capital (Unaudited) Parenthetical |
3 Months Ended | |||||
---|---|---|---|---|---|---|
Sep. 30, 2017 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
|
Capital Stock - Class B-1 - Membership/Excess | ||||||
Capital Unit [Line Items] | ||||||
Dividends stock annualized percentage | 1.06% | 0.83% | 0.599% | 0.444% | 0.431% | 0.375% |
Capital Stock Class B-2 - Activity | ||||||
Capital Unit [Line Items] | ||||||
Dividends stock annualized percentage | 2.06% | 1.83% | 1.599% | 1.444% | 1.431% | 1.251% |
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
|
OPERATING ACTIVITIES | ||
Net income | $ 118,914 | $ 50,600 |
Depreciation and amortization | ||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 69,451 | 64,114 |
Concessions on consolidated obligations | 3,233 | 3,633 |
Premises, equipment and computer software costs | 2,770 | 2,944 |
Non-cash interest on mandatorily redeemable capital stock | 61 | 22 |
Credit component of other-than-temporary impairment losses on held-to-maturity securities | 0 | 20 |
Gains on sales of held-to-maturity securities | (3,983) | (794) |
Gains on sales of available-for-sale securities | (1,837) | (5,104) |
Net increase in trading securities | (2,751) | (9,599) |
Loss due to changes in net fair value adjustment on derivative and hedging activities | 32,759 | 59,297 |
Increase in accrued interest receivable | (24,600) | (22,178) |
Decrease (increase) in other assets | 4,486 | (28) |
Increase (decrease) in Affordable Housing Program (AHP) liability | 6,685 | (487) |
Increase (decrease) in accrued interest payable | 24,402 | (2,166) |
Increase in other liabilities | 2,246 | 3,486 |
Total adjustments | 112,922 | 93,160 |
Net cash provided by operating activities | 231,836 | 143,760 |
INVESTING ACTIVITIES | ||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | 80,051 | (482,108) |
Net decrease (increase) in securities purchased under agreements to resell | 800,000 | (2,250,000) |
Net increase in federal funds sold | (3,588,000) | (4,632,000) |
Decrease in loan to other FHLBank | 290,000 | 0 |
Decrease in trading securities held for investment | 0 | 102,215 |
Purchases of available-for-sale securities | (2,380,099) | (5,807,501) |
Proceeds from maturities of available-for-sale securities | 412,625 | 37,186 |
Proceeds from sales of available-for-sale securities | 250,262 | 2,655,395 |
Proceeds from sales of held-to-maturity securities | 162,789 | 129,857 |
Proceeds from maturities of long-term held-to-maturity securities | 438,128 | 434,292 |
Purchases of long-term held-to-maturity securities | (125,000) | 0 |
Principal collected on advances | 408,582,680 | 441,973,938 |
Advances made | (412,379,559) | (449,027,085) |
Principal collected on mortgage loans held for portfolio | 17,268 | 10,643 |
Purchases of mortgage loans held for portfolio | (468,033) | (25,570) |
Purchases of premises, equipment and computer software | (2,695) | (2,850) |
Net cash used in investing activities | (7,909,583) | (16,883,588) |
FINANCING ACTIVITIES | ||
Net increase (decrease) in deposits, including swap collateral held | (138,458) | 75,481 |
Net payments on derivative contracts with financing elements | (65,707) | (48,590) |
Increase in loan from other FHLBank | 250,000 | 0 |
Net proceeds from issuance of consolidated obligations | ||
Discount notes | 267,181,998 | 276,563,409 |
Bonds | 16,764,354 | 19,079,312 |
Debt issuance costs | (3,854) | (3,686) |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (262,710,106) | (266,023,001) |
Bonds | (13,738,885) | (13,993,680) |
Proceeds from issuance of capital stock | 1,005,578 | 876,551 |
Payments for redemption of mandatorily redeemable capital stock | (16,814) | (6,683) |
Payments for repurchase/redemption of capital stock | (730,329) | (548,550) |
Cash dividends paid | (198) | (198) |
Net cash provided by financing activities | 7,797,579 | 15,970,365 |
Net increase (decrease) in cash and cash equivalents | 119,832 | (769,463) |
Cash and cash equivalents at beginning of the period | 27,696 | 837,202 |
Cash and cash equivalents at end of the period | 147,528 | 67,739 |
Supplemental Disclosures: | ||
Interest paid | 341,792 | 160,096 |
AHP payments, net | 6,538 | 6,112 |
Stock dividends issued | 21,648 | 11,977 |
Dividends paid through issuance of mandatorily redeemable capital stock | 138 | 5 |
Variation margin recharacterized as settlement payments on derivative contracts (Note 10) | 72,053 | 0 |
Net capital stock reclassified to mandatorily redeemable capital stock | $ 20,230 | $ 68 |
Basis of Presentation |
9 Months Ended |
---|---|
Sep. 30, 2017 | |
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, 2016. 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, 2016 filed with the SEC on March 24, 2017 (the “2016 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2016 10-K. The Bank is one of 11 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 housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance. Use of Estimates and Assumptions. 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 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. |
Recently Issued Accounting Guidance |
9 Months Ended | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2017 | |||||||||||||||||||||
Recently Issued Accounting Guidance [Abstract] | |||||||||||||||||||||
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | Recently Issued Accounting Guidance Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-06, "Contingent Put and Call Options in Debt Instruments" ("ASU 2016-06"), which clarifies the requirements for assessing whether contingent call or put options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call or put options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call or put option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call or put option is related to interest rates or credit risks. For public business entities, the guidance in ASU 2016-06 is effective for fiscal years beginning after December 15, 2016 (January 1, 2017 for the Bank), and interim periods within those fiscal years. Early adoption is permitted. The guidance is to be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The Bank adopted this guidance effective January 1, 2017. The adoption of ASU 2016-06 has not had any impact on the Bank's results of operations or financial condition. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued ASU 2017-08, "Premium Amortization on Purchased Callable Debt Securities" ("ASU 2017-08"), which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. For public business entities, the guidance in ASU 2017-08 is effective for fiscal years beginning after December 15, 2018 (January 1, 2019 for the Bank), and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. If an entity early adopts ASU 2017-08 in an interim period, any adjustments must be reflected as of the beginning of the fiscal year that includes that interim period. The guidance is to be applied using a modified retrospective transition approach, with the cumulative-effect adjustment recognized in retained earnings as of the beginning of the period of adoption. The adoption of ASU 2017-08 is not expected to have a material impact on the Bank's results of operations or financial condition. Derivatives and Hedging. On August 28, 2017, the FASB issued ASU 2017-12, "Targeted Improvements to Accounting for Hedging Activities" ("ASU 2017-12"), which is intended to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the guidance includes certain targeted improvements to the assessment of hedge effectiveness and permits, among other things, the following:
For public business entities, the guidance in ASU 2017-12 is effective for fiscal years beginning after December 15, 2018 (January 1, 2019 for the Bank), and interim periods within those fiscal years. Early adoption, including adoption in an interim period, is permitted. If an entity early adopts ASU 2017-12 in an interim period, any adjustments must be reflected as of the beginning of the fiscal year that includes that interim period. The guidance is to be applied to hedging relationships existing at the date of adoption using a modified retrospective transition approach as of the beginning of the year of adoption. For cash flow hedges existing on the date of adoption, the cumulative-effect adjustment is recognized in accumulated other comprehensive income with a corresponding adjustment to retained earnings. The amended presentation and disclosure guidance is required only prospectively. The Bank has not yet determined the effect that the adoption of ASU 2017-12 will have on its results of operations or financial condition. |
Trading Securities |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities Disclosure [Text Block] | Trading Securities Trading securities as of September 30, 2017 and December 31, 2016 were as follows (in thousands):
Other trading securities consist solely of mutual fund investments associated with the Bank's non-qualified deferred compensation plans. |
Available-for-Sale Securities |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 September 30, 2017 were as follows (in thousands):
Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of September 30, 2017. The aggregate amount due of $261,453,000 is included in other liabilities on the statement of condition at that date. Available-for-sale securities as of December 31, 2016 were as follows (in thousands):
Included in the table above are GSE debentures and GSE commercial MBS that were purchased but which had not yet settled as of December 31, 2016. The aggregate amounts due of $15,000,000 and $282,595,000, respectively, are included in other liabilities on the statement of condition at that date. Other debentures are comprised of securities issued by the Private Export Funding Corporation ("PEFCO"). These 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 September 30, 2017. 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, 2016. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
At September 30, 2017, the gross unrealized losses on the Bank’s available-for-sale securities were $7,378,000. All of the Bank's available-for-sale securities are either guaranteed by the U.S. government, issued by GSEs, or fully secured by collateral that is guaranteed by the U.S government. As of September 30, 2017, the U.S. government and the issuers of the Bank’s holdings of GSE debentures and GSE MBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”) and AA+ by S&P Global Ratings (“S&P”). The Bank's holdings of PEFCO debentures are rated triple-A by Moody's and Fitch, and are not rated by S&P. 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 September 30, 2017 would not be settled at an amount less than the Bank's amortized cost bases in these investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE commercial MBS and the credit ratings assigned by each of the NRSROs, the Bank expects that its holdings of GSE commercial MBS that were in an unrealized loss position at September 30, 2017 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 September 30, 2017. Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at September 30, 2017 and December 31, 2016 are presented below (in thousands).
Interest Rate Payment Terms. At September 30, 2017 and December 31, 2016, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate. Sales of Securities. There were no sales of available-for-sale securities during the three months ended September 30, 2017. During the nine months ended September 30, 2017, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $248,425,000. Proceeds from the sales totaled $250,262,000, resulting in realized gains of$1,837,000. During the three and nine months ended September 30, 2016, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $200,214,000 and $2,650,291,000, respectively. Proceeds from the sales totaled $201,103,000 and $2,655,395,000, respectively, resulting in realized gains of $889,000 and $5,104,000, respectively. |
Held-to-Maturity Securities |
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Held-to-maturity Securities, Unclassified [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-Maturity Securities Disclosure [Text Block] | Held-to-Maturity Securities Major Security Types. Held-to-maturity securities as of September 30, 2017 were as follows (in thousands):
Held-to-maturity securities as of December 31, 2016 were as follows (in thousands):
The following table summarizes (in thousands, except number of positions) the held-to-maturity securities with unrealized losses as of September 30, 2017. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, 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, 2016. The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, 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.
At September 30, 2017, the gross unrealized losses on the Bank’s held-to-maturity securities were $5,038,000, of which $2,925,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS, $1,931,000 were attributable to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs and $182,000 were attributable to a security issued by a state housing agency. As of September 30, 2017, the U.S. government and the issuers of the Bank’s holdings of GSE MBS were rated triple-A by Moody’s and Fitch and AA+ by S&P. Based upon the Bank's assessment of the strength of the government guaranty, the Bank expects that the U.S. government-guaranteed obligation that was in an unrealized loss position at September 30, 2017 would not be settled at an amount less than the Bank's amortized cost basis in this investment. In addition, based upon the credit ratings assigned by the NRSROs and the Bank's assessment of the strength of the GSEs’ guarantees of the Bank’s holdings of GSE MBS, the Bank expects that its holdings of GSE MBS that were in an unrealized loss position at September 30, 2017 would not be settled at an amount less than the Bank’s amortized cost bases in these investments. Finally, based upon the Bank's assessment of the creditworthiness of the state housing agency and the triple-A credit ratings assigned by the NRSROs, the Bank expects that the state housing agency debenture that was in an unrealized loss position at September 30, 2017 would not be settled at an amount less than the Bank’s amortized cost basis in this investment. Because the current market value deficits associated with these 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 September 30, 2017. The deterioration in the U.S. housing markets that occurred primarily during the period from 2007 through 2011, as reflected during that period by declines in the values of residential real estate and higher levels of delinquencies, defaults and losses on residential mortgages, including the mortgages underlying the Bank’s non-agency residential MBS (“RMBS”), generally increased the risk that the Bank may not ultimately recover the entire cost bases of some of its non-agency RMBS. However, based upon its analysis of the securities in this portfolio, the Bank believes that the unrealized losses as of September 30, 2017 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. Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank closely monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans. To assess whether the entire amortized cost bases of its 23 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of September 30, 2017 using two third-party models. The first model considers borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults and loss severities. A significant input to the first model is the forecast of future housing price changes for the relevant states and core based statistical areas (“CBSAs”), which are based upon an assessment of the individual housing markets. (The term “CBSA” refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget; as currently defined, a CBSA must contain at least one urban area of 10,000 or more people.) The Bank’s housing price forecast as of September 30, 2017 assumed changes in home prices ranging from declines of 6 percent to increases of 13 percent over the 12-month period beginning July 1, 2017. For the vast majority of markets, the changes were projected to range from increases of 1 percent to 6 percent. Thereafter, home price changes for each market were projected to return (at varying rates and over varying transition periods based on historical housing price patterns) to their long-term historical equilibrium levels. Following these transition periods, the constant long-term annual rates of appreciation for the vast majority of markets were projected to range between 2 percent and 5 percent. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. Based on the results of its cash flow analyses, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. 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 remaining amortized cost bases, none of the Bank's non-agency RMBS were deemed to be other-than-temporarily impaired at September 30, 2017. During the year ended December 31, 2016, one of the Bank's non-agency RMBS was determined to be other-than-temporarily impaired. In addition, 14 of the Bank's holdings of non-agency RMBS were determined to be other-than-temporarily impaired in periods prior to 2013. The following table presents a rollforward for the three and nine months ended September 30, 2017 and 2016 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 (in thousands).
For a discussion regarding the Bank's assessment of the impact of Hurricanes Harvey and Irma on the Bank's non-agency RMBS holdings, see Note 15 - Commitments and Contingencies. Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at September 30, 2017 and December 31, 2016 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.
The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $5,039,000 and $9,671,000 at September 30, 2017 and December 31, 2016, respectively. Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at September 30, 2017 and December 31, 2016 (in thousands):
All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2016 or the nine months ended September 30, 2017. Sales of Securities. During the three and nine months ended September 30, 2017, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $59,763,000 and $158,806,000, respectively. Proceeds from these sales totaled $61,856,000 and $162,789,000 respectively, resulting in realized gains of $2,093,000 and $3,983,000, respectively. During the three and nine months ended September 30, 2016, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $14,842,000 and $129,063,000, respectively. Proceeds from these sales totaled $14,907,000 and $129,857,000, respectively, resulting in realized gains of $65,000 and $794,000, respectively. For each of these securities, the Bank had previously collected at least 85 percent of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification. |
Advances |
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Advances [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances [Text Block] | Advances Redemption Terms. At September 30, 2017 and December 31, 2016, the Bank had advances outstanding at interest rates ranging from 0.54 percent to 8.27 percent and from 0.40 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).
Amortizing advances require repayment according to predetermined amortization schedules. The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At September 30, 2017 and December 31, 2016, the Bank had aggregate prepayable and callable advances totaling $11,715,352,000 and $12,432,264,000, respectively. The following table summarizes advances outstanding at September 30, 2017 and December 31, 2016, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):
The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At September 30, 2017 and December 31, 2016, the Bank had putable advances outstanding totaling $1,133,450,000 and $1,053,071,000, respectively. The following table summarizes advances outstanding at September 30, 2017 and December 31, 2016, by the earlier of contractual maturity or next possible put date (in thousands):
Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at September 30, 2017 and December 31, 2016 (in thousands):
At September 30, 2017 and December 31, 2016, 22 percent and 25 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate. Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. These fees are reflected as interest income in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances) as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance and the advance meets the accounting criteria to qualify as a modification of the prepaid advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income on advances over the life of the modified advance using the level-yield method. During the three months ended September 30, 2017 and 2016, gross advance prepayment fees received from members/borrowers were $712,000 and $4,878,000, respectively, of which $476,000 and $172,000, respectively, were deferred. During the nine months ended September 30, 2017 and 2016, gross advance prepayment fees received from members/borrowers were $1,578,000 and $7,613,000, respectively, of which $695,000 and $456,000, respectively, were deferred. The Bank also offers advances that include a symmetrical prepayment feature which allows a member to prepay an advance at the lower of par value or fair value plus a make-whole amount payable to the Bank. During the three and nine months ended September 30, 2017, symmetrical prepayment advances with aggregate par values of $6,000,000 and $17,000,000, respectively, were prepaid. The differences by which the par values of these advances exceeded their fair values, less the make-whole amounts, totaled $4,000 and $194,000, respectively, and were recorded in prepayment fees on advances, net of the associated hedging adjustments on the advances. There were no prepayments of symmetrical prepayment advances during the nine months ended September 30, 2016. |
Allowance for Credit Losses |
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses An allowance for credit losses is separately established for each of the Bank’s identified portfolio segments, if necessary, to provide for probable losses inherent in its financing receivables portfolio and other off-balance sheet credit exposures as of the balance sheet date. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members”; (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio. Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments. During the nine months ended September 30, 2017 and 2016, there were no significant purchases or sales of financing receivables, nor were any financing receivables reclassified to held for sale. As discussed below, the Bank did not provide for any credit losses on its extensions of credit to members or mortgage loans held for portfolio during the three months ended September 30, 2017. For a discussion regarding the Bank's assessment of the impact of Hurricanes Harvey and Irma and the recent wildfires in Northern California, see Note 15 - Commitments and Contingencies. Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the Federal Home Loan Bank Act of 1932, as amended (the “FHLB Act”), the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank. On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at September 30, 2017 or December 31, 2016. The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At September 30, 2017 and December 31, 2016, the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit. The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At September 30, 2017 and December 31, 2016, the Bank did not have any advances that were past due, on nonaccrual status, or considered impaired. There have been no troubled debt restructurings related to advances. The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures. Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the Federal Housing Administration or the Department of Veterans Affairs and were acquired through the Mortgage Partnership Finance® (“MPF”®) program (as more fully described in the Bank’s 2016 10-K) in periods prior to 2004. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans. Government-guaranteed or government-insured loans are not placed on nonaccrual status. Mortgage Loans — Conventional Mortgage Loans. The Bank’s conventional mortgage loans have also been acquired through the MPF program. The allowance for losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, and prevailing economic conditions. The allowance for losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. Any incurred losses that are expected to be recovered from the credit enhancements are not reserved as part of the Bank’s allowance for loan losses. The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. 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 nonaccrual 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 nonaccrual loans noted above. The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. 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. The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the recorded investment by payment status for mortgage loans at September 30, 2017 and December 31, 2016 (dollars in thousands).
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At September 30, 2017 and December 31, 2016, the Bank’s other assets included $45,000 and $89,000, respectively, of real estate owned. Mortgage loans are considered impaired when, based upon current information and events, it is probable that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. Each nonaccrual mortgage loan and each troubled debt restructuring is specifically reviewed for impairment. At September 30, 2017 and December 31, 2016, the estimated value of the collateral securing each of these loans, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the outstanding loan amount. Therefore, no specific reserve was established for any of these mortgage loans. The remaining conventional mortgage loans were evaluated for impairment on a pool basis. Based upon the current and past performance of these loans and current economic conditions, the Bank determined that an allowance for loan losses of $141,000 was adequate to reserve for credit losses in its conventional mortgage loan portfolio at September 30, 2017. There was no activity in the allowance for credit losses during the nine months ended September 30, 2017 or 2016. The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of September 30, 2017 and December 31, 2016 (in thousands).
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Consolidated Obligations |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Text Block] | Consolidated Obligations Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are generally issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 15. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $1.028 trillion and $989 billion at September 30, 2017 and December 31, 2016, respectively. The Bank was the primary obligor on $61.6 billion and $54.1 billion (at par value), respectively, of these consolidated obligations. Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at September 30, 2017 and December 31, 2016 (in thousands, at par value).
At September 30, 2017 and December 31, 2016, 88 percent and 91 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds were swapped to a variable rate. Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at September 30, 2017 and December 31, 2016, by contractual maturity (dollars in thousands):
At September 30, 2017 and December 31, 2016, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):
The following table summarizes the Bank’s consolidated obligation bonds outstanding at September 30, 2017 and December 31, 2016, by the earlier of contractual maturity or next possible call date (in thousands, at par value):
Discount Notes. At September 30, 2017 and December 31, 2016, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):
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Affordable Housing Program ("AHP") |
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Affordable Housing Program (“AHP”) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program [Text Block] | Affordable Housing Program (“AHP”) The following table summarizes the changes in the Bank’s AHP liability during the nine months ended September 30, 2017 and 2016 (in thousands):
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Assets and Liabilities Subject to Offsetting |
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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 agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. 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 September 30, 2017 or December 31, 2016. The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. 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. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. 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. For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Effective January 3, 2017, one of the Bank's two clearinghouse counterparties made certain amendments to its rulebook that changed the legal characterization of variation margin payments on cleared derivatives to settlements on the contracts. Prior to January 3, 2017, these amounts were characterized as collateral pledged to secure outstanding credit exposure on the derivative contracts. Initial and variation margin (regardless of whether it is characterized as collateral or settlements) is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include, in the case of one clearinghouse counterparty, variation margin paid or received on daily settled contracts) and any cash collateral pledged or received. 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 and variation margin received or paid on daily settled derivative contracts as of September 30, 2017 and December 31, 2016 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are presented in the same manner as collateral (i.e., as amounts that are offset in the statement of condition).
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Derivatives and Hedging Activities |
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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. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives and, as of September 30, 2017, it was not a party to any forward rate agreements. The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (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, among other things, 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 hedge the variable cash flows associated with forecasted transactions, 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 anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member 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. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. 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 or the cash flows associated with forecasted transactions 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. 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. All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency commercial MBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has 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-rate coupon and receives a variable-rate 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 either the right to enter into an advance (a stand-alone option) or increase the amount of an existing advance (an embedded option) 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 and Economic Development Program 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 either economic hedges (in the case of stand-alone options) or fair value hedges (in the case of embedded options). 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 fair value 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. Forecasted Issuances of Consolidated Obligations — The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow 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. Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated 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 (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. 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. If fair value 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 fair value 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. Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represents the amount by which the change in the fair value of the derivative differs from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) is recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.” 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 Enterprise Market 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 changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged item) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. 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 or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. 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 any additional changes in the fair value of the derivative in current period earnings. 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 or because the derivative is terminated, the Bank will 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. 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. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (before consideration of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at September 30, 2017 and December 31, 2016 (in thousands).
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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 nine months ended September 30, 2017 and 2016 (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 nine months ended September 30, 2017 and 2016 (in thousands).
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The following table presents, by type of hedged item, the gains (losses) on derivatives in ASC 815 cash flow hedging relationships that were recognized in other comprehensive income and the losses reclassified from AOCI into earnings for the three and nine months ended September 30, 2017 and 2016 (in thousands).
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For the three and nine months ended September 30, 2017 and 2016, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At September 30, 2017, $756,000 of deferred net losses on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At September 30, 2017, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 9 years. 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 similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. The majority of the Bank's derivative contracts have been cleared through third-party central clearinghouses (as of September 30, 2017, the notional balance of cleared transactions outstanding totaled $25.1 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of September 30, 2017, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $11.5 billion and $1.2 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations. The notional amount of the Bank's interest rate exchange agreements does not reflect its 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 derivative agreements is presented in Note 10. Based on the netting provisions and collateral requirements (or variation margin on daily settled contracts) associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements. |
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Stockholders' Equity Note Disclosure [Text Block] | Capital At all times during the nine months ended September 30, 2017, the Bank was in compliance with all applicable statutory and regulatory capital requirements. The following table summarizes the Bank’s compliance with those capital requirements as of September 30, 2017 and December 31, 2016 (dollars in thousands):
Members are required to maintain an investment in Class B Capital Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of December 31, 2016, subject to a minimum of $1,000 and a maximum of $7,000,000. The activity-based investment requirement is currently 4.1 percent of outstanding advances, except as described below. On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a minimum maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015. The Bank generally repurchases surplus stock quarterly. For the repurchases that occurred during the nine months ended September 30, 2017, surplus stock was defined as the amount of stock held by a shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For those repurchases, which occurred on March 28, 2017, June 27, 2017 and September 26, 2017, a shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,500,000 or less, (2) the shareholder elected to opt-out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). On March 28, 2017, June 27, 2017 and September 26, 2017, the Bank repurchased surplus stock totaling $148,179,500, $75,728,500 and $104,278,700, respectively, none of which was classified as mandatorily redeemable capital stock at those dates. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases. |
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Pension and Other Postretirement Benefits Disclosure [Text Block] | Employee Retirement Plans The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and nine months ended September 30, 2017 and 2016 were as follows (in thousands):
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Fair Value Disclosures [Text Block] | Estimated Fair Values Fair value is defined under U.S. GAAP as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. Level 2 Inputs — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs. For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred. For the nine months ended September 30, 2017 and 2016, the Bank did not reclassify any fair value measurements. The following estimated fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of September 30, 2017 and December 31, 2016. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities. The valuation techniques used to measure the fair values of the Bank’s financial instruments are described below. Cash and due from banks. The estimated fair value equals the carrying value. Interest-bearing deposit assets. Interest-bearing deposit assets earn interest at floating market rates; therefore, the estimated fair value of the deposits approximates their carrying value. Securities purchased under agreements to resell, federal funds sold, loans to other FHLBanks and loans from other FHLBanks. All federal funds sold, securities purchased under agreements to resell, loans to other FHLBanks and loans from other FHLBanks represent overnight balances. The estimated fair values approximate the carrying values. Trading, available-for-sale and held-to-maturity securities. To value its U.S. Treasury Note classified as a trading security, all of its available-for-sale securities, and its held-to-maturity MBS holdings and state housing agency debentures, the Bank obtains prices from three designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. A "median" price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. All prices that are within a specified tolerance threshold of the median price are included in the “cluster” of prices that are averaged to compute a “default” price. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of September 30, 2017, three vendor prices were received for substantially all of the Bank’s trading, available-for-sale and held-to-maturity securities referred to above and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy. The Bank estimates the fair values of its held-to-maturity government-guaranteed debentures using a pricing model and observable market data (i.e., the U.S. Government Agency Fair Value curve and, for debentures containing call features, swaption volatility). To value its mutual fund investments classified as trading securities, the Bank obtains quoted prices for the mutual funds. Advances. The Bank determines the estimated fair values of advances by calculating the present value of expected future cash flows from the advances using the replacement advance rates for advances with similar terms and, for advances containing options, swaption volatility. This amount is then reduced for accrued interest receivable. Each FHLBank prices advances at a spread to its cost of funds. Each FHLBank's cost of funds approximates the "CO curve," which is derived by adding to the U.S. Treasury curve indicative spreads obtained from market-observable sources. The indicative spreads are generally derived from dealer pricing indications, recent trades, secondary market activity and historical pricing relationships. Mortgage loans held for portfolio. The Bank estimates the fair values of mortgage loans held for portfolio based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loans and the referenced TBA MBS. The prices of the referenced TBA MBS and the Bank's mortgage loans are highly dependent upon current mortgage rates and the market's expectations of future mortgage rates and prepayments. Accrued interest receivable and payable. The estimated fair value of accrued interest receivable and payable approximates the carrying value due to their short-term nature. Derivative assets/liabilities. The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve and, for purposes of discounting, the overnight index swap ("OIS") curve) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps are also estimated using a pricing model with inputs that are observable in the market (that is, cap volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve). As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 10), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to non-binding dealer estimates (in the case of bilateral derivatives) and clearinghouse valuations (in the case of cleared derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability. The fair values of the Bank's mortgage delivery commitments are estimated in a manner similar to the method used to value the Bank's mortgage loans held for portfolio. Deposit liabilities. The Bank determines the estimated fair values of its deposit liabilities with fixed rates and more than three months to maturity by calculating the present value of expected future cash flows from the deposits and reducing this amount for accrued interest payable. The discount rates used in these calculations are based on replacement funding rates for liabilities with similar terms. The estimated fair value approximates the carrying value for deposits with variable rates and fixed rates with three months or less to their maturity or repricing date. Consolidated obligations. The Bank estimates the fair values of consolidated obligations by calculating the present value of expected future cash flows using discount rates that are based on replacement funding rates for liabilities with similar terms and reducing this amount for accrued interest payable. Prior to April 2017, the Bank used as inputs to the valuation for all consolidated obligations the CO curve and, for consolidated obligations containing options, swaption volatility. In April 2017, the Bank refined its method for estimating the fair values of callable consolidated obligation bonds. To value its callable bonds, the Bank began using the LIBOR swap curve minus (or plus) a spread and swaption volatility. This refinement did not have a significant impact on the estimated fair value of the Bank’s aggregate portfolio of consolidated obligation bonds at the time it was implemented. Mandatorily redeemable capital stock. The fair value of capital stock subject to mandatory redemption is generally equal to its par value ($100 per share), as adjusted for any estimated dividend earned but unpaid at the time of reclassification from equity to liabilities. The Bank’s capital stock cannot, by statute or implementing regulation, be purchased, redeemed, repurchased or transferred at any amount other than its par value. Commitments. The estimated fair value of the Bank’s commitments to extend credit, including advances and letters of credit, was not material at September 30, 2017 or December 31, 2016. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at September 30, 2017 (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
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The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2016 (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
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Commitments and Contingencies |
9 Months Ended |
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Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | Commitments and Contingencies Joint and several liability. The Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At September 30, 2017, the par amount of the other 10 FHLBanks’ outstanding consolidated obligations was approximately $967 billion. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote. Impact of Hurricanes Harvey and Irma. During the three months ended September 30, 2017, two significant hurricanes struck the continental United States. On August 25, 2017, Hurricane Harvey made landfall near Rockport, Texas, causing substantial flooding and other damage in southeast Texas, including the Houston metropolitan area, and lesser damage in Louisiana. Then, on September 10, 2017, Hurricane Irma made landfall near Marco Island, Florida, causing significant damage in Florida and lesser damage in other southeastern states. These storms had varying degrees of impact on the Bank’s members, its members’ borrowers and the properties pledged as collateral for those borrowings, and MPF mortgage loan borrowers and the properties pledged as collateral for those mortgage loans. Based on the information that is currently available, the Bank does not currently expect that the potential losses, if any, resulting from these hurricanes will have a material effect on its financial condition or results of operations. However, as more information becomes available over time, its assessment of the impact of these hurricanes may change. Member institutions throughout the district could be adversely affected over time and to varying degrees by Hurricanes Harvey and Irma, including, potentially, the inability of their borrowers to repay loans made by the institutions and damage to the borrowers’ properties that serve as collateral for the loans made by the institutions. The primary source of repayment of advances (including those that may be created when letters of credit have been funded) is derived from the borrowing members’ ongoing operations. For a variety of reasons, it is still too early to assess the impact that insurance settlements and federal and/or other assistance for members’ consumer and commercial borrowers will have on the borrowers’ ability to repair or rebuild their homes and businesses and repay outstanding loans to member institutions, or what assistance might be available to those institutions from their primary regulators or through Congressional action. If a member institution fails or is otherwise unable to meet its obligations, a secondary source of repayment is the collateral pledged by the member. At September 30, 2017, approximately 333 of the Bank’s member institutions had outstanding obligations that were secured in part by collateral that was located in areas that had been designated as disaster areas by the Federal Emergency Management Agency (“FEMA”) as a result of Hurricanes Harvey and Irma. Of these institutions, the Bank has identified 20 members with a high concentration of loans secured by properties located in the FEMA-designated disaster areas relative to their total pledged collateral. For a variety of reasons, including forbearances provided to borrowers for loan payments, the uncertainty of the amount of damage sustained by the underlying properties, the amount of insurance settlements that may be made on those properties, and the ultimate marketability of those properties, it is not possible at this time to determine the impact that the hurricanes may have had on the value of the loan collateral supporting the Bank’s advances and letters of credit. If the value of pledged loan collateral declines such that a member’s obligations to the Bank are not fully secured, that member would have to either substitute collateral or reduce its outstanding obligations to the Bank. As more information becomes available to the Bank over time, its assessment of the impact of the hurricanes on individual institutions’ operations may change. At this time, all principal and interest amounts on the Bank’s advances have been received in accordance with the contractual terms of the applicable agreements. Additionally, the Bank has not been required to fund any letters of credit. At September 30, 2017, the Bank also held interests totaling $57,742,000 (unpaid principal balance or “UPB”) in conventional mortgage loans acquired through the MPF Program and held for portfolio that were collateralized by properties located in the areas that had been designated as disaster areas by FEMA, making them eligible for individual assistance from the federal government ($14,477,000 UPB was collateralized by properties located in Hurricane Harvey disaster areas and $43,265,000 UPB was collateralized by properties located in Hurricane Irma disaster areas). As of September 30, 2017, the aggregate UPB represented 10.0 percent of the Bank’s mortgage loans held for portfolio, 0.1 percent of the Bank’s total assets and 6.3 percent of the Bank’s retained earnings. Under the terms of the MPF Program, all mortgagors are required to carry hazard insurance and, if the property is located in a federal government-designated flood zone, they must also carry flood insurance. Federal assistance may also be available to mortgagors affected by the storms. In addition, mortgage loans with a loan-to-value ratio greater than 80 percent are required to have private mortgage insurance (“PMI”). Members selling mortgage loans to the Bank under the MPF Program are also required to retain a portion of the credit risk associated with those loans (“MPF credit enhancements”). The Bank is still assessing the damage to the underlying properties and the potential for recovery under insurance policies and MPF credit enhancements. While it is not currently possible to quantify the ultimate impact of the hurricanes on its mortgage loan portfolio, the Bank believes the protections that are in place including, but not limited to, borrowers’ equity, PMI, hazard insurance and, if applicable, flood insurance, along with MPF credit enhancements, will limit any potential losses to an amount that will not have a material effect on the Bank’s financial condition or results of operations. The Bank also owns several non-agency RMBS that are collateralized in part by loans on properties that are located in Florida and, to a lesser extent, Texas (the states most affected by Hurricanes Irma and Harvey, respectively). Credit support for the senior tranches of these securities held by the Bank is provided by subordinated tranches that absorb losses before the senior tranches held by the Bank would be affected. The amount of loans in Florida and Texas generally represent a small portion of the underlying loan pools and, therefore, the Bank does not currently anticipate any material losses in its non-agency RMBS portfolio related to Hurricanes Irma or Harvey. Based on currently available information, the Bank did not record any reserves related to Hurricanes Harvey or Irma as of September 30, 2017. The Bank is continuing to evaluate the impact of the hurricanes on its advances (including those that may be created if a letter of credit is required to be funded), mortgage loans held for portfolio and non-agency RMBS investments. If information becomes available indicating that any of these assets has been impaired and the amount of the loss can be reasonably estimated, the Bank will record appropriate reserves at that time. Impact of California Wildfires. In October 2017, several significant wildfires destroyed thousands of homes and businesses in Northern California. The Bank’s primary exposure to the destruction caused by these wildfires relates to its mortgage loans held for portfolio. As of September 30, 2017, the Bank held interests totaling $12,351,000 UPB in conventional mortgage loans acquired through the MPF Program that were collateralized by properties located in the areas that had been designated as disaster areas by FEMA, making them eligible for individual assistance from the federal government. As of September 30, 2017, this balance represented 2.1 percent of the Bank’s mortgage loans held for portfolio, less than 0.1 percent of the Bank’s total assets and 1.3 percent of the Bank’s retained earnings. As noted in the discussion regarding Hurricanes Harvey and Irma, all mortgagors are required under the terms of the MPF Program to carry hazard insurance. For this reason and the other reasons set forth in that discussion, the Bank does not currently anticipate any material losses as a result of the California wildfires. Other commitments and contingencies. At September 30, 2017 and December 31, 2016, the Bank had commitments to make additional advances totaling approximately $26,156,000 and $35,400,000, respectively. In addition, outstanding standby letters of credit totaled $14,355,246,000 and $11,186,897,000 at September 30, 2017 and December 31, 2016, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 7). At September 30, 2017 and December 31, 2016, the Bank had commitments to purchase conventional mortgage loans totaling $58,411,000 and $2,030,000, respectively, from certain of its members that participate in the MPF program. At September 30, 2017 and December 31, 2016, the Bank had commitments to issue $196,310,000 and $45,000,000, respectively, of consolidated obligation bonds, of which $161,310,000 and $45,000,000, respectively, were hedged with interest rate swaps. In addition, at September 30, 2017 and December 31, 2016, the Bank had commitments to issue $281,868,000 and $500,000 (par values), respectively, of consolidated obligation discount notes, none of which were hedged. The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of September 30, 2017 and December 31, 2016, the Bank had pledged cash collateral of $160,529,000 and $312,705,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of September 30, 2017 and December 31, 2016, the Bank had pledged securities with carrying values (and fair values) of $565,892,000 and $613,351,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statements of condition. In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings. |
Transactions with Shareholders |
9 Months Ended |
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Sep. 30, 2017 | |
Transactions with Shareholders [Abstract] | |
Transactions With Stockholders [Text Block] | Transactions with Shareholders Affiliates of two of the Bank’s derivative counterparties (Citigroup and Wells Fargo) acquired member institutions on March 31, 2005 and October 1, 2006, respectively. Since the acquisitions were completed, the Bank has continued to enter into interest rate exchange agreements with Citigroup and Wells Fargo in the normal course of business and under the same terms and conditions as before. Effective October 1, 2006, Citigroup terminated the Ninth District charter of the affiliate that acquired the member institution and, as a result, an affiliate of Citigroup became a non-member shareholder of the Bank. |
Transactions with Other FHLBanks |
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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 nine months ended September 30, 2017 and 2016, interest income from loans to other FHLBanks totaled $13,425 and $1,138, respectively. The following table summarizes the Bank’s loans to other FHLBanks during the nine months ended September 30, 2017 and 2016 (in thousands).
During the nine months ended September 30, 2017 and 2016, interest expense on borrowings from other FHLBanks totaled $15,669 and $1,910, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the nine months ended September 30, 2017 and 2016 (in thousands).
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Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table presents the changes in the components of AOCI for the three and nine months ended September 30, 2017 and 2016 (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. |
Basis of Presentation (Policies) |
9 Months Ended |
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Sep. 30, 2017 | |
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 nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income until it recovers all interest, and then as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. 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 nonaccrual 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 nonaccrual loans noted above. The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. 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 (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. |
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 (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. 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. If fair value 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 fair value 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. Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI until earnings are affected by the variability of the cash flows of the hedged transaction. Any ineffective portion of a cash flow hedge (which represents the amount by which the change in the fair value of the derivative differs from the change in fair value of a hypothetical derivative having terms that match identically the critical terms of the hedged forecasted transaction) is recognized in other income (loss) as “net gains (losses) on derivatives and hedging activities.” 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 Enterprise Market 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 changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged item) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. 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 or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. 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 any additional changes in the fair value of the derivative in current period earnings. 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 or because the derivative is terminated, the Bank will 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. 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. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." |
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, Hedge Discontinuances [Policy Text Block] | The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. 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 any additional changes in the fair value of the derivative in current period earnings. 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 or because the derivative is terminated, the Bank will 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. 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. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction, except in cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter). In such cases, any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Similarly, if the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." |
Fair Value Transfer, Policy [Policy Text Block] | For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Reclassifications, if any, would be reported as transfers as of the beginning of the quarter in which the changes occurred. |
Trading Securities (Tables) |
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Trading Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities [Table Text Block] | Trading securities as of September 30, 2017 and December 31, 2016 were as follows (in thousands):
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Available-for-Sale Securities (Tables) |
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Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-sale securities as of September 30, 2017 were as follows (in thousands):
Included in the table above are GSE commercial mortgage-backed securities ("MBS") that were purchased but which had not yet settled as of September 30, 2017. The aggregate amount due of $261,453,000 is included in other liabilities on the statement of condition at that date. Available-for-sale securities as of December 31, 2016 were as follows (in thousands):
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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 September 30, 2017. 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, 2016. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
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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 September 30, 2017 and December 31, 2016 are presented below (in thousands).
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Held-to-Maturity Securities (Tables) |
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Schedule of Held-to-maturity Securities [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-maturity Securities [Table Text Block] | Held-to-maturity securities as of September 30, 2017 were as follows (in thousands):
Held-to-maturity securities as of December 31, 2016 were as follows (in thousands):
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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 September 30, 2017. The unrealized losses include other-than-temporary impairments recorded in accumulated other comprehensive income ("AOCI") and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, 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, 2016. The unrealized losses include other-than-temporary impairments recorded in AOCI and gross unrecognized holding losses (or, in the case of the Bank's holdings of non-agency residential MBS, 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.
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Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents a rollforward for the three and nine months ended September 30, 2017 and 2016 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 (in thousands).
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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 September 30, 2017 and December 31, 2016 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.
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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 September 30, 2017 and December 31, 2016 (in thousands):
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Advances (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances [Table Text Block] | At September 30, 2017 and December 31, 2016, the Bank had advances outstanding at interest rates ranging from 0.54 percent to 8.27 percent and from 0.40 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).
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Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Table Text Block] | The following table summarizes advances outstanding at September 30, 2017 and December 31, 2016, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):
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Schedule of Advances Classified by Contractual Maturity Date or Next Put Date [Table Text Block] | The following table summarizes advances outstanding at September 30, 2017 and December 31, 2016, by the earlier of contractual maturity or next possible put date (in thousands):
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Schedule of Federal Home Loan Bank Advances by Interest Rate Payment Terms [Table Text Block] | The following table provides interest rate payment terms for advances outstanding at September 30, 2017 and December 31, 2016 (in thousands):
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Allowance for Credit Losses (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Past Due Financing Receivables [Table Text Block] | The table below summarizes the recorded investment by payment status for mortgage loans at September 30, 2017 and December 31, 2016 (dollars in thousands).
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Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | The following table presents information regarding the balances of the Bank's conventional mortgage loans held for portfolio that were individually or collectively evaluated for impairment as well as information regarding the ending balance of the allowance for credit losses as of September 30, 2017 and December 31, 2016 (in thousands).
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Consolidated Obligations (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 September 30, 2017 and December 31, 2016 (in thousands, at par value).
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Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s consolidated obligation bonds outstanding at September 30, 2017 and December 31, 2016, by contractual maturity (dollars in thousands):
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Schedule of Consolidated Obligation Bonds by Call Feature [Table Text Block] | At September 30, 2017 and December 31, 2016, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):
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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 September 30, 2017 and December 31, 2016, by the earlier of contractual maturity or next possible call date (in thousands, at par value):
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Schedule of Short-term Debt [Table Text Block] | At September 30, 2017 and December 31, 2016, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):
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Affordable Housing Program ("AHP") (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 nine months ended September 30, 2017 and 2016 (in thousands):
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Assets and Liabilities Subject to Offsetting (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Assets and Liabilities Subject to Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting Assets and Liabilities [Table Text Block] | 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 and variation margin received or paid on daily settled derivative contracts as of September 30, 2017 and December 31, 2016 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are presented in the same manner as collateral (i.e., as amounts that are offset in the statement of condition).
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Derivatives and Hedging Activities (Tables) |
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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 (before consideration of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at September 30, 2017 and December 31, 2016 (in thousands).
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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 nine months ended September 30, 2017 and 2016 (in thousands).
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Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [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 nine months ended September 30, 2017 and 2016 (in thousands).
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Schedule of Cash Flow Hedges included in Accumulated Other Comprehensive Income (Loss) [Table Text Block] |
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Capital (Tables) |
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Sep. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | The following table summarizes the Bank’s compliance with those capital requirements as of September 30, 2017 and December 31, 2016 (dollars in thousands):
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Employee Retirement Plans (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Employee Retirement Plans [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Net Benefit Costs [Table Text Block] | The Bank sponsors a retirement benefits program that includes health care and life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and nine months ended September 30, 2017 and 2016 were as follows (in thousands):
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Estimated Fair Values (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at September 30, 2017 (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
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The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2016 (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
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Transactions with Other FHLBanks (Table) |
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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 nine months ended September 30, 2017 and 2016 (in thousands).
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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 nine months ended September 30, 2017 and 2016 (in thousands).
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Accumulated Other Comprehensive Income (Loss) (Tables) |
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Accumulated Other Comprehensive Income (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table presents the changes in the components of AOCI for the three and nine months ended September 30, 2017 and 2016 (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. |
Trading Securities (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
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Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 114,547 | $ 111,638 |
US Treasury Notes [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 102,986 | 101,495 |
Other Debt Obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 11,561 | $ 10,143 |
Available-for-Sale Securities (Details) $ in Thousands |
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Available-for-sale Securities, Gross Realized Gain (Loss) [Abstract] | |||||
Amortized Cost of Sold Available-for-sale Securities | $ 0 | $ 200,214 | $ 248,425 | $ 2,650,291 | |
Proceeds from Sales of Available-for-sale Securities | 0 | 201,103 | 250,262 | 2,655,395 | |
Gains on sales of Available-for-sale Securities | 0 | $ 889 | 1,837 | $ 5,104 | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 14,819,979 | 14,819,979 | $ 13,117,346 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 165,646 | 165,646 | 93,702 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax | 7,378 | 7,378 | 35,115 | ||
Available-for-sale Securities, Debt Securities | $ 14,978,247 | $ 14,978,247 | $ 13,175,933 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 27 | 27 | 57 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 681,144 | $ 681,144 | $ 2,228,600 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 1,740 | $ 1,740 | $ 17,888 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 36 | 36 | 47 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 1,305,580 | $ 1,305,580 | $ 1,582,406 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 5,638 | $ 5,638 | $ 17,227 | ||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 63 | 63 | 104 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 1,986,724 | $ 1,986,724 | $ 3,811,006 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 7,378 | 7,378 | 35,115 | ||
U.S. Government Agencies Debt Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 476,655 | 476,655 | 489,573 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 8,399 | 8,399 | 6,325 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 | 0 | ||
Available-for-sale Securities, Debt Securities | 485,054 | 485,054 | 495,898 | ||
GSE obligations [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 6,544,363 | 6,544,363 | 6,475,140 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 84,444 | 84,444 | 52,746 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax | 37 | 37 | 2,361 | ||
Available-for-sale Securities, Debt Securities | 6,628,770 | 6,628,770 | 6,525,525 | ||
Payables to Broker-Dealers and Clearing Organizations | $ 0 | $ 0 | $ 15,000 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 3 | 3 | 8 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 61,779 | $ 61,779 | $ 839,683 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 37 | $ 37 | $ 2,293 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 0 | 0 | 1 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | $ 0 | $ 50,476 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 0 | $ 0 | $ 68 | ||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 3 | 3 | 9 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 61,779 | $ 61,779 | $ 890,159 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 37 | 37 | 2,361 | ||
Other Debt Obligations [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 182,608 | 182,608 | 318,223 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 1,275 | 1,275 | 1,770 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 | 0 | ||
Available-for-sale Securities, Debt Securities | 183,883 | 183,883 | 319,993 | ||
Other non-mortgage-backed securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 7,203,626 | 7,203,626 | 7,282,936 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 94,118 | 94,118 | 60,841 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax | 37 | 37 | 2,361 | ||
Available-for-sale Securities, Debt Securities | 7,297,707 | 7,297,707 | 7,341,416 | ||
Available-for-sale Securities, Debt Maturities [Abstract] | |||||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | 757,337 | 757,337 | 1,001,054 | ||
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 2,827,166 | 2,827,166 | 2,079,374 | ||
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 3,382,191 | 3,382,191 | 3,989,554 | ||
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 236,932 | 236,932 | 212,954 | ||
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 757,739 | 757,739 | 1,003,309 | ||
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 2,858,239 | 2,858,239 | 2,100,171 | ||
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 3,441,560 | 3,441,560 | 4,022,456 | ||
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 240,169 | 240,169 | 215,480 | ||
GSE mortgage-backed securities[Member] | Multifamily [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Available-for-sale Debt Securities, Amortized Cost Basis | 7,616,353 | 7,616,353 | 5,834,410 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Gain, before Tax | 71,528 | 71,528 | 32,861 | ||
Available-for-sale Debt Securities, Accumulated Gross Unrealized Loss, before Tax | 7,341 | 7,341 | 32,754 | ||
Available-for-sale Securities, Debt Securities | 7,680,540 | 7,680,540 | 5,834,517 | ||
Payables to Broker-Dealers and Clearing Organizations | $ 261,453 | $ 261,453 | $ 282,595 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 24 | 24 | 49 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 619,365 | $ 619,365 | $ 1,388,917 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 1,703 | $ 1,703 | $ 15,595 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 36 | 36 | 46 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 1,305,580 | $ 1,305,580 | $ 1,531,930 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 5,638 | $ 5,638 | $ 17,159 | ||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 60 | 60 | 95 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 1,924,945 | $ 1,924,945 | $ 2,920,847 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | $ 7,341 | $ 7,341 | $ 32,754 |
Held-to-Maturity Securities (Details) $ in Thousands |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2016
USD ($)
position
|
Sep. 30, 2017
USD ($)
position
|
|||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Securities, Identified as OTTI | position | 1 | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 2,516,752 | $ 2,046,760 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 17,157 | 14,405 | ||
Held-to-maturity securities | [1] | 2,499,595 | 2,032,355 | |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 26,619 | 28,095 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 11,702 | 3,019 | ||
Held-to-maturity Securities, Fair Value | $ 2,514,512 | $ 2,057,431 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 30 | 9 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 559,289 | $ 45,321 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 2,800 | $ 210 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 54 | 44 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 928,113 | $ 689,808 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 12,785 | $ 4,828 | ||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 84 | 53 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 1,487,402 | $ 735,129 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 15,585 | 5,038 | ||
U.S. Government Agencies Debt Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 15,973 | 11,460 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 15,973 | 11,460 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 8 | 22 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 94 | 1 | ||
Held-to-maturity Securities, Fair Value | $ 15,887 | $ 11,481 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 2 | 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 10,998 | $ 499 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 94 | $ 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 0 | 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | $ 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 0 | $ 0 | ||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 2 | 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 10,998 | $ 499 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 94 | 1 | ||
US States and Political Subdivisions Debt Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 110,000 | 160,000 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 110,000 | 160,000 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 15 | 288 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 1,410 | 182 | ||
Held-to-maturity Securities, Fair Value | $ 108,605 | $ 160,106 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 1 | 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 33,590 | $ 34,818 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 1,410 | $ 182 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 0 | 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | $ 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 0 | $ 0 | ||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 1 | 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 33,590 | $ 34,818 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 1,410 | 182 | ||
Residential, Mortgage Backed Securities, Other US Obligations [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 2,578 | 2,060 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 2,578 | 2,060 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 2 | 5 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 3 | 0 | ||
Held-to-maturity Securities, Fair Value | $ 2,577 | 2,065 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 2 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 832 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 3 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 0 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 0 | |||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 2 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 832 | |||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 3 | |||
Other non-mortgage-backed securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 125,973 | 171,460 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 125,973 | 171,460 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 23 | 310 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 1,504 | 183 | ||
Held-to-maturity Securities, Fair Value | 124,492 | 171,587 | ||
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost | 2,007 | 1,737 | ||
Held-to-maturity Securities, Debt Maturities, within One Year, Net Carrying Amount | 2,007 | 1,737 | ||
Held-to-maturity Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 2,007 | 1,740 | ||
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost | 2,874 | 4,495 | ||
Held-to-maturity Securities, Debt Maturities, After One Through Five Years, Net Carrying Amount | 2,874 | 4,495 | ||
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 2,882 | 4,500 | ||
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost | 11,092 | 5,228 | ||
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years, Net Carrying Amount | 11,092 | 5,228 | ||
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 10,998 | 5,241 | ||
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost | 110,000 | 160,000 | ||
Held-to-maturity Securities, Debt Maturities, after Ten Years, Net Carrying Amount | 110,000 | 160,000 | ||
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 108,605 | 160,106 | ||
US Treasury and Government [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 1,931 | |||
Mortgage Backed Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 2,390,779 | 1,875,300 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 17,157 | 14,405 | ||
Held-to-maturity securities | 2,373,622 | 1,860,895 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 26,596 | 27,785 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 10,198 | 2,836 | ||
Held-to-maturity Securities, Fair Value | 2,390,020 | 1,885,844 | ||
Held-to-maturity Securities, Premium (Discounts), Net | (9,671) | (5,039) | ||
Residential Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 115,230 | 98,852 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 17,157 | 14,405 | ||
Held-to-maturity securities | 98,073 | 84,447 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 14,508 | 15,731 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 2,032 | 906 | ||
Held-to-maturity Securities, Fair Value | $ 110,549 | $ 99,272 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 1 | 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 267 | $ 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 2 | $ 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 18 | 17 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 75,897 | $ 60,931 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 5,913 | $ 2,925 | ||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 19 | 17 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 76,164 | $ 60,931 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 5,915 | 2,925 | ||
Single Family [Member] | GSE mortgage-backed securities[Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 2,211,159 | 1,739,123 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 2,211,159 | 1,739,123 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 12,086 | 12,049 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 7,914 | 1,816 | ||
Held-to-maturity Securities, Fair Value | $ 2,215,331 | $ 1,749,356 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 24 | 7 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 513,602 | $ 10,004 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Losses | $ 1,291 | $ 27 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 33 | 26 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 790,653 | $ 593,726 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 6,623 | $ 1,789 | ||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 57 | 33 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 1,304,255 | $ 603,730 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | 7,914 | 1,816 | ||
Multifamily [Member] | GSE mortgage-backed securities[Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 61,812 | 35,265 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 61,812 | 35,265 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | 0 | 0 | ||
Held-to-maturity Securities, Accumulated Unrecognized Holding Loss | 249 | 114 | ||
Held-to-maturity Securities, Fair Value | $ 61,563 | $ 35,151 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | position | 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, Accumulated Losses | $ 0 | $ 0 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | position | 3 | 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 61,563 | $ 35,151 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Losses | $ 249 | $ 114 | ||
Held-to-maturity Securities, in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | position | 3 | 1 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | $ 61,563 | $ 35,151 | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | $ 249 | $ 114 | ||
|
Held-to-Maturity Securities (Other-Than-Temporary Impairment Analysis) (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|---|
Sep. 30, 2017
USD ($)
position
|
Sep. 30, 2016
USD ($)
|
Sep. 30, 2017
USD ($)
position
|
Sep. 30, 2016
USD ($)
|
Dec. 31, 2016
USD ($)
position
|
|
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | position | 23 | 23 | |||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Securities, Identified as OTTI This Period | position | 1 | ||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Securities, Identified as OTTI Prior to 2013 not Further Impaired This Period | position | 14 | ||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance of credit losses, beginning of period | $ 9,961 | $ 11,120 | $ 10,515 | $ 11,696 | $ 11,696 |
Credit losses on securities for which an other-than temporary impairment was previously recognized | 0 | 8 | 0 | 20 | |
Increase In cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (263) | (313) | (817) | (901) | |
Balance of credit losses, end of period | 9,698 | 10,815 | 9,698 | 10,815 | $ 10,515 |
Cumulative principal shortfalls on securities held at end of period | (1,973) | (1,865) | (1,973) | (1,865) | |
Cumulative amortization of the time value of credit losses at the end of the period | 550 | 418 | 550 | 418 | |
Credit losses in the amortized cost bases of other-than-temporarily impaired securities at end of period | $ 8,275 | $ 9,368 | $ 8,275 | $ 9,368 | |
Minimum [Member] | |||||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | |||||
Projected House Price Decline Rate Over the Next 12 Months | 6.00% | 6.00% | |||
Maximum [Member] | |||||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | |||||
Projected House Price Recovery Rate Over the Next 12 Months | 13.00% | 13.00% | |||
Majority of Markets [Member] | Minimum [Member] | |||||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | |||||
Projected House Price Recovery Rate Over the Next 12 Months | 1.00% | 1.00% | |||
Projected House Price Annual Appreciation Rate at Long-Term Equilibrium Level | 2.00% | 2.00% | |||
Majority of Markets [Member] | Maximum [Member] | |||||
Other than Temporary Impairment Losses, Investments, Held-to-maturity Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures [Abstract] | |||||
Projected House Price Recovery Rate Over the Next 12 Months | 6.00% | 6.00% | |||
Projected House Price Annual Appreciation Rate at Long-Term Equilibrium Level | 5.00% | 5.00% |
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 2,046,760 | $ 2,516,752 |
Other non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 171,460 | 125,973 |
Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 1,875,300 | 2,390,779 |
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 | 125 | 147 |
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 | 240 | 305 |
Variable Interest Rate [Member] | Other non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 171,460 | 125,973 |
Variable 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 | 1,839,670 | 2,328,515 |
Multifamily [Member] | Variable Interest Rate [Member] | Commercial Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 35,265 | $ 61,812 |
Held-to-Maturity Securities Sales of Securities (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|
Proceeds and Gains (Losses) from Sale of HTM [Abstract] | ||||
Amortized Cost of Sold Held-to-maturity Securities | $ 59,763 | $ 14,842 | $ 158,806 | $ 129,063 |
Proceeds from Sales of Held-to-maturity Securities | 61,856 | 14,907 | 162,789 | 129,857 |
Gains on sales of held-to-maturity securities | $ 2,093 | $ 65 | $ 3,983 | $ 794 |
Advances Redemption Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Advances by Redemption Terms [Line Items] | ||
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 23,796,032 | $ 17,477,220 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 1.27% | 0.71% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | $ 1,971,426 | $ 5,115,095 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 1.58% | 1.07% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | $ 1,092,150 | $ 1,059,823 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 2.07% | 1.63% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | $ 1,319,770 | $ 1,347,926 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 1.60% | 1.56% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | $ 515,743 | $ 593,061 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 1.88% | 1.74% |
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | $ 6,159,839 | $ 5,431,116 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 1.33% | 0.85% |
Federal Home Loan Bank Advances, Maturities, Amortizing Advances | $ 1,414,163 | $ 1,448,003 |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amortizing Advances | 2.68% | 2.76% |
Federal Home Loan Bank Advances Par Value | $ 36,269,123 | $ 32,472,244 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 1.40% | 0.97% |
Federal Home Loan Bank, Advances, Premium | $ 26 | $ 52 |
Deferred Prepayment Fees | (11,760) | (13,272) |
Federal Home Loan Bank, Advances, Commitment Fees | (118) | (123) |
Federal Home Loan Bank Advances, Valuation Adjustments For Hedging Activities | 30,613 | 47,274 |
Federal Home Loan Bank Advances | $ 36,287,884 | $ 32,506,175 |
Advances Outstanding by the Earlier of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Line Items] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months | $ 30,384,616 | $ 25,953,500 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two | 1,609,346 | 2,336,974 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three | 909,850 | 989,223 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four | 637,070 | 757,626 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five | 398,473 | 443,311 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five | 915,605 | 543,607 |
Federal Home Loan Bank Advances, Maturities, Amortizing Advances | 1,414,163 | 1,448,003 |
Federal Home Loan Bank Advances Par Value | $ 36,269,123 | $ 32,472,244 |
Advances Outstanding by the Earlier of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Advances by Earlier of Contractual Maturity or Next Put Date [Line Items] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, due in Next Rolling Twelve Months | $ 24,440,032 | $ 18,153,670 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 1,781,926 | 4,473,645 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 1,099,650 | 1,024,823 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 1,319,770 | 1,347,926 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 480,743 | 593,061 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | 5,732,839 | 5,431,116 |
Federal Home Loan Bank Advances, Maturities, Amortizing Advances | 1,414,163 | 1,448,003 |
Federal Home Loan Bank Advances Par Value | $ 36,269,123 | $ 32,472,244 |
Advances Interest Rate Payment Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Advances by Interest Rate Payment Terms [Line Items] | ||
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | $ 18,269,208 | $ 13,417,280 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | 5,788,507 | 6,215,744 |
Federal Home Loan Bank, Advances, Fixed Rate | 24,057,715 | 19,633,024 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | 5,602,224 | 4,136,153 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | 6,609,184 | 8,703,067 |
Federal Home Loan Bank, Advances, Floating Rate | 12,211,408 | 12,839,220 |
Federal Home Loan Bank Advances Par Value | $ 36,269,123 | $ 32,472,244 |
Advances Narrative (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
Dec. 31, 2016 |
|
Advances [Line Items] | |||||
Percent Of Fixed Rate Advances Swapped To Adjustable Rate | 22.00% | 22.00% | 25.00% | ||
Gross Prepayment Fees on Advances Received | $ 712 | $ 4,878 | $ 1,578 | $ 7,613 | |
Prepaid Advances with Symmetrical prepayment Feature | 6,000 | 17,000 | |||
Deferred Prepayment Fees on Advances During Period | 476 | $ 172 | 695 | $ 456 | |
Federal Home Loan Bank Advances Par Value | 36,269,123 | 36,269,123 | $ 32,472,244 | ||
Fees paid on prepaid Advances with Symmetrical Prepayment Feature | $ 4 | $ 194 | |||
Minimum [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances, Interest Rate | 0.54% | 0.54% | 0.40% | ||
Maximum [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances, Interest Rate | 8.27% | 8.27% | 8.27% | ||
Federal Home Loan Bank Advances Callable Option [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances Par Value | $ 11,715,352 | $ 11,715,352 | $ 12,432,264 | ||
Federal Home Loan Bank Advances Putable Option [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances Par Value | $ 1,133,450 | $ 1,133,450 | $ 1,053,071 |
Allowance for Credit Losses (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
|||||||
---|---|---|---|---|---|---|---|---|---|
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | $ 6,270 | $ 2,657 | |||||||
Total current loans | 573,137 | 122,076 | |||||||
Total mortgage loans | 579,407 | 124,733 | |||||||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 185 | $ 85 | ||||||
Serious delinquency rate | [2] | 0.10% | 0.30% | ||||||
Past due 90 days or more and still accruing interest | [3] | $ 96 | $ 130 | ||||||
Non-accrual loans | 252 | 276 | |||||||
Troubled debt restructurings | 0 | 0 | |||||||
Real estate acquired through foreclosure | 45 | 89 | |||||||
Financing Receivables, 30 to 59 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 5,542 | 1,888 | |||||||
Financing Receivables, 60 to 89 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 380 | 363 | |||||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 348 | 406 | |||||||
Conventional Mortgage Loan [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 5,174 | 1,366 | |||||||
Total current loans | 553,748 | 99,690 | |||||||
Total mortgage loans | 558,922 | 101,056 | |||||||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 158 | $ 57 | ||||||
Serious delinquency rate | [2] | 0.10% | 0.30% | ||||||
Past due 90 days or more and still accruing interest | [3] | $ 0 | $ 0 | ||||||
Non-accrual loans | 252 | 276 | |||||||
Troubled debt restructurings | 0 | 0 | |||||||
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Abstract] | |||||||||
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment | 141 | 141 | |||||||
Individually Evaluated for Impairment | 252 | 276 | |||||||
Collectively Evaluated for Impairment | 558,670 | 100,780 | |||||||
Conventional Mortgage Loan [Member] | Financing Receivables, 30 to 59 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 4,639 | 899 | |||||||
Conventional Mortgage Loan [Member] | Financing Receivables, 60 to 89 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 283 | 191 | |||||||
Conventional Mortgage Loan [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 252 | 276 | |||||||
US Government Agency Insured Loans [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 1,096 | 1,291 | |||||||
Total current loans | 19,389 | 22,386 | |||||||
Total mortgage loans | 20,485 | 23,677 | |||||||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 27 | $ 28 | ||||||
Serious delinquency rate | [2] | 0.50% | 0.60% | ||||||
Past due 90 days or more and still accruing interest | [3] | $ 96 | $ 130 | ||||||
Non-accrual loans | 0 | 0 | |||||||
Troubled debt restructurings | 0 | 0 | |||||||
US Government Agency Insured Loans [Member] | Financing Receivables, 30 to 59 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 903 | 989 | |||||||
US Government Agency Insured Loans [Member] | Financing Receivables, 60 to 89 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | 97 | 172 | |||||||
US Government Agency Insured Loans [Member] | Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | |||||||||
Financing Receivable, Recorded Investment, Past Due [Abstract] | |||||||||
Total past due | $ 96 | $ 130 | |||||||
|
Consolidated Obligations (Details) - USD ($) $ in Billions |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate | 88.00% | 91.00% |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 1,028.0 | $ 989.0 |
FHL Bank of Dallas [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 61.6 | $ 54.1 |
Consolidated Obligations Interest Rate Payment Terms (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Debt Instrument [Line Items] | ||
Debt, Gross | $ 30,157,860 | $ 27,132,780 |
Fixed Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 11,712,360 | 10,952,280 |
Variable Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 15,111,000 | 13,151,000 |
Step Down [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 150,000 | 200,000 |
Step Up [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | $ 3,184,500 | $ 2,829,500 |
Consolidated Obligations Redemption Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Debt Instrument, Redemption [Line Items] | ||
Bonds | $ 30,060,229 | $ 26,997,487 |
Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Debt, Gross | 30,157,860 | 27,132,780 |
Debt Instrument, Unamortized Premium | 7,489 | 10,993 |
Debt Instrument, Unamortized Discount | (1,719) | (1,477) |
Unamortized Debt Issuance Expense | (1,930) | (1,308) |
Debt Valuation Adjustment for Hedging Activities | (101,471) | (143,501) |
Bonds | 30,060,229 | 26,997,487 |
Contractual Maturity [Member] | Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 17,385,930 | $ 16,586,590 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.16% | 0.66% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 3,934,000 | $ 4,045,240 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.26% | 1.42% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 2,067,035 | $ 1,617,600 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 1.56% | 1.15% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 2,103,820 | $ 980,100 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1.52% | 1.63% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 1,880,525 | $ 1,546,000 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.72% | 1.38% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 2,786,550 | $ 2,357,250 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.16% | 1.99% |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 1.35% | 0.99% |
Consolidated Obligations Callable/Non-callable (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 30,157,860 | $ 27,132,780 |
Non Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | 24,346,360 | 21,747,530 |
Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 5,811,500 | $ 5,385,250 |
Consolidated Obligations Contractual Maturity or Next Call Date (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Debt, Gross | $ 30,157,860 | $ 27,132,780 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 22,823,430 | 21,749,840 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 3,708,000 | 3,607,240 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,647,035 | 1,262,600 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,186,820 | 415,100 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 625,525 | 89,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 167,050 | 9,000 |
Debt, Gross | $ 30,157,860 | $ 27,132,780 |
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Short-term Debt [Line Items] | ||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 31,438,766 | $ 26,941,782 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Debt Instrument, Face Amount | $ 31,490,238 | $ 26,964,305 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 1.01% | 0.46% |
Affordable Housing Program ("AHP") (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|
Affordable Housing Program [Roll Forward] | ||||
Balance, Beginning of period | $ 22,871 | $ 22,710 | ||
AHP assessment | $ 4,451 | $ 2,348 | 13,223 | 5,625 |
Grants funded, net of recaptured amounts | (6,538) | (6,112) | ||
Balance, End of period | $ 29,556 | $ 22,223 | $ 29,556 | $ 22,223 |
Assets and Liabilities Subject to Offsetting (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
|||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Offsetting Assets and Liabilities [Line Items] | |||||||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | $ 191,837 | $ 240,405 | |||||||||||||||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (148,794) | [2],[3] | (224,768) | [4],[5] | ||||||||||||||||||
Derivative Assets | 43,043 | 15,637 | |||||||||||||||||||||
Derivative, Collateral, Obligation to Return Securities | [6] | (23,987) | (8,511) | ||||||||||||||||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 19,056 | 7,126 | |||||||||||||||||||||
Securities Purchased under Agreements to Resell, Gross | 2,300,000 | 3,100,000 | |||||||||||||||||||||
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral | 0 | 0 | |||||||||||||||||||||
Securities Purchased under Agreements to Resell | 2,300,000 | 3,100,000 | |||||||||||||||||||||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | [6] | (2,300,000) | (3,100,000) | ||||||||||||||||||||
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral | 0 | 0 | |||||||||||||||||||||
Offsetting Assets, Gross | 2,491,837 | 3,340,405 | |||||||||||||||||||||
Assets, Amounts Offset Against Collateral | (148,794) | (224,768) | |||||||||||||||||||||
Offsetting Assets, Total | 2,343,043 | 3,115,637 | |||||||||||||||||||||
Offsetting Assets, Collateral Not Offset in the Statement of Condition | [6] | (2,323,987) | (3,108,511) | ||||||||||||||||||||
Offsetting Assets, Amount Not Offset Against Collateral | 19,056 | 7,126 | |||||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | 403,809 | 457,285 | |||||||||||||||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (389,472) | [2],[3] | (442,942) | [4],[5] | ||||||||||||||||||
Derivative Liabilities | 14,337 | 14,343 | |||||||||||||||||||||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [6] | 0 | (1,743) | ||||||||||||||||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 14,337 | 12,600 | |||||||||||||||||||||
Over the Counter [Member] | |||||||||||||||||||||||
Offsetting Assets and Liabilities [Line Items] | |||||||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | 28,096 | 12,620 | |||||||||||||||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (2,875) | (3,443) | |||||||||||||||||||||
Derivative Assets | 25,221 | 9,177 | |||||||||||||||||||||
Derivative, Collateral, Obligation to Return Securities | [6],[7] | (23,987) | (8,511) | ||||||||||||||||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 1,234 | 666 | |||||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | 166,400 | 256,453 | |||||||||||||||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (152,063) | (243,853) | |||||||||||||||||||||
Derivative Liabilities | 14,337 | 12,600 | |||||||||||||||||||||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [6] | 0 | 0 | ||||||||||||||||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 14,337 | 12,600 | |||||||||||||||||||||
Exchange Cleared [Member] | |||||||||||||||||||||||
Offsetting Assets and Liabilities [Line Items] | |||||||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | 163,741 | 227,785 | |||||||||||||||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (145,919) | (221,325) | |||||||||||||||||||||
Derivative Assets | 17,822 | 6,460 | |||||||||||||||||||||
Derivative, Collateral, Obligation to Return Securities | [6] | 0 | 0 | ||||||||||||||||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 17,822 | 6,460 | |||||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | 237,409 | 200,832 | |||||||||||||||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (237,409) | (199,089) | |||||||||||||||||||||
Derivative Liabilities | 0 | 1,743 | |||||||||||||||||||||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [6] | 0 | [8] | (1,743) | [9] | ||||||||||||||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | 0 | |||||||||||||||||||||
Derivative Liabilities, Additional Net Exposure, Collateral Pledged to Counterparties in Excess of Net Liabilities | 565,892 | $ 611,608 | |||||||||||||||||||||
Minimum [Member] | Non-member Counterparty [Member] | |||||||||||||||||||||||
Offsetting Assets and Liabilities [Line Items] | |||||||||||||||||||||||
Collateral Thresholds | 100 | ||||||||||||||||||||||
Maximum [Member] | Non-member Counterparty [Member] | |||||||||||||||||||||||
Offsetting Assets and Liabilities [Line Items] | |||||||||||||||||||||||
Collateral Thresholds | $ 500 | ||||||||||||||||||||||
|
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | $ 191,837 | $ 240,405 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 403,809 | 457,285 | |||||||||||||
Derivative, Notional Amount | 37,829,128 | 35,540,949 | |||||||||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (200) | (94,650) | |||||||||||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (240,878) | (312,824) | |||||||||||||
Derivative Asset, Fair Value, Gross Liability | (148,594) | (130,118) | |||||||||||||
Derivative Liability, Fair Value, Gross Asset | (148,594) | (130,118) | |||||||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (148,794) | [2],[3] | (224,768) | [4],[5] | ||||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (389,472) | [2],[3] | (442,942) | [4],[5] | ||||||||||
Derivative assets | 43,043 | 15,637 | |||||||||||||
Derivative liabilities | 14,337 | 14,343 | |||||||||||||
Designated as Hedging Instrument [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 165,087 | 225,746 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 365,014 | 427,412 | |||||||||||||
Derivative, Notional Amount | 33,806,907 | 31,313,061 | |||||||||||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 18,587 | 20,367 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 51,918 | 74,032 | |||||||||||||
Derivative, Notional Amount | 5,314,124 | 5,002,011 | |||||||||||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 118,883 | 175,507 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 225,663 | 223,122 | |||||||||||||
Derivative, Notional Amount | 14,755,408 | 13,106,770 | |||||||||||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 11,731 | 10,756 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 86,814 | 129,772 | |||||||||||||
Derivative, Notional Amount | 13,310,375 | 12,776,280 | |||||||||||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 15,856 | 19,050 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 619 | 486 | |||||||||||||
Derivative, Notional Amount | 425,000 | 425,000 | |||||||||||||
Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Advances [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 30 | 66 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 0 | 0 | |||||||||||||
Derivative, Notional Amount | 2,000 | 3,000 | |||||||||||||
Not Designated as Hedging Instrument [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 26,750 | 14,659 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 38,795 | 29,873 | |||||||||||||
Derivative, Notional Amount | 4,022,221 | 4,227,888 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 19 | 34 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 32 | 27 | |||||||||||||
Derivative, Notional Amount | 2,993 | 2,624 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 0 | 2,626 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 0 | 0 | |||||||||||||
Derivative, Notional Amount | 0 | 1,276,563 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Basis Swap [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 0 | 0 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 0 | 676 | |||||||||||||
Derivative, Notional Amount | 0 | 1,000,000 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Intermediary Transactions [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 26,113 | 11,174 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 23,094 | 10,128 | |||||||||||||
Derivative, Notional Amount | 2,338,817 | 341,671 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Other Economic [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 389 | 0 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 15,334 | 18,479 | |||||||||||||
Derivative, Notional Amount | 342,000 | 325,000 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 0 | 2 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 118 | 0 | |||||||||||||
Derivative, Notional Amount | 58,411 | 2,030 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Intermediary Transactions [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 217 | 563 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 217 | 563 | |||||||||||||
Derivative, Notional Amount | 80,000 | 80,000 | |||||||||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Held-to-maturity Securities [Member] | |||||||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||||||
Derivative Instruments in Hedges, Assets, at Fair Value | 12 | 260 | |||||||||||||
Derivative Instruments in Hedges, Liabilities, at Fair Value | 0 | 0 | |||||||||||||
Derivative, Notional Amount | $ 1,200,000 | $ 1,200,000 | |||||||||||||
|
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative, Net Hedge Ineffectiveness Gain (Loss) | [1] | $ (1,561) | $ 2,070 | $ (6,000) | $ (23,156) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 1,686 | (1,873) | 11,453 | 2,593 | |||
Price Alignment Amount on Variation Margin for Daily Settled Derivative Contracts | 220 | 0 | 521 | 0 | |||
Gain (Loss) on Derivative Instruments, Net, Pretax | 345 | 197 | 5,974 | (20,563) | |||
Advances [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative, Net Hedge Ineffectiveness Gain (Loss) | [1] | 67 | 106 | 239 | (227) | ||
Available-for-sale Securities [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative, Net Hedge Ineffectiveness Gain (Loss) | [1] | (199) | 2,201 | (6,488) | (19,150) | ||
Consolidated Obligation Bonds [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative, Net Hedge Ineffectiveness Gain (Loss) | [1] | (1,429) | (237) | 249 | (3,779) | ||
Interest Rate Swap [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative, Net Hedge Ineffectiveness Gain (Loss) | (1,561) | 2,071 | (5,964) | (23,148) | |||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 545 | (2,720) | 8,162 | 1,209 | |||
Interest Rate Swaption [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative, Net Hedge Ineffectiveness Gain (Loss) | 0 | (1) | (36) | (8) | |||
Interest Rate Cap [Member] | Held-to-maturity Securities [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (13) | (2) | (247) | (528) | |||
Net Interest Income on Interest Rate Swaps [Member] | Interest Rate Swap [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 360 | 836 | 1,281 | 1,817 | |||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member] | |||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 794 | $ 13 | $ 2,257 | $ 95 | |||
|
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Gain (Loss) on Derivatives | $ 12,743 | $ 110,893 | $ (18,151) | $ (434,277) | |||||
Gain (Loss) on Hedged Items | (14,304) | (108,823) | 12,151 | 411,121 | |||||
Net Fair Value Hedge Ineffectiveness | [1] | (1,561) | 2,070 | (6,000) | (23,156) | ||||
Derivative Net Interest Income (Expense) | [2] | (22,487) | (40,279) | (77,571) | (116,533) | ||||
Advances [Member] | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Gain (Loss) on Derivatives | 7,294 | 39,433 | 15,340 | (26,126) | |||||
Gain (Loss) on Hedged Items | (7,227) | (39,327) | (15,101) | 25,899 | |||||
Net Fair Value Hedge Ineffectiveness | [1] | 67 | 106 | 239 | (227) | ||||
Derivative Net Interest Income (Expense) | [2] | (7,001) | (15,458) | (26,787) | (49,862) | ||||
Available-for-sale Securities [Member] | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Gain (Loss) on Derivatives | 8,527 | 114,056 | (75,804) | (423,390) | |||||
Gain (Loss) on Hedged Items | (8,726) | (111,855) | 69,316 | 404,240 | |||||
Net Fair Value Hedge Ineffectiveness | [1] | (199) | 2,201 | (6,488) | (19,150) | ||||
Derivative Net Interest Income (Expense) | [2] | (23,785) | (37,119) | (82,190) | (112,314) | ||||
Consolidated Obligation Bonds [Member] | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Gain (Loss) on Derivatives | (3,078) | (42,596) | 42,313 | 15,239 | |||||
Gain (Loss) on Hedged Items | 1,649 | 42,359 | (42,064) | (19,018) | |||||
Net Fair Value Hedge Ineffectiveness | [1] | (1,429) | (237) | 249 | (3,779) | ||||
Derivative Net Interest Income (Expense) | [2] | $ 8,299 | $ 12,298 | $ 31,406 | $ 45,643 | ||||
|
Derivatives and Hedging Activities Cash Flow Hedges (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||
Derivative Instruments, Gain (Loss) Recognized in Other Comprehensive Income (Loss), Effective Portion, Net | $ (917) | $ 2,147 | $ (6,668) | $ (12,980) | ||
Derivative Instruments, Gain (Loss) Reclassified from Accumulated OCI into Income, Effective Portion, Net | [1] | (491) | (990) | (1,927) | (2,570) | |
Gain (Loss) on Cash Flow Hedge Ineffectiveness, Net | $ 0 | $ 0 | 0 | $ 0 | ||
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ (756) | |||||
Maximum Length of Time Hedged in Cash Flow Hedge | 9 years | |||||
|
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 37,829,128 | $ 35,540,949 |
Over the Counter [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 11,500,000 | |
Exchange Cleared [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 25,100,000 | |
Member Counterparties [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 1,200,000 |
Capital (Details) - USD ($) |
Sep. 30, 2017 |
Sep. 26, 2017 |
Jun. 27, 2017 |
Mar. 28, 2017 |
Dec. 31, 2016 |
Oct. 21, 2015 |
---|---|---|---|---|---|---|
Capital [Line Items] | ||||||
Federal Home Loan Bank, Risk-Based Capital, Required | $ 801,028,000 | $ 683,690,000 | ||||
Federal Home Loan Bank, Risk-Based Capital, Actual | 3,134,761,000 | 2,757,549,000 | ||||
Federal Home Loan Bank, Regulatory Capital, Required | 2,657,995,000 | 2,328,483,000 | ||||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 3,134,761,000 | $ 2,757,549,000 | ||||
Regulatory Capital Ratio, Required | 4.00% | 4.00% | ||||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 4.72% | 4.74% | ||||
Federal Home Loan Bank, Leverage Capital, Required | $ 3,322,494,000 | $ 2,910,604,000 | ||||
Federal Home Loan Bank, Leverage Capital, Actual | $ 4,702,141,000 | $ 4,136,324,000 | ||||
Leverage Ratio, Required | 5.00% | 5.00% | ||||
Leverage Ratio, Actual | 7.08% | 7.11% | ||||
Membership Investment Requirement, Percent of Members Total Assets as of Previous Calendar Year | 0.04% | |||||
Membership Investment Requirement, Minimum Dollar Amount | $ 1,000 | |||||
Membership Investment Requirement, Maximum Dollar Amount | $ 7,000,000 | |||||
Activity Based Investment Requirement, Percent of Outstanding Advances | 4.10% | 4.10% | ||||
Surplus Stock Threshold Percentage | 125.00% | 125.00% | 125.00% | 125.00% | ||
Minimum Stock Surplus Required For Repurchase | $ 2,500,000 | $ 2,500,000 | $ 2,500,000 | |||
Repurchased Surplus Stock, Total | $ 104,278,700 | $ 75,728,500 | $ 148,179,500 | |||
Minimum [Member] | ||||||
Capital [Line Items] | ||||||
Activity Based Investment Requirement, Percent of Outstanding Advances | 2.00% |
Employee Retirement Plans (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
|
Defined Benefit Plan Disclosure [Line Items] | ||||
Service cost | $ 5 | $ 6 | $ 17 | $ 17 |
Interest cost | 6 | 7 | 16 | 22 |
Amortization of prior service cost | 5 | 5 | 15 | 15 |
Amortization of net actuarial gain | (9) | (25) | (61) | (74) |
Net periodic benefit credit | $ 7 | $ (7) | $ (13) | $ (20) |
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands |
Sep. 30, 2017 |
Dec. 31, 2016 |
Sep. 30, 2016 |
Dec. 31, 2015 |
|||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||||||||||
Derivative, Notional Amount | $ 37,829,128 | $ 35,540,949 | |||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||
Cash and due from banks | 147,528 | 27,696 | |||||||||||||||||||||||||
Trading securities | 114,547 | 111,638 | |||||||||||||||||||||||||
Available-for-sale securities | 14,978,247 | 13,175,933 | |||||||||||||||||||||||||
Held-to-maturity securities | [1] | 2,032,355 | 2,499,595 | ||||||||||||||||||||||||
Held-to-maturity securities, Fair Value | 2,057,431 | 2,514,512 | |||||||||||||||||||||||||
Loans to Other Federal Home Loan Banks | 0 | 290,000 | $ 0 | $ 0 | |||||||||||||||||||||||
Accrued interest receivable | 112,555 | 87,977 | |||||||||||||||||||||||||
Derivative assets | 43,043 | 15,637 | |||||||||||||||||||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [2] | 148,794 | [3],[4] | 224,768 | [5],[6] | ||||||||||||||||||||||
Assets, Amounts Offset Against Collateral | 148,794 | 224,768 | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 7,032 | 3,417 | |||||||||||||||||||||||||
Accrued interest payable | 67,680 | 43,274 | |||||||||||||||||||||||||
Derivative liabilities | 14,337 | 14,343 | |||||||||||||||||||||||||
Loans from Other Federal Home Loan Banks | 250,000 | 0 | $ 0 | $ 0 | |||||||||||||||||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [2] | (389,472) | [3],[4] | (442,942) | [5],[6] | ||||||||||||||||||||||
Carrying Value [Member] | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||
Cash and due from banks | 147,528 | 27,696 | |||||||||||||||||||||||||
Interest-bearing deposits | 327 | 255 | |||||||||||||||||||||||||
Securities purchased under agreements to resell | 2,300,000 | 3,100,000 | |||||||||||||||||||||||||
Federal funds sold | 9,830,000 | 6,242,000 | |||||||||||||||||||||||||
Trading securities | 114,547 | [4] | 111,638 | [6] | |||||||||||||||||||||||
Available-for-sale securities | 14,978,247 | [4] | 13,175,933 | [6] | |||||||||||||||||||||||
Held-to-maturity securities | 2,032,355 | 2,499,595 | |||||||||||||||||||||||||
Advances | 36,287,884 | 32,506,175 | |||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 576,806 | 123,961 | |||||||||||||||||||||||||
Loans to Other Federal Home Loan Banks | 290,000 | ||||||||||||||||||||||||||
Accrued interest receivable | 112,555 | 87,977 | |||||||||||||||||||||||||
Derivative assets | 43,043 | [4] | 15,637 | [6] | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||
Deposits | 996,146 | 1,040,158 | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 7,032 | 3,417 | |||||||||||||||||||||||||
Accrued interest payable | 67,680 | 43,274 | |||||||||||||||||||||||||
Derivative liabilities | 14,337 | [4] | 14,343 | [6] | |||||||||||||||||||||||
Loans from Other Federal Home Loan Banks | 250,000 | ||||||||||||||||||||||||||
Estimated Fair Value [Member] | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||
Cash and due from banks | 147,528 | 27,696 | |||||||||||||||||||||||||
Interest-bearing deposits | 327 | 255 | |||||||||||||||||||||||||
Securities purchased under agreements to resell | 2,300,000 | 3,100,000 | |||||||||||||||||||||||||
Federal funds sold | 9,830,000 | 6,242,000 | |||||||||||||||||||||||||
Trading securities | 114,547 | [4] | 111,638 | [6] | |||||||||||||||||||||||
Available-for-sale securities | 14,978,247 | [4] | 13,175,933 | [6] | |||||||||||||||||||||||
Held-to-maturity securities, Fair Value | 2,057,431 | 2,514,512 | |||||||||||||||||||||||||
Advances | 36,324,051 | 32,514,400 | |||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 579,998 | 127,486 | |||||||||||||||||||||||||
Loans to Other Federal Home Loan Banks | 290,000 | ||||||||||||||||||||||||||
Accrued interest receivable | 112,555 | 87,977 | |||||||||||||||||||||||||
Derivative assets | 43,043 | [4] | 15,637 | [6] | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||
Deposits | 996,143 | 1,040,149 | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 7,032 | 3,417 | |||||||||||||||||||||||||
Accrued interest payable | 67,680 | 43,274 | |||||||||||||||||||||||||
Derivative liabilities | 14,337 | [4] | 14,343 | [6] | |||||||||||||||||||||||
Loans from Other Federal Home Loan Banks | 250,000 | ||||||||||||||||||||||||||
Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||
Cash and due from banks | 147,528 | 27,696 | |||||||||||||||||||||||||
Interest-bearing deposits | 0 | 0 | |||||||||||||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | |||||||||||||||||||||||||
Federal funds sold | 0 | 0 | |||||||||||||||||||||||||
Trading securities | 11,561 | [4] | 10,143 | [6] | |||||||||||||||||||||||
Available-for-sale securities | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Held-to-maturity securities, Fair Value | 0 | 0 | |||||||||||||||||||||||||
Advances | 0 | 0 | |||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 0 | 0 | |||||||||||||||||||||||||
Loans to Other Federal Home Loan Banks | 0 | ||||||||||||||||||||||||||
Accrued interest receivable | 0 | 0 | |||||||||||||||||||||||||
Derivative assets | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||
Deposits | 0 | 0 | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 7,032 | 3,417 | |||||||||||||||||||||||||
Accrued interest payable | 0 | 0 | |||||||||||||||||||||||||
Derivative liabilities | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Loans from Other Federal Home Loan Banks | 0 | ||||||||||||||||||||||||||
Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||
Cash and due from banks | 0 | 0 | |||||||||||||||||||||||||
Interest-bearing deposits | 327 | 255 | |||||||||||||||||||||||||
Securities purchased under agreements to resell | 2,300,000 | 3,100,000 | |||||||||||||||||||||||||
Federal funds sold | 9,830,000 | 6,242,000 | |||||||||||||||||||||||||
Trading securities | 102,986 | [4] | 101,495 | [6] | |||||||||||||||||||||||
Available-for-sale securities | 14,978,247 | [4] | 13,175,933 | [6] | |||||||||||||||||||||||
Held-to-maturity securities, Fair Value | 1,958,159 | [7] | 2,403,963 | [8] | |||||||||||||||||||||||
Advances | 36,324,051 | 32,514,400 | |||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 579,998 | 127,486 | |||||||||||||||||||||||||
Loans to Other Federal Home Loan Banks | 290,000 | ||||||||||||||||||||||||||
Accrued interest receivable | 112,555 | 87,977 | |||||||||||||||||||||||||
Derivative assets | 191,837 | [4] | 240,405 | [6] | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||
Deposits | 996,143 | 1,040,149 | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||||||||||||||||||||||
Accrued interest payable | 67,680 | 43,274 | |||||||||||||||||||||||||
Derivative liabilities | 403,809 | [4] | 457,285 | [6] | |||||||||||||||||||||||
Loans from Other Federal Home Loan Banks | 250,000 | ||||||||||||||||||||||||||
Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||
Cash and due from banks | 0 | 0 | |||||||||||||||||||||||||
Interest-bearing deposits | 0 | 0 | |||||||||||||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | |||||||||||||||||||||||||
Federal funds sold | 0 | 0 | |||||||||||||||||||||||||
Trading securities | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Available-for-sale securities | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Held-to-maturity securities, Fair Value | 99,272 | [9] | 110,549 | [10] | |||||||||||||||||||||||
Advances | 0 | 0 | |||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 0 | 0 | |||||||||||||||||||||||||
Loans to Other Federal Home Loan Banks | 0 | ||||||||||||||||||||||||||
Accrued interest receivable | 0 | 0 | |||||||||||||||||||||||||
Derivative assets | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||
Deposits | 0 | 0 | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||||||||||||||||||||||
Accrued interest payable | 0 | 0 | |||||||||||||||||||||||||
Derivative liabilities | 0 | [4] | 0 | [6] | |||||||||||||||||||||||
Loans from Other Federal Home Loan Banks | 0 | ||||||||||||||||||||||||||
Consolidated Obligation Discount Notes [Member] | Carrying Value [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Discount notes, Fair Value | 31,438,766 | 26,941,782 | |||||||||||||||||||||||||
Consolidated Obligation Discount Notes [Member] | Estimated Fair Value [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Discount notes, Fair Value | 31,436,890 | 26,937,934 | |||||||||||||||||||||||||
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Discount notes, Fair Value | 0 | 0 | |||||||||||||||||||||||||
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Discount notes, Fair Value | 31,436,890 | 26,937,934 | |||||||||||||||||||||||||
Consolidated Obligation Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Discount notes, Fair Value | 0 | 0 | |||||||||||||||||||||||||
Consolidated Obligation Bonds [Member] | Carrying Value [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Bonds, Fair Value | 30,060,229 | 26,997,487 | |||||||||||||||||||||||||
Consolidated Obligation Bonds [Member] | Estimated Fair Value [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Bonds, Fair Value | 30,053,933 | 26,917,278 | |||||||||||||||||||||||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Bonds, Fair Value | 0 | 0 | |||||||||||||||||||||||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Bonds, Fair Value | 30,053,933 | 26,917,278 | |||||||||||||||||||||||||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||
Bonds, Fair Value | $ 0 | $ 0 | |||||||||||||||||||||||||
|
Commitments and Contingencies (Details) $ in Thousands |
Sep. 30, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
---|---|---|
Commitments and Contingencies [Line Items] | ||
Number of Member Institutions with Collateralized Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma | 333 | |
Number of Member Institutions with High Concentration of Loans in FEMA-designated disaster areas | 20 | |
Derivative, Collateral, Right to Reclaim Cash | $ 160,529 | $ 312,705 |
Derivative, Collateral, Right to Receive Trading Securities | 0 | 0 |
Derivative, Collateral, Right to Reclaim Securities | 565,892 | 613,351 |
Other FHLBanks [Member] | ||
Commitments and Contingencies [Line Items] | ||
Debt, Gross | 967,000,000 | |
Loan Origination Commitments [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 26,156 | 35,400 |
Standby Letters of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 14,355,246 | 11,186,897 |
Consolidated Obligation Bonds [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 196,310 | 45,000 |
Consolidated Obligation Discount Notes [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 281,868 | 500 |
Conventional Mortgage Loan [Member] | ||
Commitments and Contingencies [Line Items] | ||
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma | 57,742 | |
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricane Harvey | 14,477 | |
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricane Irma | $ 43,265 | |
Percentage of Total MPF, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma | 10.00% | |
Percentage of Total Assets, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma | 0.10% | |
Percentage of Total Retained Earnings, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Hurricanes Harvey and Irma | 6.30% | |
Unpaid Principal Balance, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Northern California Wildfires | $ 12,351 | |
Percentage of Total MPF, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Northern California Wildfires | 2.10% | |
Percentage of Total Assets, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Northern California Wildfires | 0.10% | |
Percentage of Total Retained Earnings, Collateralized by Properties in FEMA Designated Disaster Areas Resulting from Northern California Wildfires | 1.30% | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 58,411 | 2,030 |
Consolidated Obligation Bonds [Member] | Interest Rate Swap [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 161,310 | $ 45,000 |
Transactions with Other FHLBanks (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
|
Schedule of Other Transactions [Line Items] | ||
Interest Income, Loans to Other Federal Home Loan Banks | $ 13,425 | $ 1,138 |
Loans Made to Other FHLBanks [Roll Forward] | ||
Loans to other FHLBanks, Beginning of period | 290,000,000 | 0 |
Loans to other FHLBanks, End of period | 0 | 0 |
Interest Expense, Loans from Other Federal Home Loan Banks | 15,669 | 1,910 |
Borrowings From Other FHLBanks [Roll Forward] | ||
Loans from other FHLBanks, Beginning of period | 0 | 0 |
Loans from other FHLBanks, End of period | 250,000,000 | 0 |
Federal Home Loan Bank of Boston [Member] | ||
Loans Made to Other FHLBanks [Roll Forward] | ||
Loans made to other FHLBanks | 225,000,000 | 0 |
Collections from other FHLBanks | (225,000,000) | 0 |
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 0 | 0 |
FHLBank of Topeka [Member] | ||
Loans Made to Other FHLBanks [Roll Forward] | ||
Loans made to other FHLBanks | 0 | 112,000,000 |
Collections from other FHLBanks | 0 | (112,000,000) |
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 10,000,000 | 125,000,000 |
Repayments to other FHLBanks | (10,000,000) | (125,000,000) |
FHLBank of Atlanta [Member] | ||
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 250,000,000 | 0 |
FHLBank of San Francisco [Member] | ||
Loans Made to Other FHLBanks [Roll Forward] | ||
Collections from other FHLBanks | (290,000,000) | 0 |
FHLBank of Indianapolis [Member] | ||
Borrowings From Other FHLBanks [Roll Forward] | ||
Borrowings from other FHLBanks | 20,000,000 | 0 |
Repayments to other FHLBanks | $ (20,000,000) | $ 0 |
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Sep. 30, 2017 |
Sep. 30, 2016 |
Sep. 30, 2017 |
Sep. 30, 2016 |
||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Accumulated other comprehensive income (loss), Start of period | $ 63,210 | ||||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | $ 0 | $ (889) | (1,837) | $ (5,104) | |||
Reclassification adjustment for losses on cash flow hedges included in net income | 491 | 990 | 1,927 | 2,570 | |||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | 0 | 8 | 0 | 12 | |||
Other amounts of other comprehensive income (loss) | |||||||
Net unrealized gains on available-for-sale securities | 27,278 | 97,845 | 101,518 | 92,381 | |||
Unrealized gains (losses) on cash flow hedges | (917) | 2,147 | (6,668) | (12,980) | |||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 0 | 0 | 0 | (302) | |||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 822 | 1,076 | 2,752 | 3,505 | |||
Total other comprehensive income (loss) | 27,670 | 101,157 | 97,646 | 80,023 | |||
Accumulated Other Comprehensive Income (Loss), End of Period | 160,856 | 160,856 | |||||
Accumulated Net Unrealized Investment Gain (Loss) [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Accumulated other comprehensive income (loss), Start of period | [1] | 130,990 | (91,957) | 58,587 | (82,278) | ||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | [1] | (889) | (1,837) | (5,104) | |||
Other amounts of other comprehensive income (loss) | |||||||
Net unrealized gains on available-for-sale securities | [1] | 27,278 | 97,845 | 101,518 | 92,381 | ||
Total other comprehensive income (loss) | [1] | 27,278 | 96,956 | 99,681 | 87,277 | ||
Accumulated Other Comprehensive Income (Loss), End of Period | [1] | 158,268 | 4,999 | 158,268 | 4,999 | ||
Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Accumulated other comprehensive income (loss), Start of period | 16,065 | (14,394) | 20,380 | (847) | |||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||
Reclassification adjustment for losses on cash flow hedges included in net income | 491 | 990 | 1,927 | 2,570 | |||
Other amounts of other comprehensive income (loss) | |||||||
Unrealized gains (losses) on cash flow hedges | (917) | 2,147 | (6,668) | (12,980) | |||
Total other comprehensive income (loss) | (426) | 3,137 | (4,741) | (10,410) | |||
Accumulated Other Comprehensive Income (Loss), End of Period | 15,639 | (11,257) | 15,639 | (11,257) | |||
Accumulated Defined Benefit Plans Adjustment [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Accumulated other comprehensive income (loss), Start of period | 1,358 | 1,439 | 1,400 | 1,478 | |||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (4) | (20) | (46) | (59) | |||
Other amounts of other comprehensive income (loss) | |||||||
Total other comprehensive income (loss) | (4) | (20) | (46) | (59) | |||
Accumulated Other Comprehensive Income (Loss), End of Period | 1,354 | 1,419 | 1,354 | 1,419 | |||
AOCI Attributable to Parent [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Accumulated other comprehensive income (loss), Start of period | 133,186 | (124,157) | 63,210 | (103,023) | |||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | (889) | (1,837) | (5,104) | ||||
Reclassification adjustment for losses on cash flow hedges included in net income | 491 | 990 | 1,927 | 2,570 | |||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | 8 | 12 | |||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (4) | (20) | (46) | (59) | |||
Other amounts of other comprehensive income (loss) | |||||||
Net unrealized gains on available-for-sale securities | 27,278 | 97,845 | 101,518 | 92,381 | |||
Unrealized gains (losses) on cash flow hedges | (917) | 2,147 | (6,668) | (12,980) | |||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | (302) | ||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 822 | 1,076 | 2,752 | 3,505 | |||
Total other comprehensive income (loss) | 27,670 | 101,157 | 97,646 | 80,023 | |||
Accumulated Other Comprehensive Income (Loss), End of Period | 160,856 | (23,000) | 160,856 | (23,000) | |||
Held-to-maturity Securities [Member] | Accumulated Other-than-Temporary Impairment [Member] | |||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||
Accumulated other comprehensive income (loss), Start of period | (15,227) | (19,245) | (17,157) | (21,376) | |||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||
Reclassification adjustment for non-credit portion of other-than-temporary impairment losses recognized as credit losses in net income | 8 | 12 | |||||
Other amounts of other comprehensive income (loss) | |||||||
Non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | (302) | ||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 822 | 1,076 | 2,752 | 3,505 | |||
Total other comprehensive income (loss) | 822 | 1,084 | 2,752 | 3,215 | |||
Accumulated Other Comprehensive Income (Loss), End of Period | $ (14,405) | $ (18,161) | $ (14,405) | $ (18,161) | |||
|
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