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) |
Title of each class | Trading symbol(s) | Name of each exchange on which registered |
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, 2019 | December 31, 2018 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | 153,232 | $ | 35,157 | |||
Interest-bearing deposits | 1,051,220 | 2,500,317 | |||||
Securities purchased under agreements to resell (Note 11) | 4,385,000 | 6,215,000 | |||||
Federal funds sold | 450,000 | 1,731,000 | |||||
Trading securities (Note 3) | 7,313,437 | 1,818,178 | |||||
Available-for-sale securities (Notes 4, 11 and 16) ($889,241 and $712,547 pledged at September 30, 2019 and December 31, 2018, respectively, which could be rehypothecated) | 17,201,268 | 15,825,155 | |||||
Held-to-maturity securities (a) (Note 5) | 1,195,375 | 1,462,279 | |||||
Advances (Notes 6 and 8) | 38,180,593 | 40,793,813 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses of $795 and $493 at September 30, 2019 and December 31, 2018, respectively (Notes 7 and 8) | 3,603,112 | 2,185,503 | |||||
Accrued interest receivable | 175,166 | 152,670 | |||||
Premises and equipment, net | 15,236 | 16,419 | |||||
Derivative assets (Notes 11 and 12) | 25,050 | 9,878 | |||||
Other assets (including $13,402 and $12,376 of securities held at fair value at September 30, 2019 and December 31, 2018, respectively) | 32,179 | 27,921 | |||||
TOTAL ASSETS | $ | 73,780,868 | $ | 72,773,290 | |||
LIABILITIES AND CAPITAL | |||||||
Deposits | |||||||
Interest-bearing | $ | 1,246,462 | $ | 963,972 | |||
Non-interest bearing | 20 | 20 | |||||
Total deposits | 1,246,482 | 963,992 | |||||
Consolidated obligations (Note 9) | |||||||
Discount notes | 33,878,782 | 35,731,713 | |||||
Bonds | 33,744,493 | 31,931,929 | |||||
Total consolidated obligations | 67,623,275 | 67,663,642 | |||||
Mandatorily redeemable capital stock | 7,106 | 6,979 | |||||
Accrued interest payable | 114,957 | 122,938 | |||||
Affordable Housing Program (Note 10) | 52,675 | 44,358 | |||||
Derivative liabilities (Notes 11 and 12) | 4,540 | 45,991 | |||||
Other liabilities (Notes 3 and 4) | 1,021,585 | 161,134 | |||||
Total liabilities | 70,070,620 | 69,009,034 | |||||
Commitments and contingencies (Notes 8 and 16) | |||||||
CAPITAL (Note 13) | |||||||
Capital stock | |||||||
Capital stock — Class B-1 putable ($100 par value) issued and outstanding shares: 9,521,426 and 9,169,206 shares at September 30, 2019 and December 31, 2018, respectively | 952,142 | 916,921 | |||||
Capital stock — Class B-2 putable ($100 par value) issued and outstanding shares: 15,260,637 and 16,379,675 shares at September 30, 2019 and December 31, 2018, respectively | 1,526,064 | 1,637,967 | |||||
Total Class B Capital Stock | 2,478,206 | 2,554,888 | |||||
Retained earnings | |||||||
Unrestricted | 1,007,453 | 932,675 | |||||
Restricted | 181,808 | 148,692 | |||||
Total retained earnings | 1,189,261 | 1,081,367 | |||||
Accumulated other comprehensive income (Note 19) | 42,781 | 128,001 | |||||
Total capital | 3,710,248 | 3,764,256 | |||||
TOTAL LIABILITIES AND CAPITAL | $ | 73,780,868 | $ | 72,773,290 |
(a) | Fair values: $1,206,623 and $1,478,691 at September 30, 2019 and December 31, 2018, respectively. |
For the Three Months Ended | For the Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
INTEREST INCOME | ||||||||||||||||
Advances | $ | 233,451 | $ | 236,372 | $ | 715,973 | $ | 590,387 | ||||||||
Prepayment fees on advances, net | 435 | 42 | 1,112 | 2,611 | ||||||||||||
Interest-bearing deposits | 9,688 | 6,222 | 29,177 | 7,930 | ||||||||||||
Securities purchased under agreements to resell | 24,906 | 19,583 | 76,380 | 42,507 | ||||||||||||
Federal funds sold | 15,231 | 23,085 | 49,688 | 69,490 | ||||||||||||
Trading securities | 31,237 | 6,369 | 68,341 | 9,535 | ||||||||||||
Available-for-sale securities | 111,442 | 112,670 | 343,238 | 297,030 | ||||||||||||
Held-to-maturity securities | 8,675 | 11,742 | 30,179 | 33,666 | ||||||||||||
Mortgage loans held for portfolio | 29,781 | 14,865 | 79,628 | 33,953 | ||||||||||||
Total interest income | 464,846 | 430,950 | 1,393,716 | 1,087,109 | ||||||||||||
INTEREST EXPENSE | ||||||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 177,824 | 177,308 | 534,596 | 467,179 | ||||||||||||
Discount notes | 213,853 | 168,634 | 641,426 | 384,130 | ||||||||||||
Deposits | 5,147 | 3,945 | 14,766 | 10,524 | ||||||||||||
Mandatorily redeemable capital stock | 45 | 20 | 150 | 51 | ||||||||||||
Other borrowings | 1 | 2 | 112 | 79 | ||||||||||||
Total interest expense | 396,870 | 349,909 | 1,191,050 | 861,963 | ||||||||||||
NET INTEREST INCOME | 67,976 | 81,041 | 202,666 | 225,146 | ||||||||||||
Provision for mortgage loan losses | 64 | 104 | 302 | 111 | ||||||||||||
NET INTEREST INCOME AFTER PROVISION FOR MORTGAGE LOAN LOSSES | 67,912 | 80,937 | 202,364 | 225,035 | ||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||
Net gains (losses) on trading securities | 2,266 | (1,583 | ) | 10,345 | (4,473 | ) | ||||||||||
Net gains (losses) on derivatives and hedging activities | 8,328 | (5,573 | ) | 29,884 | (6,097 | ) | ||||||||||
Net gains on other assets carried at fair value | 34 | 312 | 1,300 | 527 | ||||||||||||
Realized gains on sales of held-to-maturity securities | — | 1,065 | — | 1,065 | ||||||||||||
Realized gains on sales of available-for-sale securities | — | — | 580 | — | ||||||||||||
Letter of credit fees | 3,244 | 2,440 | 9,008 | 6,851 | ||||||||||||
Other, net | 1,028 | 836 | 2,904 | 2,323 | ||||||||||||
Total other income (loss) | 14,900 | (2,503 | ) | 54,021 | 196 | |||||||||||
OTHER EXPENSE | ||||||||||||||||
Compensation and benefits | 11,934 | 12,523 | 37,880 | 36,758 | ||||||||||||
Other operating expenses | 8,823 | 7,620 | 26,454 | 23,735 | ||||||||||||
Finance Agency | 1,184 | 877 | 3,550 | 2,716 | ||||||||||||
Office of Finance | 1,171 | 1,099 | 3,169 | 2,867 | ||||||||||||
Discretionary grants and donations | 344 | 373 | 383 | 1,956 | ||||||||||||
Derivative clearing fees | 347 | 306 | 957 | 926 | ||||||||||||
Total other expense | 23,803 | 22,798 | 72,393 | 68,958 | ||||||||||||
INCOME BEFORE ASSESSMENTS | 59,009 | 55,636 | 183,992 | 156,273 | ||||||||||||
Affordable Housing Program assessment | 5,905 | 5,565 | 18,414 | 15,632 | ||||||||||||
NET INCOME | $ | 53,104 | $ | 50,071 | $ | 165,578 | $ | 140,641 |
For the Three Months Ended | For the Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
NET INCOME | $ | 53,104 | $ | 50,071 | $ | 165,578 | $ | 140,641 | ||||||||
OTHER COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||
Net unrealized gains (losses) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | (13,098 | ) | 26,598 | (5,574 | ) | 30,735 | ||||||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | — | — | (580 | ) | — | |||||||||||
Unrealized gains (losses) on cash flow hedges | (24,135 | ) | 8,749 | (78,501 | ) | 27,315 | ||||||||||
Reclassification adjustment for gains on cash flow hedges included in net income | (521 | ) | (464 | ) | (2,093 | ) | (427 | ) | ||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 450 | 717 | 1,583 | 2,270 | ||||||||||||
Postretirement benefit plan | ||||||||||||||||
Amortization of prior service cost included in net periodic benefit credit | 5 | 5 | 15 | 15 | ||||||||||||
Amortization of net actuarial gain included in net periodic benefit credit | (24 | ) | (26 | ) | (70 | ) | (79 | ) | ||||||||
Total other comprehensive income (loss) | (37,323 | ) | 35,579 | (85,220 | ) | 59,829 | ||||||||||
TOTAL COMPREHENSIVE INCOME | $ | 15,781 | $ | 85,650 | $ | 80,358 | $ | 200,470 |
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, JULY 1, 2019 | 10,331 | $ | 1,033,112 | 15,495 | $ | 1,549,482 | $ | 984,180 | $ | 171,187 | $ | 1,155,367 | $ | 80,104 | $ | 3,818,065 | |||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | 3,828 | 382,783 | (3,828 | ) | (382,783 | ) | — | — | — | — | — | ||||||||||||||||||||||
Proceeds from sale of capital stock | 3 | 310 | 3,594 | 359,365 | — | — | — | — | 359,675 | ||||||||||||||||||||||||
Repurchase/redemption of capital stock | (4,832 | ) | (483,209 | ) | — | — | — | — | — | — | (483,209 | ) | |||||||||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 42,483 | 10,621 | 53,104 | — | 53,104 | ||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | — | (37,323 | ) | (37,323 | ) | ||||||||||||||||||||||
Dividends on capital stock (a) | |||||||||||||||||||||||||||||||||
Cash | — | — | — | — | (64 | ) | — | (64 | ) | — | (64 | ) | |||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Stock | 191 | 19,146 | — | — | (19,146 | ) | — | (19,146 | ) | — | — | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2019 | 9,521 | $ | 952,142 | 15,261 | $ | 1,526,064 | $ | 1,007,453 | $ | 181,808 | $ | 1,189,261 | $ | 42,781 | $ | 3,710,248 | |||||||||||||||||
BALANCE, JULY 1, 2018 | 9,004 | $ | 900,472 | 17,596 | $ | 1,759,583 | $ | 880,637 | $ | 127,051 | $ | 1,007,688 | $ | 244,576 | $ | 3,912,319 | |||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | 4,852 | 485,163 | (4,852 | ) | (485,163 | ) | — | — | — | — | — | ||||||||||||||||||||||
Proceeds from sale of capital stock | 11 | 1,080 | 4,278 | 427,732 | — | — | — | — | 428,812 | ||||||||||||||||||||||||
Repurchase/redemption of capital stock | (4,901 | ) | (490,100 | ) | — | — | — | — | — | — | (490,100 | ) | |||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (61 | ) | (6,035 | ) | — | — | — | — | — | — | (6,035 | ) | |||||||||||||||||||||
Comprehensive income | |||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 40,056 | 10,015 | 50,071 | — | 50,071 | ||||||||||||||||||||||||
Other comprehensive income | — | — | — | — | — | — | — | 35,579 | 35,579 | ||||||||||||||||||||||||
Dividends on capital stock (b) | |||||||||||||||||||||||||||||||||
Cash | — | — | — | — | (65 | ) | — | (65 | ) | — | (65 | ) | |||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | (36 | ) | — | (36 | ) | — | (36 | ) | |||||||||||||||||||||
Stock | 161 | 16,067 | — | — | (16,067 | ) | — | (16,067 | ) | — | — | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2018 | 9,066 | $ | 906,647 | 17,022 | $ | 1,702,152 | $ | 904,525 | $ | 137,066 | $ | 1,041,591 | $ | 280,155 | $ | 3,930,545 |
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, 2019 | 9,169 | $ | 916,921 | 16,380 | $ | 1,637,967 | $ | 932,675 | $ | 148,692 | $ | 1,081,367 | $ | 128,001 | $ | 3,764,256 | |||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | 13,296 | 1,329,579 | (13,296 | ) | (1,329,579 | ) | — | — | — | — | — | ||||||||||||||||||||||
Proceeds from sale of capital stock | 36 | 3,676 | 12,177 | 1,217,676 | — | — | — | — | 1,221,352 | ||||||||||||||||||||||||
Repurchase/redemption of capital stock | (13,531 | ) | (1,353,145 | ) | — | — | — | — | — | — | (1,353,145 | ) | |||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (23 | ) | (2,326 | ) | — | — | — | — | — | — | (2,326 | ) | |||||||||||||||||||||
Adjustment to initially apply new lease accounting guidance (Note 2) | — | — | — | — | (25 | ) | — | (25 | ) | — | (25 | ) | |||||||||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 132,462 | 33,116 | 165,578 | — | 165,578 | ||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | — | (85,220 | ) | (85,220 | ) | ||||||||||||||||||||||
Dividends on capital stock (a) | |||||||||||||||||||||||||||||||||
Cash | — | — | — | — | (195 | ) | — | (195 | ) | — | (195 | ) | |||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | (27 | ) | — | (27 | ) | — | (27 | ) | |||||||||||||||||||||
Stock | 574 | 57,437 | — | — | (57,437 | ) | — | (57,437 | ) | — | — | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2019 | 9,521 | $ | 952,142 | 15,261 | $ | 1,526,064 | $ | 1,007,453 | $ | 181,808 | $ | 1,189,261 | $ | 42,781 | $ | 3,710,248 | |||||||||||||||||
BALANCE, JANUARY 1, 2018 | 8,534 | $ | 853,462 | 14,645 | $ | 1,464,475 | $ | 832,826 | $ | 108,937 | $ | 941,763 | $ | 220,326 | $ | 3,480,026 | |||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | 12,658 | 1,265,790 | (12,658 | ) | (1,265,790 | ) | — | — | — | — | — | ||||||||||||||||||||||
Proceeds from sale of capital stock | 115 | 11,527 | 15,035 | 1,503,467 | — | — | — | — | 1,514,994 | ||||||||||||||||||||||||
Repurchase/redemption of capital stock | (12,583 | ) | (1,258,289 | ) | — | — | — | — | — | — | (1,258,289 | ) | |||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (64 | ) | (6,421 | ) | — | — | — | — | — | — | (6,421 | ) | |||||||||||||||||||||
Comprehensive income | |||||||||||||||||||||||||||||||||
Net income | — | — | — | — | 112,512 | 28,129 | 140,641 | — | 140,641 | ||||||||||||||||||||||||
Other comprehensive income | — | — | — | — | — | — | — | 59,829 | 59,829 | ||||||||||||||||||||||||
Dividends on capital stock (b) | |||||||||||||||||||||||||||||||||
Cash | — | — | — | — | (198 | ) | — | (198 | ) | — | (198 | ) | |||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | (37 | ) | — | (37 | ) | — | (37 | ) | |||||||||||||||||||||
Stock | 406 | 40,578 | — | — | (40,578 | ) | — | (40,578 | ) | — | — | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2018 | 9,066 | $ | 906,647 | 17,022 | $ | 1,702,152 | $ | 904,525 | $ | 137,066 | $ | 1,041,591 | $ | 280,155 | $ | 3,930,545 |
For the Nine Months Ended | |||||||
September 30, | |||||||
2019 | 2018 | ||||||
OPERATING ACTIVITIES | |||||||
Net income | $ | 165,578 | $ | 140,641 | |||
Adjustments to reconcile net income to net cash provided by (used in) operating activities | |||||||
Depreciation and amortization | |||||||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 8,210 | 79,461 | |||||
Concessions on consolidated obligations | 6,180 | 3,864 | |||||
Premises, equipment and computer software costs | 3,076 | 2,797 | |||||
Non-cash interest on mandatorily redeemable capital stock | 155 | 52 | |||||
Provision for mortgage loan losses | 302 | 111 | |||||
Gains on sales of held-to-maturity securities | — | (1,065 | ) | ||||
Gains on sales of available-for-sale securities | (580 | ) | — | ||||
Net gains on other assets carried at fair value | (1,300 | ) | (527 | ) | |||
Net losses (gains) on trading securities | (10,345 | ) | 4,473 | ||||
Loss (gain) due to changes in net fair value adjustment on derivative and hedging activities | (918,981 | ) | 348,923 | ||||
Increase in accrued interest receivable | (22,575 | ) | (27,779 | ) | |||
Decrease in other assets | 255 | 559 | |||||
Increase in Affordable Housing Program (AHP) liability | 8,317 | 7,504 | |||||
Increase (decrease) in accrued interest payable | (7,958 | ) | 41,414 | ||||
Increase (decrease) in other liabilities | 6,234 | (270 | ) | ||||
Total adjustments | (929,010 | ) | 459,517 | ||||
Net cash provided by (used in) operating activities | (763,432 | ) | 600,158 | ||||
INVESTING ACTIVITIES | |||||||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | 1,381,219 | (1,874,062 | ) | ||||
Net decrease in securities purchased under agreements to resell | 1,830,000 | 2,460,000 | |||||
Net decrease in federal funds sold | 1,281,000 | 2,995,000 | |||||
Purchases of trading securities | (27,348,445 | ) | (1,436,111 | ) | |||
Proceeds from sales of trading securities | 18,849,229 | — | |||||
Proceeds from maturities of trading securities | 3,685,450 | — | |||||
Purchases of available-for-sale securities | (917,301 | ) | (1,873,531 | ) | |||
Proceeds from maturities of available-for-sale securities | 335,813 | 225,837 | |||||
Proceeds from sales of available-for-sale securities | 436,019 | — | |||||
Proceeds from sales of held-to-maturity securities | — | 42,563 | |||||
Proceeds from maturities of held-to-maturity securities | 269,255 | 326,011 | |||||
Principal collected on advances | 424,571,119 | 636,391,818 | |||||
Advances made | (421,693,047 | ) | (642,233,887 | ) | |||
Principal collected on mortgage loans held for portfolio | 279,962 | 67,403 | |||||
Purchases of mortgage loans held for portfolio | (1,702,118 | ) | (985,489 | ) | |||
Purchases of premises, equipment and computer software | (2,550 | ) | (3,699 | ) | |||
Net cash provided by (used in) investing activities | 1,255,605 | (5,898,147 | ) | ||||
For the Nine Months Ended | |||||||
September 30, | |||||||
2019 | 2018 | ||||||
FINANCING ACTIVITIES | |||||||
Net increase in deposit liabilities, including swap collateral held | 288,365 | 284,519 | |||||
Net receipts (payments) on derivative contracts with financing elements | (210,781 | ) | 103,849 | ||||
Net proceeds from issuance of consolidated obligations | |||||||
Discount notes | 239,923,118 | 195,558,661 | |||||
Bonds | 29,098,696 | 17,441,601 | |||||
Debt issuance costs | (7,076 | ) | (4,525 | ) | |||
Payments for maturing and retiring consolidated obligations | |||||||
Discount notes | (241,776,452 | ) | (194,129,075 | ) | |||
Bonds | (27,555,600 | ) | (14,240,530 | ) | |||
Proceeds from issuance of capital stock | 1,221,352 | 1,514,994 | |||||
Payments for redemption of mandatorily redeemable capital stock | (2,380 | ) | (5,574 | ) | |||
Payments for repurchase/redemption of capital stock | (1,353,145 | ) | (1,258,289 | ) | |||
Cash dividends paid | (195 | ) | (198 | ) | |||
Net cash provided by (used in) financing activities | (374,098 | ) | 5,265,433 | ||||
Net increase (decrease) in cash and cash equivalents | 118,075 | (32,556 | ) | ||||
Cash and cash equivalents at beginning of the period | 35,157 | 87,965 | |||||
Cash and cash equivalents at end of the period | $ | 153,232 | $ | 55,409 | |||
Supplemental Disclosures: | |||||||
Interest paid | $ | 1,204,802 | $ | 763,507 | |||
AHP payments, net | $ | 10,097 | $ | 8,128 | |||
Stock dividends issued | $ | 57,437 | $ | 40,578 | |||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | 27 | $ | 37 | |||
Variation margin recharacterized as settlement payments on derivative contracts (Note 11) | $ | — | $ | 250,468 | |||
Net capital stock reclassified to mandatorily redeemable capital stock | $ | 2,326 | $ | 6,421 | |||
Right-of-use assets acquired by lease | $ | 2,539 | $ | — |
• | 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 (when the contractually specified variable rate is not a benchmark rate). |
• | 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 (commonly referred to as the "last-of-layer" method). |
September 30, 2019 | December 31, 2018 | ||||||
U.S. Treasury Notes | $ | 5,493,319 | $ | 1,818,178 | |||
U.S. Treasury Bills | 1,820,118 | — | |||||
Total | $ | 7,313,437 | $ | 1,818,178 |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||
Debentures | |||||||||||||||
U.S. government-guaranteed obligations | $ | 451,897 | $ | 5,287 | $ | — | $ | 457,184 | |||||||
GSE obligations | 5,747,359 | 74,976 | 3,374 | 5,818,961 | |||||||||||
Other | 45,425 | 305 | — | 45,730 | |||||||||||
6,244,681 | 80,568 | 3,374 | 6,321,875 | ||||||||||||
GSE commercial mortgage-backed securities | 10,843,761 | 67,764 | 32,132 | 10,879,393 | |||||||||||
Total | $ | 17,088,442 | $ | 148,332 | $ | 35,506 | $ | 17,201,268 |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||
Debentures | |||||||||||||||
U.S. government-guaranteed obligations | $ | 447,365 | $ | 5,652 | $ | 21 | $ | 452,996 | |||||||
GSE obligations | 5,610,796 | 77,868 | 1,831 | 5,686,833 | |||||||||||
Other | 170,367 | 461 | — | 170,828 | |||||||||||
6,228,528 | 83,981 | 1,852 | 6,310,657 | ||||||||||||
GSE commercial MBS | 9,477,647 | 73,052 | 36,201 | 9,514,498 | |||||||||||
Total | $ | 15,706,175 | $ | 157,033 | $ | 38,053 | $ | 15,825,155 |
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 | 2 | $ | 120,158 | $ | 320 | 3 | $ | 204,804 | $ | 3,054 | 5 | $ | 324,962 | $ | 3,374 | |||||||||||||||||
GSE commercial MBS | 49 | 1,952,029 | 8,415 | 60 | 2,114,464 | 23,717 | 109 | 4,066,493 | 32,132 | |||||||||||||||||||||||
Total | 51 | $ | 2,072,187 | $ | 8,735 | 63 | $ | 2,319,268 | $ | 26,771 | 114 | $ | 4,391,455 | $ | 35,506 |
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 | $ | 59,050 | $ | 21 | — | $ | — | $ | — | 2 | $ | 59,050 | $ | 21 | |||||||||||||||||
GSE debentures | 4 | 224,072 | 1,831 | — | — | — | 4 | 224,072 | 1,831 | |||||||||||||||||||||||
GSE commercial MBS | 105 | 3,523,623 | 35,435 | 7 | 38,844 | 766 | 112 | 3,562,467 | 36,201 | |||||||||||||||||||||||
Total | 111 | $ | 3,806,745 | $ | 37,287 | 7 | $ | 38,844 | $ | 766 | 118 | $ | 3,845,589 | $ | 38,053 |
September 30, 2019 | December 31, 2018 | ||||||||||||||||
Maturity | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | |||||||||||||
Debentures | |||||||||||||||||
Due in one year or less | $ | 265,804 | $ | 266,189 | $ | 445,731 | $ | 446,227 | |||||||||
Due after one year through five years | 3,698,282 | 3,730,224 | 2,398,495 | 2,420,763 | |||||||||||||
Due after five years through ten years | 2,232,732 | 2,276,145 | 3,256,389 | 3,312,322 | |||||||||||||
Due after ten years | 47,863 | 49,317 | 127,913 | 131,345 | |||||||||||||
6,244,681 | 6,321,875 | 6,228,528 | 6,310,657 | ||||||||||||||
GSE commercial MBS | 10,843,761 | 10,879,393 | 9,477,647 | 9,514,498 | |||||||||||||
Total | $ | 17,088,442 | $ | 17,201,268 | $ | 15,706,175 | $ | 15,825,155 |
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 | $ | 6,235 | $ | — | $ | 6,235 | $ | 6 | $ | — | $ | 6,241 | |||||||||||
State housing agency obligation | 35,000 | — | 35,000 | — | 245 | 34,755 | |||||||||||||||||
41,235 | — | 41,235 | 6 | 245 | 40,996 | ||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
GSE residential MBS | 1,096,643 | — | 1,096,643 | 3,741 | 3,634 | 1,096,750 | |||||||||||||||||
Non-agency residential MBS | 66,581 | 9,084 | 57,497 | 11,894 | 514 | 68,877 | |||||||||||||||||
1,163,224 | 9,084 | 1,154,140 | 15,635 | 4,148 | 1,165,627 | ||||||||||||||||||
Total | $ | 1,204,459 | $ | 9,084 | $ | 1,195,375 | $ | 15,641 | $ | 4,393 | $ | 1,206,623 |
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 | $ | 7,604 | $ | — | $ | 7,604 | $ | 11 | $ | — | $ | 7,615 | |||||||||||
State housing agency obligations | 135,000 | — | 135,000 | 10 | 1,043 | 133,967 | |||||||||||||||||
142,604 | — | 142,604 | 21 | 1,043 | 141,582 | ||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. government-guaranteed residential MBS | 475 | — | 475 | 1 | — | 476 | |||||||||||||||||
GSE residential MBS | 1,253,573 | — | 1,253,573 | 6,022 | 1,117 | 1,258,478 | |||||||||||||||||
Non-agency residential MBS | 76,294 | 10,667 | 65,627 | 13,222 | 694 | 78,155 | |||||||||||||||||
1,330,342 | 10,667 | 1,319,675 | 19,245 | 1,811 | 1,337,109 | ||||||||||||||||||
Total | $ | 1,472,946 | $ | 10,667 | $ | 1,462,279 | $ | 19,266 | $ | 2,854 | $ | 1,478,691 |
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 | ||||||||||||||||||||||||||||||||
State housing agency obligation | — | $ | — | $ | — | 1 | $ | 34,755 | $ | 245 | 1 | $ | 34,755 | $ | 245 | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
GSE residential MBS | 58 | 604,278 | 2,855 | 10 | 120,481 | 779 | 68 | 724,759 | 3,634 | |||||||||||||||||||||||
Non-agency residential MBS | 1 | 4,979 | 91 | 12 | 31,500 | 1,259 | 13 | 36,479 | 1,350 | |||||||||||||||||||||||
Total | 59 | $ | 609,257 | $ | 2,946 | 23 | $ | 186,736 | $ | 2,283 | 82 | $ | 795,993 | $ | 5,229 |
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 | ||||||||||||||||||||||||||||||||
State housing agency obligations | — | $ | — | $ | — | 1 | $ | 33,957 | $ | 1,043 | 1 | $ | 33,957 | $ | 1,043 | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
GSE residential MBS | 32 | 467,427 | 1,000 | 4 | 31,220 | 117 | 36 | 498,647 | 1,117 | |||||||||||||||||||||||
Non-agency residential MBS | 3 | 12,346 | 295 | 10 | 29,070 | 1,487 | 13 | 41,416 | 1,782 | |||||||||||||||||||||||
Total | 35 | $ | 479,773 | $ | 1,295 | 15 | $ | 94,247 | $ | 2,647 | 50 | $ | 574,020 | $ | 3,942 |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Balance of credit losses, beginning of period | $ | 8,172 | $ | 8,974 | $ | 8,551 | $ | 9,443 | |||||||
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (177 | ) | (218 | ) | (556 | ) | (687 | ) | |||||||
Balance of credit losses, end of period | 7,995 | 8,756 | 7,995 | 8,756 | |||||||||||
Cumulative principal shortfalls on securities held at end of period | (2,098 | ) | (2,073 | ) | (2,098 | ) | (2,073 | ) | |||||||
Cumulative amortization of the time value of credit losses at end of period | 977 | 745 | 977 | 745 | |||||||||||
Credit losses included in the amortized cost bases of other-than-temporarily impaired securities at end of period | $ | 6,874 | $ | 7,428 | $ | 6,874 | $ | 7,428 |
September 30, 2019 | December 31, 2018 | |||||||||||||||||||||||
Maturity | Amortized Cost | Carrying Value | Estimated Fair Value | Amortized Cost | Carrying Value | Estimated Fair Value | ||||||||||||||||||
Debentures | ||||||||||||||||||||||||
Due after one year through five years | $ | 6,235 | $ | 6,235 | $ | 6,241 | $ | 3,497 | $ | 3,497 | $ | 3,499 | ||||||||||||
Due after five years through ten years | — | — | — | 4,107 | 4,107 | 4,116 | ||||||||||||||||||
Due after ten years | 35,000 | 35,000 | 34,755 | 135,000 | 135,000 | 133,967 | ||||||||||||||||||
41,235 | 41,235 | 40,996 | 142,604 | 142,604 | 141,582 | |||||||||||||||||||
Mortgage-backed securities | 1,163,224 | 1,154,140 | 1,165,627 | 1,330,342 | 1,319,675 | 1,337,109 | ||||||||||||||||||
Total | $ | 1,204,459 | $ | 1,195,375 | $ | 1,206,623 | $ | 1,472,946 | $ | 1,462,279 | $ | 1,478,691 |
September 30, 2019 | December 31, 2018 | ||||||
Amortized cost of variable-rate held-to-maturity securities other than MBS | $ | 41,235 | $ | 142,604 | |||
Amortized cost of held-to-maturity MBS | |||||||
Fixed-rate pass-through securities | 42 | 57 | |||||
Collateralized mortgage obligations | |||||||
Fixed-rate | 74 | 135 | |||||
Variable-rate | 1,163,108 | 1,330,150 | |||||
1,163,224 | 1,330,342 | ||||||
Total | $ | 1,204,459 | $ | 1,472,946 |
September 30, 2019 | December 31, 2018 | |||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Overdrawn demand deposit accounts | $ | 5,051 | 2.15 | % | $ | — | — | % | ||||||
Due in one year or less | 17,039,946 | 2.15 | 21,718,709 | 2.49 | ||||||||||
Due after one year through two years | 2,173,465 | 2.34 | 2,986,350 | 2.48 | ||||||||||
Due after two years through three years | 1,072,567 | 2.50 | 1,272,214 | 2.42 | ||||||||||
Due after three years through four years | 792,629 | 2.63 | 951,787 | 2.49 | ||||||||||
Due after four years through five years | 1,365,051 | 2.39 | 632,862 | 2.84 | ||||||||||
Due after five years | 15,465,546 | 1.95 | 13,230,406 | 2.42 | ||||||||||
Total par value | 37,914,255 | 2.11 | % | 40,792,328 | 2.47 | % | ||||||||
Premiums | — | 12 | ||||||||||||
Deferred net prepayment fees | (7,135 | ) | (8,683 | ) | ||||||||||
Commitment fees | (101 | ) | (108 | ) | ||||||||||
Hedging adjustments | 273,574 | 10,264 | ||||||||||||
Total | $ | 38,180,593 | $ | 40,793,813 |
Contractual Maturity or Next Call Date | September 30, 2019 | December 31, 2018 | ||||||
Overdrawn demand deposit accounts | $ | 5,051 | $ | — | ||||
Due in one year or less | 27,377,944 | 32,024,714 | ||||||
Due after one year through two years | 1,810,895 | 2,434,821 | ||||||
Due after two years through three years | 965,338 | 1,178,054 | ||||||
Due after three years through four years | 756,358 | 848,047 | ||||||
Due after four years through five years | 1,062,151 | 565,334 | ||||||
Due after five years | 5,936,518 | 3,741,358 | ||||||
Total par value | $ | 37,914,255 | $ | 40,792,328 |
Contractual Maturity or Next Put Date | September 30, 2019 | December 31, 2018 | ||||||
Overdrawn demand deposit accounts | $ | 5,051 | $ | — | ||||
Due in one year or less | 22,306,246 | 24,612,509 | ||||||
Due after one year through two years | 2,457,965 | 3,136,850 | ||||||
Due after two years through three years | 1,142,567 | 1,312,214 | ||||||
Due after three years through four years | 847,629 | 951,787 | ||||||
Due after four years through five years | 1,114,851 | 611,662 | ||||||
Due after five years | 10,039,946 | 10,167,306 | ||||||
Total par value | $ | 37,914,255 | $ | 40,792,328 |
September 30, 2019 | December 31, 2018 | ||||||
Fixed-rate | |||||||
Due in one year or less | $ | 16,634,046 | $ | 21,558,023 | |||
Due after one year | 10,363,357 | 8,503,772 | |||||
Total fixed-rate | 26,997,403 | 30,061,795 | |||||
Variable-rate | |||||||
Due in one year or less | 410,951 | 160,686 | |||||
Due after one year | 10,505,901 | 10,569,847 | |||||
Total variable-rate | 10,916,852 | 10,730,533 | |||||
Total par value | $ | 37,914,255 | $ | 40,792,328 |
September 30, 2019 | December 31, 2018 | ||||||
Fixed-rate medium-term* single-family mortgages | $ | 21,199 | $ | 10,885 | |||
Fixed-rate long-term single-family mortgages | 3,503,602 | 2,127,142 | |||||
Premiums | 74,831 | 45,259 | |||||
Discounts | (1,720 | ) | (1,757 | ) | |||
Deferred net derivative gains associated with mortgage delivery commitments | 5,995 | 4,467 | |||||
Total mortgage loans held for portfolio | 3,603,907 | 2,185,996 | |||||
Less: allowance for credit losses | (795 | ) | (493 | ) | |||
Total mortgage loans held for portfolio, net of allowance for credit losses | $ | 3,603,112 | $ | 2,185,503 |
September 30, 2019 | December 31, 2018 | ||||||||||||||||||||||
Conventional Loans | Government- Guaranteed/ Insured Loans | Total | Conventional Loans | Government- Guaranteed/ Insured Loans | Total | ||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
30-59 days delinquent | $ | 15,032 | $ | 751 | $ | 15,783 | $ | 11,241 | $ | 614 | $ | 11,855 | |||||||||||
60-89 days delinquent | 2,734 | 115 | 2,849 | 1,816 | 135 | 1,951 | |||||||||||||||||
90 days or more delinquent | 3,149 | 92 | 3,241 | 1,410 | 156 | 1,566 | |||||||||||||||||
Total past due | 20,915 | 958 | 21,873 | 14,467 | 905 | 15,372 | |||||||||||||||||
Total current loans | 3,588,008 | 13,277 | 3,601,285 | 2,166,660 | 15,139 | 2,181,799 | |||||||||||||||||
Total mortgage loans | $ | 3,608,923 | $ | 14,235 | $ | 3,623,158 | $ | 2,181,127 | $ | 16,044 | $ | 2,197,171 | |||||||||||
Other delinquency statistics: | |||||||||||||||||||||||
In process of foreclosure (1) | $ | 1,887 | $ | 15 | $ | 1,902 | $ | 481 | $ | 77 | $ | 558 | |||||||||||
Serious delinquency rate (2) | 0.1 | % | 0.7 | % | 0.1 | % | 0.1 | % | 1.0 | % | 0.1 | % | |||||||||||
Past due 90 days or more and still accruing interest (3) | $ | — | $ | 92 | $ | 92 | $ | — | $ | 156 | $ | 156 | |||||||||||
Nonaccrual loans | $ | 3,149 | $ | — | $ | 3,149 | $ | 1,410 | $ | — | $ | 1,410 | |||||||||||
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. |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Balance, beginning of period | $ | 731 | $ | 278 | $ | 493 | $ | 271 | |||||||
Provision for credit losses | 64 | 104 | 302 | 111 | |||||||||||
Balance, end of period | $ | 795 | $ | 382 | $ | 795 | $ | 382 |
September 30, 2019 | December 31, 2018 | ||||||
Ending balance of allowance for credit losses related to loans collectively evaluated for impairment | $ | 795 | $ | 493 | |||
Recorded investment | |||||||
Individually evaluated for impairment | $ | 3,149 | $ | 1,410 | |||
Collectively evaluated for impairment | 3,605,774 | 2,179,717 | |||||
$ | 3,608,923 | $ | 2,181,127 |
September 30, 2019 | December 31, 2018 | ||||||
Fixed-rate | $ | 17,002,670 | $ | 15,606,555 | |||
Variable-rate | 14,177,000 | 10,029,850 | |||||
Step-up | 2,252,500 | 6,202,500 | |||||
Step-down | 225,000 | 275,000 | |||||
Total par value | $ | 33,657,170 | $ | 32,113,905 |
September 30, 2019 | December 31, 2018 | |||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in one year or less | $ | 15,738,605 | 1.93 | % | $ | 14,798,025 | 2.11 | % | ||||||
Due after one year through two years | 8,515,560 | 1.94 | 4,943,910 | 2.07 | ||||||||||
Due after two years through three years | 2,770,910 | 2.26 | 4,093,605 | 2.12 | ||||||||||
Due after three years through four years | 2,280,470 | 2.55 | 2,686,995 | 2.24 | ||||||||||
Due after four years through five years | 1,519,710 | 2.59 | 2,641,210 | 2.92 | ||||||||||
Due after five years | 2,831,915 | 2.50 | 2,950,160 | 2.58 | ||||||||||
Total par value | 33,657,170 | 2.08 | % | 32,113,905 | 2.22 | % | ||||||||
Premiums | 1,301 | 2,241 | ||||||||||||
Discounts | (761 | ) | (1,295 | ) | ||||||||||
Debt issuance costs | (4,191 | ) | (3,295 | ) | ||||||||||
Hedging adjustments | 90,974 | (179,627 | ) | |||||||||||
Total | $ | 33,744,493 | $ | 31,931,929 |
September 30, 2019 | December 31, 2018 | ||||||
Non-callable bonds | $ | 23,859,170 | $ | 20,662,505 | |||
Callable bonds | 9,798,000 | 11,451,400 | |||||
Total par value | $ | 33,657,170 | $ | 32,113,905 |
Contractual Maturity or Next Call Date | September 30, 2019 | December 31, 2018 | ||||||
Due in one year or less | $ | 22,763,105 | $ | 23,532,425 | ||||
Due after one year through two years | 7,110,560 | 3,804,410 | ||||||
Due after two years through three years | 1,655,910 | 1,931,605 | ||||||
Due after three years through four years | 1,435,470 | 1,618,095 | ||||||
Due after four years through five years | 469,710 | 971,210 | ||||||
Due after five years | 222,415 | 256,160 | ||||||
Total par value | $ | 33,657,170 | $ | 32,113,905 |
Book Value | Par Value | Weighted Average Implied Interest Rate | ||||||||
September 30, 2019 | $ | 33,878,782 | $ | 33,939,063 | 2.01 | % | ||||
December 31, 2018 | $ | 35,731,713 | $ | 35,882,027 | 2.30 | % |
Nine Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Balance, beginning of period | $ | 44,358 | $ | 31,246 | |||
AHP assessment | 18,414 | 15,632 | |||||
Grants funded, net of recaptured amounts | (10,097 | ) | (8,128 | ) | |||
Balance, end of period | $ | 52,675 | $ | 38,750 |
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, 2019 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 51,844 | $ | (31,499 | ) | $ | 20,345 | $ | (5,973 | ) | (2) | $ | 14,372 | |||||||
Cleared derivatives | 8,255 | (3,550 | ) | 4,705 | — | 4,705 | ||||||||||||||
Total derivatives | 60,099 | (35,049 | ) | 25,050 | (5,973 | ) | 19,077 | |||||||||||||
Securities purchased under agreements to resell | 4,385,000 | — | 4,385,000 | (4,385,000 | ) | — | ||||||||||||||
Total assets | $ | 4,445,099 | $ | (35,049 | ) | $ | 4,410,050 | $ | (4,390,973 | ) | $ | 19,077 | ||||||||
Liabilities | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 252,074 | $ | (248,530 | ) | $ | 3,544 | $ | — | $ | 3,544 | |||||||||
Cleared derivatives | 4,717 | (3,721 | ) | 996 | (996 | ) | (3) | — | ||||||||||||
Total liabilities | $ | 256,791 | $ | (252,251 | ) | $ | 4,540 | $ | (996 | ) | $ | 3,544 | ||||||||
December 31, 2018 | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 35,923 | $ | (26,074 | ) | $ | 9,849 | $ | (3,380 | ) | (2) | $ | 6,469 | |||||||
Cleared derivatives | 7,773 | (7,744 | ) | 29 | — | 29 | ||||||||||||||
Total derivatives | 43,696 | (33,818 | ) | 9,878 | (3,380 | ) | 6,498 | |||||||||||||
Securities purchased under agreements to resell | 6,215,000 | — | 6,215,000 | (6,215,000 | ) | — | ||||||||||||||
Total assets | $ | 6,258,696 | $ | (33,818 | ) | $ | 6,224,878 | $ | (6,218,380 | ) | $ | 6,498 | ||||||||
Liabilities | ||||||||||||||||||||
Derivatives | ||||||||||||||||||||
Bilateral derivatives | $ | 189,654 | $ | (181,022 | ) | $ | 8,632 | $ | — | $ | 8,632 | |||||||||
Cleared derivatives | 45,025 | (7,666 | ) | 37,359 | (37,359 | ) | (4) | — | ||||||||||||
Total liabilities | $ | 234,679 | $ | (188,688 | ) | $ | 45,991 | $ | (37,359 | ) | $ | 8,632 |
(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) | 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 other securities with an aggregate fair value of $888,245,000 at September 30, 2019 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 other securities with an aggregate fair value of $675,188,000 at December 31, 2018 to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
September 30, 2019 | December 31, 2018 | |||||||||||||||||||||||
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 | $ | 10,250,764 | $ | 9,304 | $ | 214,257 | $ | 7,171,033 | $ | 4,273 | $ | 36,521 | ||||||||||||
Available-for-sale securities | 16,316,468 | 6,658 | 27,926 | 15,981,523 | 8,501 | 55,202 | ||||||||||||||||||
Consolidated obligation bonds | 16,660,470 | 29,541 | 7,752 | 19,824,055 | 21,112 | 130,806 | ||||||||||||||||||
Consolidated obligation discount notes | 972,000 | 464 | — | 865,000 | — | 2,480 | ||||||||||||||||||
Total derivatives designated as hedging instruments under ASC 815 | 44,199,702 | 45,967 | 249,935 | 43,841,611 | 33,886 | 225,009 | ||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||
Advances | — | — | — | 2,500 | — | — | ||||||||||||||||||
Available-for-sale securities | 3,144 | — | — | 3,156 | — | 10 | ||||||||||||||||||
Mortgage loans held for portfolio | 445,600 | 158 | 1,854 | 150,600 | 158 | 198 | ||||||||||||||||||
Consolidated obligation discount notes | 1,400,000 | 17 | — | — | — | — | ||||||||||||||||||
Trading securities | 4,563,000 | 99 | 101 | 1,713,000 | 5 | 39 | ||||||||||||||||||
Intermediary transactions | 822,202 | 6,133 | 4,645 | 1,228,345 | 3,742 | 6,245 | ||||||||||||||||||
Other | 1,025,000 | 60 | 88 | 425,000 | 1,425 | — | ||||||||||||||||||
Interest rate swaptions related to mortgage loans held for portfolio | 270,000 | 7,649 | — | 185,000 | 1,234 | — | ||||||||||||||||||
Mortgage delivery commitments | 125,040 | — | 152 | 11,687 | 62 | — | ||||||||||||||||||
Interest rate caps and floors | ||||||||||||||||||||||||
Held-to-maturity securities | 500,000 | — | — | 1,000,000 | 6 | — | ||||||||||||||||||
Intermediary transactions | 80,000 | 16 | 16 | 541,000 | 3,178 | 3,178 | ||||||||||||||||||
Total derivatives not designated as hedging instruments under ASC 815 | 9,233,986 | 14,132 | 6,856 | 5,260,288 | 9,810 | 9,670 | ||||||||||||||||||
Total derivatives before collateral and netting adjustments | $ | 53,433,688 | 60,099 | 256,791 | $ | 49,101,899 | 43,696 | 234,679 | ||||||||||||||||
Cash collateral and related accrued interest | (15,187 | ) | (232,219 | ) | (9,287 | ) | (164,237 | ) | ||||||||||||||||
Cash received or remitted in excess of variation margin requirements | (10 | ) | (180 | ) | (93 | ) | (13 | ) | ||||||||||||||||
Netting adjustments | (19,852 | ) | (19,852 | ) | (24,438 | ) | (24,438 | ) | ||||||||||||||||
Total collateral and netting adjustments(1) | (35,049 | ) | (252,251 | ) | (33,818 | ) | (188,688 | ) | ||||||||||||||||
Net derivative balances reported in statements of condition | $ | 25,050 | $ | 4,540 | $ | 9,878 | $ | 45,991 |
(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 as well as any cash collateral held or placed with those same counterparties. |
Interest Income (Expense) | ||||||||||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Net Gains (Losses) on Derivatives and Hedging Activities | Other Comprehensive Income (Loss) | |||||||||||||||||||
Three Months Ended September 30, 2019 | ||||||||||||||||||||||||
Total amount of the financial statement line item | $ | 233,451 | $ | 111,442 | $ | (177,824 | ) | $ | (213,853 | ) | $ | 8,328 | $ | (37,323 | ) | |||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Derivatives | $ | (80,249 | ) | $ | (282,375 | ) | $ | 17,585 | $ | — | $ | — | $ | — | ||||||||||
Hedged items | 92,890 | 284,437 | (20,019 | ) | — | — | — | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | 12,641 | $ | 2,062 | $ | (2,434 | ) | $ | — | $ | — | $ | — | |||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | 521 | $ | — | $ | (521 | ) | |||||||||||
Recognized in OCI | — | — | — | — | — | (24,135 | ) | |||||||||||||||||
Net gains (losses) on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | 521 | $ | — | $ | (24,656 | ) | |||||||||||
Three Months Ended September 30, 2018 (1) | ||||||||||||||||||||||||
Total amount of the financial statement line item | $ | 236,372 | $ | 112,670 | $ | (177,308 | ) | $ | (168,634 | ) | $ | (5,573 | ) | $ | 35,579 | |||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Derivatives | $ | 5,957 | $ | 11,978 | $ | (15,504 | ) | $ | — | $ | 132,644 | $ | — | |||||||||||
Hedged items (2) | — | — | — | — | (131,457 | ) | — | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | 5,957 | $ | 11,978 | $ | (15,504 | ) | $ | — | $ | 1,187 | $ | — | |||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | 464 | $ | — | $ | (464 | ) | |||||||||||
Recognized in OCI | — | — | — | — | — | 8,749 | ||||||||||||||||||
Net gains on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | 464 | $ | — | $ | 8,285 | ||||||||||||
(1) | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. |
(2) | Excludes amortization/accretion on closed fair value relationships. |
Interest Income (Expense) | ||||||||||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Net Gains (Losses) on Derivatives and Hedging Activities | Other Comprehensive Income (Loss) | |||||||||||||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||||||
Total amount of the financial statement line item | $ | 715,973 | $ | 343,238 | $ | (534,596 | ) | $ | (641,426 | ) | $ | 29,884 | $ | (85,220 | ) | |||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Derivatives | $ | (226,242 | ) | $ | (1,035,811 | ) | $ | 233,245 | $ | — | $ | — | $ | — | ||||||||||
Hedged items | 263,495 | 1,058,789 | (270,601 | ) | — | — | — | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | 37,253 | $ | 22,978 | $ | (37,356 | ) | $ | — | $ | — | $ | — | |||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | 2,093 | $ | — | $ | (2,093 | ) | |||||||||||
Recognized in OCI | — | — | — | — | — | (78,501 | ) | |||||||||||||||||
Net gains (losses) on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | 2,093 | $ | — | $ | (80,594 | ) | |||||||||||
Nine Months Ended September 30, 2018 (1) | ||||||||||||||||||||||||
Total amount of the financial statement line item | $ | 590,387 | $ | 297,030 | $ | (467,179 | ) | $ | (384,130 | ) | $ | (6,097 | ) | $ | 59,829 | |||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Derivatives | $ | 8,389 | $ | 7,251 | $ | (26,995 | ) | $ | — | $ | 460,863 | $ | — | |||||||||||
Hedged items (2) | — | — | — | — | (445,045 | ) | — | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | 8,389 | $ | 7,251 | $ | (26,995 | ) | $ | — | $ | 15,818 | $ | — | |||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | 427 | $ | — | $ | (427 | ) | |||||||||||
Recognized in OCI | — | — | — | — | — | 27,315 | ||||||||||||||||||
Net gains on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | 427 | $ | — | $ | 26,888 | ||||||||||||
(1) | Prior period amounts have not been reclassified to conform to the new hedge accounting presentation requirements which became effective on January 1, 2019. |
(2) | Excludes amortization/accretion on closed fair value relationships. |
Line Item in Statement of Condition of Hedged Item | Amortized Cost of Hedged Asset/(Liability) (1) | Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | Total Fair Value Hedging Basis Adjustments (2) | ||||||||||||
Advances | $ | 10,519,381 | $ | 268,263 | $ | 5,311 | $ | 273,574 | ||||||||
Available-for-sale securities | 17,088,442 | 608,493 | (1,017 | ) | 607,476 | |||||||||||
Consolidated obligation bonds | (17,234,338 | ) | (89,205 | ) | (1,769 | ) | (90,974 | ) |
(1) | Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments. |
(2) | Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. |
Gain (Loss) Recognized in | Gain (Loss) Recognized in | ||||||||||||||
Other Income (Loss) for the | Other Income (Loss) for the | ||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Derivatives and hedged items in ASC 815 fair value hedging relationships(1) | |||||||||||||||
Interest rate swaps | $ | — | $ | 1,187 | $ | — | $ | 15,862 | |||||||
Interest rate swaptions | — | — | — | (44 | ) | ||||||||||
Total net gain related to fair value hedge ineffectiveness | — | 1,187 | — | 15,818 | |||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||
Interest rate swaps | 5,751 | (3,928 | ) | 25,848 | (15,704 | ) | |||||||||
Net interest expense on interest rate swaps | (366 | ) | (649 | ) | (2,410 | ) | (772 | ) | |||||||
Interest rate swaptions | 2,878 | 124 | 4,353 | (1 | ) | ||||||||||
Interest rate caps and floors | (1 | ) | (4 | ) | 86 | 119 | |||||||||
Mortgage delivery commitments | 19 | 437 | 1,825 | 937 | |||||||||||
Total net gain (loss) related to derivatives not designated as hedging instruments under ASC 815 | 8,281 | (4,020 | ) | 29,702 | (15,421 | ) | |||||||||
Price alignment amount on variation margin for daily settled derivative contracts(2) | 47 | (2,740 | ) | 182 | (6,494 | ) | |||||||||
Net gains (losses) on derivatives and hedging activities reported in other income (loss) | $ | 8,328 | $ | (5,573 | ) | $ | 29,884 | $ | (6,097 | ) |
(1) | For the three and nine months ended September 30, 2019, all of the effects of derivatives and associated hedged items in ASC 815 fair value hedging relationships are reported in net interest income. |
(2) | The amounts reported for the three and nine months ended September 30, 2019 reflect the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments under ASC 815. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments under ASC 815 are recorded in the same line item as the earnings effect of the hedged item. The amounts reported for the three and nine months ended September 30, 2018 reflect the price alignment amounts on variation margin for all daily settled derivative contracts. |
September 30, 2019 | December 31, 2018 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Regulatory capital requirements: | |||||||||||||||
Risk-based capital | $ | 877,700 | $ | 3,674,573 | $ | 1,159,443 | $ | 3,643,234 | |||||||
Total capital | $ | 2,951,235 | $ | 3,674,573 | $ | 2,910,932 | $ | 3,643,234 | |||||||
Total capital-to-assets ratio | 4.00 | % | 4.98 | % | 4.00 | % | 5.01 | % | |||||||
Leverage capital | $ | 3,689,043 | $ | 5,511,860 | $ | 3,638,665 | $ | 5,464,851 | |||||||
Leverage capital-to-assets ratio | 5.00 | % | 7.47 | % | 5.00 | % | 7.51 | % |
Three Months Ended | Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Service cost | $ | 7 | $ | 5 | $ | 21 | $ | 15 | |||||||
Interest cost | 5 | 4 | 15 | 14 | |||||||||||
Amortization of prior service cost | 5 | 5 | 15 | 15 | |||||||||||
Amortization of net actuarial gain | (24 | ) | (26 | ) | (70 | ) | (79 | ) | |||||||
Net periodic benefit credit | $ | (7 | ) | $ | (12 | ) | $ | (19 | ) | $ | (35 | ) |
Estimated Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 153,232 | $ | 153,232 | $ | 153,232 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 1,051,220 | 1,051,220 | — | 1,051,220 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 4,385,000 | 4,385,000 | — | 4,385,000 | — | — | ||||||||||||||||||
Federal funds sold | 450,000 | 450,000 | — | 450,000 | — | — | ||||||||||||||||||
Trading securities (1) | 7,313,437 | 7,313,437 | — | 7,313,437 | — | — | ||||||||||||||||||
Available-for-sale securities (1) | 17,201,268 | 17,201,268 | — | 17,201,268 | — | — | ||||||||||||||||||
Held-to-maturity securities | 1,195,375 | 1,206,623 | — | 1,137,746 | (2) | 68,877 | (3) | — | ||||||||||||||||
Advances | 38,180,593 | 38,105,706 | — | 38,105,706 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 3,603,112 | 3,643,245 | — | 3,643,245 | — | — | ||||||||||||||||||
Accrued interest receivable | 175,166 | 175,166 | — | 175,166 | — | — | ||||||||||||||||||
Derivative assets (1) | 25,050 | 25,050 | — | 60,099 | — | (35,049 | ) | |||||||||||||||||
Other assets held at fair value (1) | 13,402 | 13,402 | 13,402 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 1,246,482 | 1,246,566 | — | 1,246,566 | — | — | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 33,878,782 | 33,880,345 | — | 33,880,345 | — | — | ||||||||||||||||||
Bonds | 33,744,493 | 33,745,052 | — | 33,745,052 | — | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 7,106 | 7,106 | 7,106 | — | — | — | ||||||||||||||||||
Accrued interest payable | 114,957 | 114,957 | — | 114,957 | — | — | ||||||||||||||||||
Derivative liabilities (1) | 4,540 | 4,540 | — | 256,791 | — | (252,251 | ) |
(1) | Financial instruments measured at fair value on a recurring basis as of September 30, 2019. |
(2) | Consists of the Bank's holdings of U.S. government-guaranteed debentures, GSE RMBS and a state housing agency obligation. |
(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 (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. |
Estimated Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Cash and due from banks | $ | 35,157 | $ | 35,157 | $ | 35,157 | $ | — | $ | — | $ | — | ||||||||||||
Interest-bearing deposits | 2,500,317 | 2,500,317 | — | 2,500,317 | — | — | ||||||||||||||||||
Securities purchased under agreements to resell | 6,215,000 | 6,215,000 | — | 6,215,000 | — | — | ||||||||||||||||||
Federal funds sold | 1,731,000 | 1,731,000 | — | 1,731,000 | — | — | ||||||||||||||||||
Trading securities (1) | 1,818,178 | 1,818,178 | — | 1,818,178 | — | — | ||||||||||||||||||
Available-for-sale securities (1) | 15,825,155 | 15,825,155 | — | 15,825,155 | — | — | ||||||||||||||||||
Held-to-maturity securities | 1,462,279 | 1,478,691 | — | 1,400,536 | (2) | 78,155 | (3) | — | ||||||||||||||||
Advances | 40,793,813 | 40,720,636 | — | 40,720,636 | — | — | ||||||||||||||||||
Mortgage loans held for portfolio, net | 2,185,503 | 2,161,720 | — | 2,161,720 | — | — | ||||||||||||||||||
Accrued interest receivable | 152,670 | 152,670 | — | 152,670 | — | — | ||||||||||||||||||
Derivative assets (1) | 9,878 | 9,878 | — | 43,696 | — | (33,818 | ) | |||||||||||||||||
Other assets held at fair value (1) | 12,376 | 12,376 | 12,376 | — | — | — | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Deposits | 963,992 | 964,017 | — | 964,017 | — | — | ||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | 35,731,713 | 35,723,208 | — | 35,723,208 | — | — | ||||||||||||||||||
Bonds | 31,931,929 | 31,850,858 | — | 31,850,858 | — | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 6,979 | 6,979 | 6,979 | — | — | — | ||||||||||||||||||
Accrued interest payable | 122,938 | 122,938 | — | 122,938 | — | — | ||||||||||||||||||
Derivative liabilities (1) | 45,991 | 45,991 | — | 234,679 | — | (188,688 | ) |
(1) | Financial instruments measured at fair value on a recurring basis as of December 31, 2018. |
(2) | Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency obligations, U.S. government-guaranteed RMBS and GSE RMBS. |
(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 (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. |
Nine Months Ended September 30, 2019 | |||
Balance at January 1, 2019 | $ | — | |
Loans made to FHLBank of Boston | 300,000 | ||
Collections from FHLBank of Boston | (300,000 | ) | |
Balance at September 30, 2019 | $ | — |
Nine Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Balance at January 1, | $ | — | $ | — | |||
Borrowings from: | |||||||
FHLBank of San Francisco | 400,000 | 45,000 | |||||
FHLBank of Indianapolis | 30,000 | 610,000 | |||||
FHLBank of Boston | 150,000 | 175,000 | |||||
FHLBank of Cincinnati | — | 500,000 | |||||
FHLBank of Des Moines | — | 500,000 | |||||
FHLBank of New York | 250,000 | — | |||||
Repayments to: | |||||||
FHLBank of San Francisco | (400,000 | ) | (45,000 | ) | |||
FHLBank of Indianapolis | (30,000 | ) | (610,000 | ) | |||
FHLBank of Boston | (150,000 | ) | (175,000 | ) | |||
FHLBank of Cincinnati | — | (500,000 | ) | ||||
FHLBank of Des Moines | — | (500,000 | ) | ||||
FHLBank of New York | (250,000 | ) | — | ||||
Balance at September 30, | $ | — | $ | — |
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, 2019 | |||||||||||||||||||
Balance at July 1, 2019 | $ | 125,924 | $ | (37,526 | ) | $ | (9,534 | ) | $ | 1,240 | $ | 80,104 | |||||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Gains on cash flow hedges included in interest expense | — | (521 | ) | — | — | (521 | ) | ||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | (19 | ) | (19 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized losses on available-for-sale securities | (13,098 | ) | — | — | — | (13,098 | ) | ||||||||||||
Unrealized losses on cash flow hedges | — | (24,135 | ) | — | — | (24,135 | ) | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 450 | — | 450 | ||||||||||||||
Total other comprehensive income (loss) | (13,098 | ) | (24,656 | ) | 450 | (19 | ) | (37,323 | ) | ||||||||||
Balance at September 30, 2019 | $ | 112,826 | $ | (62,182 | ) | $ | (9,084 | ) | $ | 1,221 | $ | 42,781 | |||||||
Three Months Ended September 30, 2018 | |||||||||||||||||||
Balance at July 1, 2018 | $ | 216,362 | $ | 38,788 | $ | (12,048 | ) | $ | 1,474 | $ | 244,576 | ||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Gains on cash flow hedges included in interest expense | — | (464 | ) | — | — | (464 | ) | ||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | (21 | ) | (21 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized gains on available-for-sale securities | 26,598 | — | — | — | 26,598 | ||||||||||||||
Unrealized gains on cash flow hedges | — | 8,749 | — | — | 8,749 | ||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 717 | — | 717 | ||||||||||||||
Total other comprehensive income (loss) | 26,598 | 8,285 | 717 | (21 | ) | 35,579 | |||||||||||||
Balance at September 30, 2018 | $ | 242,960 | $ | 47,073 | $ | (11,331 | ) | $ | 1,453 | $ | 280,155 | ||||||||
_____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. | |||||||||||||||||||
Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) | 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, 2019 | |||||||||||||||||||
Balance at January 1, 2019 | $ | 118,980 | $ | 18,412 | $ | (10,667 | ) | $ | 1,276 | $ | 128,001 | ||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Realized gains on sales of available-for-sale securities included in net income | (580 | ) | — | — | — | (580 | ) | ||||||||||||
Gains on cash flow hedges included in interest expense | — | (2,093 | ) | — | — | (2,093 | ) | ||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | (55 | ) | (55 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized losses on available-for-sale securities | (5,574 | ) | — | — | — | (5,574 | ) | ||||||||||||
Unrealized losses on cash flow hedges | — | (78,501 | ) | — | — | (78,501 | ) | ||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 1,583 | — | 1,583 | ||||||||||||||
Total other comprehensive income (loss) | (6,154 | ) | (80,594 | ) | 1,583 | (55 | ) | (85,220 | ) | ||||||||||
Balance at September 30, 2019 | $ | 112,826 | $ | (62,182 | ) | $ | (9,084 | ) | $ | 1,221 | $ | 42,781 | |||||||
Nine Months Ended September 30, 2018 | |||||||||||||||||||
Balance at January 1, 2018 | $ | 212,225 | $ | 20,185 | $ | (13,601 | ) | $ | 1,517 | $ | 220,326 | ||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||
Gains on cash flow hedges included in interest expense | — | (427 | ) | — | — | (427 | ) | ||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | (64 | ) | (64 | ) | ||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||
Net unrealized gains on available-for-sale securities | 30,735 | — | — | — | 30,735 | ||||||||||||||
Unrealized gains on cash flow hedges | — | 27,315 | — | — | 27,315 | ||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | 2,270 | — | 2,270 | ||||||||||||||
Total other comprehensive income (loss) | 30,735 | 26,888 | 2,270 | (64 | ) | 59,829 | |||||||||||||
Balance at September 30, 2018 | $ | 242,960 | $ | 47,073 | $ | (11,331 | ) | $ | 1,453 | $ | 280,155 |
MEMBERSHIP SUMMARY | |||||
September 30, 2019 | December 31, 2018 | ||||
Commercial banks | 573 | 585 | |||
Savings institutions | 55 | 57 | |||
Credit unions | 122 | 118 | |||
Insurance companies | 45 | 43 | |||
Community Development Financial Institutions | 7 | 7 | |||
Total members | 802 | 810 | |||
Housing associates | 8 | 8 | |||
Non-member borrowers | 4 | 5 | |||
Total | 814 | 823 | |||
Community Financial Institutions (“CFIs”) (1) | 559 | 572 |
(1) | The figures shown reflect the number of institutions that were Community Financial Institutions as of September 30, 2019 and December 31, 2018 based upon the definitions of Community Financial Institutions that applied as of those dates. |
Ending Rate | Average Rate | Average Rate | |||||||||
September 30, 2019 | December 31, 2018 | Third Quarter 2019 | Third Quarter 2018 | Nine Months Ended September 30, 2019 | Nine Months Ended September 30, 2018 | ||||||
Federal Funds Target (1) | 2.00% | 2.50% | 2.30% | 2.01% | 2.43% | 1.78% | |||||
Average Effective Federal Funds Rate (2) | 1.90% | 2.40% | 2.19% | 1.93% | 2.34% | 1.71% | |||||
1-month LIBOR (1) | 2.02% | 2.50% | 2.18% | 2.11% | 2.37% | 1.91% | |||||
3-month LIBOR (1) | 2.09% | 2.81% | 2.20% | 2.34% | 2.46% | 2.20% | |||||
2-year LIBOR (1) | 1.63% | 2.66% | 1.69% | 2.86% | 2.17% | 2.67% | |||||
5-year LIBOR (1) | 1.50% | 2.57% | 1.58% | 2.94% | 2.08% | 2.82% | |||||
10-year LIBOR (1) | 1.56% | 2.71% | 1.70% | 2.99% | 2.22% | 2.91% | |||||
3-month U.S. Treasury (1) | 1.88% | 2.45% | 2.03% | 2.07% | 2.27% | 1.85% | |||||
2-year U.S. Treasury (1) | 1.63% | 2.48% | 1.69% | 2.67% | 2.09% | 2.44% | |||||
5-year U.S. Treasury (1) | 1.55% | 2.51% | 1.63% | 2.81% | 2.06% | 2.71% | |||||
10-year U.S. Treasury (1) | 1.68% | 2.69% | 1.80% | 2.92% | 2.26% | 2.87% |
(1) | Source: Bloomberg (reflects upper end of target range) |
(2) | Source: Federal Reserve Statistical Release |
• | The Bank ended the third quarter of 2019 with total assets of $73.8 billion compared with $72.8 billion at the end of 2018. The $1.0 billion increase in total assets for the nine months ended September 30, 2019 was attributable primarily to increases in the Bank's mortgage loans held for portfolio ($1.4 billion), long-term investments ($1.1 billion) and short-term liquidity portfolio ($0.9 billion), partially offset by a decrease in the Bank's advances ($2.6 billion). |
• | Total advances decreased from $40.8 billion at December 31, 2018 to $38.2 billion at September 30, 2019. |
• | Mortgage loans held for portfolio increased from $2.2 billion at December 31, 2018 to $3.6 billion at September 30, 2019. |
• | The Bank’s net income for the three and nine months ended September 30, 2019 was $53.1 million and $165.6 million, respectively, as compared to $50.1 million and $140.6 million, respectively, during the corresponding periods in 2018. For discussion and analysis of the increases in net income, see the section entitled "Results of Operations" beginning on page 61 of this report. |
• | At all times during the first nine months of 2019, the Bank was in compliance with all of its regulatory capital requirements. In addition, the Bank’s retained earnings increased to $1.189 billion at September 30, 2019 from $1.081 billion at December 31, 2018. Retained earnings was 1.61 percent and 1.49 percent of total assets at September 30, 2019 and December 31, 2018, respectively. |
• | During the first nine months of 2019, the Bank paid dividends totaling $57.7 million. The Bank’s first quarter 2019 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 2.35 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2018) and 3.35 percent (a rate equal to average one-month LIBOR for the fourth quarter of 2018 plus 1.0 percent), respectively. The Bank’s second quarter 2019 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 2.50 percent (a rate equal to average one-month LIBOR for the first quarter of 2019) and 3.50 percent (a rate equal to average one-month LIBOR for the first quarter of 2019 plus 1.0 percent), respectively. The Bank’s third quarter 2019 dividends on Class B-1 Stock and Class B-2 Stock were paid at annualized rates of 2.44 percent (a rate equal to average one-month LIBOR for the second quarter of 2019) and 3.44 percent (a rate equal to average one-month LIBOR for the second quarter of 2019 plus 1.0 percent), respectively. |
2019 | 2018 | ||||||||||||||||||
Third Quarter | Second Quarter | First Quarter | Fourth Quarter | Third Quarter | |||||||||||||||
Balance sheet (at quarter end) | |||||||||||||||||||
Advances | $ | 38,180,593 | $ | 38,778,599 | $ | 36,096,595 | $ | 40,793,813 | $ | 42,241,727 | |||||||||
Investments (1) | 31,596,300 | 32,405,827 | 30,040,987 | 29,551,929 | 29,433,699 | ||||||||||||||
Mortgage loans held for portfolio | 3,603,907 | 3,034,998 | 2,595,023 | 2,185,996 | 1,795,576 | ||||||||||||||
Allowance for credit losses on mortgage loans | 795 | 731 | 611 | 493 | 382 | ||||||||||||||
Total assets | 73,780,868 | 74,518,243 | 69,037,492 | 72,773,290 | 73,710,099 | ||||||||||||||
Consolidated obligations — discount notes | 33,878,782 | 39,656,798 | 37,369,065 | 35,731,713 | 33,996,816 | ||||||||||||||
Consolidated obligations — bonds | 33,744,493 | 29,481,562 | 26,746,361 | 31,931,929 | 34,382,344 | ||||||||||||||
Total consolidated obligations(2) | 67,623,275 | 69,138,360 | 64,115,426 | 67,663,642 | 68,379,160 | ||||||||||||||
Mandatorily redeemable capital stock(3) | 7,106 | 7,093 | 7,753 | 6,979 | 6,877 | ||||||||||||||
Capital stock — putable | 2,478,206 | 2,582,594 | 2,431,577 | 2,554,888 | 2,608,799 | ||||||||||||||
Unrestricted retained earnings | 1,007,453 | 984,180 | 960,243 | 932,675 | 904,525 | ||||||||||||||
Restricted retained earnings | 181,808 | 171,187 | 160,372 | 148,692 | 137,066 | ||||||||||||||
Total retained earnings | 1,189,261 | 1,155,367 | 1,120,615 | 1,081,367 | 1,041,591 | ||||||||||||||
Accumulated other comprehensive income | 42,781 | 80,104 | 159,202 | 128,001 | 280,155 | ||||||||||||||
Total capital | 3,710,248 | 3,818,065 | 3,711,394 | 3,764,256 | 3,930,545 | ||||||||||||||
Dividends paid(3) | 19,210 | 19,326 | 19,123 | 18,358 | 16,168 | ||||||||||||||
Income statement (for the quarter) | |||||||||||||||||||
Net interest income after provision for mortgage loan losses(4) | $ | 67,912 | $ | 62,474 | $ | 71,978 | $ | 85,431 | $ | 80,937 | |||||||||
Other income (loss)(4) | 14,900 | 22,144 | 16,977 | 1,765 | (2,503 | ) | |||||||||||||
Other expense | 23,803 | 24,525 | 24,065 | 22,597 | 22,798 | ||||||||||||||
AHP assessment | 5,905 | 6,015 | 6,494 | 6,465 | 5,565 | ||||||||||||||
Net income | 53,104 | 54,078 | 58,396 | 58,134 | 50,071 | ||||||||||||||
Performance ratios | |||||||||||||||||||
Net interest margin(4)(5) | 0.36 | % | 0.36 | % | 0.42 | % | 0.49 | % | 0.45 | % | |||||||||
Net interest spread (4)(6) | 0.24 | 0.21 | 0.26 | 0.36 | 0.33 | ||||||||||||||
Return on average assets | 0.28 | 0.31 | 0.35 | 0.33 | 0.28 | ||||||||||||||
Return on average equity | 5.46 | 5.66 | 6.22 | 5.92 | 5.05 | ||||||||||||||
Return on average capital stock (7) | 8.05 | 8.53 | 9.28 | 8.98 | 7.53 | ||||||||||||||
Total average equity to average assets | 5.17 | 5.51 | 5.57 | 5.59 | 5.45 | ||||||||||||||
Regulatory capital ratio(8) | 4.98 | 5.03 | 5.16 | 5.01 | 4.96 | ||||||||||||||
Dividend payout ratio (3)(9) | 36.17 | 35.74 | 32.75 | 31.58 | 32.29 |
(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, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, the outstanding consolidated obligations (at par value) of all of the FHLBanks totaled approximately $1.010 trillion, $1.048 trillion, $1.011 trillion, $1.032 trillion and $1.019 trillion, respectively. As of those dates, the Bank’s outstanding consolidated obligations (at par value) were $68 billion, $69 billion, $64 billion, $68 billion and $69 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 $54 thousand, $51 thousand, $50 thousand, $21 thousand and $6 thousand for the quarters ended September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, respectively. |
(4) | The Bank adopted ASU 2017-12, "Targeted Improvements to Accounting for Hedging Activities" ("ASU 2017-12") on January 1, 2019. In accordance with ASU 2017-12, changes in the fair value of a derivative in a qualifying fair value hedge along with changes in the fair value of the hedged asset or liability attributable to the hedged risk (the net amount of which is referred to as fair value hedge ineffectiveness) are recorded in net interest income. Prior to the adoption of ASU 2017-12, the Bank recorded fair value hedge ineffectiveness in other income (loss). Because prior period amounts have not been reclassified to conform to the new presentation requirements, net interest income after provision for mortgage loan losses, other income (loss), net interest margin and net interest spread for the quarters ended March 31, 2019, June 30, 2019 and September 30, 2019 are not comparable to prior periods. For additional discussion, see the section entitled "Results of Operations" beginning on page 61 of this report. |
(5) | Net interest margin is net interest income as a percentage of average earning assets. |
(6) | Net interest spread is the difference between the yield on interest-earning assets and the cost of interest-bearing liabilities. |
(7) | Return on average capital stock is derived by dividing net income by average capital stock balances excluding mandatorily redeemable capital stock. |
(8) | 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. |
(9) | Dividend payout ratio is computed by dividing dividends paid by net income for each quarter. |
September 30, 2019 | |||||||||||||||
Increase (Decrease) | Balance at | ||||||||||||||
Balance | Amount | Percentage | December 31, 2018 | ||||||||||||
Advances | $ | 38,181 | $ | (2,613 | ) | (6.4 | )% | $ | 40,794 | ||||||
Short-term liquidity holdings | |||||||||||||||
Interest-bearing deposits | 1,051 | (1,449 | ) | (58.0 | )% | 2,500 | |||||||||
Securities purchased under agreements to resell | 4,385 | (1,830 | ) | (29.4 | )% | 6,215 | |||||||||
Federal funds sold | 450 | (1,281 | ) | (74.0 | )% | 1,731 | |||||||||
Trading securities | |||||||||||||||
U.S. Treasury Bills | 1,820 | 1,820 | * | — | |||||||||||
U.S. Treasury Notes | 5,386 | 3,669 | 213.7 | % | 1,717 | ||||||||||
Total short-term liquidity holdings | 13,092 | 929 | 7.6 | % | 12,163 | ||||||||||
Long-term investments | |||||||||||||||
Trading securities (U.S. Treasury Note) | 107 | 6 | 5.9 | % | 101 | ||||||||||
Available-for-sale securities | 17,201 | 1,376 | 8.7 | % | 15,825 | ||||||||||
Held-to-maturity securities | 1,195 | (267 | ) | (18.3 | )% | 1,462 | |||||||||
Total long-term investments | 18,503 | 1,115 | 6.4 | % | 17,388 | ||||||||||
Mortgage loans held for portfolio, net | 3,603 | 1,417 | 64.8 | % | 2,186 | ||||||||||
Total assets | 73,781 | 1,008 | 1.4 | % | 72,773 | ||||||||||
Consolidated obligations | |||||||||||||||
Consolidated obligations — bonds | 33,744 | 1,812 | 5.7 | % | 31,932 | ||||||||||
Consolidated obligations — discount notes | 33,879 | (1,853 | ) | (5.2 | )% | 35,732 | |||||||||
Total consolidated obligations | 67,623 | (41 | ) | (0.1 | )% | 67,664 | |||||||||
Mandatorily redeemable capital stock | 7 | — | — | % | 7 | ||||||||||
Capital stock | 2,478 | (77 | ) | (3.0 | )% | 2,555 | |||||||||
Retained earnings | 1,189 | 108 | 10.0 | % | 1,081 | ||||||||||
Average total assets | 70,900 | 2,825 | 4.1 | % | 68,075 | ||||||||||
Average capital stock | 2,571 | 42 | 1.7 | % | 2,529 | ||||||||||
Average mandatorily redeemable capital stock | 7 | 3 | 75.0 | % | 4 |
September 30, 2019 | December 31, 2018 | ||||||||||||
Amount | Percent | Amount | Percent | ||||||||||
Commercial banks | $ | 24,396 | 64 | % | $ | 26,105 | 64 | % | |||||
Insurance companies | 6,960 | 18 | 6,394 | 16 | |||||||||
Savings institutions | 3,921 | 11 | 4,631 | 11 | |||||||||
Credit unions | 2,432 | 7 | 3,459 | 9 | |||||||||
Community Development Financial Institutions | 18 | — | 16 | — | |||||||||
Total member advances | 37,727 | 100 | 40,605 | 100 | |||||||||
Housing associates | 168 | — | 170 | — | |||||||||
Non-member borrowers | 19 | — | 17 | — | |||||||||
Total par value of advances | $ | 37,914 | 100 | % | $ | 40,792 | 100 | % | |||||
Total par value of advances outstanding to CFIs (1) | $ | 5,121 | 14 | % | $ | 5,869 | 14 | % |
(1) | The figures shown reflect the advances outstanding to CFIs as of September 30, 2019 and December 31, 2018 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 | $ | 3,800 | 10.0 | % | |||
American General Life Insurance Company | 3,148 | 8.3 | |||||
Texas Capital Bank, N.A. | 2,500 | 6.6 | |||||
LegacyTexas Bank | 2,329 | 6.1 | |||||
Life Insurance Company of the Southwest | 2,018 | 5.3 | |||||
$ | 13,795 | 36.3 | % |
September 30, 2019 | December 31, 2018 | ||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||
Fixed-rate | $ | 25,803 | 68.1 | % | $ | 28,753 | 70.5 | % | |||||
Adjustable/variable-rate indexed | 10,917 | 28.8 | 10,730 | 26.3 | |||||||||
Amortizing | 1,194 | 3.1 | 1,309 | 3.2 | |||||||||
Total par value | $ | 37,914 | 100.0 | % | $ | 40,792 | 100.0 | % |
Balance Sheet Classification | Total Long-Term | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Investments | Held-to-Maturity | |||||||||||||||||
September 30, 2019 | (at carrying value) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||||||
Debentures | |||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 6 | $ | 457 | $ | 107 | $ | 570 | $ | 6 | |||||||||||
GSE obligations | — | 5,819 | — | 5,819 | — | ||||||||||||||||
State housing agency obligation | 35 | — | — | 35 | 35 | ||||||||||||||||
Other | — | 46 | — | 46 | — | ||||||||||||||||
Total debentures | 41 | 6,322 | 107 | 6,470 | 41 | ||||||||||||||||
Mortgage-backed securities ("MBS") portfolio | |||||||||||||||||||||
GSE residential MBS | 1,097 | — | — | 1,097 | 1,097 | ||||||||||||||||
GSE commercial MBS | — | 10,879 | — | 10,879 | — | ||||||||||||||||
Non-agency residential MBS | 57 | — | — | 57 | 69 | ||||||||||||||||
Total MBS | 1,154 | 10,879 | — | 12,033 | 1,166 | ||||||||||||||||
Total long-term investments | $ | 1,195 | $ | 17,201 | $ | 107 | $ | 18,503 | $ | 1,207 | |||||||||||
Balance Sheet Classification | Total Long-Term | ||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Investments | Held-to-Maturity | |||||||||||||||||
December 31, 2018 | (at carrying value) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||||||
Debentures | |||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 8 | $ | 453 | $ | 101 | $ | 562 | $ | 8 | |||||||||||
GSE obligations | — | 5,687 | — | 5,687 | — | ||||||||||||||||
State housing agency obligations | 135 | — | — | 135 | 134 | ||||||||||||||||
Other | — | 171 | — | 171 | — | ||||||||||||||||
Total debentures | 143 | 6,311 | 101 | 6,555 | 142 | ||||||||||||||||
Mortgage-backed securities portfolio | |||||||||||||||||||||
U.S. government-guaranteed residential MBS | 1 | — | — | 1 | 1 | ||||||||||||||||
GSE residential MBS | 1,253 | — | — | 1,253 | 1,258 | ||||||||||||||||
GSE commercial MBS | — | 9,514 | — | 9,514 | — | ||||||||||||||||
Non-agency residential MBS | 65 | — | — | 65 | 78 | ||||||||||||||||
Total MBS | 1,319 | 9,514 | — | 10,833 | 1,337 | ||||||||||||||||
Total long-term investments | $ | 1,462 | $ | 15,825 | $ | 101 | $ | 17,388 | $ | 1,479 |
Credit Rating | Number of Securities | Unpaid Principal Balance | Amortized Cost | Carrying Value | Estimated Fair Value | Unrealized Losses | |||||||||||||||||
Double-A | 1 | $ | 1,221 | $ | 1,221 | $ | 1,221 | $ | 1,186 | $ | 35 | ||||||||||||
Single-A | 2 | 8,964 | 8,964 | 8,964 | 8,846 | 118 | |||||||||||||||||
Triple-B | 2 | 3,296 | 3,296 | 3,295 | 3,232 | 63 | |||||||||||||||||
Single-B | 4 | 12,733 | 12,587 | 11,138 | 12,082 | 535 | |||||||||||||||||
Triple-C | 12 | 47,160 | 40,434 | 32,800 | 43,458 | 593 | |||||||||||||||||
Not Rated | 1 | 79 | 79 | 79 | 73 | 6 | |||||||||||||||||
Total | 22 | $ | 73,453 | $ | 66,581 | $ | 57,497 | $ | 68,877 | $ | 1,350 |
September 30, 2019 | December 31, 2018 | ||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||
Fixed-rate | |||||||||||||
Non-callable | $ | 9,582 | 28.5 | % | $ | 10,558 | 32.9 | % | |||||
Callable | 7,421 | 22.0 | 5,049 | 15.7 | |||||||||
Variable-rate | 14,177 | 42.1 | 10,030 | 31.2 | |||||||||
Step-up | |||||||||||||
Callable | 2,152 | 6.4 | 6,127 | 19.1 | |||||||||
Non-callable | 100 | 0.3 | 75 | 0.2 | |||||||||
Callable step-down | 225 | 0.7 | 275 | 0.9 | |||||||||
Total par value | $ | 33,657 | 100.0 | % | $ | 32,114 | 100.0 | % |
Name | Par Value of Capital Stock | Percent of Total Par Value of Capital Stock | |||||
Comerica Bank | $ | 162,800 | 6.6 | % | |||
American General Life Insurance Company | 142,544 | 5.7 | |||||
Texas Capital Bank, N.A. | 138,386 | 5.6 | |||||
LegacyTexas Bank | 99,131 | 4.0 | |||||
Iberiabank | 87,156 | 3.5 | |||||
$ | 630,017 | 25.4 | % |
September 30, 2019 | December 31, 2018 | ||||||||||||
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 | $ | 1,631 | 66 | % | $ | 1,661 | 65 | % | |||||
Insurance companies | 363 | 15 | 333 | 13 | |||||||||
Credit unions | 257 | 10 | 309 | 12 | |||||||||
Savings institutions | 226 | 9 | 251 | 10 | |||||||||
Community Development Financial Institutions | 1 | — | 1 | — | |||||||||
Total capital stock classified as capital | 2,478 | 100 | 2,555 | 100 | |||||||||
Mandatorily redeemable capital stock | 7 | — | 7 | — | |||||||||
Total regulatory capital stock | $ | 2,485 | 100 | % | $ | 2,562 | 100 | % |
Fair Value Hedges | |||||||||||||||||||
Shortcut Method | Long-Haul Method | Cash Flow Hedges | Economic Hedges | Total | |||||||||||||||
September 30, 2019 | |||||||||||||||||||
Advances | $ | 9,389 | $ | 862 | $ | — | $ | — | $ | 10,251 | |||||||||
Investments | — | 16,317 | — | 5,066 | 21,383 | ||||||||||||||
Mortgage loans held for portfolio | — | — | — | 841 | 841 | ||||||||||||||
Consolidated obligation bonds | — | 16,660 | — | — | 16,660 | ||||||||||||||
Consolidated obligation discount notes | — | — | 972 | 1,400 | 2,372 | ||||||||||||||
Intermediary positions | — | — | — | 902 | 902 | ||||||||||||||
Other | — | — | — | 1,025 | 1,025 | ||||||||||||||
Total notional balance | $ | 9,389 | $ | 33,839 | $ | 972 | $ | 9,234 | $ | 53,434 | |||||||||
December 31, 2018 | |||||||||||||||||||
Advances | $ | 6,565 | $ | 606 | $ | — | $ | 2 | $ | 7,173 | |||||||||
Investments | — | 15,982 | — | 2,716 | 18,698 | ||||||||||||||
Mortgage loans held for portfolio | — | — | — | 348 | 348 | ||||||||||||||
Consolidated obligation bonds | — | 19,824 | — | — | 19,824 | ||||||||||||||
Consolidated obligation discount notes | — | — | 865 | — | 865 | ||||||||||||||
Intermediary positions | — | — | — | 1,769 | 1,769 | ||||||||||||||
Other | — | — | — | 425 | 425 | ||||||||||||||
Total notional balance | $ | 6,565 | $ | 36,412 | $ | 865 | $ | 5,260 | $ | 49,102 |
Credit Rating(1) | Number of Bilateral Counterparties | Notional Principal(2) | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Other Collateral Pledged To Counterparty | Net Credit Exposure | |||||||||||||||||
Non-member counterparties | |||||||||||||||||||||||
Asset positions with credit exposure | |||||||||||||||||||||||
Double-A | 1 | $ | 85.0 | $ | 0.1 | $ | — | $ | — | $ | 0.1 | ||||||||||||
Single-A | 4 | 1,750.7 | 6.1 | (5.7 | ) | — | 0.4 | ||||||||||||||||
Triple-B | 1 | 418.4 | 1.5 | (1.3 | ) | — | 0.2 | ||||||||||||||||
Cleared derivatives (3) | — | 25,430.2 | 4.5 | 0.2 | 842.0 | 846.7 | |||||||||||||||||
Liability positions with credit exposure | |||||||||||||||||||||||
Single-A | 3 | 2,048.9 | (7.8 | ) | 9.4 | — | 1.6 | ||||||||||||||||
Triple-B | 3 | 7,442.6 | (183.4 | ) | 195.5 | — | 12.1 | ||||||||||||||||
Cleared derivatives (4) | — | 9,894.4 | (1.0 | ) | — | 47.2 | 46.2 | ||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 12 | 47,070.2 | (180.0 | ) | 198.1 | 889.2 | 907.3 | ||||||||||||||||
Asset positions without credit exposure | 2 | 875.0 | 8.0 | (8.3 | ) | — | — | ||||||||||||||||
Liability positions without credit exposure (5) | 7 | 4,912.4 | (28.4 | ) | 27.4 | — | — | ||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank did not have credit exposure | 9 | 5,787.4 | (20.4 | ) | 19.1 | — | — | ||||||||||||||||
Total non-member counterparties | 21 | 52,857.6 | (200.4 | ) | $ | 217.2 | $ | 889.2 | $ | 907.3 | |||||||||||||
Member institutions | |||||||||||||||||||||||
Interest rate exchange agreements (6) | |||||||||||||||||||||||
Asset positions | 6 | 63.6 | 6.1 | ||||||||||||||||||||
Liability positions | 2 | 387.5 | (2.3 | ) | |||||||||||||||||||
Mortgage delivery commitments | — | 125.0 | (0.1 | ) | |||||||||||||||||||
Total member institutions | 8 | 576.1 | 3.7 | ||||||||||||||||||||
Total | 29 | $ | 53,433.7 | $ | (196.7 | ) |
(1) | Credit ratings shown in the table reflect the lowest rating from Moody’s or S&P and are as of September 30, 2019. |
(2) | Includes amounts that had not settled as of September 30, 2019. |
(3) | This clearinghouse counterparty is rated single-A. |
(4) | This clearinghouse counterparty is rated double-A. |
(5) | The figures for the liability positions without credit exposure include transactions with an entity that is affiliated with a member institution. Transactions with that counterparty had an aggregate notional principal of $1.0 billion as of September 30, 2019. |
(6) | This product offering and the collateral provisions associated therewith are discussed in the paragraph below. |
Maturing in 2019-2021 | Maturing after 2021 | |||||||
Advances | $ | 570 | $ | — | ||||
Investments | — | 1,213 | ||||||
Consolidated obligations | 4,695 | — | ||||||
Derivatives | 15,788 | 31,557 | ||||||
Total LIBOR-indexed financial instruments | $ | 21,053 | $ | 32,770 | ||||
For the Three Months Ended September 30, | |||||||||||||||||||||
2019 | 2018 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Rate(1) | Average Balance | Interest Income/ Expense | Average Rate(1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 1,654 | $ | 10 | 2.32 | % | $ | 1,226 | $ | 6 | 2.01 | % | |||||||||
Securities purchased under agreements to resell | 4,092 | 25 | 2.41 | % | 3,859 | 20 | 2.01 | % | |||||||||||||
Federal funds sold | 2,714 | 15 | 2.23 | % | 4,628 | 23 | 1.98 | % | |||||||||||||
Investments | |||||||||||||||||||||
Trading | 6,067 | 31 | 2.06 | % | 1,162 | 6 | 2.19 | % | |||||||||||||
Available-for-sale (3) | 16,756 | 111 | 2.66 | % | 15,155 | 113 | 2.97 | % | |||||||||||||
Held-to-maturity (3) | 1,241 | 9 | 2.79 | % | 1,712 | 12 | 2.74 | % | |||||||||||||
Advances (4) | 38,558 | 234 | 2.43 | % | 42,561 | 236 | 2.22 | % | |||||||||||||
Mortgage loans held for portfolio | 3,354 | 30 | 3.55 | % | 1,555 | 15 | 3.82 | % | |||||||||||||
Total earning assets | 74,436 | 465 | 2.50 | % | 71,858 | 431 | 2.40 | % | |||||||||||||
Cash and due from banks | 59 | 40 | |||||||||||||||||||
Other assets | 273 | 198 | |||||||||||||||||||
Derivatives netting adjustment (2) | (221 | ) | (203 | ) | |||||||||||||||||
Fair value adjustment on available-for-sale securities (3) | 119 | 229 | |||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3) | (9 | ) | (12 | ) | |||||||||||||||||
Total assets | $ | 74,657 | 465 | 2.49 | % | $ | 72,110 | 431 | 2.39 | % | |||||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 991 | 5 | 2.06 | % | $ | 839 | 4 | 1.87 | % | |||||||||||
Consolidated obligations | |||||||||||||||||||||
Bonds | 30,873 | 178 | 2.30 | % | 32,563 | 177 | 2.18 | % | |||||||||||||
Discount notes | 38,225 | 214 | 2.24 | % | 34,105 | 169 | 1.98 | % | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | 7 | — | 2.50 | % | 3 | — | 2.91 | % | |||||||||||||
Total interest-bearing liabilities | 70,096 | 397 | 2.26 | % | 67,510 | 350 | 2.07 | % | |||||||||||||
Other liabilities | 921 | 871 | |||||||||||||||||||
Derivatives netting adjustment (2) | (221 | ) | (203 | ) | |||||||||||||||||
Total liabilities | 70,796 | 397 | 2.24 | % | 68,178 | 350 | 2.05 | % | |||||||||||||
Total capital | 3,861 | 3,932 | |||||||||||||||||||
Total liabilities and capital | $ | 74,657 | 2.13 | % | $ | 72,110 | 1.94 | % | |||||||||||||
Net interest income | $ | 68 | $ | 81 | |||||||||||||||||
Net interest margin | 0.36 | % | 0.45 | % | |||||||||||||||||
Net interest spread | 0.24 | % | 0.33 | % | |||||||||||||||||
Impact of non-interest bearing funds | 0.12 | % | 0.12 | % |
(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, 2019 and 2018 in the table above include $207 million and $203 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 three months ended September 30, 2019 and 2018 in the table above includes $14 million and $0.3 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, | |||||||||||||||||||||
2019 | 2018 | ||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Rate(1) | Average Balance | Interest Income/ Expense | Average Rate(1) | ||||||||||||||||
Assets | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 1,587 | $ | 29 | 2.46 | % | $ | 546 | $ | 8 | 1.94 | % | |||||||||
Securities purchased under agreements to resell | 4,103 | 76 | 2.49 | % | 3,066 | 43 | 1.85 | % | |||||||||||||
Federal funds sold | 2,786 | 50 | 2.38 | % | 5,500 | 69 | 1.69 | % | |||||||||||||
Investments | |||||||||||||||||||||
Trading | 4,301 | 68 | 2.12 | % | 590 | 9 | 2.15 | % | |||||||||||||
Available-for-sale (3) | 16,179 | 343 | 2.83 | % | 14,711 | 297 | 2.69 | % | |||||||||||||
Held-to-maturity (3) | 1,361 | 31 | 2.96 | % | 1,823 | 34 | 2.46 | % | |||||||||||||
Advances (4) | 37,467 | 717 | 2.55 | % | 39,870 | 593 | 1.98 | % | |||||||||||||
Mortgage loans held for portfolio | 2,835 | 80 | 3.75 | % | 1,217 | 34 | 3.72 | % | |||||||||||||
Total earning assets | 70,619 | 1,394 | 2.63 | % | 67,323 | 1,087 | 2.15 | % | |||||||||||||
Cash and due from banks | 55 | 39 | |||||||||||||||||||
Other assets | 267 | 168 | |||||||||||||||||||
Derivatives netting adjustment (2) | (169 | ) | (224 | ) | |||||||||||||||||
Fair value adjustment on available-for-sale securities (3) | 138 | 243 | |||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3) | (10 | ) | (12 | ) | |||||||||||||||||
Total assets | $ | 70,900 | 1,394 | 2.62 | % | $ | 67,537 | 1,087 | 2.15 | % | |||||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing deposits (2) | $ | 887 | 15 | 2.23 | % | $ | 871 | 11 | 1.62 | % | |||||||||||
Consolidated obligations | |||||||||||||||||||||
Bonds | 28,977 | 535 | 2.46 | % | 32,534 | 467 | 1.91 | % | |||||||||||||
Discount notes | 36,425 | 641 | 2.35 | % | 29,884 | 384 | 1.71 | % | |||||||||||||
Mandatorily redeemable capital stock and other borrowings | 14 | — | 2.59 | % | 10 | — | 1.72 | % | |||||||||||||
Total interest-bearing liabilities | 66,303 | 1,191 | 2.40 | % | 63,299 | 862 | 1.82 | % | |||||||||||||
Other liabilities | 932 | 680 | |||||||||||||||||||
Derivatives netting adjustment (2) | (169 | ) | (224 | ) | |||||||||||||||||
Total liabilities | 67,066 | 1,191 | 2.37 | % | 63,755 | 862 | 1.80 | % | |||||||||||||
Total capital | 3,834 | 3,782 | |||||||||||||||||||
Total liabilities and capital | $ | 70,900 | 2.24 | % | $ | 67,537 | 1.70 | % | |||||||||||||
Net interest income | $ | 203 | $ | 225 | |||||||||||||||||
Net interest margin | 0.38 | % | 0.45 | % | |||||||||||||||||
Net interest spread | 0.23 | % | 0.33 | % | |||||||||||||||||
Impact of non-interest bearing funds | 0.15 | % | 0.12 | % |
(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, 2019 and 2018 in the table above include $157 million and $201 million, respectively, which are classified as derivative assets/liabilities on the statements of condition. In addition, the average balances of interest-bearing deposit liabilities for the nine months ended September 30, 2019 and 2018 in the table above include $11 million and $23 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, 2019 vs. 2018 | September 30, 2019 vs. 2018 | ||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||||||
Interest income | |||||||||||||||||||||||
Interest-bearing deposits | $ | 3 | $ | 1 | $ | 4 | $ | 19 | $ | 2 | $ | 21 | |||||||||||
Securities purchased under agreements to resell | 1 | 4 | 5 | 17 | 16 | 33 | |||||||||||||||||
Federal funds sold | (11 | ) | 3 | (8 | ) | (41 | ) | 22 | (19 | ) | |||||||||||||
Investments | |||||||||||||||||||||||
Trading | 25 | — | 25 | 59 | — | 59 | |||||||||||||||||
Available-for-sale | 12 | (14 | ) | (2 | ) | 31 | 15 | 46 | |||||||||||||||
Held-to-maturity | (3 | ) | — | (3 | ) | (9 | ) | 6 | (3 | ) | |||||||||||||
Advances | (23 | ) | 21 | (2 | ) | (38 | ) | 162 | 124 | ||||||||||||||
Mortgage loans held for portfolio | 16 | (1 | ) | 15 | 46 | — | 46 | ||||||||||||||||
Total interest income | 20 | 14 | 34 | 84 | 223 | 307 | |||||||||||||||||
Interest expense | |||||||||||||||||||||||
Interest-bearing deposits | — | 1 | 1 | — | 4 | 4 | |||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||
Bonds | (11 | ) | 12 | 1 | (55 | ) | 123 | 68 | |||||||||||||||
Discount notes | 23 | 22 | 45 | 95 | 162 | 257 | |||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total interest expense | 12 | 35 | 47 | 40 | 289 | 329 | |||||||||||||||||
Changes in net interest income | $ | 8 | $ | (21 | ) | $ | (13 | ) | $ | 44 | $ | (66 | ) | $ | (22 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Net interest income (expense) associated with: | |||||||||||||||
Economic hedge derivatives related to consolidated obligation bonds | $ | — | $ | 160 | $ | (3 | ) | $ | 170 | ||||||
Member/offsetting derivatives | 44 | 74 | 161 | 305 | |||||||||||
Economic hedge derivatives related to advances | — | 15 | — | 42 | |||||||||||
Economic hedge derivatives related to trading securities | 713 | (311 | ) | 784 | (424 | ) | |||||||||
Economic hedge derivatives related to available-for-sale securities | (1 | ) | (1 | ) | (148 | ) | (4 | ) | |||||||
Economic hedge derivatives related to consolidated obligation discount notes | (288 | ) | — | (389 | ) | — | |||||||||
Economic hedge derivatives related to mortgage loans held for portfolio | (345 | ) | (73 | ) | (734 | ) | (58 | ) | |||||||
Other stand-alone economic hedge derivatives | (489 | ) | (513 | ) | (2,081 | ) | (803 | ) | |||||||
Total net interest expense associated with economic hedge derivatives | (366 | ) | (649 | ) | (2,410 | ) | (772 | ) | |||||||
Gains (losses) related to economic hedge derivatives | |||||||||||||||
Interest rate swaps | |||||||||||||||
Advances | 80 | (15 | ) | 72 | (11 | ) | |||||||||
Available-for-sale securities | (61 | ) | 34 | (74 | ) | 145 | |||||||||
Trading securities | (1,358 | ) | 617 | (3,520 | ) | 650 | |||||||||
Mortgage loans held for portfolio | (2,035 | ) | 120 | (3,448 | ) | (105 | ) | ||||||||
Consolidated obligation bonds | — | (160 | ) | (1 | ) | (171 | ) | ||||||||
Consolidated obligation discount notes | — | — | 87 | — | |||||||||||
Other stand-alone economic hedge derivatives | 9,161 | (4,502 | ) | 32,586 | (15,940 | ) | |||||||||
Interest rate swaptions related to mortgage loans held for portfolio | 2,878 | 124 | 4,353 | (1 | ) | ||||||||||
Mortgage delivery commitments | 19 | 437 | 1,825 | 937 | |||||||||||
Interest rate caps related to held-to-maturity securities | (1 | ) | (4 | ) | (6 | ) | 4 | ||||||||
Member/offsetting swaps, caps and floors | (36 | ) | (22 | ) | 238 | (157 | ) | ||||||||
Total fair value gains (losses) related to economic hedge derivatives | 8,647 | (3,371 | ) | 32,112 | (14,649 | ) | |||||||||
Price alignment amount on daily settled derivative contracts | 47 | (2,740 | ) | 182 | (6,494 | ) | |||||||||
Gains (losses) related to fair value hedge ineffectiveness | |||||||||||||||
Advances and associated hedges | — | (25 | ) | — | 170 | ||||||||||
Available-for-sale securities and associated hedges | — | 1,061 | — | 21,100 | |||||||||||
Consolidated obligation bonds and associated hedges | — | 151 | — | (5,452 | ) | ||||||||||
Total fair value hedge ineffectiveness | — | 1,187 | — | 15,818 | |||||||||||
Total net gains (losses) on derivatives and hedging activities | 8,328 | (5,573 | ) | 29,884 | (6,097 | ) | |||||||||
Net gains (losses) on trading securities | 2,266 | (1,583 | ) | 10,345 | (4,473 | ) | |||||||||
Net gains on other assets carried at fair value | 34 | 312 | 1,300 | 527 | |||||||||||
Gains on sales of held-to-maturity securities | — | 1,065 | — | 1,065 | |||||||||||
Gains on sales of available-for-sale securities | — | — | 580 | — | |||||||||||
Service fees | 724 | 571 | 1,932 | 1,695 | |||||||||||
Letter of credit fees | 3,244 | 2,440 | 9,008 | 6,851 | |||||||||||
Other, net | 304 | 265 | 972 | 628 | |||||||||||
Total other | 6,572 | 3,070 | 24,137 | 6,293 | |||||||||||
Total other income (loss) | $ | 14,900 | $ | (2,503 | ) | $ | 54,021 | $ | 196 |
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 2018 | $ | 3.781 | $ | 3.802 | 0.56 | % | $ | 3.562 | (5.79 | )% | $ | 3.810 | 0.77 | % | $ | 3.684 | (2.57 | )% | |||||||||||||
January 2019 | 3.854 | 3.885 | 0.80 | % | 3.612 | (6.28 | )% | 3.887 | 0.86 | % | 3.744 | (2.85 | )% | ||||||||||||||||||
February 2019 | 3.952 | 3.932 | (0.51 | )% | 3.776 | (4.45 | )% | 3.958 | 0.15 | % | 3.876 | (1.92 | )% | ||||||||||||||||||
March 2019 | 3.757 | 3.767 | 0.27 | % | 3.588 | (4.50 | )% | 3.783 | 0.69 | % | 3.675 | (2.18 | )% | ||||||||||||||||||
April 2019 | 3.923 | 3.942 | 0.48 | % | 3.705 | (5.56 | )% | 3.950 | 0.69 | % | 3.822 | (2.57 | )% | ||||||||||||||||||
May 2019 | 3.886 | 3.958 | 1.85 | % | 3.697 | (4.86 | )% | 3.958 | 1.85 | % | 3.767 | (3.06 | )% | ||||||||||||||||||
June 2019 | 3.838 | 3.892 | 1.41 | % | 3.748 | (2.34 | )% | 3.905 | 1.75 | % | 3.734 | (2.71 | )% | ||||||||||||||||||
July 2019 | 3.918 | 3.956 | 0.97 | % | 3.813 | (2.68 | )% | 3.975 | 1.45 | % | 3.818 | (2.55 | )% | ||||||||||||||||||
August 2019 | 3.786 | 3.881 | 2.51 | % | 4.140 | 9.35 | % | 3.871 | 2.25 | % | 3.689 | (2.56 | )% | ||||||||||||||||||
September 2019 | 3.695 | 3.727 | 0.87 | % | 3.949 | 6.87 | % | 3.757 | 1.68 | % | 3.613 | (2.22 | )% |
(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) | In the down 100 and down 200 scenarios, 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 2018 | 0.24 | (0.36) | (0.12) | (1.81) | (0.11) | 0.39 | (3.14) | (3.33) | |||||||
January 2019 | 0.24 | (0.37) | (0.13) | (2.05) | (0.22) | 0.18 | (3.42) | (3.50) | |||||||
February 2019 | 0.28 | (0.36) | (0.08) | (1.14) | 0.42 | 0.75 | (2.47) | (2.55) | |||||||
March 2019 | 0.26 | (0.37) | (0.11) | (1.74) | 0.09 | 0.54 | (2.44) | (2.16) | |||||||
April 2019 | 0.23 | (0.36) | (0.13) | (1.98) | — | 0.27 | (2.98) | (3.07) | |||||||
May 2019 | 0.20 | (0.38) | (0.18) | (2.89) | (0.65) | 0.24 | (3.13) | (2.96) | |||||||
June 2019 | 0.19 | (0.35) | (0.16) | (2.59) | (0.50) | 0.68 | (2.74) | (2.88) | |||||||
July 2019 | 0.19 | (0.34) | (0.15) | (2.41) | (0.14) | 0.72 | (2.68) | (2.94) | |||||||
August 2019 | 0.17 | (0.32) | (0.15) | (2.49) | (1.57) | 0.76 | (2.97) | (5.43) | |||||||
September 2019 | 0.19 | (0.31) | (0.12) | (2.06) | (0.53) | 1.47 | (2.59) | (6.10) |
(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) | In the down 100 and down 200 scenarios, the duration of equity is calculated under assumed instantaneous -100 and -200 basis point parallel shifts in interest rates. |
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, 2019, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of September 30, 2019 and December 31, 2018; (ii) Statements of Income for the Three and Nine Months Ended September 30, 2019 and 2018; (iii) Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2019 and 2018; (iv) Statements of Capital for the Three and Nine Months Ended September 30, 2019 and 2018; (v) Statements of Cash Flows for the Nine Months Ended September 30, 2019 and 2018; and (vi) Notes to the Financial Statements for the quarter ended September 30, 2019. | |
November 12, 2019 | 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, 2019, formatted in eXtensible Business Reporting Language (“XBRL”): (i) Statements of Condition as of September 30, 2019 and December 31, 2018; (ii) Statements of Income for the Three and Nine Months Ended September 30, 2019 and 2018; (iii) Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2019 and 2018; (iv) Statements of Capital for the Three and Nine Months Ended September 30, 2019 and 2018; (v) Statements of Cash Flows for the Nine Months Ended September 30, 2019 and 2018; and (vi) Notes to the Financial Statements for the quarter ended September 30, 2019. | |
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 12, 2019 | November 12, 2019 |
Transactions with Shareholders |
9 Months Ended |
---|---|
Sep. 30, 2019 | |
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. In addition, the Bank maintains interest-bearing deposits with affiliates of Citigroup and Wells Fargo. 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. |
Capital |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stockholders' Equity Note Disclosure [Text Block] | Capital At all times during the nine months ended September 30, 2019, 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, 2019 and December 31, 2018 (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, 2018, 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, 2019, surplus stock was defined as the amount of stock held by a member shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For those repurchases, which occurred on March 26, 2019, June 25, 2019 and September 25, 2019, a member 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 26, 2019, June 25, 2019 and September 25, 2019, the Bank repurchased surplus stock totaling $202,498,000, $108,621,000 and $259,377,000, 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. On March 26, 2019, June 25, 2019 and September 25, 2019, the Bank also repurchased all excess stock held by non-member shareholders as of those dates. This excess stock, all of which was classified as mandatorily redeemable capital stock at those dates, totaled $1,596,000, $688,000 and $6,000, respectively. |
Trading Securities Tables (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities Disclosure [Table Text Block] | Trading securities as of September 30, 2019 and December 31, 2018 were as follows (in thousands):
|
Employee Retirement Plans (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2019 and 2018 were as follows (in thousands):
|
Recently Adopted Accounting Guidance ASU2016-02 and ASU2017-12 (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |
---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2019 |
Jan. 01, 2019 |
|
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Cumulative Effect of New Accounting Principle in Period of Adoption | $ (25) | ||
The increase (decrease) in other income and decrease (increase) in net interest income due to the adoption of ASU2017-12 | $ 6,279 | $ 31,244 | |
Accounting Standards Update 2016-02 [Member] | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Cumulative Effect of New Accounting Principle in Period of Adoption | (25) | ||
Right-of-use assets and lease liabilities due to the adoption of ASU2016-02 | $ 2,500 |
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Short-term Debt [Line Items] | ||
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to An Adjustable Rate | 86.00% | 90.00% |
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 33,878,782 | $ 35,731,713 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Debt Instrument, Face Amount | $ 33,939,063 | $ 35,882,027 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 2.01% | 2.30% |
Advances Narrative (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
Dec. 31, 2018 |
|
Advances [Line Items] | ||||||
Percent Of Fixed Rate Advances Swapped To Adjustable Rate | 37.00% | 37.00% | 24.00% | |||
Gross Prepayment Fees on Advances Received | $ 434 | $ 29 | $ 1,176 | $ 1,788 | ||
Prepaid Advances with Symmetrical prepayment Feature | $ 5,000 | |||||
Federal Home Loan Bank Advances Par Value | $ 37,914,255 | $ 37,914,255 | $ 40,792,328 | |||
Fees paid on prepaid Advances with Symmetrical Prepayment Feature | $ 68 | |||||
Minimum [Member] | ||||||
Advances [Line Items] | ||||||
Federal Home Loan Bank Advances, Interest Rate | 0.35% | 0.35% | 0.88% | |||
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 | $ 10,471,840 | $ 10,471,840 | $ 10,446,628 | |||
Federal Home Loan Bank Advances Putable Option [Member] | ||||||
Advances [Line Items] | ||||||
Federal Home Loan Bank Advances Par Value | $ 6,032,300 | $ 6,032,300 | $ 3,094,300 |
Statements of Condition (Unaudited) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
ASSETS | ||
Cash and due from banks | $ 153,232 | $ 35,157 |
Interest-bearing deposits | 1,051,220 | 2,500,317 |
Securities purchased under agreements to resell (Note 11) | 4,385,000 | 6,215,000 |
Federal funds sold | 450,000 | 1,731,000 |
Trading securities (Note 3) | 7,313,437 | 1,818,178 |
Available-for-sale securities (Notes 4,11 and 16) ($889,241 and $712,547 pledged at September 30, 2019 and December 31, 2018, respectively, which could be rehypothecated) | 17,201,268 | 15,825,155 |
Held-to-maturity securities (a) (Note 5) | 1,195,375 | 1,462,279 |
Advances (Notes 6 and 8) | 38,180,593 | 40,793,813 |
Mortgage loans held for portfolio, net of allowance for credit losses of $795 and $493 at September 30, 2019 and December 31, 2018, respectively (Note 7 and 8) | 3,603,112 | 2,185,503 |
Accrued interest receivable | 175,166 | 152,670 |
Premises and equipment, net | 15,236 | 16,419 |
Derivative assets (Notes 11 and 12) | 25,050 | 9,878 |
Other assets (including $13,402 and $12,376 of securities held at fair value at September 30, 2019 and December 31, 2018, respectively) | 32,179 | 27,921 |
TOTAL ASSETS | 73,780,868 | 72,773,290 |
Deposits | ||
Interest-bearing | 1,246,462 | 963,972 |
Non-interest bearing | 20 | 20 |
Total deposits | 1,246,482 | 963,992 |
Consolidated obligations (Note 9) | ||
Discount notes | 33,878,782 | 35,731,713 |
Bonds | 33,744,493 | 31,931,929 |
Total consolidated obligations | 67,623,275 | 67,663,642 |
Mandatorily redeemable capital stock | 7,106 | 6,979 |
Accrued interest payable | 114,957 | 122,938 |
Affordable Housing Program (Note 10) | 52,675 | 44,358 |
Derivative liabilities (Notes 11 and 12) | 4,540 | 45,991 |
Other liabilities (Notes 3 and 4) | 1,021,585 | 161,134 |
Total liabilities | 70,070,620 | 69,009,034 |
Commitments and contingencies (Notes 8 and 16) | ||
Capital stock | ||
Total Class B Capital Stock | 2,478,206 | 2,554,888 |
Retained earnings | ||
Unrestricted | 1,007,453 | 932,675 |
Restricted | 181,808 | 148,692 |
Total retained earnings | 1,189,261 | 1,081,367 |
Accumulated other comprehensive income (Note19) | 42,781 | 128,001 |
Total capital | 3,710,248 | 3,764,256 |
TOTAL LIABILITIES AND CAPITAL | 73,780,868 | 72,773,290 |
Capital Stock - Class B-1 putable ($100 par value) issued and outstanding shares: 9,521,426 and 9,169,206 shares at September 30, 2019 and December 31, 2018, respectively | ||
Capital stock | ||
Total Class B Capital Stock | 952,142 | 916,921 |
Retained earnings | ||
Total capital | 952,142 | 916,921 |
Capital Stock - Class B-2 putable ($100 par value) issued and outstanding shares: 15,260,637 and 16,379,675 shares at September 30, 2019 and December 31, 2018, respectively | ||
Capital stock | ||
Total Class B Capital Stock | 1,526,064 | 1,637,967 |
Retained earnings | ||
Total capital | $ 1,526,064 | $ 1,637,967 |
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
Jan. 01, 2019 |
|||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance | $ 3,818,065 | $ 3,912,319 | $ 3,764,256 | $ 3,480,026 | |||||||||||
Proceeds from sale of capital stock | 359,675 | 428,812 | 1,221,352 | 1,514,994 | |||||||||||
Repurchase/redemption of capital stock | (483,209) | (490,100) | (1,353,145) | (1,258,289) | |||||||||||
Shares reclassified to mandatorily redeemable capital stock | (6,035) | (2,326) | (6,421) | ||||||||||||
Adjustment to initially apply new lease accounting guidance (Note 2) | $ (25) | ||||||||||||||
Comprehensive income (loss) | |||||||||||||||
Net income | 53,104 | 50,071 | 165,578 | 140,641 | |||||||||||
Other comprehensive income (loss) | (37,323) | 35,579 | [1] | (85,220) | 59,829 | [1] | |||||||||
Dividends on capital stock | |||||||||||||||
Cash | (64) | [2] | (65) | [3] | (195) | [2] | (198) | [3] | |||||||
Mandatorily redeemable capital stock | 0 | [2] | (36) | [3] | (27) | [2] | (37) | [3] | |||||||
Ending balance | $ 3,710,248 | $ 3,930,545 | $ 3,710,248 | $ 3,930,545 | |||||||||||
Capital Stock Class B-2 - Activity | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance, shares | 15,495 | 17,596 | 16,380 | 14,645 | |||||||||||
Beginning balance | $ 1,549,482 | $ 1,759,583 | $ 1,637,967 | $ 1,464,475 | |||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock, Value | $ (382,783) | $ (485,163) | $ (1,329,579) | $ (1,265,790) | |||||||||||
Proceeds from sale of capital stock, shares | 3,594 | 4,278 | 12,177 | 15,035 | |||||||||||
Proceeds from sale of capital stock | $ 359,365 | $ 427,732 | $ 1,217,676 | $ 1,503,467 | |||||||||||
Repurchase/redemption of capital stock, shares | 0 | 0 | 0 | 0 | |||||||||||
Repurchase/redemption of capital stock | $ 0 | $ 0 | $ 0 | $ 0 | |||||||||||
Shares reclassified to mandatorily redeemable capital stock, shares | 0 | 0 | 0 | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | $ 0 | $ 0 | |||||||||||||
Dividends on capital stock | |||||||||||||||
Stock, shares | 0 | 0 | 0 | 0 | |||||||||||
Stock | $ 0 | $ 0 | $ 0 | $ 0 | |||||||||||
Ending balance, shares | 15,261 | 17,022 | 15,261 | 17,022 | |||||||||||
Ending balance | $ 1,526,064 | $ 1,702,152 | $ 1,526,064 | $ 1,702,152 | |||||||||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | (3,828) | (4,852) | (13,296) | (12,658) | |||||||||||
Capital Stock - Class B-1 - Membership/Excess | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance, shares | 10,331 | 9,004 | 9,169 | 8,534 | |||||||||||
Beginning balance | $ 1,033,112 | $ 900,472 | $ 916,921 | $ 853,462 | |||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock, Value | $ 382,783 | $ 485,163 | $ 1,329,579 | $ 1,265,790 | |||||||||||
Proceeds from sale of capital stock, shares | 3 | 11 | 36 | 115 | |||||||||||
Proceeds from sale of capital stock | $ 310 | $ 1,080 | $ 3,676 | $ 11,527 | |||||||||||
Repurchase/redemption of capital stock, shares | (4,832) | (4,901) | (13,531) | (12,583) | |||||||||||
Repurchase/redemption of capital stock | $ (483,209) | $ (490,100) | $ (1,353,145) | $ (1,258,289) | |||||||||||
Shares reclassified to mandatorily redeemable capital stock, shares | (61) | (23) | (64) | ||||||||||||
Shares reclassified to mandatorily redeemable capital stock | $ (6,035) | $ (2,326) | $ (6,421) | ||||||||||||
Dividends on capital stock | |||||||||||||||
Stock, shares | 191 | 161 | 574 | 406 | |||||||||||
Stock | $ 19,146 | $ 16,067 | $ 57,437 | $ 40,578 | |||||||||||
Ending balance, shares | 9,521 | 9,066 | 9,521 | 9,066 | |||||||||||
Ending balance | $ 952,142 | $ 906,647 | $ 952,142 | $ 906,647 | |||||||||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | 3,828 | 4,852 | 13,296 | 12,658 | |||||||||||
Retained Earnings | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance | $ 1,155,367 | $ 1,007,688 | $ 1,081,367 | $ 941,763 | |||||||||||
Adjustment to initially apply new lease accounting guidance (Note 2) | (25) | ||||||||||||||
Comprehensive income (loss) | |||||||||||||||
Net income | 53,104 | 50,071 | 165,578 | 140,641 | |||||||||||
Dividends on capital stock | |||||||||||||||
Cash | (64) | (65) | (195) | (198) | |||||||||||
Mandatorily redeemable capital stock | 0 | (36) | (27) | (37) | |||||||||||
Stock | (19,146) | (16,067) | (57,437) | (40,578) | |||||||||||
Ending balance | 1,189,261 | 1,041,591 | 1,189,261 | 1,041,591 | |||||||||||
Retained Earnings, Restricted | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance | 171,187 | 127,051 | 148,692 | 108,937 | |||||||||||
Comprehensive income (loss) | |||||||||||||||
Net income | 10,621 | 10,015 | 33,116 | 28,129 | |||||||||||
Dividends on capital stock | |||||||||||||||
Ending balance | 181,808 | 137,066 | 181,808 | 137,066 | |||||||||||
Retained Earnings, Unrestricted | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance | 984,180 | 880,637 | 932,675 | 832,826 | |||||||||||
Adjustment to initially apply new lease accounting guidance (Note 2) | $ (25) | ||||||||||||||
Comprehensive income (loss) | |||||||||||||||
Net income | 42,483 | 40,056 | 132,462 | 112,512 | |||||||||||
Dividends on capital stock | |||||||||||||||
Cash | (64) | (65) | (195) | (198) | |||||||||||
Mandatorily redeemable capital stock | 0 | (36) | (27) | (37) | |||||||||||
Stock | (19,146) | (16,067) | (57,437) | (40,578) | |||||||||||
Ending balance | 1,007,453 | 904,525 | 1,007,453 | 904,525 | |||||||||||
Accumulated Other Comprehensive Income (Loss) | |||||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||||
Beginning balance | 80,104 | 244,576 | 128,001 | 220,326 | |||||||||||
Comprehensive income (loss) | |||||||||||||||
Other comprehensive income (loss) | (37,323) | 35,579 | (85,220) | 59,829 | |||||||||||
Dividends on capital stock | |||||||||||||||
Ending balance | $ 42,781 | $ 280,155 | $ 42,781 | $ 280,155 | |||||||||||
|
Advances Redemption Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Advances by Redemption Terms [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 5,051 | $ 0 |
Weighted Average Interest Rate on Overdrawn Demand Deposit | 2.15% | 0.00% |
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 17,039,946 | $ 21,718,709 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 2.15% | 2.49% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | $ 2,173,465 | $ 2,986,350 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 2.34% | 2.48% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | $ 1,072,567 | $ 1,272,214 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 2.50% | 2.42% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | $ 792,629 | $ 951,787 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 2.63% | 2.49% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | $ 1,365,051 | $ 632,862 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 2.39% | 2.84% |
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | $ 15,465,546 | $ 13,230,406 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 1.95% | 2.42% |
Federal Home Loan Bank Advances Par Value | $ 37,914,255 | $ 40,792,328 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 2.11% | 2.47% |
Federal Home Loan Bank, Advances, Premium | $ 0 | $ 12 |
Deferred Prepayment Fees | (7,135) | (8,683) |
Federal Home Loan Bank, Advances, Commitment Fees | (101) | (108) |
Federal Home Loan Bank Advances, Valuation Adjustments For Hedging Activities | 273,574 | 10,264 |
Federal Home Loan Bank Advances | $ 38,180,593 | $ 40,793,813 |
Consolidated Obligations Interest Rate Payment Terms (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Debt Instrument [Line Items] | ||
Debt, Gross | $ 33,657,170 | $ 32,113,905 |
Fixed Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 17,002,670 | 15,606,555 |
Variable Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 14,177,000 | 10,029,850 |
Step Down [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 225,000 | 275,000 |
Step Up [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | $ 2,252,500 | $ 6,202,500 |
Employee Retirement Plans (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
|
Defined Benefit Plan Disclosure [Line Items] | ||||
Service cost | $ 7 | $ 5 | $ 21 | $ 15 |
Interest cost | 5 | 4 | 15 | 14 |
Amortization of prior service cost | 5 | 5 | 15 | 15 |
Amortization of net actuarial gain | (24) | (26) | (70) | (79) |
Net periodic benefit credit | $ (7) | $ (12) | $ (19) | $ (35) |
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Accumulated other comprehensive income (loss), Start of period | $ 128,001 | ||||||||||
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 | $ 0 | (580) | $ 0 | |||||||
Reclassification adjustment for gains on cash flow hedges included in net income | (521) | (464) | (2,093) | (427) | |||||||
Other amounts of other comprehensive income (loss) | |||||||||||
Net unrealized gains (losses) on available-for-sale securities | (13,098) | 26,598 | (5,574) | 30,735 | |||||||
Unrealized gains (losses) on cash flow hedges | (24,135) | 8,749 | (78,501) | 27,315 | |||||||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 450 | 717 | 1,583 | 2,270 | |||||||
Total other comprehensive income (loss) | (37,323) | 35,579 | [1] | (85,220) | 59,829 | [1] | |||||
Accumulated Other Comprehensive Income (Loss), End of Period | 42,781 | 42,781 | |||||||||
Accumulated Net Unrealized Investment Gain (Loss) [Member] | |||||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Accumulated other comprehensive income (loss), Start of period | [2] | 125,924 | 216,362 | 118,980 | 212,225 | ||||||
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 | [2] | (580) | |||||||||
Other amounts of other comprehensive income (loss) | |||||||||||
Net unrealized gains (losses) on available-for-sale securities | [2] | (13,098) | 26,598 | (5,574) | 30,735 | ||||||
Total other comprehensive income (loss) | [2] | (13,098) | 26,598 | (6,154) | 30,735 | ||||||
Accumulated Other Comprehensive Income (Loss), End of Period | [2] | 112,826 | 242,960 | 112,826 | 242,960 | ||||||
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 | (37,526) | 38,788 | 18,412 | 20,185 | |||||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||||||
Reclassification adjustment for gains on cash flow hedges included in net income | (521) | (464) | (2,093) | (427) | |||||||
Other amounts of other comprehensive income (loss) | |||||||||||
Unrealized gains (losses) on cash flow hedges | (24,135) | 8,749 | (78,501) | 27,315 | |||||||
Total other comprehensive income (loss) | (24,656) | 8,285 | (80,594) | 26,888 | |||||||
Accumulated Other Comprehensive Income (Loss), End of Period | (62,182) | 47,073 | (62,182) | 47,073 | |||||||
Accumulated Defined Benefit Plans Adjustment [Member] | |||||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Accumulated other comprehensive income (loss), Start of period | 1,240 | 1,474 | 1,276 | 1,517 | |||||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||||||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (19) | (21) | (55) | (64) | |||||||
Other amounts of other comprehensive income (loss) | |||||||||||
Total other comprehensive income (loss) | (19) | (21) | (55) | (64) | |||||||
Accumulated Other Comprehensive Income (Loss), End of Period | 1,221 | 1,453 | 1,221 | 1,453 | |||||||
AOCI Attributable to Parent [Member] | |||||||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||||||||
Accumulated other comprehensive income (loss), Start of period | 80,104 | 244,576 | 128,001 | 220,326 | |||||||
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 | (580) | ||||||||||
Reclassification adjustment for gains on cash flow hedges included in net income | (521) | (464) | (2,093) | (427) | |||||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (19) | (21) | (55) | (64) | |||||||
Other amounts of other comprehensive income (loss) | |||||||||||
Net unrealized gains (losses) on available-for-sale securities | (13,098) | 26,598 | (5,574) | 30,735 | |||||||
Unrealized gains (losses) on cash flow hedges | (24,135) | 8,749 | (78,501) | 27,315 | |||||||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 450 | 717 | 1,583 | 2,270 | |||||||
Total other comprehensive income (loss) | (37,323) | 35,579 | (85,220) | 59,829 | |||||||
Accumulated Other Comprehensive Income (Loss), End of Period | 42,781 | 280,155 | 42,781 | 280,155 | |||||||
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 | (9,534) | (12,048) | (10,667) | (13,601) | |||||||
Other amounts of other comprehensive income (loss) | |||||||||||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 450 | 717 | 1,583 | 2,270 | |||||||
Total other comprehensive income (loss) | 450 | 717 | 1,583 | 2,270 | |||||||
Accumulated Other Comprehensive Income (Loss), End of Period | $ (9,084) | $ (11,331) | $ (9,084) | $ (11,331) | |||||||
|
Consolidated Obligations |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 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 16. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $1.010 trillion and $1.032 trillion at September 30, 2019 and December 31, 2018, respectively. The Bank was the primary obligor on $67.6 billion and $68.0 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, 2019 and December 31, 2018 (in thousands, at par value).
At September 30, 2019 and December 31, 2018, 86 percent and 90 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, 2019 and December 31, 2018, by contractual maturity (dollars in thousands):
At September 30, 2019 and December 31, 2018, 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, 2019 and December 31, 2018, by the earlier of contractual maturity or next possible call date (in thousands, at par value):
Discount Notes. At September 30, 2019 and December 31, 2018, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):
|
Held-to-Maturity Securities |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Held-to-maturity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-Maturity Securities Disclosure [Text Block] | Held-to-Maturity Securities Major Security Types. Held-to-maturity securities as of September 30, 2019 were as follows (in thousands):
Held-to-maturity securities as of December 31, 2018 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, 2019. 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, 2018. 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, 2019, the gross unrealized losses on the Bank’s held-to-maturity securities were $5,229,000, of which $1,350,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS, $3,634,000 were attributable to securities that are issued and guaranteed by GSEs and $245,000 were attributable to a security issued by a state housing agency. As of September 30, 2019, the U.S. government and the issuers of the Bank’s holdings of GSE residential MBS (“RMBS”) were rated triple-A by Moody’s and AA+ by S&P. Based upon the credit ratings assigned by Moody's and S&P and the Bank's assessment of the strength of the GSEs’ guarantees of the Bank’s holdings of GSE RMBS, the Bank expects that its holdings of GSE RMBS that were in an unrealized loss position at September 30, 2019 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 creditworthiness of the state housing agency and the triple-A credit ratings assigned by Moody's and S&P, the Bank expects that the state housing agency debenture that was in an unrealized loss position at September 30, 2019 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, 2019. 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 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, 2019 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 22 non-agency RMBS holdings are likely to be recovered, the Bank performed a cash flow analysis for each security as of September 30, 2019 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, 2019 assumed changes in home prices ranging from declines of 6 percent to increases of 10 percent over the 12-month period beginning July 1, 2019. For the vast majority of markets, the changes were projected to range from increases of 2 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, 2019. 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 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, 2019 and 2018 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).
Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at September 30, 2019 and December 31, 2018 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 $2,078,000 and $2,457,000 at September 30, 2019 and December 31, 2018, respectively. Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at September 30, 2019 and December 31, 2018 (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 2018 or the nine months ended September 30, 2019. Sales of Securities. There were no sales of held-to-maturity securities during the nine months ended September 30, 2019. During the three and nine months ended September 30, 2018, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $41,498,000. Proceeds from the sales totaled $42,563,000, resulting in realized gains of $1,065,000. 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. |
Derivatives and Hedging Activities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at September 30, 2019 and December 31, 2018 (in thousands).
_____________________________
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three and nine months ended September 30, 2019 and 2018 (in thousands).
_____________________________
_____________________________
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cumulative Basis Adjustments for Fair Value Hedges [Table Text Block] | The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of September 30, 2019 (in thousands).
_____________________________
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives Not Designated as Hedging Instruments [Table Text Block] | The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the three and nine months ended September 30, 2019 and 2018 (in thousands).
_____________________________
|
Available-for-Sale Securities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-sale securities as of September 30, 2019 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, 2019. The aggregate amount due of $334,914,000 is included in other liabilities on the statement of condition at that date. Available-for-sale securities as of December 31, 2018 were as follows (in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of September 30, 2019. 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, 2018. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at September 30, 2019 and December 31, 2018 are presented below (in thousands).
|
Allowance for Credit Losses (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing Receivable, Past Due [Table Text Block] | The table below summarizes the recorded investment by payment status for mortgage loans at September 30, 2019 and December 31, 2018 (dollars in thousands).
_____________________________
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing Receivable, Allowance for Credit Loss [Table Text Block] | The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three and nine months ended September 30, 2019 and 2018 (in thousands):
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2019 and December 31, 2018 (in thousands).
|
Consolidated Obligations (Details) - USD ($) $ in Billions |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate | 86.00% | 90.00% |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 1,010.0 | $ 1,032.0 |
FHL Bank of Dallas [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 67.6 | $ 68.0 |
Advances Interest Rate Payment Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Advances by Interest Rate Payment Terms [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 5,051 | $ 0 |
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | 16,634,046 | 21,558,023 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | 10,363,357 | 8,503,772 |
Federal Home Loan Bank, Advances, Fixed Rate | 26,997,403 | 30,061,795 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | 410,951 | 160,686 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | 10,505,901 | 10,569,847 |
Federal Home Loan Bank, Advances, Floating Rate | 10,916,852 | 10,730,533 |
Federal Home Loan Bank Advances Par Value | $ 37,914,255 | $ 40,792,328 |
Statements of Condition (Unaudited) Parenthetical - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
ASSETS | ||
Held-to-maturity securities, Fair Value | $ 1,206,623 | $ 1,478,691 |
Other Assets, Fair Value Disclosure | $ 13,402 | $ 12,376 |
Capital Stock - Class B-1 - Membership/Excess | ||
CAPITAL (Note 13) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 9,521,426 | 9,169,206 |
Common Stock, Shares, Outstanding | 9,521,426 | 9,169,206 |
Capital Stock Class B-2 - Activity | ||
CAPITAL (Note 13) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 15,260,637 | 16,379,675 |
Common Stock, Shares, Outstanding | 15,260,637 | 16,379,675 |
Available-for-sale Securities [Member] | ||
ASSETS | ||
Derivative, Collateral, Right to Reclaim Securities | $ 889,241 | $ 712,547 |
Conventional Mortgage Loan [Member] | ||
ASSETS | ||
Loans and Leases Receivable, Allowance | $ 795 | $ 493 |
Statements of Capital (Unaudited) Parenthetical |
3 Months Ended | |||||
---|---|---|---|---|---|---|
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
|
Capital Stock - Class B-1 - Membership/Excess | ||||||
Capital Unit [Line Items] | ||||||
Dividends stock annualized percentage | 2.44% | 2.50% | 2.35% | 1.97% | 1.65% | 1.33% |
Capital Stock Class B-2 - Activity | ||||||
Capital Unit [Line Items] | ||||||
Dividends stock annualized percentage | 3.44% | 3.50% | 3.35% | 2.97% | 2.65% | 2.33% |
Held-to-Maturity Securities Sales of Securities (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
|
Proceeds and Gains (Losses) from Sale of HTM [Abstract] | ||||
Amortized Cost of Sold Held-to-maturity Securities | $ 41,498 | $ 41,498 | ||
Proceeds from Sales of Held-to-maturity Securities | 42,563 | $ 0 | 42,563 | |
Gains on sales of held-to-maturity securities | $ 0 | $ 1,065 | $ 0 | $ 1,065 |
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
|||
---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative, Notional Amount | $ 53,433,688 | $ 49,101,899 | |||
Assets | |||||
Cash and due from banks | 153,232 | 35,157 | |||
Trading securities | 7,313,437 | 1,818,178 | |||
Available-for-sale securities | 17,201,268 | 15,825,155 | |||
Held-to-maturity securities | 1,195,375 | 1,462,279 | |||
Held-to-maturity securities, Fair Value | 1,206,623 | 1,478,691 | |||
Accrued interest receivable | 175,166 | 152,670 | |||
Derivative assets | 25,050 | 9,878 | |||
Other assets held at fair value | 13,402 | 12,376 | |||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (35,049) | (33,818) | ||
Assets, Amounts Offset Against Collateral | 35,049 | 33,818 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,106 | 6,979 | |||
Accrued interest payable | 114,957 | 122,938 | |||
Derivative liabilities | 4,540 | 45,991 | |||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (252,251) | (188,688) | ||
Carrying Value [Member] | |||||
Assets | |||||
Cash and due from banks | 153,232 | 35,157 | |||
Interest-bearing deposits | 1,051,220 | 2,500,317 | |||
Securities purchased under agreements to resell | 4,385,000 | 6,215,000 | |||
Federal funds sold | 450,000 | 1,731,000 | |||
Trading securities | 7,313,437 | 1,818,178 | |||
Available-for-sale securities | 17,201,268 | 15,825,155 | |||
Held-to-maturity securities | 1,195,375 | 1,462,279 | |||
Advances | 38,180,593 | 40,793,813 | |||
Mortgage loans held for portfolio, net | 3,603,112 | 2,185,503 | |||
Accrued interest receivable | 175,166 | 152,670 | |||
Derivative assets | 25,050 | 9,878 | |||
Other assets held at fair value | 13,402 | 12,376 | |||
Liabilities | |||||
Deposits | 1,246,482 | 963,992 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,106 | 6,979 | |||
Accrued interest payable | 114,957 | 122,938 | |||
Derivative liabilities | 4,540 | 45,991 | |||
Estimated Fair Value [Member] | |||||
Assets | |||||
Cash and due from banks | 153,232 | 35,157 | |||
Interest-bearing deposits | 1,051,220 | 2,500,317 | |||
Securities purchased under agreements to resell | 4,385,000 | 6,215,000 | |||
Federal funds sold | 450,000 | 1,731,000 | |||
Trading securities | 7,313,437 | 1,818,178 | |||
Available-for-sale securities | 17,201,268 | 15,825,155 | |||
Held-to-maturity securities, Fair Value | 1,206,623 | 1,478,691 | |||
Advances | 38,105,706 | 40,720,636 | |||
Mortgage loans held for portfolio, net | 3,643,245 | 2,161,720 | |||
Accrued interest receivable | 175,166 | 152,670 | |||
Derivative assets | 25,050 | 9,878 | |||
Other assets held at fair value | 13,402 | 12,376 | |||
Liabilities | |||||
Deposits | 1,246,566 | 964,017 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,106 | 6,979 | |||
Accrued interest payable | 114,957 | 122,938 | |||
Derivative liabilities | 4,540 | 45,991 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Assets | |||||
Cash and due from banks | 153,232 | 35,157 | |||
Interest-bearing deposits | 0 | 0 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Held-to-maturity securities, Fair Value | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Other assets held at fair value | 13,402 | 12,376 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 7,106 | 6,979 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Assets | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 1,051,220 | 2,500,317 | |||
Securities purchased under agreements to resell | 4,385,000 | 6,215,000 | |||
Federal funds sold | 450,000 | 1,731,000 | |||
Trading securities | 7,313,437 | 1,818,178 | |||
Available-for-sale securities | 17,201,268 | 15,825,155 | |||
Held-to-maturity securities, Fair Value | 1,137,746 | 1,400,536 | |||
Advances | 38,105,706 | 40,720,636 | |||
Mortgage loans held for portfolio, net | 3,643,245 | 2,161,720 | |||
Accrued interest receivable | 175,166 | 152,670 | |||
Derivative assets | 60,099 | 43,696 | |||
Other assets held at fair value | 0 | 0 | |||
Liabilities | |||||
Deposits | 1,246,566 | 964,017 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | 114,957 | 122,938 | |||
Derivative liabilities | 256,791 | 234,679 | |||
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 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Held-to-maturity securities, Fair Value | 68,877 | 78,155 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Other assets held at fair value | 0 | 0 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Consolidated obligations | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Consolidated Obligation Discount Notes [Member] | Carrying Value [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 33,878,782 | 35,731,713 | |||
Consolidated Obligation Discount Notes [Member] | Estimated Fair Value [Member] | |||||
Consolidated obligations | |||||
Discount notes, Fair Value | 33,880,345 | 35,723,208 | |||
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 | 33,880,345 | 35,723,208 | |||
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 | 33,744,493 | 31,931,929 | |||
Consolidated Obligation Bonds [Member] | Estimated Fair Value [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | 33,745,052 | 31,850,858 | |||
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 | 33,745,052 | 31,850,858 | |||
Consolidated Obligation Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||
Consolidated obligations | |||||
Bonds, Fair Value | $ 0 | $ 0 | |||
|
Allowance for Credit Losses |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2019 and 2018, there were no significant purchases or sales of financing receivables, nor were any financing receivables reclassified to held for sale. 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, 2019 or December 31, 2018. 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, 2019 and December 31, 2018, 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, 2019 and December 31, 2018, 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 MPF program (as more fully described in the Bank’s 2018 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, 2019 and December 31, 2018 (dollars in thousands).
_____________________________
At September 30, 2019 and December 31, 2018, the Bank’s other assets included $17,000 and $7,000, 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, 2019 and December 31, 2018, the Bank did not have any troubled debt restructurings related to mortgage loans. At these dates, the estimated value of the collateral securing each nonaccrual loan, 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 the nonaccrual 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 $795,000 was adequate to reserve for credit losses in its conventional mortgage loan portfolio at September 30, 2019. The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three and nine months ended September 30, 2019 and 2018 (in thousands):
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, 2019 and December 31, 2018 (in thousands).
|
Available-for-Sale Securities |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Available-for-sale [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities Disclosure [Text Block] | Available-for-Sale Securities Major Security Types. Available-for-sale securities as of September 30, 2019 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, 2019. The aggregate amount due of $334,914,000 is included in other liabilities on the statement of condition at that date. Available-for-sale securities as of December 31, 2018 were as follows (in thousands):
Included in the table above are GSE commercial MBS that were purchased but which had not yet settled as of December 31, 2018. The aggregate amount due of $125,927,000 is 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, 2019. 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, 2018. 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, 2019, the gross unrealized losses on the Bank’s available-for-sale securities were $35,506,000. 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, 2019, the U.S. government and the issuers of the Bank’s holdings of GSE debentures and GSE commercial MBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and AA+ by S&P Global Ratings (“S&P”). The Bank's holdings of PEFCO debentures are rated triple-A by Moody's and are not rated by S&P. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures that were in an unrealized loss position at September 30, 2019 and the credit ratings assigned by Moody's and S&P, the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in the 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 Moody's and S&P, the Bank expects that its holdings of GSE commercial MBS that were in an unrealized loss position at September 30, 2019 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, 2019. Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at September 30, 2019 and December 31, 2018 are presented below (in thousands).
Interest Rate Payment Terms. At September 30, 2019 and December 31, 2018, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate. Sales of Securities. During the nine months ended September 30, 2019, the Bank sold available-for-sale securities with an amortized cost (determined by the specific identification method) of $435,439,000. Proceeds from the sales totaled $436,019,000, resulting in realized gains of $580,000. There were no sales of available-for-sale securities during the three months ended September 30, 2019 or the nine months ended September 30, 2018. |
MJ?'N]>_9M?7O=
MOG>+UU7S;3W:O"^7\_7_JF;1?MR,:?SSP:^OSR_=]L'D]OIM_MS\J^G^_?9M
MW7^;'*T\OBZ;U>:U78W6S=/-^"M=W?NP+; C_O/:?&Q./H^VKGQOV]^V7_[^
M>#-VVQ8UB^:AVYJ8]_]^---FL=A:ZMOQ^\'H^%CGMN#IYY_6ZYWSO3/?YYMF
MVB[^^_K8O=R,\WCTV#S-WQ?=K^W'WYJ#0V$\.GC_C^9'L^CQ;4OZ.A[:Q6;W
M=_3PONG:Y<%*WY3E_(_]_]?5[O_'_I>0#\5P 3X4X&.!["X6D$,!.18@?[&
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M<92*C@# ),8XX!P4#U^)K7-).\ !<4LH$[*'''GK@(;E8BQ?&G[;DBQ"I@QQS)B5-K)4 UYG/%M&YXYHP#SW&'*#82,F,ORC" %%B"6(;P@X3$!! FH)Z(2 (003
MQ"!!['G $';"[#&IQ=06@U&".64.<..3<0P[DX#.)( SQ'&FQR039TC*2$IA
MG13420$=ZNBDGDY"\4PT&:B2 2JQHY+YT60TR1S8QJ?"R8PO#/2%^;X0V)Z#
M]OS^/,,(KB=T1Z8-H.EYX PQ%L=.&FP NKE7?
MA1-Y:G @9NQ])\(3;P_<]Z8(SMB*>.?%6^^]Y/R:I^P2B*:8XQC#%S';.8)Y
M]CD%7TMQY/_!^3I\MZIP%^&[3PIWZP3)*D$2"9)/!,F7$M=B]E^2L$5/-9@Z
M3I,E!?9MG.2%=Q[8V_B([%_X..V/PM2RM>2,SK]L['^%Z,!+V5SY$6K\!YL-
M!94+QV_^;,8Q&PV'W?2#V/R-\W=02P,$% @ )XML3_F$P7JV 0 T0,
M !D !X;"]W;W)K
]-$9RQ%?'.B[?>>\WY?I^R:R":8DYC#%_$;.8(YMGG%'PMQ8G_
M!^?K\.VJPFV$;]\I/*P3[%8)=I%@]X[@]D.)*S&'Y$,2MNBI!E/':;*DP+Z-
MD[SPS@-[Q^.;_ L?I_V[,+5L+;F@\R\;^U\A.O!2DAL_0HW_8+.AH'+AN/=G
M,X[9:#CLIA_$YF^<_P502P,$% @ )XML3^%RAW>V 0 T@, !D !X
M;"]W;W)K
4S,5_@2LH# ]*,$=IE(LK
M*0?GC9Y94(H6K],NN[B/T\W]#;8-X#. +X!#!+ I453^07A19-:,Q$Z][T5X
MXO3(L3=E<,96Q#L4[]![+?CA(6/70#3'G*88OHI)EPB&[$L*OI7BQ/^#\VWX
M;E/A+L)W:_A#LDVPWR381X+]/P3IFQ*W8MZJ9*N>:K!-G"9'2C-T<9)7WF5@
M'WE\D[_AT[1_%;:1G2,7X_%E8_]K8SR@E.0.1ZC%#[88"FH?CO=XMM.8388W
M_?R#V/*-BS]02P,$% @ )XML3W,H'=>V 0 T@, !D !X;"]W;W)K
M9L2IMT1^&^F>*5R=Z*^)ADY&:%
M%LQYQD0;3+@BB%%?+2*?Q3GZAQ[YZ;&WPMC1XRT]2?P"!Z_ P0D<_FHQW;7H
MPSSZ38Y>DZ-'X-W.Q(-) K])XC5)/ +ASL2'^<]YIUZ3U",0[TQ\F,/.A&RN
M( ?9N.%3J!1C[P9_DUWG^RER5_@/?'X
(?12Y$F
MNXQ=@M",.4X8OL*\(1BJ+RGX5HHC_X_.M^G[S0KWD;Y?TS^FVP+IID :!=)_
M6N0W+6YA]C=)V&JF&FP3M\F1T@Q=W.15=%G8!Q[OY T^;?LW81O9.7(V'F\V
MSK\VQ@.6DMSA"K7XP!9'0>V#^1YM.ZW9Y'C3SR^(+<^X^ M02P,$% @
M)XML3Q;L"B:W 0 T@, !D !X;"]W;W)K27/D1:OT'FPT!M0O'G3^;<"3'- (*:.S6"=#N=TH):M]0],:,&V@:2
MX"1+DG=$4"9Q78;86=>EFBQG$LX:F4D(JG^=@*NYPBE^"SRS?K ^0.IRI#U\
M!?MM/&NW(IM*RP1(PY1$&KH*/Z;'T\'C ^ [@]GLYLA7
M$^!@HK+#+"RFMI@/.'$729Q%$D>1+"DEF1!5ZF$T?GH"C$<>S6LG!J63BT
M8#?!TDFPO-_RE9-@=8?E'2:YQ_+4621U%(DF1=*9FS@)@DD5-+J5#,393CSI
M%?Q2VVD[B@Y#]1';6_T&[R;R5R+.52V] U=Z-M@;?.)<@=82/.A>2_T1& X4
M3LILEWHONE'8'11O^BF/AD]-_@=02P,$% @ )XML3[$T184M @ S08
M !D !X;"]W;W)K
([(-49.(LQD,7F^4 @_;^"
M.Z#.&6
KK)K,!HUVT%#9AKRKV*W5% T23(/
M,%$0D(+T\71.(=XQH* ![0WRN0$IHC(>\U[:!!#$>5+$7O<.0@1[[D$%&*
M[:!ALQ2$4,1)SB,60)AS3!@J820&(C$ *7I_6P9D8J+D+"):ZBBFOO[!$'
M@3@ 1",@ODB$<4X8%Q$0H*.8$)S#0 ($$@!0'@&)1:(B%YQ$G\IN*2L9%H6
M<0H0IP!PHA>Q+8#]P7FQ:.>ECF/,.8%Y2I"G!'BB5MV62QZ$:%DN>AH28BY\
M_\-(_HH CRVTA&)Q5X^B^<=,11GZ*.YK0)DC41(Z.T0&K&QVL(:;[ILTIZJU
MR8MV_HSN3]*CUDYY5_3@RSS[RW6:U.KHPE#XL1ENF&'B=#?>GMETA6_^ E!+
M P04 " GBVQ/P= ^1G<" #4!P &0 'AL+W=O
1$&!3Y$ 8EQ%#<%BEBBRJ
&ULE9O=;N,V$(5?Q?!]U^3P/T@"-#:*%FB!18NV
MU]Y$28RUK=16-MNWKR0[KL4YXU W<20?4H<4_7&&HJ[?ZMW7_7-5-9/OF_5V
M?S-];IJ7J]EL?_]<;9;[3_5+M6V_>:QWFV73'NZ>9ON77;5\Z MMUC-2RL\V
MR]5V>GO=G_N\N[VN7YOU:EM]WDWVKYO-6]RQM5MSWB\!8%6-6L@>28\Z\<^>T!9R,:4'P'J*X$Z16@S\Q2(&
M+6PZ-UNIV O-5N3(<=.A%^JP8]M"^B='F QKUW//@=?F4',9 -FJAP?T'?$?
M_0L5,S"K[)H6=:PAG4/1?NT^>\M-*O$*\+-! [L8.]+)EI W.?FR6[L+F1#"
MJ.)2 8K'"14(8RDDTO@]:;KSDI)X.3ZK?U+>A91<313+X44F]"=S?88!87]),8XD3QASEF.N,$\<7][E_L68)RZ,ED;"L2=,
M.@M2:TT&R_.H'UZ(60+QMH^4LB6,3JO(KE8;7H&PF5XM!JA5Y%>K#K!(V4RP
M%D/4*C*LU898)&RE6(M!:@$CZSL[R]$W7*)-J*?#'"B]2?W%A@3$.4Q)ARA9
MGU2.AU07^UE.-:& T%(.P4BF,'<=C[,L8#L>4V' 1KI&P'88XXYCG =LQ_F,
M C:0R0';"-"DQJ!+C4 FI\: *1XTJ3'H4B.2R:DQ8(2'3Z3&('RXI$B- :?&P-]V
ME!J]D2Y, 1,WZ%-CP'P,BM085*D1J.34 7@R(U!F5J1+I&:@R8BD&3&H,J
M-4*5F!HCYF%$/)0^EL3TBI](C1'C)BI28U2F1J!K?=2*>1,5J3%RCM1O45,R
M]H$Q$Q5),?( R'RT)&,?F%51D0XC1Q#ST9*,?0B?@6L^!.=)C_EH2<8^,.:B
M(@9C#FHR49^\" BXK@%SFXF(^69.P#8RTJPE[DO&(^6I)Q20+&6=+$N\13
M6VVD*1D;P5!,BDB7>%1C/EJ2L0],UJ0)-D3!#';^/0F.DN)%J:BHSPE0'
MQ?\YBSV^PJ3\1+D^"?7Z! KV^_L -BK\$NU<\MZS1ATHI=+_9T5KPE0'U?M9
M:HHDH=Z>3E7RJC$2:N0)%