☑ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation | 71-6013989 | ||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification Number) | ||||||||||
(Address of principal executive offices) | (Zip code) |
(Registrant’s telephone number, including area code) |
Title of each class | Trading symbol(s) | Name of each exchange on which registered | ||||||
Large accelerated filer | ☐ | Accelerated filer | ☐ | |||||||||||||||||||||||
☑ | Smaller reporting company | |||||||||||||||||||||||||
Emerging growth company |
Page | |||||
EX-10.1 | |||||
EX-31.1 | |||||
EX-31.2 | |||||
EX-32.1 | |||||
EX-101 INSTANCE DOCUMENT | |||||
EX-101 SCHEMA DOCUMENT | |||||
EX-101 CALCULATION LINKBASE DOCUMENT | |||||
EX-101 DEFINITION LINKBASE DOCUMENT | |||||
EX-101 LABELS LINKBASE DOCUMENT | |||||
EX-101 PRESENTATION LINKBASE DOCUMENT | |||||
EX-104 COVER PAGE INTERACTIVE DATA FILE |
June 30, 2020 | December 31, 2019 | ||||||||||
ASSETS | |||||||||||
Cash and due from banks | $ | $ | |||||||||
Interest-bearing deposits (Notes 8 and 9) | |||||||||||
Securities purchased under agreements to resell (Notes 8, 9 and 12) | |||||||||||
Federal funds sold (Notes 8 and 9) | |||||||||||
Trading securities (Notes 3 and 8) | |||||||||||
Available-for-sale securities (a) (Notes 4, 8, 9, 12 and 17) ($ | |||||||||||
Held-to-maturity securities (b) (Notes 5, 8 and 9) | |||||||||||
Advances (Notes 6, 8 and 9) | |||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $4,892 and $ | |||||||||||
Accrued interest receivable (Note 8) | |||||||||||
Premises and equipment, net | |||||||||||
Derivative assets (Notes 12 and 13) | |||||||||||
Other assets (including $ | |||||||||||
TOTAL ASSETS | $ | $ | |||||||||
LIABILITIES AND CAPITAL | |||||||||||
Deposits | |||||||||||
Interest-bearing | $ | $ | |||||||||
Non-interest bearing | |||||||||||
Total deposits | |||||||||||
Consolidated obligations (Note 10) | |||||||||||
Discount notes | |||||||||||
Bonds | |||||||||||
Total consolidated obligations | |||||||||||
Mandatorily redeemable capital stock | |||||||||||
Accrued interest payable | |||||||||||
Affordable Housing Program (Note 11) | |||||||||||
Derivative liabilities (Notes 12 and 13) | |||||||||||
Other liabilities | |||||||||||
Total liabilities | |||||||||||
Commitments and contingencies (Notes 9 and 17) | |||||||||||
CAPITAL (Note 14) | |||||||||||
Capital stock | |||||||||||
Capital stock — Class B-1 putable ($ | |||||||||||
Capital stock — Class B-2 putable ($ | |||||||||||
Total Class B Capital Stock | |||||||||||
Retained earnings | |||||||||||
Unrestricted | |||||||||||
Restricted | |||||||||||
Total retained earnings | |||||||||||
Accumulated other comprehensive income (loss) (Note 20) | ( | ||||||||||
Total capital | |||||||||||
TOTAL LIABILITIES AND CAPITAL | $ | $ |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||
June 30, | June 30, | |||||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||
INTEREST INCOME | ||||||||||||||||||||||||||
Advances | $ | $ | $ | $ | ||||||||||||||||||||||
Prepayment fees on advances, net | ||||||||||||||||||||||||||
Interest-bearing deposits | ||||||||||||||||||||||||||
Securities purchased under agreements to resell | ||||||||||||||||||||||||||
Federal funds sold | ||||||||||||||||||||||||||
Trading securities | ||||||||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||||
Mortgage loans held for portfolio | ||||||||||||||||||||||||||
Total interest income | ||||||||||||||||||||||||||
INTEREST EXPENSE | ||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||
Bonds | ||||||||||||||||||||||||||
Discount notes | ||||||||||||||||||||||||||
Deposits | ||||||||||||||||||||||||||
Mandatorily redeemable capital stock | ||||||||||||||||||||||||||
Other borrowings | ||||||||||||||||||||||||||
Total interest expense | ||||||||||||||||||||||||||
NET INTEREST INCOME | ||||||||||||||||||||||||||
Provision for mortgage loan losses | ||||||||||||||||||||||||||
NET INTEREST INCOME AFTER PROVISION FOR MORTGAGE LOAN LOSSES | ||||||||||||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||||||||||||
Net gains (losses) on trading securities | ( | |||||||||||||||||||||||||
Net gains on derivatives and hedging activities | ||||||||||||||||||||||||||
Net gains (losses) on other assets carried at fair value | ( | |||||||||||||||||||||||||
Realized gains on sales of available-for-sale securities | ||||||||||||||||||||||||||
Letter of credit fees | ||||||||||||||||||||||||||
Other, net | ||||||||||||||||||||||||||
Total other income (loss) | ( | |||||||||||||||||||||||||
OTHER EXPENSE | ||||||||||||||||||||||||||
Compensation and benefits | ||||||||||||||||||||||||||
Other operating expenses | ||||||||||||||||||||||||||
Finance Agency | ||||||||||||||||||||||||||
Office of Finance | ||||||||||||||||||||||||||
Subsidies, grants and donations | ||||||||||||||||||||||||||
Derivative clearing fees | ||||||||||||||||||||||||||
Total other expense | ||||||||||||||||||||||||||
INCOME BEFORE ASSESSMENTS | ||||||||||||||||||||||||||
Affordable Housing Program assessment | ||||||||||||||||||||||||||
NET INCOME | $ | $ | $ | $ |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||
June 30, | June 30, | |||||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||||||||||||
NET INCOME | $ | $ | $ | $ | ||||||||||||||||||||||
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 | ( | ( | ||||||||||||||||||||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | ( | ( | ||||||||||||||||||||||||
Unrealized losses on cash flow hedges | ( | ( | ( | ( | ||||||||||||||||||||||
Reclassification adjustment for losses (gains) on cash flow hedges included in net income | ( | ( | ||||||||||||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | ||||||||||||||||||||||||||
Postretirement benefit plan | ||||||||||||||||||||||||||
Amortization of prior service cost included in net periodic benefit credit | ||||||||||||||||||||||||||
Amortization of net actuarial gain included in net periodic benefit credit | ( | ( | ( | ( | ||||||||||||||||||||||
Total other comprehensive income (loss) | ( | ( | ( | |||||||||||||||||||||||
TOTAL COMPREHENSIVE INCOME (LOSS) | $ | $ | ( | $ | ( | $ |
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, APRIL 1, 2020 | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | ( | ( | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Dividends on capital stock (a) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Stock | — | — | ( | — | ( | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2020 | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||||||||||||
BALANCE, APRIL 1, 2019 | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | ( | ( | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Dividends on capital stock (b) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Stock | — | — | ( | — | ( | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2019 | $ | $ | $ | $ | $ | $ | $ |
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, 2020 | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | ( | ( | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Adjustment to initially apply new credit loss accounting guidance (Note 2) | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Dividends on capital stock (a) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Stock | ( | — | ( | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2020 | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||||||||||||
BALANCE, JANUARY 1, 2019 | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock | ( | ( | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sale of capital stock | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Adjustment to initially apply new lease accounting guidance | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Dividends on capital stock (b) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | — | — | — | ( | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||
Stock | ( | — | ( | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2019 | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||
For the Six Months Ended | |||||||||||
June 30, | |||||||||||
2020 | 2019 | ||||||||||
OPERATING ACTIVITIES | |||||||||||
Net income | $ | $ | |||||||||
Adjustments to reconcile net income to net cash used in operating activities | |||||||||||
Depreciation and amortization | |||||||||||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | ( | ||||||||||
Concessions on consolidated obligations | |||||||||||
Premises, equipment and computer software costs | |||||||||||
Non-cash interest on mandatorily redeemable capital stock | |||||||||||
Provision for mortgage loan losses | |||||||||||
Gains on sales of available-for-sale securities | ( | ||||||||||
Net losses (gains) on other assets carried at fair value | ( | ||||||||||
Net gains on trading securities | ( | ( | |||||||||
Net gain due to changes in net fair value adjustment on derivative and hedging activities | ( | ( | |||||||||
Decrease (increase) in accrued interest receivable | ( | ||||||||||
Decrease in other assets | |||||||||||
Increase in Affordable Housing Program (AHP) liability | |||||||||||
Decrease in accrued interest payable | ( | ( | |||||||||
Increase (decrease) in other liabilities | ( | ||||||||||
Total adjustments | ( | ( | |||||||||
Net cash used in operating activities | ( | ( | |||||||||
INVESTING ACTIVITIES | |||||||||||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | ( | ||||||||||
Net decrease in securities purchased under agreements to resell | |||||||||||
Net decrease (increase) in federal funds sold | ( | ||||||||||
Purchases of trading securities | ( | ( | |||||||||
Proceeds from maturities of trading securities | |||||||||||
Proceeds from sales of trading securities | |||||||||||
Purchases of available-for-sale securities | ( | ||||||||||
Proceeds from maturities of available-for-sale securities | |||||||||||
Proceeds from sales of available-for-sale securities | |||||||||||
Proceeds from maturities of held-to-maturity securities | |||||||||||
Principal collected on advances | |||||||||||
Advances made | ( | ( | |||||||||
Principal collected on mortgage loans held for portfolio | |||||||||||
Purchases of mortgage loans held for portfolio | ( | ( | |||||||||
Purchases of premises, equipment and computer software | ( | ( | |||||||||
Net cash provided by (used in) investing activities | ( | ||||||||||
For the Six Months Ended | |||||||||||
June 30, | |||||||||||
2020 | 2019 | ||||||||||
FINANCING ACTIVITIES | |||||||||||
Net increase (decrease) in deposit liabilities, including swap collateral held | ( | ||||||||||
Net payments on derivative contracts with financing elements | ( | ( | |||||||||
Increase in loan from other FHLBank | |||||||||||
Net proceeds from issuance of consolidated obligations | |||||||||||
Discount notes | |||||||||||
Bonds | |||||||||||
Debt issuance costs | ( | ( | |||||||||
Payments for maturing and retiring consolidated obligations | |||||||||||
Discount notes | ( | ( | |||||||||
Bonds | ( | ( | |||||||||
Proceeds from issuance of capital stock | |||||||||||
Payments for redemption of mandatorily redeemable capital stock | ( | ( | |||||||||
Payments for repurchase/redemption of capital stock | ( | ( | |||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | |||||||||||
Cash dividends paid | ( | ( | |||||||||
Net cash provided by (used in) financing activities | ( | ||||||||||
Net increase in cash and cash equivalents | |||||||||||
Cash and cash equivalents at beginning of the period | |||||||||||
Cash and cash equivalents at end of the period | $ | $ | |||||||||
Supplemental Disclosures: | |||||||||||
Interest paid | $ | $ | |||||||||
AHP payments, net | $ | $ | |||||||||
Stock dividends issued | $ | $ | |||||||||
Dividends paid through issuance of mandatorily redeemable capital stock | $ | $ | |||||||||
Net capital stock reclassified to mandatorily redeemable capital stock | $ | $ | |||||||||
Right-of-use assets acquired by lease | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
U.S. Treasury Notes | $ | $ | |||||||||
U.S. Treasury Bills | |||||||||||
Total | $ | $ |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||
Debentures | |||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | $ | $ | $ | |||||||||||||||||||
GSE obligations | |||||||||||||||||||||||
Other | |||||||||||||||||||||||
GSE commercial MBS | |||||||||||||||||||||||
Total | $ | $ | $ | $ |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||
Debentures | |||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | $ | $ | $ | |||||||||||||||||||
GSE obligations | |||||||||||||||||||||||
Other | |||||||||||||||||||||||
GSE commercial MBS | |||||||||||||||||||||||
Total | $ | $ | $ | $ |
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 | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||||||||
GSE debentures | |||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE commercial MBS | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
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 | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||||||||
GSE commercial MBS | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Maturity | Amortized Cost | Estimated Fair Value | Amortized Cost | Estimated Fair Value | ||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||
Due in one year or less | $ | $ | $ | $ | ||||||||||||||||||||||
Due after one year through five years | ||||||||||||||||||||||||||
Due after five years through ten years | ||||||||||||||||||||||||||
Due after ten years | ||||||||||||||||||||||||||
GSE commercial MBS | ||||||||||||||||||||||||||
Total | $ | $ | $ | $ |
Amortized Cost | Non-credit OTTI Recorded in Accumulated Other Comprehensive Income (Loss) | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||||||||||||||
Debentures | |||||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
State housing agency obligations | 110,537 | ||||||||||||||||||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
GSE residential MBS | |||||||||||||||||||||||||||||||||||
Non-agency residential MBS | |||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
Amortized Cost | Non-credit OTTI Recorded in Accumulated Other Comprehensive Income (Loss) | Carrying Value | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||||||||||||||
Debentures | |||||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
State housing agency obligations | |||||||||||||||||||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
GSE residential MBS | |||||||||||||||||||||||||||||||||||
Non-agency residential MBS | |||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||||||||
Maturity | Amortized Cost | Carrying Value | Estimated Fair Value | Amortized Cost | Carrying Value | Estimated Fair Value | ||||||||||||||||||||||||||||||||
Debentures | ||||||||||||||||||||||||||||||||||||||
Due after one year through five years | $ | $ | $ | $ | $ | $ | 5,874 | |||||||||||||||||||||||||||||||
Due after ten years | ||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | 1,092,415 | $ | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
Amortized cost of variable-rate held-to-maturity securities other than MBS | $ | $ | |||||||||
Amortized cost of held-to-maturity MBS | |||||||||||
Fixed-rate pass-through securities | |||||||||||
Collateralized mortgage obligations | |||||||||||
Fixed-rate | |||||||||||
Variable-rate | |||||||||||
Total | $ | $ |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||||||||||||
Overdrawn demand deposit accounts | $ | % | $ | % | ||||||||||||||||||||||
Due in one year or less | ||||||||||||||||||||||||||
Due after one year through two years | ||||||||||||||||||||||||||
Due after two years through three years | ||||||||||||||||||||||||||
Due after three years through four years | ||||||||||||||||||||||||||
Due after four years through five years | ||||||||||||||||||||||||||
Due after five years | ||||||||||||||||||||||||||
Total par value | % | % | ||||||||||||||||||||||||
Deferred net prepayment fees | ( | ( | ||||||||||||||||||||||||
Commitment fees | ( | ( | ||||||||||||||||||||||||
Hedging adjustments | ||||||||||||||||||||||||||
Total | $ | $ |
Contractual Maturity or Next Call Date | June 30, 2020 | December 31, 2019 | ||||||||||||
Overdrawn demand deposit accounts | $ | $ | ||||||||||||
Due in one year or less | ||||||||||||||
Due after one year through two years | ||||||||||||||
Due after two years through three years | ||||||||||||||
Due after three years through four years | ||||||||||||||
Due after four years through five years | ||||||||||||||
Due after five years | ||||||||||||||
Total par value | $ | $ |
Contractual Maturity or Next Put Date | June 30, 2020 | December 31, 2019 | ||||||||||||
Overdrawn demand deposit accounts | $ | $ | ||||||||||||
Due in one year or less | ||||||||||||||
Due after one year through two years | ||||||||||||||
Due after two years through three years | ||||||||||||||
Due after three years through four years | ||||||||||||||
Due after four years through five years | ||||||||||||||
Due after five years | ||||||||||||||
Total par value | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
Fixed-rate | |||||||||||
Due in one year or less | $ | $ | |||||||||
Due after one year | |||||||||||
Total fixed-rate | |||||||||||
Variable-rate | |||||||||||
Due in one year or less | |||||||||||
Due after one year | |||||||||||
Total variable-rate | |||||||||||
Total par value | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
Fixed-rate medium-term* single-family mortgages | $ | $ | |||||||||
Fixed-rate long-term single-family mortgages | |||||||||||
Premiums | |||||||||||
Discounts | ( | ( | |||||||||
Deferred net derivative gains associated with mortgage delivery commitments | |||||||||||
Total mortgage loans held for portfolio | |||||||||||
Less: allowance for credit losses on mortgage loans | ( | ( | |||||||||
Total mortgage loans held for portfolio, net of allowance for credit losses | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
Advances | $ | $ | |||||||||
Investment securities | |||||||||||
Trading | |||||||||||
Available-for-sale | |||||||||||
Held-to-maturity | |||||||||||
Mortgage loans held for portfolio | |||||||||||
Interest-bearing deposits | |||||||||||
Securities purchased under agreements to resell | |||||||||||
Federal funds sold | |||||||||||
Total | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||
Conventional Loans Originated Prior to 2004 | Conventional Loans Originated in 2016-2020 | Total Conventional Loans | Government- Guaranteed/ Insured Loans (1) | Total | Conventional Loans | Government- Guaranteed/ Insured Loans | Total | ||||||||||||||||||||||||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||||||||||||||||||||||||||
30-59 days delinquent | $ | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
60-89 days delinquent | |||||||||||||||||||||||||||||||||||||||||||||||
90 days or more delinquent | |||||||||||||||||||||||||||||||||||||||||||||||
Total past due | |||||||||||||||||||||||||||||||||||||||||||||||
Total current loans | |||||||||||||||||||||||||||||||||||||||||||||||
Total mortgage loans | $ | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Other delinquency statistics: | |||||||||||||||||||||||||||||||||||||||||||||||
In process of foreclosure (2) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||
Serious delinquency rate (3) | % | % | % | % | % | % | |||||||||||||||||||||||||||||||||||||||||
Past due 90 days or more and still accruing interest (4) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||
Nonaccrual loans (5) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||
Troubled debt restructurings | $ | $ | $ | $ | $ | $ |
Three Months Ended | Six Months Ended | ||||||||||||||||||||||
June 30, | June 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Balance, beginning of period | $ | $ | $ | $ | |||||||||||||||||||
Adjustment to initially apply new credit loss accounting guidance (Note 2) | |||||||||||||||||||||||
Provision for credit losses | |||||||||||||||||||||||
Balance, end of period | $ | $ | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
Fixed-rate | $ | $ | |||||||||
Variable-rate | |||||||||||
Step-up | |||||||||||
Step-down | |||||||||||
Total par value | $ | $ |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||||||||||||
Due in one year or less | $ | % | $ | % | ||||||||||||||||||||||
Due after one year through two years | ||||||||||||||||||||||||||
Due after two years through three years | ||||||||||||||||||||||||||
Due after three years through four years | ||||||||||||||||||||||||||
Due after four years through five years | ||||||||||||||||||||||||||
Due after five years | ||||||||||||||||||||||||||
Total par value | % | % | ||||||||||||||||||||||||
Premiums | ||||||||||||||||||||||||||
Discounts | ( | ( | ||||||||||||||||||||||||
Debt issuance costs | ( | ( | ||||||||||||||||||||||||
Hedging adjustments | ||||||||||||||||||||||||||
Total | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||
Non-callable bonds | $ | $ | |||||||||
Callable bonds | |||||||||||
Total par value | $ | $ |
Contractual Maturity or Next Call Date | June 30, 2020 | December 31, 2019 | ||||||||||||
Due in one year or less | $ | $ | ||||||||||||
Due after one year through two years | ||||||||||||||
Due after two years through three years | ||||||||||||||
Due after three years through four years | ||||||||||||||
Due after four years through five years | ||||||||||||||
Due after five years | ||||||||||||||
Total par value | $ | $ |
Book Value | Par Value | Weighted Average Implied Interest Rate | |||||||||||||||
June 30, 2020 | $ | $ | % | ||||||||||||||
December 31, 2019 | $ | $ | % |
Six Months Ended June 30, | |||||||||||
2020 | 2019 | ||||||||||
Balance, beginning of period | $ | $ | |||||||||
AHP assessment | |||||||||||
Grants funded, net of recaptured amounts | ( | ( | |||||||||
Balance, end of period | $ | $ |
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 | ||||||||||||||||||||||||||||
June 30, 2020 | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||
Bilateral derivatives | $ | $ | ( | $ | $ | ( | (2) | $ | ||||||||||||||||||||||||
Cleared derivatives | ( | |||||||||||||||||||||||||||||||
Total derivatives | ( | ( | ||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | ( | |||||||||||||||||||||||||||||||
Total assets | $ | $ | ( | $ | $ | ( | $ | |||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||
Bilateral derivatives | $ | $ | ( | $ | $ | $ | ||||||||||||||||||||||||||
Cleared derivatives | ( | (3) | ||||||||||||||||||||||||||||||
Total liabilities | $ | $ | ( | $ | $ | $ | ||||||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||
Bilateral derivatives | $ | $ | ( | $ | $ | ( | (2) | $ | ||||||||||||||||||||||||
Cleared derivatives | ( | |||||||||||||||||||||||||||||||
Total derivatives | ( | ( | ||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | ( | |||||||||||||||||||||||||||||||
Total assets | $ | $ | ( | $ | $ | ( | $ | |||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||||||||
Bilateral derivatives | $ | $ | ( | $ | $ | $ | ||||||||||||||||||||||||||
Cleared derivatives | ( | (3) | ||||||||||||||||||||||||||||||
Total liabilities | $ | $ | ( | $ | $ | $ |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||||||||
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 (1) | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Available-for-sale securities (1) | ||||||||||||||||||||||||||||||||||||||
Consolidated obligation bonds (1) | ||||||||||||||||||||||||||||||||||||||
Consolidated obligation discount notes (2) | ||||||||||||||||||||||||||||||||||||||
Total derivatives designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||||||||
Advances | ||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio | ||||||||||||||||||||||||||||||||||||||
Consolidated obligation discount notes | ||||||||||||||||||||||||||||||||||||||
Trading securities | ||||||||||||||||||||||||||||||||||||||
Intermediary transactions | ||||||||||||||||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||||||||
Interest rate swaptions related to mortgage loans held for portfolio | ||||||||||||||||||||||||||||||||||||||
Mortgage delivery commitments | ||||||||||||||||||||||||||||||||||||||
Interest rate caps | ||||||||||||||||||||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||||||||||||||||
Intermediary transactions | ||||||||||||||||||||||||||||||||||||||
Total derivatives not designated as hedging instruments under ASC 815 | ||||||||||||||||||||||||||||||||||||||
Total derivatives before collateral and netting adjustments | $ | $ | ||||||||||||||||||||||||||||||||||||
Cash collateral and related accrued interest | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
Cash received or remitted in excess of variation margin requirements | ( | ( | ||||||||||||||||||||||||||||||||||||
Netting adjustments | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
Total collateral and netting adjustments (3) | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
Net derivative balances reported in statements of condition | $ | $ | $ | $ |
Interest Income (Expense) | ||||||||||||||||||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Other Comprehensive Income (Loss) | ||||||||||||||||||||||||||||
Three Months Ended June 30, 2020 | ||||||||||||||||||||||||||||||||
Total amount of the financial statement line item | $ | $ | $ | ( | $ | ( | $ | |||||||||||||||||||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Derivatives | $ | ( | $ | ( | $ | $ | — | $ | — | |||||||||||||||||||||||
Hedged items | — | — | ||||||||||||||||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | ( | $ | ( | $ | $ | — | $ | — | |||||||||||||||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | ( | $ | |||||||||||||||||||||||
Recognized in OCI | — | — | — | — | ( | |||||||||||||||||||||||||||
Net losses on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | ( | $ | ( | ||||||||||||||||||||||
Three Months Ended June 30, 2019 | ||||||||||||||||||||||||||||||||
Total amount of the financial statement line item | $ | $ | $ | ( | $ | ( | $ | ( | ||||||||||||||||||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Derivatives | $ | ( | $ | ( | $ | $ | — | $ | — | |||||||||||||||||||||||
Hedged items | ( | — | — | |||||||||||||||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | $ | $ | ( | $ | — | $ | — | ||||||||||||||||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | $ | ( | |||||||||||||||||||||||
Recognized in OCI | — | — | — | — | ( | |||||||||||||||||||||||||||
Net gains (losses) on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | $ | ( | |||||||||||||||||||||||
Interest Income (Expense) | ||||||||||||||||||||||||||||||||
Advances | Available-for-Sale Securities | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Other Comprehensive Income (Loss) | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2020 | ||||||||||||||||||||||||||||||||
Total amount of the financial statement line item | $ | $ | $ | ( | $ | ( | $ | ( | ||||||||||||||||||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Derivatives | $ | ( | $ | ( | $ | $ | — | $ | — | |||||||||||||||||||||||
Hedged items | ( | — | — | |||||||||||||||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | $ | ( | $ | $ | — | $ | — | ||||||||||||||||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | ( | $ | |||||||||||||||||||||||
Recognized in OCI | — | — | — | — | ( | |||||||||||||||||||||||||||
Net losses on cash flow hedging relationships | $ | — | $ | — | $ | — | $ | ( | $ | ( | ||||||||||||||||||||||
Six Months Ended June 30, 2019 | ||||||||||||||||||||||||||||||||
Total amount of the financial statement line item | $ | $ | $ | ( | $ | ( | $ | ( | ||||||||||||||||||||||||
Gains (losses) on fair value hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Derivatives | $ | ( | $ | ( | $ | $ | — | $ | — | |||||||||||||||||||||||
Hedged items | ( | — | — | |||||||||||||||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | $ | $ | ( | $ | — | $ | — | ||||||||||||||||||||||||
Gains (losses) on cash flow hedging relationships included in the financial statement line item | ||||||||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||||||||
Reclassified from AOCI into interest expense | $ | — | $ | — | $ | — | $ | $ | ( | |||||||||||||||||||||||
Recognized in OCI | — | — | — | — | ( | |||||||||||||||||||||||||||
Net gains (losses) on cash flow hedging 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) | ||||||||||||||||||||||
June 30, 2020 | ||||||||||||||||||||||||||
Advances | $ | $ | $ | $ | ||||||||||||||||||||||
Available-for-sale securities | ( | |||||||||||||||||||||||||
Consolidated obligation bonds | ( | ( | ( | ( | ||||||||||||||||||||||
December 31, 2019 | ||||||||||||||||||||||||||
Advances | $ | $ | $ | $ | ||||||||||||||||||||||
Available-for-sale securities | ( | |||||||||||||||||||||||||
Consolidated obligation bonds | ( | ( | ( | ( |
Gain (Loss) Recognized in | Gain (Loss) Recognized in | ||||||||||||||||||||||
Other Income (Loss) for the | Other Income (Loss) for the | ||||||||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||||||||||
Interest rate swaps | $ | $ | $ | $ | |||||||||||||||||||
Net interest expense on interest rate swaps | ( | ( | ( | ( | |||||||||||||||||||
Interest rate swaptions | ( | ||||||||||||||||||||||
Interest rate caps and floors | ( | ||||||||||||||||||||||
Mortgage delivery commitments | |||||||||||||||||||||||
Total net gain related to derivatives not designated as hedging instruments under ASC 815 | |||||||||||||||||||||||
Price alignment amount on variation margin for daily settled derivative contracts(1) | |||||||||||||||||||||||
Net gains on derivatives and hedging activities reported in other income (loss) | $ | $ | $ | $ |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||
Required | Actual | Required | Actual | ||||||||||||||||||||
Regulatory capital requirements: | |||||||||||||||||||||||
Risk-based capital | $ | $ | $ | $ | |||||||||||||||||||
Total capital | $ | $ | $ | $ | |||||||||||||||||||
Total capital-to-assets ratio | % | % | % | % | |||||||||||||||||||
Leverage capital | $ | $ | $ | $ | |||||||||||||||||||
Leverage capital-to-assets ratio | % | % | % | % |
Three Months Ended | Six Months Ended | ||||||||||||||||||||||
June 30, | June 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Service cost | $ | $ | $ | $ | |||||||||||||||||||
Interest cost | |||||||||||||||||||||||
Amortization of prior service cost | |||||||||||||||||||||||
Amortization of net actuarial gain | ( | ( | ( | ( | |||||||||||||||||||
Net periodic benefit credit | $ | ( | $ | ( | $ | ( | $ | ( |
Estimated Fair Value | ||||||||||||||||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | |||||||||||||||||||||||||||||||
Interest-bearing deposits | — | |||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | |||||||||||||||||||||||||||||||||||||
Federal funds sold | — | |||||||||||||||||||||||||||||||||||||
Trading securities (1) | — | |||||||||||||||||||||||||||||||||||||
Available-for-sale securities (1) | — | |||||||||||||||||||||||||||||||||||||
Held-to-maturity securities | (2) | (3) | — | |||||||||||||||||||||||||||||||||||
Advances | — | |||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | — | |||||||||||||||||||||||||||||||||||||
Accrued interest receivable | — | |||||||||||||||||||||||||||||||||||||
Derivative assets (1) | ( | |||||||||||||||||||||||||||||||||||||
Other assets held at fair value (1) | — | |||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||
Deposits | — | |||||||||||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||||
Discount notes | — | |||||||||||||||||||||||||||||||||||||
Bonds | — | |||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | |||||||||||||||||||||||||||||||||||||
Accrued interest payable | — | |||||||||||||||||||||||||||||||||||||
Derivative liabilities (1) | ( | |||||||||||||||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment(4) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | |||||||||||||||||||||||||||||||
Interest-bearing deposits | — | |||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | |||||||||||||||||||||||||||||||||||||
Federal funds sold | — | |||||||||||||||||||||||||||||||||||||
Trading securities (1) | — | |||||||||||||||||||||||||||||||||||||
Available-for-sale securities (1) | — | |||||||||||||||||||||||||||||||||||||
Held-to-maturity securities | (2) | (3) | — | |||||||||||||||||||||||||||||||||||
Advances | — | |||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | — | |||||||||||||||||||||||||||||||||||||
Accrued interest receivable | — | |||||||||||||||||||||||||||||||||||||
Derivative assets (1) | ( | |||||||||||||||||||||||||||||||||||||
Other assets held at fair value (1) | — | |||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||
Deposits | — | |||||||||||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||||
Discount notes | — | |||||||||||||||||||||||||||||||||||||
Bonds | — | |||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | |||||||||||||||||||||||||||||||||||||
Accrued interest payable | — | |||||||||||||||||||||||||||||||||||||
Derivative liabilities (1) | ( | |||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2019 | |||||
Balance at January 1, 2019 | $ | ||||
Loans made to FHLBank of Boston | |||||
Collections from FHLBank of Boston | ( | ||||
Balance at June 30, 2019 | $ |
Six Months Ended June 30, | |||||||||||
2020 | 2019 | ||||||||||
Balance at January 1, | $ | $ | |||||||||
Borrowings from: | |||||||||||
FHLBank of San Francisco | |||||||||||
FHLBank of Indianapolis | |||||||||||
FHLBank of Boston | |||||||||||
FHLBank of New York | |||||||||||
Repayments to: | |||||||||||
FHLBank of Indianapolis | ( | ( | |||||||||
FHLBank of Boston | ( | ||||||||||
FHLBank of New York | ( | ||||||||||
Balance at June 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 June 30, 2020 | |||||||||||||||||||||||||||||
Balance at April 1, 2020 | $ | ( | $ | ( | $ | ( | $ | $ | ( | ||||||||||||||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||||||||||||
Losses on cash flow hedges included in interest expense | — | — | — | ||||||||||||||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | ( | ( | ||||||||||||||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | ||||||||||||||||||||||||||
Unrealized losses on cash flow hedges | — | ( | — | — | ( | ||||||||||||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | — | ||||||||||||||||||||||||||
Total other comprehensive income (loss) | ( | ( | |||||||||||||||||||||||||||
Balance at June 30, 2020 | $ | ( | $ | ( | $ | ( | $ | $ | ( | ||||||||||||||||||||
Three Months Ended June 30, 2019 | |||||||||||||||||||||||||||||
Balance at April 1, 2019 | $ | $ | ( | $ | ( | $ | $ | ||||||||||||||||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||||||||||||
Realized gains on sales of available-for-sale securities included in net income | ( | — | — | — | ( | ||||||||||||||||||||||||
Gains on cash flow hedges included in interest expense | — | ( | — | — | ( | ||||||||||||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | ( | ( | ||||||||||||||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||||||||||||
Net unrealized losses on available-for-sale securities | ( | — | — | — | ( | ||||||||||||||||||||||||
Unrealized losses on cash flow hedges | — | ( | — | — | ( | ||||||||||||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | — | ||||||||||||||||||||||||||
Total other comprehensive income (loss) | ( | ( | ( | ( | |||||||||||||||||||||||||
Balance at June 30, 2019 | $ | $ | ( | $ | ( | $ | $ | ||||||||||||||||||||||
_____________________________ (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 | |||||||||||||||||||||||||
Six Months Ended June 30, 2020 | |||||||||||||||||||||||||||||
Balance at January 1, 2020 | $ | $ | ( | $ | ( | $ | $ | ||||||||||||||||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||||||||||||
Losses on cash flow hedges included in interest expense | — | — | — | ||||||||||||||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | ( | ( | ||||||||||||||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||||||||||||
Net unrealized losses on available-for-sale securities | ( | — | — | — | ( | ||||||||||||||||||||||||
Unrealized losses on cash flow hedges | — | ( | — | — | ( | ||||||||||||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | — | ||||||||||||||||||||||||||
Total other comprehensive income (loss) | ( | ( | ( | ( | |||||||||||||||||||||||||
Balance at June 30, 2020 | $ | ( | $ | ( | $ | ( | $ | $ | ( | ||||||||||||||||||||
Six Months Ended June 30, 2019 | |||||||||||||||||||||||||||||
Balance at January 1, 2019 | $ | $ | $ | ( | $ | $ | |||||||||||||||||||||||
Reclassifications from AOCI to net income | |||||||||||||||||||||||||||||
Realized gains on sales of available-for-sale securities included in net income | ( | — | — | — | ( | ||||||||||||||||||||||||
Gains on cash flow hedges included in interest expense | — | ( | — | — | ( | ||||||||||||||||||||||||
Amortization of prior service costs and net actuarial gains recognized in other income (loss) | — | — | — | ( | ( | ||||||||||||||||||||||||
Other amounts of other comprehensive income (loss) | |||||||||||||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | ||||||||||||||||||||||||||
Unrealized losses on cash flow hedges | — | ( | — | — | ( | ||||||||||||||||||||||||
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | — | — | — | ||||||||||||||||||||||||||
Total other comprehensive income (loss) | ( | ( | ( | ||||||||||||||||||||||||||
Balance at June 30, 2019 | $ | $ | ( | $ | ( | $ | $ |
MEMBERSHIP SUMMARY | |||||||||||
June 30, 2020 | December 31, 2019 | ||||||||||
Commercial banks | 558 | 565 | |||||||||
Savings institutions | 54 | 54 | |||||||||
Credit unions | 124 | 122 | |||||||||
Insurance companies | 49 | 47 | |||||||||
Community Development Financial Institutions | 7 | 7 | |||||||||
Total members | 792 | 795 | |||||||||
Housing associates | 8 | 8 | |||||||||
Non-member borrowers | 2 | 4 | |||||||||
Total | 802 | 807 | |||||||||
Community Financial Institutions (“CFIs”) (1) | 537 | 551 |
Ending Rate | Average Rate | Average Rate | |||||||||||||||||||||||||||||||||
June 30, 2020 | December 31, 2019 | Second Quarter 2020 | Second Quarter 2019 | Six Months Ended June 30, 2020 | Six Months Ended June 30, 2019 | ||||||||||||||||||||||||||||||
Federal Funds Target (1) | 0.25% | 1.75% | 0.25% | 2.50% | 0.82% | 2.50% | |||||||||||||||||||||||||||||
Average Effective Federal Funds Rate (2) | 0.08% | 1.55% | 0.06% | 2.40% | 0.66% | 2.40% | |||||||||||||||||||||||||||||
SOFR (1) | 0.10% | 1.55% | 0.05% | 2.43% | 0.63% | 2.43% | |||||||||||||||||||||||||||||
1-month LIBOR (1) | 0.16% | 1.76% | 0.35% | 2.44% | 0.89% | 2.47% | |||||||||||||||||||||||||||||
3-month LIBOR (1) | 0.30% | 1.91% | 0.60% | 2.51% | 1.07% | 2.60% | |||||||||||||||||||||||||||||
2-year LIBOR (1) | 0.23% | 1.70% | 0.32% | 2.21% | 0.74% | 2.41% | |||||||||||||||||||||||||||||
5-year LIBOR (1) | 0.33% | 1.73% | 0.42% | 2.14% | 0.80% | 2.34% | |||||||||||||||||||||||||||||
10-year LIBOR (1) | 0.64% | 1.90% | 0.69% | 2.31% | 1.01% | 2.49% | |||||||||||||||||||||||||||||
3-month U.S. Treasury (1) | 0.16% | 1.55% | 0.14% | 2.35% | 0.62% | 2.40% | |||||||||||||||||||||||||||||
2-year U.S. Treasury (1) | 0.16% | 1.58% | 0.19% | 2.13% | 0.63% | 2.30% | |||||||||||||||||||||||||||||
5-year U.S. Treasury (1) | 0.29% | 1.69% | 0.36% | 2.12% | 0.75% | 2.29% | |||||||||||||||||||||||||||||
10-year U.S. Treasury (1) | 0.66% | 1.92% | 0.69% | 2.34% | 1.02% | 2.49% |
2020 | 2019 | ||||||||||||||||||||||||||||
Second Quarter | First Quarter | Fourth Quarter | Third Quarter | Second Quarter | |||||||||||||||||||||||||
Balance sheet (at quarter end) | |||||||||||||||||||||||||||||
Advances | $ | 38,642,663 | $ | 46,922,518 | $ | 37,117,455 | $ | 38,180,593 | $ | 38,778,599 | |||||||||||||||||||
Investments (1) | 32,000,053 | 31,034,986 | 33,918,055 | 31,596,300 | 32,405,827 | ||||||||||||||||||||||||
Mortgage loans held for portfolio | 4,024,500 | 4,286,519 | 4,076,613 | 3,603,907 | 3,034,998 | ||||||||||||||||||||||||
Allowance for credit losses on mortgage loans | 4,892 | 4,339 | 1,149 | 795 | 731 | ||||||||||||||||||||||||
Total assets | 74,959,803 | 83,807,453 | 75,381,605 | 73,780,868 | 74,518,243 | ||||||||||||||||||||||||
Consolidated obligations — discount notes | 35,978,006 | 43,953,217 | 34,327,886 | 33,878,782 | 39,656,798 | ||||||||||||||||||||||||
Consolidated obligations — bonds | 32,694,975 | 34,186,393 | 35,745,827 | 33,744,493 | 29,481,562 | ||||||||||||||||||||||||
Total consolidated obligations(2) | 68,672,981 | 78,139,610 | 70,073,713 | 67,623,275 | 69,138,360 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock(3) | 6,803 | 6,779 | 7,140 | 7,106 | 7,093 | ||||||||||||||||||||||||
Capital stock — putable | 2,474,135 | 2,700,176 | 2,466,242 | 2,478,206 | 2,582,594 | ||||||||||||||||||||||||
Unrestricted retained earnings | 1,121,365 | 1,062,579 | 1,038,533 | 1,007,453 | 984,180 | ||||||||||||||||||||||||
Restricted retained earnings | 217,851 | 204,460 | 194,144 | 181,808 | 171,187 | ||||||||||||||||||||||||
Total retained earnings | 1,339,216 | 1,267,039 | 1,232,677 | 1,189,261 | 1,155,367 | ||||||||||||||||||||||||
Accumulated other comprehensive income (loss) | (171,833) | (250,960) | 99,049 | 42,781 | 80,104 | ||||||||||||||||||||||||
Total capital | 3,641,518 | 3,716,255 | 3,797,968 | 3,710,248 | 3,818,065 | ||||||||||||||||||||||||
Dividends paid(3) | 12,416 | 15,027 | 18,264 | 19,210 | 19,326 | ||||||||||||||||||||||||
Income statement (for the quarter) | |||||||||||||||||||||||||||||
Net interest income after provision for mortgage loan losses(4) | $ | 110,099 | $ | 45,592 | $ | 90,811 | $ | 67,912 | $ | 62,474 | |||||||||||||||||||
Other income (loss) | (2,630) | 35,390 | 2,299 | 14,900 | 22,144 | ||||||||||||||||||||||||
Other expense | 33,074 | 23,668 | 24,572 | 23,803 | 24,525 | ||||||||||||||||||||||||
AHP assessment | 7,441 | 5,734 | 6,858 | 5,905 | 6,015 | ||||||||||||||||||||||||
Net income | 66,954 | 51,580 | 61,680 | 53,104 | 54,078 | ||||||||||||||||||||||||
Performance ratios | |||||||||||||||||||||||||||||
Net interest margin(4)(5) | 0.53 | % | 0.26 | % | 0.50 | % | 0.36 | % | 0.36 | % | |||||||||||||||||||
Net interest spread (4)(6) | 0.49 | 0.17 | 0.39 | 0.24 | 0.21 | ||||||||||||||||||||||||
Return on average assets | 0.32 | 0.28 | 0.34 | 0.28 | 0.31 | ||||||||||||||||||||||||
Return on average equity | 6.99 | 5.44 | 6.50 | 5.46 | 5.66 | ||||||||||||||||||||||||
Return on average capital stock (7) | 9.68 | 8.28 | 9.77 | 8.05 | 8.53 | ||||||||||||||||||||||||
Total average equity to average assets | 4.57 | 5.21 | 5.19 | 5.17 | 5.51 | ||||||||||||||||||||||||
Regulatory capital ratio(8) | 5.10 | 4.74 | 4.92 | 4.98 | 5.03 | ||||||||||||||||||||||||
Dividend payout ratio (3)(9) | 18.54 | 29.13 | 29.61 | 36.17 | 35.74 | ||||||||||||||||||||||||
June 30, 2020 | ||||||||||||||||||||||||||
Increase (Decrease) | Balance at | |||||||||||||||||||||||||
Balance | Amount | Percentage | December 31, 2019 | |||||||||||||||||||||||
Advances | $ | 38,643 | $ | 1,526 | 4.1 | % | $ | 37,117 | ||||||||||||||||||
Short-term liquidity holdings | ||||||||||||||||||||||||||
Interest-bearing deposits | 2,022 | 352 | 21.1 | % | 1,670 | |||||||||||||||||||||
Securities purchased under agreements to resell | 2,500 | (1,810) | (42.0) | % | 4,310 | |||||||||||||||||||||
Federal funds sold | 2,867 | (1,638) | (36.4) | % | 4,505 | |||||||||||||||||||||
Trading securities | ||||||||||||||||||||||||||
U.S. Treasury Bills | 2,909 | 1,981 | 213.5 | % | 928 | |||||||||||||||||||||
U.S. Treasury Notes | 2,891 | (1,535) | (34.7) | % | 4,426 | |||||||||||||||||||||
Total short-term liquidity holdings | 13,189 | (2,650) | (16.7) | % | 15,839 | |||||||||||||||||||||
Long-term investments | ||||||||||||||||||||||||||
Trading securities (U.S. Treasury Note) | 114 | 8 | 7.5 | % | 106 | |||||||||||||||||||||
Available-for-sale securities | 17,613 | 846 | 5.0 | % | 16,767 | |||||||||||||||||||||
Held-to-maturity securities | 1,084 | (122) | (10.1) | % | 1,206 | |||||||||||||||||||||
Total long-term investments | 18,811 | 732 | 4.0 | % | 18,079 | |||||||||||||||||||||
Mortgage loans held for portfolio, net | 4,020 | (55) | (1.3) | % | 4,075 | |||||||||||||||||||||
Total assets | 74,960 | (422) | (0.6) | % | 75,382 | |||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||
Consolidated obligations — bonds | 32,695 | (3,051) | (8.5) | % | 35,746 | |||||||||||||||||||||
Consolidated obligations — discount notes | 35,978 | 1,650 | 4.8 | % | 34,328 | |||||||||||||||||||||
Total consolidated obligations | 68,673 | (1,401) | (2.0) | % | 70,074 | |||||||||||||||||||||
Mandatorily redeemable capital stock | 7 | — | — | % | 7 | |||||||||||||||||||||
Capital stock | 2,474 | 8 | 0.3 | % | 2,466 | |||||||||||||||||||||
Retained earnings | 1,339 | 106 | 8.6 | % | 1,233 | |||||||||||||||||||||
Average total assets | 78,699 | 7,376 | 10.3 | % | 71,323 | |||||||||||||||||||||
Average capital stock | 2,644 | 90 | 3.5 | % | 2,554 | |||||||||||||||||||||
Average mandatorily redeemable capital stock | 7 | — | — | % | 7 |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||
Amount | Percent | Amount | Percent | ||||||||||||||||||||
Commercial banks | $ | 23,983 | 63 | % | $ | 23,502 | 64 | % | |||||||||||||||
Insurance companies | 7,939 | 21 | 6,802 | 18 | |||||||||||||||||||
Credit unions | 3,122 | 8 | 2,244 | 6 | |||||||||||||||||||
Savings institutions | 2,548 | 7 | 4,185 | 11 | |||||||||||||||||||
Community Development Financial Institutions | 22 | — | 21 | — | |||||||||||||||||||
Total member advances | 37,614 | 99 | 36,754 | 99 | |||||||||||||||||||
Housing associates | 180 | 1 | 172 | 1 | |||||||||||||||||||
Non-member borrowers | 5 | — | 18 | — | |||||||||||||||||||
Total par value of advances | $ | 37,799 | 100 | % | $ | 36,944 | 100 | % | |||||||||||||||
Total par value of advances outstanding to CFIs (1) | $ | 5,526 | 15 | % | $ | 4,490 | 12 | % |
Name | Par Value of Advances | Percent of Total Par Value of Advances | ||||||||||||
Comerica Bank | $ | 4,300 | 11.4 | % | ||||||||||
American General Life Insurance Company | 3,148 | 8.3 | ||||||||||||
Texas Capital Bank, N.A. | 2,700 | 7.1 | ||||||||||||
Life Insurance Company of the Southwest | 2,064 | 5.5 | ||||||||||||
Simmons Bank | 1,359 | 3.6 | ||||||||||||
$ | 13,571 | 35.9 | % |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||||||||||||
Fixed-rate | $ | 26,738 | 70.7 | % | $ | 24,766 | 67.0 | % | |||||||||||||||
Adjustable/variable-rate indexed | 9,827 | 26.0 | 10,978 | 29.7 | |||||||||||||||||||
Amortizing | 1,234 | 3.3 | 1,200 | 3.3 | |||||||||||||||||||
Total par value | $ | 37,799 | 100.0 | % | $ | 36,944 | 100.0 | % |
Balance Sheet Classification | Total Long-Term | ||||||||||||||||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Investments | Held-to-Maturity | |||||||||||||||||||||||||||||||
June 30, 2020 | (at carrying value) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||||||||||||||||||||
Debentures | |||||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 5 | $ | 453 | $ | 114 | $ | 572 | $ | 5 | |||||||||||||||||||||||||
GSE obligations | — | 5,747 | — | 5,747 | — | ||||||||||||||||||||||||||||||
State housing agency obligations | 110 | — | — | 110 | 110 | ||||||||||||||||||||||||||||||
Other | — | 46 | — | 46 | — | ||||||||||||||||||||||||||||||
Total debentures | 115 | 6,246 | 114 | 6,475 | 115 | ||||||||||||||||||||||||||||||
Mortgage-backed securities ("MBS") portfolio | |||||||||||||||||||||||||||||||||||
GSE residential MBS | 920 | — | — | 920 | 922 | ||||||||||||||||||||||||||||||
GSE commercial MBS | — | 11,367 | — | 11,367 | — | ||||||||||||||||||||||||||||||
Non-agency residential MBS | 49 | — | — | 49 | 55 | ||||||||||||||||||||||||||||||
Total MBS | 969 | 11,367 | — | 12,336 | 977 | ||||||||||||||||||||||||||||||
Total long-term investments | $ | 1,084 | $ | 17,613 | $ | 114 | $ | 18,811 | $ | 1,092 | |||||||||||||||||||||||||
Balance Sheet Classification | Total Long-Term | ||||||||||||||||||||||||||||||||||
Held-to-Maturity | Available-for-Sale | Trading | Investments | Held-to-Maturity | |||||||||||||||||||||||||||||||
December 31, 2019 | (at carrying value) | (at fair value) | (at fair value) | (at carrying value) | (at fair value) | ||||||||||||||||||||||||||||||
Debentures | |||||||||||||||||||||||||||||||||||
U.S. government-guaranteed obligations | $ | 6 | $ | 453 | $ | 106 | $ | 565 | $ | 6 | |||||||||||||||||||||||||
GSE obligations | — | 5,584 | — | 5,584 | — | ||||||||||||||||||||||||||||||
State housing agency obligations | 109 | — | — | 109 | 109 | ||||||||||||||||||||||||||||||
Other | — | 46 | — | 46 | — | ||||||||||||||||||||||||||||||
Total debentures | 115 | 6,083 | 106 | 6,304 | 115 | ||||||||||||||||||||||||||||||
Mortgage-backed securities portfolio | |||||||||||||||||||||||||||||||||||
GSE residential MBS | 1,037 | — | — | 1,037 | 1,036 | ||||||||||||||||||||||||||||||
GSE commercial MBS | — | 10,684 | — | 10,684 | — | ||||||||||||||||||||||||||||||
Non-agency residential MBS | 54 | — | — | 54 | 65 | ||||||||||||||||||||||||||||||
Total MBS | 1,091 | 10,684 | — | 11,775 | 1,101 | ||||||||||||||||||||||||||||||
Total long-term investments | $ | 1,206 | $ | 16,767 | $ | 106 | $ | 18,079 | $ | 1,216 |
Credit Rating | Number of Securities | Unpaid Principal Balance | Amortized Cost | Carrying Value | Estimated Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||
Double-A | 1 | $ | 1,050 | $ | 1,050 | $ | 1,050 | $ | 950 | $ | 100 | |||||||||||||||||||||||||||
Single-A | 2 | 7,781 | 7,781 | 7,781 | 7,271 | 510 | ||||||||||||||||||||||||||||||||
Triple-B | 2 | 2,642 | 2,642 | 2,642 | 2,519 | 123 | ||||||||||||||||||||||||||||||||
Single-B | 4 | 11,121 | 10,971 | 9,785 | 9,831 | 1,140 | ||||||||||||||||||||||||||||||||
Triple-C | 11 | 36,590 | 30,466 | 24,474 | 31,396 | 1,007 | ||||||||||||||||||||||||||||||||
Single-D | 1 | 3,455 | 3,220 | 2,828 | 2,895 | 325 | ||||||||||||||||||||||||||||||||
Not Rated | 1 | 75 | 75 | 75 | 69 | 6 | ||||||||||||||||||||||||||||||||
Total | 22 | $ | 62,714 | $ | 56,205 | $ | 48,635 | $ | 54,931 | $ | 3,211 |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||
Balance | Percentage of Total | Balance | Percentage of Total | ||||||||||||||||||||
Variable-rate non-callable | |||||||||||||||||||||||
SOFR-indexed | $ | 17,348 | 53.4 | % | $ | 9,532 | 26.7 | % | |||||||||||||||
LIBOR-indexed | 3,150 | 9.7 | 3,110 | 8.7 | |||||||||||||||||||
Fixed-rate | |||||||||||||||||||||||
Callable | 4,784 | 14.7 | 12,083 | 33.9 | |||||||||||||||||||
Non-callable | 7,032 | 21.6 | 9,447 | 26.4 | |||||||||||||||||||
Step-up | |||||||||||||||||||||||
Callable | 120 | 0.4 | 1,237 | 3.5 | |||||||||||||||||||
Non-callable | 75 | 0.2 | 100 | 0.3 | |||||||||||||||||||
Callable step-down | — | — | 175 | 0.5 | |||||||||||||||||||
Total par value | $ | 32,509 | 100.0 | % | $ | 35,684 | 100.0 | % |
Name | Par Value of Capital Stock | Percent of Total Par Value of Capital Stock | ||||||||||||
Comerica Bank | $ | 183,300 | 7.4 | % | ||||||||||
American General Life Insurance Company | 145,438 | 5.9 | ||||||||||||
Texas Capital Bank, N.A. | 129,609 | 5.2 | ||||||||||||
Hancock Whitney Bank | 104,292 | 4.2 | ||||||||||||
Life Insurance Company of the Southwest | 87,617 | 3.5 | ||||||||||||
$ | 650,256 | 26.2 | % |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||
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 | $ | 1,629 | 66 | % | $ | 1,584 | 64 | % | |||||||||||||||
Insurance companies | 401 | 16 | 364 | 15 | |||||||||||||||||||
Credit unions | 265 | 11 | 281 | 11 | |||||||||||||||||||
Savings institutions | 178 | 7 | 236 | 10 | |||||||||||||||||||
Community Development Financial Institutions | 1 | — | 1 | — | |||||||||||||||||||
Total capital stock classified as capital | 2,474 | 100 | 2,466 | 100 | |||||||||||||||||||
Mandatorily redeemable capital stock | 7 | — | 7 | — | |||||||||||||||||||
Total regulatory capital stock | $ | 2,481 | 100 | % | $ | 2,473 | 100 | % |
Fair Value Hedges | |||||||||||||||||||||||||||||
Shortcut Method | Long-Haul Method | Cash Flow Hedges | Economic Hedges | Total | |||||||||||||||||||||||||
June 30, 2020 | |||||||||||||||||||||||||||||
Advances | $ | 13,884 | $ | 1,026 | $ | — | $ | 260 | $ | 15,170 | |||||||||||||||||||
Investments | — | 15,962 | — | 2,653 | 18,615 | ||||||||||||||||||||||||
Mortgage loans held for portfolio | — | — | — | 1,663 | 1,663 | ||||||||||||||||||||||||
Consolidated obligation bonds | — | 8,728 | — | — | 8,728 | ||||||||||||||||||||||||
Consolidated obligation discount notes | — | — | 1,066 | — | 1,066 | ||||||||||||||||||||||||
Intermediary positions | — | — | — | 207 | 207 | ||||||||||||||||||||||||
Other | — | — | — | 1,425 | 1,425 | ||||||||||||||||||||||||
Total notional balance | $ | 13,884 | $ | 25,716 | $ | 1,066 | $ | 6,208 | $ | 46,874 | |||||||||||||||||||
December 31, 2019 | |||||||||||||||||||||||||||||
Advances | $ | 9,104 | $ | 998 | $ | — | $ | 255 | $ | 10,357 | |||||||||||||||||||
Investments | — | 16,115 | — | 4,203 | 20,318 | ||||||||||||||||||||||||
Mortgage loans held for portfolio | — | — | — | 517 | 517 | ||||||||||||||||||||||||
Consolidated obligation bonds | — | 19,861 | — | — | 19,861 | ||||||||||||||||||||||||
Consolidated obligation discount notes | — | — | 1,043 | 1,000 | 2,043 | ||||||||||||||||||||||||
Intermediary positions | — | — | — | 922 | 922 | ||||||||||||||||||||||||
Other | — | — | — | 925 | 925 | ||||||||||||||||||||||||
Total notional balance | $ | 9,104 | $ | 36,974 | $ | 1,043 | $ | 7,822 | $ | 54,943 |
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 | ||||||||||||||||||||||||||||||||||||||
Single-A | 3 | $ | 374.0 | $ | 5.3 | $ | (4.6) | $ | — | $ | 0.7 | |||||||||||||||||||||||||||
Triple-B | 1 | 127.8 | 2.9 | (2.7) | — | 0.2 | ||||||||||||||||||||||||||||||||
Cleared derivatives (3) | — | 31,811.8 | 12.0 | 2.0 | 866.0 | 880.0 | ||||||||||||||||||||||||||||||||
Liability positions with credit exposure | ||||||||||||||||||||||||||||||||||||||
Single-A (4) | 3 | 2,324.4 | (71.0) | 72.0 | — | 1.0 | ||||||||||||||||||||||||||||||||
Triple-B | 1 | 3,634.7 | (309.3) | 311.7 | — | 2.4 | ||||||||||||||||||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 8 | 38,272.7 | (360.1) | 378.4 | 866.0 | 884.3 | ||||||||||||||||||||||||||||||||
Asset positions without credit exposure | 4 | 3,365.7 | 27.0 | (27.4) | — | — | ||||||||||||||||||||||||||||||||
Liability positions without credit exposure | 7 | 5,087.1 | (317.5) | 312.8 | — | — | ||||||||||||||||||||||||||||||||
Total derivative positions with non-member counterparties to which the Bank did not have credit exposure | 11 | 8,452.8 | (290.5) | 285.4 | — | — | ||||||||||||||||||||||||||||||||
Total non-member counterparties | 19 | 46,725.5 | (650.6) | $ | 663.8 | $ | 866.0 | $ | 884.3 | |||||||||||||||||||||||||||||
Member institutions | ||||||||||||||||||||||||||||||||||||||
Interest rate exchange agreements (5) | ||||||||||||||||||||||||||||||||||||||
Asset positions | 6 | 63.4 | 8.4 | |||||||||||||||||||||||||||||||||||
Liability positions | 1 | 40.0 | — | |||||||||||||||||||||||||||||||||||
Mortgage delivery commitments | — | 45.0 | 1.0 | |||||||||||||||||||||||||||||||||||
Total member institutions | 7 | 148.4 | 9.4 | |||||||||||||||||||||||||||||||||||
Total | 26 | $ | 46,873.9 | $ | (641.2) |
2020 | 2021 | Thereafter | Total | |||||||||||||||||||||||
Instruments with receipts indexed to LIBOR | ||||||||||||||||||||||||||
Advances (par value) | $ | 205 | $ | 150 | $ | — | $ | 355 | ||||||||||||||||||
Investments (par value) | ||||||||||||||||||||||||||
Non-MBS | — | — | 40 | 40 | ||||||||||||||||||||||
MBS | — | — | 985 | 985 | ||||||||||||||||||||||
LIBOR-indexed derivatives notional amount (receive leg) | ||||||||||||||||||||||||||
Cleared | 847 | 3,620 | 19,491 | 23,958 | ||||||||||||||||||||||
Uncleared | 449 | 584 | 9,286 | 10,319 | ||||||||||||||||||||||
Total par/notional amount | $ | 1,501 | $ | 4,354 | $ | 29,802 | $ | 35,657 | ||||||||||||||||||
Instruments with payments indexed to LIBOR | ||||||||||||||||||||||||||
Consolidated obligations (par value) | $ | 2,150 | $ | 1,000 | $ | — | $ | 3,150 | ||||||||||||||||||
LIBOR-indexed derivatives notional amount (pay leg) | ||||||||||||||||||||||||||
Cleared | 1,000 | 1,674 | 3,130 | 5,804 | ||||||||||||||||||||||
Uncleared | 505 | 337 | 4,206 | 5,048 | ||||||||||||||||||||||
Total par/notional amount | $ | 3,655 | $ | 3,011 | $ | 7,336 | $ | 14,002 | ||||||||||||||||||
For the Three Months Ended June 30, | |||||||||||||||||||||||||||||||||||
2020 | 2019 | ||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Rate(1) | Average Balance | Interest Income/ Expense | Average Rate(1) | ||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits (2) | $ | 2,545 | $ | 1 | 0.12 | % | $ | 1,323 | $ | 8 | 2.54 | % | |||||||||||||||||||||||
Securities purchased under agreements to resell | 959 | — | 0.07 | % | 4,180 | 26 | 2.51 | % | |||||||||||||||||||||||||||
Federal funds sold | 5,200 | 1 | 0.06 | % | 2,608 | 16 | 2.45 | % | |||||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||||||||||||
Trading | 7,798 | 16 | 0.83 | % | 3,345 | 19 | 2.28 | % | |||||||||||||||||||||||||||
Available-for-sale (3) | 17,653 | 75 | 1.70 | % | 16,107 | 113 | 2.80 | % | |||||||||||||||||||||||||||
Held-to-maturity (3) | 1,130 | 3 | 1.05 | % | 1,391 | 11 | 3.01 | % | |||||||||||||||||||||||||||
Advances (4) | 45,198 | 105 | 0.93 | % | 37,494 | 245 | 2.62 | % | |||||||||||||||||||||||||||
Mortgage loans held for portfolio | 4,172 | 28 | 2.69 | % | 2,819 | 27 | 3.80 | % | |||||||||||||||||||||||||||
Total earning assets | 84,655 | 229 | 1.08 | % | 69,267 | 465 | 2.68 | % | |||||||||||||||||||||||||||
Cash and due from banks | 82 | 62 | |||||||||||||||||||||||||||||||||
Other assets | 307 | 245 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment (2) | (662) | (137) | |||||||||||||||||||||||||||||||||
Fair value adjustment on available-for-sale securities (3) | (95) | 159 | |||||||||||||||||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3) | (8) | (10) | |||||||||||||||||||||||||||||||||
Total assets | $ | 84,279 | 229 | 1.09 | % | $ | 69,586 | 465 | 2.67 | % | |||||||||||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits (2) | $ | 1,583 | — | 0.04 | % | $ | 843 | 5 | 2.24 | % | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||||||||||
Bonds | 36,537 | 64 | 0.70 | % | 26,192 | 166 | 2.54 | % | |||||||||||||||||||||||||||
Discount notes | 41,850 | 54 | 0.52 | % | 38,120 | 231 | 2.43 | % | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | 8 | — | 0.59 | % | 25 | — | 2.53 | % | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 79,978 | 118 | 0.59 | % | 65,180 | 402 | 2.47 | % | |||||||||||||||||||||||||||
Other liabilities | 1,111 | 711 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment (2) | (662) | (137) | |||||||||||||||||||||||||||||||||
Total liabilities | 80,427 | 118 | 0.59 | % | 65,754 | 402 | 2.45 | % | |||||||||||||||||||||||||||
Total capital | 3,852 | 3,832 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 84,279 | 0.56 | % | $ | 69,586 | 2.31 | % | |||||||||||||||||||||||||||
Net interest income | $ | 111 | $ | 63 | |||||||||||||||||||||||||||||||
Net interest margin | 0.53 | % | 0.36 | % | |||||||||||||||||||||||||||||||
Net interest spread | 0.49 | % | 0.21 | % | |||||||||||||||||||||||||||||||
Impact of non-interest bearing funds | 0.04 | % | 0.15 | % |
For the Six Months Ended June 30, | |||||||||||||||||||||||||||||||||||
2020 | 2019 | ||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense | Average Rate(1) | Average Balance | Interest Income/ Expense | Average Rate(1) | ||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits (2) | $ | 2,285 | $ | 8 | 0.67 | % | $ | 1,553 | $ | 19 | 2.53 | % | |||||||||||||||||||||||
Securities purchased under agreements to resell | 1,405 | 7 | 1.07 | % | 4,109 | 51 | 2.53 | % | |||||||||||||||||||||||||||
Federal funds sold | 4,028 | 8 | 0.39 | % | 2,822 | 35 | 2.46 | % | |||||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||||||||||||
Trading | 7,458 | 46 | 1.23 | % | 3,403 | 37 | 2.18 | % | |||||||||||||||||||||||||||
Available-for-sale (3) | 17,308 | 140 | 1.62 | % | 15,886 | 232 | 2.92 | % | |||||||||||||||||||||||||||
Held-to-maturity (3) | 1,160 | 9 | 1.63 | % | 1,421 | 22 | 3.03 | % | |||||||||||||||||||||||||||
Advances (4) | 41,015 | 268 | 1.31 | % | 36,913 | 483 | 2.62 | % | |||||||||||||||||||||||||||
Mortgage loans held for portfolio | 4,178 | 62 | 2.97 | % | 2,571 | 50 | 3.88 | % | |||||||||||||||||||||||||||
Total earning assets | 78,837 | 548 | 1.39 | % | 68,678 | 929 | 2.71 | % | |||||||||||||||||||||||||||
Cash and due from banks | 69 | 53 | |||||||||||||||||||||||||||||||||
Other assets | 286 | 263 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment (2) | (500) | (142) | |||||||||||||||||||||||||||||||||
Fair value adjustment on available-for-sale securities (3) | 15 | 148 | |||||||||||||||||||||||||||||||||
Adjustment for net non-credit portion of other-than-temporary impairments on held-to-maturity securities (3) | (8) | (10) | |||||||||||||||||||||||||||||||||
Total assets | $ | 78,699 | 548 | 1.39 | % | $ | 68,990 | 929 | 2.69 | % | |||||||||||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits (2) | $ | 1,493 | 4 | 0.57 | % | $ | 834 | 10 | 2.32 | % | |||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||||||||||
Bonds | 36,357 | 218 | 1.20 | % | 28,013 | 357 | 2.55 | % | |||||||||||||||||||||||||||
Discount notes | 36,677 | 169 | 0.92 | % | 35,510 | 427 | 2.41 | % | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | 7 | — | 1.13 | % | 17 | — | 2.61 | % | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 74,534 | 391 | 1.05 | % | 64,374 | 794 | 2.47 | % | |||||||||||||||||||||||||||
Other liabilities | 834 | 938 | |||||||||||||||||||||||||||||||||
Derivatives netting adjustment (2) | (500) | (142) | |||||||||||||||||||||||||||||||||
Total liabilities | 74,868 | 391 | 1.04 | % | 65,170 | 794 | 2.44 | % | |||||||||||||||||||||||||||
Total capital | 3,831 | 3,820 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 78,699 | 0.99 | % | $ | 68,990 | 2.30 | % | |||||||||||||||||||||||||||
Net interest income | $ | 157 | $ | 135 | |||||||||||||||||||||||||||||||
Net interest margin | 0.40 | % | 0.39 | % | |||||||||||||||||||||||||||||||
Net interest spread | 0.34 | % | 0.24 | % | |||||||||||||||||||||||||||||||
Impact of non-interest bearing funds | 0.06 | % | 0.15 | % |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||||||||||||||||||||||
June 30, 2020 vs. 2019 | June 30, 2020 vs. 2019 | ||||||||||||||||||||||||||||||||||
Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||||||||||||||||||
Interest income | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 5 | $ | (12) | $ | (7) | $ | 6 | $ | (17) | $ | (11) | |||||||||||||||||||||||
Securities purchased under agreements to resell | (12) | (14) | (26) | (23) | (21) | (44) | |||||||||||||||||||||||||||||
Federal funds sold | 8 | (23) | (15) | 7 | (34) | (27) | |||||||||||||||||||||||||||||
Investments | |||||||||||||||||||||||||||||||||||
Trading | 14 | (17) | (3) | 30 | (21) | 9 | |||||||||||||||||||||||||||||
Available-for-sale | 10 | (48) | (38) | 19 | (111) | (92) | |||||||||||||||||||||||||||||
Held-to-maturity | (2) | (6) | (8) | (4) | (9) | (13) | |||||||||||||||||||||||||||||
Advances | 43 | (183) | (140) | 46 | (261) | (215) | |||||||||||||||||||||||||||||
Mortgage loans held for portfolio | 10 | (9) | 1 | 26 | (14) | 12 | |||||||||||||||||||||||||||||
Total interest income | 76 | (312) | (236) | 107 | (488) | (381) | |||||||||||||||||||||||||||||
Interest expense | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | 2 | (7) | (5) | 4 | (10) | (6) | |||||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||||||||||
Bonds | 49 | (151) | (102) | 84 | (223) | (139) | |||||||||||||||||||||||||||||
Discount notes | 21 | (198) | (177) | 13 | (271) | (258) | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock and other borrowings | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total interest expense | 72 | (356) | (284) | 101 | (504) | (403) | |||||||||||||||||||||||||||||
Changes in net interest income | $ | 4 | $ | 44 | $ | 48 | $ | 6 | $ | 16 | $ | 22 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||
Net interest income (expense) associated with: | |||||||||||||||||||||||
Economic hedge derivatives related to consolidated obligation bonds | $ | — | $ | (3) | $ | — | $ | (3) | |||||||||||||||
Member/offsetting derivatives | 24 | 55 | 56 | 117 | |||||||||||||||||||
Economic hedge derivatives related to advances | 435 | — | 1,374 | — | |||||||||||||||||||
Economic hedge derivatives related to trading securities | (10,926) | (5) | (14,499) | 71 | |||||||||||||||||||
Economic hedge derivatives related to available-for-sale securities | (5) | — | (8) | (147) | |||||||||||||||||||
Economic hedge derivatives related to consolidated obligation discount notes | — | (101) | (39) | (101) | |||||||||||||||||||
Economic hedge derivatives related to mortgage loans held for portfolio | (166) | (224) | (480) | (389) | |||||||||||||||||||
Other stand-alone economic hedge derivatives | 837 | (743) | 911 | (1,592) | |||||||||||||||||||
Total net interest expense associated with economic hedge derivatives | (9,801) | (1,021) | (12,685) | (2,044) | |||||||||||||||||||
Gains (losses) related to economic hedge derivatives | |||||||||||||||||||||||
Interest rate swaps | |||||||||||||||||||||||
Advances | (4,146) | (8) | (11,883) | (8) | |||||||||||||||||||
Available-for-sale securities | (19) | (103) | (252) | (13) | |||||||||||||||||||
Trading securities | 10,308 | (1,558) | (12,797) | (2,162) | |||||||||||||||||||
Mortgage loans held for portfolio | (422) | (1,117) | (9,329) | (1,413) | |||||||||||||||||||
Consolidated obligation bonds | — | (1) | — | (1) | |||||||||||||||||||
Consolidated obligation discount notes | — | 87 | 24 | 87 | |||||||||||||||||||
Other stand-alone economic hedge derivatives | 3,501 | 13,999 | 36,400 | 23,425 | |||||||||||||||||||
Interest rate swaptions related to mortgage loans held for portfolio | (270) | 1,704 | 6,556 | 1,475 | |||||||||||||||||||
Mortgage delivery commitments | 3,909 | 545 | 6,294 | 1,806 | |||||||||||||||||||
Interest rate caps related to held-to-maturity securities | (2) | — | — | (5) | |||||||||||||||||||
Member/offsetting swaps, caps and floors | (23) | 235 | (30) | 274 | |||||||||||||||||||
Total fair value gains related to economic hedge derivatives | 12,836 | 13,783 | 14,983 | 23,465 | |||||||||||||||||||
Price alignment amount on daily settled derivative contracts | 2 | 28 | 22 | 135 | |||||||||||||||||||
Total net gains on derivatives and hedging activities | 3,037 | 12,790 | 2,320 | 21,556 | |||||||||||||||||||
Net gains (losses) on trading securities | (11,974) | 4,852 | 21,125 | 8,079 | |||||||||||||||||||
Net gains (losses) on other assets carried at fair value | 1,352 | 353 | (281) | 1,266 | |||||||||||||||||||
Gains on sales of available-for-sale securities | — | 140 | — | 580 | |||||||||||||||||||
Service fees | 621 | 666 | 1,154 | 1,208 | |||||||||||||||||||
Letter of credit fees | 3,732 | 2,984 | 7,324 | 5,764 | |||||||||||||||||||
Other, net | 602 | 359 | 1,118 | 668 | |||||||||||||||||||
Total other | (5,667) | 9,354 | 30,440 | 17,565 | |||||||||||||||||||
Total other income (loss) | $ | (2,630) | $ | 22,144 | $ | 32,760 | $ | 39,121 |
Up 200 Basis Points(1)(2) | Down 200 Basis Points(1)(3) | Up 100 Basis Points(1)(2) | Down 100 Basis Points(1)(3) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Base Case
Market
Value of Equity (1) | 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 2019 | $ | 3.817 | $ | 3.814 | (0.08) | % | $ | 3.792 | (0.65) | % | $ | 3.857 | 1.05 | % | $ | 3.729 | (2.31) | % | |||||||||||||||||||||||||||||||||||
March 2020 | 3.584 | 3.880 | 8.26 | % | 4.274 | 19.25 | % | 3.778 | 5.41 | % | 3.732 | 4.13 | % | ||||||||||||||||||||||||||||||||||||||||
June 2020 | 3.604 | 3.783 | 4.97 | % | 4.192 | 16.32 | % | 3.720 | 3.22 | % | 3.844 | 6.66 | % | ||||||||||||||||||||||||||||||||||||||||
Base Case Interest Rates | Duration of Equity | ||||||||||||||||||||||||||||||||||||||||||||||
Asset Duration(1) | Liability Duration(1) | Duration Gap(1) | Duration of Equity(1) | Up 100(1)(2) | Up 200(1)(2) | Down 100(1)(3) | Down 200(1)(3) | ||||||||||||||||||||||||||||||||||||||||
December 2019 | 0.23 | (0.35) | (0.12) | (2.06) | 0.20 | 1.43 | (2.57) | (3.75) | |||||||||||||||||||||||||||||||||||||||
March 2020 | 0.05 | (0.33) | (0.28) | (5.97) | (4.69) | (0.46) | (13.60) | (17.69) | |||||||||||||||||||||||||||||||||||||||
June 2020 | 0.12 | (0.33) | (0.21) | (3.95) | (2.45) | (0.49) | (8.88) | (9.70) | |||||||||||||||||||||||||||||||||||||||
10.1 | |||||||||||
31.1 | |||||||||||
31.2 | |||||||||||
32.1 | |||||||||||
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EX-101.SCH | XBRL Taxonomy Extension Schema Document. | ||||||||||
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EX-104 | The cover page of this Quarterly Report on Form 10-Q, formatted in inline XBRL and contained in Exhibit 101. |
August 12, 2020 | By | /s/ Tom Lewis | ||||||
Date | Tom Lewis | |||||||
Executive Vice President and Chief Financial Officer (Principal Financial and Accounting Officer) |
10.1 | |||||||||||
31.1 | |||||||||||
31.2 | |||||||||||
32.1 | |||||||||||
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EX-101.SCH | XBRL Taxonomy Extension Schema Document. | ||||||||||
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EX-101.DEF | XBRL Taxonomy Extension Definition Linkbase Document. | ||||||||||
EX-104 | The cover page of this Quarterly Report on Form 10-Q, formatted in inline XBRL and contained in Exhibit 101. |
Article II PARTICIPATION | ||||||||
Article III AWARDS | ||||||||
Section 7.9 | Action by Bank | 10 | ||||||
Section 7.10 | Severability | 11 | ||||||
Section 7.11 | Information to be Furnished by a Participant | 11 | ||||||
Section 7.12 | Binding on Successors | 11 | ||||||
APPENDIX I 2020 Performance Period AWARDS & GOALS | 11 |
Term | Plan Sections | ||||
Annual Award | 3.3(a) | ||||
Award | 3.1 | ||||
Bank | 1.1 | ||||
Board | 1.3 | ||||
Committee | 1.3 | ||||
Deferral Performance Period | 3.1 | ||||
Deferred Award | 3.3(b) | ||||
Disability | 3.4(d)(i) | ||||
Effective Date | 1.2 | ||||
Extraordinary Occurrences | 3.1(c) | ||||
FHFA | 3.5(b) | ||||
Award Payment | 3.1(c) |
Participant | 2.1 | ||||
Stretch | 3.2(b)(iii) | ||||
Performance Goals | 3.2 | ||||
Performance Period | 3.1 | ||||
Plan | 1.1 | ||||
Reduction in Force | 3.4(d)(ii) | ||||
Reorganization | 3.5(b) | ||||
Target | 3.2(b)(ii) | ||||
Threshold | 3.2(b)(i) |
TOTAL INCENTIVE AS % OF COMPENSATION | ANNUAL INCENTIVE AS % OF COMPENSATION | DEFERRED INCENTIVE AS % OF COMPENSATION | |||||||||||||||||||||||||||
Threshold | Target | Maximum | Threshold | Target | Maximum | Threshold | Target | Maximum | |||||||||||||||||||||
CEO | 50% | 75% | 100% | 25% | 37.5% | 50% | 25% | 37.5% | 50% | ||||||||||||||||||||
Tier 1 - SEO | 30% | 50% | 70% | 15% | 25% | 35% | 15% | 25% | 35% | ||||||||||||||||||||
Tier 2 – SEO | 30% | 60% | 80% | 15% | 30% | 40% | 15% | 30% | 40% |
/s/ Sanjay Bhasin | ||
Sanjay Bhasin | ||
President and Chief Executive Officer |
/s/ Tom Lewis | ||
Tom Lewis | ||
Executive Vice President and Chief Financial Officer |
/s/ Sanjay Bhasin | /s/ Tom Lewis | |||||||
Sanjay Bhasin President and Chief Executive Officer | Tom Lewis Executive Vice President and Chief Financial Officer | |||||||
August 12, 2020 | August 12, 2020 |
Document and Entity Information Document - shares |
6 Months Ended | |
---|---|---|
Jun. 30, 2020 |
Aug. 05, 2020 |
|
Entity Information [Line Items] | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF DALLAS | |
Entity Central Index Key | 0001331757 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2020 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 23,021,970 | |
Entity Current Reporting Status | Yes | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Small Business | false | |
Entity Address, City or Town | Irving, | |
Entity Address, State or Province | TX | |
Entity Address, Postal Zip Code | 75063-2547 | |
City Area Code | (214) | |
Local Phone Number | 441-8500 | |
Entity File Number | 000-51405 | |
Entity Address, Address Line One | 8500 Freeport Parkway South, Suite 600 |
Statements of Condition (Unaudited) Parenthetical - USD ($) $ in Thousands |
Jun. 30, 2020 |
Mar. 31, 2020 |
Dec. 31, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Dec. 31, 2018 |
---|---|---|---|---|---|---|
ASSETS | ||||||
Held-to-maturity securities, Fair Value | $ 1,092,415 | $ 1,215,580 | ||||
Debt Securities, Available-for-sale, Amortized Cost | 17,637,425 | 16,621,667 | ||||
Other Assets, Fair Value Disclosure | $ 13,476 | $ 14,222 | ||||
Capital Stock - Class B-1 - Membership/Excess | ||||||
CAPITAL (Note 14) | ||||||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | ||||
Common Stock, Shares, Issued | 9,692,692 | 9,794,335 | ||||
Common Stock, Shares, Outstanding | 9,692,692 | 9,794,335 | ||||
Capital Stock Class B-2 - Activity | ||||||
CAPITAL (Note 14) | ||||||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | ||||
Common Stock, Shares, Issued | 15,048,659 | 14,868,085 | ||||
Common Stock, Shares, Outstanding | 15,048,659 | 14,868,085 | ||||
Available-for-sale Securities [Member] | ||||||
ASSETS | ||||||
Derivative, Collateral, Right to Reclaim Securities | $ 866,039 | $ 842,256 | ||||
Conventional Mortgage Loan [Member] | ||||||
ASSETS | ||||||
Loans and Leases Receivable, Allowance | $ 4,892 | $ 4,339 | $ 1,149 | $ 731 | $ 611 | $ 493 |
Statements of Income (Unaudited) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
INTEREST INCOME | ||||
Advances | $ 100,443 | $ 244,658 | $ 261,356 | $ 482,522 |
Prepayment fees on advances, net | 4,905 | 553 | 6,877 | 677 |
Interest-bearing deposits | 753 | 8,368 | 7,569 | 19,489 |
Securities purchased under agreements to resell | 161 | 26,177 | 7,482 | 51,474 |
Federal funds sold | 764 | 15,953 | 7,831 | 34,457 |
Trading securities | 16,105 | 19,079 | 46,009 | 37,104 |
Available-for-sale securities | 74,830 | 112,788 | 139,795 | 231,796 |
Held-to-maturity securities | 2,960 | 10,451 | 9,433 | 21,504 |
Mortgage loans held for portfolio | 28,100 | 26,753 | 62,052 | 49,847 |
Total interest income | 229,021 | 464,780 | 548,404 | 928,870 |
Consolidated obligations | ||||
Bonds | 63,860 | 166,004 | 217,804 | 356,772 |
Discount notes | 54,334 | 231,322 | 169,116 | 427,573 |
Deposits | 164 | 4,697 | 4,200 | 9,619 |
Mandatorily redeemable capital stock | 10 | 53 | 40 | 105 |
Other borrowings | 1 | 110 | 1 | 111 |
Total interest expense | 118,369 | 402,186 | 391,161 | 794,180 |
NET INTEREST INCOME | 110,652 | 62,594 | 157,243 | 134,690 |
Provision for mortgage loan losses | 553 | 120 | 1,552 | 238 |
NET INTEREST INCOME AFTER PROVISION FOR MORTGAGE LOAN LOSSES | 110,099 | 62,474 | 155,691 | 134,452 |
OTHER INCOME (LOSS) | ||||
Net gains (losses) on trading securities | (11,974) | 4,852 | 21,125 | 8,079 |
Net gains on derivatives and hedging activities | 3,037 | 12,790 | 2,320 | 21,556 |
Net gains (losses) on other assets carried at fair value | 1,352 | 353 | (281) | 1,266 |
Realized gains on sales of available-for-sale securities | 0 | 140 | 0 | 580 |
Letter of credit fees | 3,732 | 2,984 | 7,324 | 5,764 |
Other, net | 1,223 | 1,025 | 2,272 | 1,876 |
Total other income (loss) | (2,630) | 22,144 | 32,760 | 39,121 |
OTHER EXPENSE | ||||
Compensation and benefits | 13,605 | 12,380 | 25,165 | 25,946 |
Other operating expenses | 9,605 | 9,597 | 18,806 | 17,631 |
Finance Agency | 1,250 | 1,183 | 2,500 | 2,366 |
Office of Finance | 1,224 | 1,050 | 2,387 | 1,998 |
Subsidies, grants and donations | 7,060 | 1 | 7,206 | 39 |
Derivative clearing fees | 330 | 314 | 678 | 610 |
Total other expense | 33,074 | 24,525 | 56,742 | 48,590 |
INCOME BEFORE ASSESSMENTS | 74,395 | 60,093 | 131,709 | 124,983 |
Affordable Housing Program assessment | 7,441 | 6,015 | 13,175 | 12,509 |
NET INCOME | $ 66,954 | $ 54,078 | $ 118,534 | $ 112,474 |
Statements of Comprehensive Income (Loss) (Unaudited) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
NET INCOME | $ 66,954 | $ 54,078 | $ 118,534 | $ 112,474 |
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 | 86,277 | (44,739) | (169,471) | 7,524 |
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | 0 | (140) | 0 | (580) |
Unrealized losses on cash flow hedges | (10,896) | (33,976) | (106,629) | (54,366) |
Reclassification adjustment for losses (gains) on cash flow hedges included in net income | 3,162 | (765) | 4,178 | (1,572) |
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 599 | 540 | 1,070 | 1,133 |
Postretirement benefit plan | ||||
Amortization of prior service cost included in net periodic benefit credit | 5 | 5 | 10 | 10 |
Amortization of net actuarial gain included in net periodic benefit credit | (20) | (23) | (40) | (46) |
Total other comprehensive income (loss) | 79,127 | (79,098) | (270,882) | (47,897) |
TOTAL COMPREHENSIVE INCOME (LOSS) | $ 146,081 | $ (25,020) | $ (152,348) | $ 64,577 |
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands |
3 Months Ended | 6 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Jan. 01, 2020 |
Jan. 01, 2019 |
|||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance | $ 3,716,255 | $ 3,711,394 | $ 3,797,968 | $ 3,764,256 | ||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | 17,639 | 17,639 | 0 | |||||||||
Proceeds from sale of capital stock | 315,308 | 523,067 | 863,761 | 861,677 | ||||||||
Repurchase/redemption of capital stock | (553,705) | (391,297) | (883,191) | (869,936) | ||||||||
Shares reclassified to mandatorily redeemable capital stock | 0 | (2,326) | ||||||||||
Comprehensive income (loss) | ||||||||||||
Net income | 66,954 | 54,078 | 118,534 | 112,474 | ||||||||
Other comprehensive income (loss) | 79,127 | (79,098) | (270,882) | (47,897) | ||||||||
Dividends on capital stock | ||||||||||||
Cash | (60) | (65) | (120) | [1] | (131) | [2] | ||||||
Mandatorily redeemable capital stock | (14) | (27) | [2] | |||||||||
Ending balance | $ 3,641,518 | $ 3,818,065 | $ 3,641,518 | $ 3,818,065 | ||||||||
Capital Stock Class B-2 - Activity | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance, shares | 18,716 | 14,434 | 14,868 | 16,380 | ||||||||
Beginning balance | $ 1,871,637 | $ 1,443,394 | $ 1,486,808 | $ 1,637,967 | ||||||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | (6,737) | (4,139) | (8,322) | (9,468) | ||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock, value | $ (673,703) | $ (413,955) | $ (832,202) | $ (946,796) | ||||||||
Proceeds from sale of capital stock, shares | 3,070 | 5,200 | 8,503 | 8,583 | ||||||||
Proceeds from sale of capital stock | $ 306,932 | $ 520,043 | $ 850,260 | $ 858,311 | ||||||||
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 | |||||||||||
Shares reclassified to mandatorily redeemable capital stock | $ 0 | |||||||||||
Dividends on capital stock | ||||||||||||
Stock, shares | 0 | 0 | ||||||||||
Stock | $ 0 | $ 0 | ||||||||||
Ending balance, shares | 15,049 | 15,495 | 15,049 | 15,495 | ||||||||
Ending balance | $ 1,504,866 | $ 1,549,482 | $ 1,504,866 | $ 1,549,482 | ||||||||
Capital Stock - Class B-1 - Membership/Excess | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance, shares | 8,285 | 9,882 | 9,794 | 9,169 | ||||||||
Beginning balance | $ 828,539 | $ 988,183 | $ 979,434 | $ 916,921 | ||||||||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | 6,737 | 4,139 | 8,322 | 9,468 | ||||||||
Net transfers of shares between Class B-1 and Class B-2 Stock, value | $ 673,703 | $ 413,955 | $ 832,202 | $ 946,796 | ||||||||
Proceeds from sale of capital stock, shares | 84 | 30 | 135 | 33 | ||||||||
Proceeds from sale of capital stock | $ 8,376 | $ 3,024 | $ 13,501 | $ 3,366 | ||||||||
Repurchase/redemption of capital stock, shares | (5,536) | (3,913) | (8,831) | (8,699) | ||||||||
Repurchase/redemption of capital stock | $ (553,705) | $ (391,297) | $ (883,191) | $ (869,936) | ||||||||
Shares reclassified to mandatorily redeemable capital stock, shares | (23) | |||||||||||
Shares reclassified to mandatorily redeemable capital stock | $ (2,326) | |||||||||||
Dividends on capital stock | ||||||||||||
Stock, shares | 123 | 193 | 273 | 383 | ||||||||
Stock | $ 12,356 | $ 19,247 | $ 27,323 | $ 38,291 | ||||||||
Ending balance, shares | 9,693 | 10,331 | 9,693 | 10,331 | ||||||||
Ending balance | $ 969,269 | $ 1,033,112 | $ 969,269 | $ 1,033,112 | ||||||||
Retained Earnings | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance | 1,267,039 | 1,120,615 | 1,232,677 | 1,081,367 | ||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | 17,639 | 17,639 | ||||||||||
Comprehensive income (loss) | ||||||||||||
Net income | 66,954 | 54,078 | 118,534 | 112,474 | ||||||||
Dividends on capital stock | ||||||||||||
Cash | (60) | (65) | (120) | (131) | ||||||||
Mandatorily redeemable capital stock | (14) | (27) | ||||||||||
Stock | (12,356) | (19,247) | (27,323) | (38,291) | ||||||||
Ending balance | 1,339,216 | 1,155,367 | 1,339,216 | 1,155,367 | ||||||||
Retained Earnings, Restricted | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance | 204,460 | 160,372 | 194,144 | 148,692 | ||||||||
Comprehensive income (loss) | ||||||||||||
Net income | 13,391 | 10,815 | 23,707 | 22,495 | ||||||||
Dividends on capital stock | ||||||||||||
Ending balance | 217,851 | 171,187 | 217,851 | 171,187 | ||||||||
Retained Earnings, Unrestricted | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance | 1,062,579 | 960,243 | 1,038,533 | 932,675 | ||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | 17,639 | 17,639 | ||||||||||
Comprehensive income (loss) | ||||||||||||
Net income | 53,563 | 43,263 | 94,827 | 89,979 | ||||||||
Dividends on capital stock | ||||||||||||
Cash | (60) | (65) | (120) | (131) | ||||||||
Mandatorily redeemable capital stock | (14) | (27) | ||||||||||
Stock | (12,356) | (19,247) | (27,323) | (38,291) | ||||||||
Ending balance | 1,121,365 | 984,180 | 1,121,365 | 984,180 | ||||||||
Accumulated Other Comprehensive Income (Loss) | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Beginning balance | (250,960) | 159,202 | 99,049 | 128,001 | ||||||||
Comprehensive income (loss) | ||||||||||||
Other comprehensive income (loss) | 79,127 | (79,098) | (270,882) | (47,897) | ||||||||
Dividends on capital stock | ||||||||||||
Ending balance | $ (171,833) | $ 80,104 | $ (171,833) | $ 80,104 | ||||||||
Accounting Standards Update 2016-13 [Member] | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Adjustment to initially apply new accounting guidance (Note 2) | $ (2,191) | |||||||||||
Accounting Standards Update 2016-13 [Member] | Retained Earnings | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Adjustment to initially apply new accounting guidance (Note 2) | (2,191) | |||||||||||
Accounting Standards Update 2016-13 [Member] | Retained Earnings, Unrestricted | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Adjustment to initially apply new accounting guidance (Note 2) | $ (2,191) | |||||||||||
Accounting Standards Update 2016-02 [Member] | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Adjustment to initially apply new accounting guidance (Note 2) | $ (25) | |||||||||||
Accounting Standards Update 2016-02 [Member] | Retained Earnings | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Adjustment to initially apply new accounting guidance (Note 2) | (25) | |||||||||||
Accounting Standards Update 2016-02 [Member] | Retained Earnings, Unrestricted | ||||||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Adjustment to initially apply new accounting guidance (Note 2) | $ (25) | |||||||||||
|
Statements of Capital (Unaudited) Parenthetical |
3 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2020 |
Mar. 31, 2020 |
Jun. 30, 2019 |
Mar. 31, 2019 |
|
Capital Stock - Class B-1 - Membership/Excess | ||||
Capital Unit [Line Items] | ||||
Dividends stock annualized percentage | 1.40% | 1.79% | 2.50% | 2.35% |
Capital Stock Class B-2 - Activity | ||||
Capital Unit [Line Items] | ||||
Dividends stock annualized percentage | 2.40% | 2.79% | 3.50% | 3.35% |
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
|
OPERATING ACTIVITIES | ||
Net income | $ 118,534 | $ 112,474 |
Depreciation and amortization | ||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | (13,466) | 55,523 |
Concessions on consolidated obligations | 6,112 | 3,640 |
Premises, equipment and computer software costs | 1,887 | 2,066 |
Non-cash interest on mandatorily redeemable capital stock | 69 | 102 |
Provision for mortgage loan losses | 1,552 | 238 |
Gains on sales of available-for-sale securities | 0 | (580) |
Net losses (gains) on other assets carried at fair value | 281 | (1,266) |
Net gains on trading securities | (21,125) | (8,079) |
Net gain due to changes in net fair value adjustment on derivative and hedging activities | (1,072,820) | (657,843) |
Decrease (increase) in accrued interest receivable | 28,775 | (13,191) |
Decrease in other assets | 7,808 | 24 |
Increase in Affordable Housing Program (AHP) liability | 2,622 | 3,691 |
Decrease in accrued interest payable | (40,482) | (8,582) |
Increase (decrease) in other liabilities | (2,442) | 362 |
Total adjustments | (1,101,229) | (623,895) |
Net cash used in operating activities | (982,695) | (511,421) |
INVESTING ACTIVITIES | ||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | (891,737) | 1,355,219 |
Net decrease in securities purchased under agreements to resell | 1,810,000 | 1,080,000 |
Net decrease (increase) in federal funds sold | 1,638,000 | (3,024,000) |
Purchases of trading securities | (12,901,468) | (18,128,582) |
Proceeds from sales of trading securities | 3,449,477 | 15,101,184 |
Proceeds from maturities of trading securities | 9,027,075 | 1,435,450 |
Purchases of available-for-sale securities | 0 | (844,689) |
Proceeds from maturities of available-for-sale securities | 152,446 | 260,109 |
Proceeds from sales of available-for-sale securities | 0 | 436,019 |
Proceeds from maturities of held-to-maturity securities | 124,234 | 204,654 |
Principal collected on advances | 191,568,494 | 318,036,587 |
Advances made | (192,419,511) | (315,849,697) |
Principal collected on mortgage loans held for portfolio | 627,767 | 122,935 |
Purchases of mortgage loans held for portfolio | (591,709) | (972,825) |
Purchases of premises, equipment and computer software | (2,931) | (1,171) |
Net cash provided by (used in) investing activities | 1,590,137 | (788,807) |
FINANCING ACTIVITIES | ||
Net increase (decrease) in deposit liabilities, including swap collateral held | 1,205,231 | (82,897) |
Net payments on derivative contracts with financing elements | (238,590) | (161,717) |
Increase in loan from other FHLBank | 0 | 400,000 |
Net proceeds from issuance of consolidated obligations | ||
Discount notes | 88,169,529 | 152,786,615 |
Bonds | 20,277,461 | 16,100,319 |
Debt issuance costs | (5,020) | (3,780) |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (86,486,183) | (148,909,387) |
Bonds | (23,452,550) | (18,800,970) |
Proceeds from issuance of capital stock | 863,761 | 861,677 |
Payments for redemption of mandatorily redeemable capital stock | (404) | (2,340) |
Payments for repurchase/redemption of capital stock | (883,191) | (869,936) |
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | 17,639 | 0 |
Cash dividends paid | (120) | (131) |
Net cash provided by (used in) financing activities | (532,437) | 1,317,453 |
Net increase in cash and cash equivalents | 75,005 | 17,225 |
Cash and cash equivalents at beginning of the period | 20,551 | 35,157 |
Cash and cash equivalents at end of the period | 95,556 | 52,382 |
Supplemental Disclosures: | ||
Interest paid | 473,554 | 745,624 |
AHP payments, net | 10,553 | 8,818 |
Stock dividends issued | 27,323 | 38,291 |
Dividends paid through issuance of mandatorily redeemable capital stock | 0 | 27 |
Net capital stock reclassified to mandatorily redeemable capital stock | 0 | 2,326 |
Right-of-use assets acquired by lease | $ 730 | $ 2,539 |
Basis of Presentation |
6 Months Ended |
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Jun. 30, 2020 | |
Basis of Presentation [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period. The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2019. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2019 filed with the SEC on March 25, 2020 (the “2019 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2019 10-K. The Bank is one of 11 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance. Use of Estimates and Assumptions. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities (including, but not limited to, its investments in mortgage-backed securities ("MBS")), as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates.
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Recently Adopted Accounting Guidance |
6 Months Ended |
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Jun. 30, 2020 | |
Recently Adopted Accounting Guidance [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | Recently Adopted Accounting Guidance Credit Losses on Financial Instruments. On June 16, 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-13, "Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13"), which amends the guidance for the accounting for credit losses on financial instruments by replacing the incurred loss methodology with an expected credit loss methodology. Among other things, ASU 2016-13 requires: • entities to present financial assets, or groups of financial assets, measured at amortized cost at the net amount expected to be collected, which is computed by deducting an allowance for credit losses from the amortized cost basis of the financial asset(s); • the measurement of expected credit losses to be based upon relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount; • the statement of income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases in expected credit losses that have taken place during the period; • entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination ("PCD assets") that are measured at amortized cost in a manner similar to other financial assets measured at amortized cost (the initial allowance for credit losses on PCD assets is added to the purchase price rather than being reported as a credit loss expense); • credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses, the amount of which is limited to the amount by which fair value is below amortized cost; and • public business entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by year of origination. For public business entities that file with the SEC, the guidance in ASU 2016-13 is effective for fiscal years beginning after December 15, 2019 (January 1, 2020 for the Bank), and interim periods within those fiscal years. Early adoption was permitted for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. The guidance is to be applied on a modified retrospective basis through a cumulative-effect adjustment to retained earnings as of the beginning of the period in which the amendments are adopted. However, entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the date of adoption. The Bank adopted ASU 2016-13 effective January 1, 2020. In conjunction with the adoption of this guidance, the Bank recorded (on January 1, 2020) a cumulative effect adjustment to retained earnings of $2,191,000 and a corresponding increase in the allowance for credit losses on mortgage loans held for portfolio. Fair Value Measurement Disclosures. On August 28, 2018, the FASB issued ASU 2018-13, "Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement" ("ASU 2018-13"), which modifies the disclosure requirements on fair value measurements in an effort to improve disclosure effectiveness. ASU 2018-13 removes or modifies certain existing disclosure requirements regarding fair value measurements, including a clarification that the measurement uncertainty disclosure associated with recurring Level 3 fair value measurements is intended to communicate information about the uncertainty in measurement as of the reporting date. In addition to the limited removals and modifications, the guidance requires public business entities to disclose: (i) the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and (ii) for recurring and nonrecurring fair value measurements categorized within Level 3 of the fair value hierarchy, the range and weighted average of significant unobservable inputs used to develop those fair value measurements (together, the "new disclosure requirements"). The amendments in ASU 2018-13 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 (January 1, 2020 for the Bank). The new disclosure requirements and the narrative description of measurement uncertainty are to be applied prospectively for only the most recent interim or annual period presented in the initial fiscal year of adoption. All other amendments are to be applied retrospectively to all periods presented upon their effective date. Early adoption is permitted. In addition, an entity is permitted to early adopt any removed or modified disclosures and delay adoption of the additional disclosures until their effective date. The adoption of ASU 2018-13 on January 1, 2020 did not have any impact on the Bank's results of operations or financial condition, nor did it require any additional disclosures. Implementation Costs Associated with Cloud Computing Arrangements. On August 29, 2018, the FASB issued ASU 2018-15, "Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract" ("ASU 2018-15"), which clarifies the accounting for implementation costs associated with a hosting arrangement that is a service contract. ASU 2018-15 aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). ASU 2018-15 also addresses the term over which these capitalized implementation costs should be expensed. ASU 2018-15 does not affect the accounting for the service element of a hosting arrangement that is a service contract. For public business entities, ASU 2018-15 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019 (January 1, 2020 for the Bank). Early adoption is permitted, including adoption in any interim period. The guidance is to be applied either retrospectively or prospectively to all implementation costs incurred after the date of adoption. The adoption of this guidance on January 1, 2020 did not have a material impact on the Bank's results of operations or financial condition. Reference Rate Reform. On March 12, 2020, the FASB issued ASU 2020-04, "Facilitation of the Effects of Reference Rate Reform on Financial Reporting" ("ASU 2020-04"), which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 provides optional expedients and exceptions for applying U.S. GAAP to transactions affected by reference rate reform if certain criteria are met. These transactions include: (i) contract modifications, (ii) hedging relationships, and (iii) sales or transfers of debt securities classified as held-to-maturity. ASU 2020-04 is effective from March 12, 2020 through December 31, 2022. An entity may elect to adopt the amendments for contract modifications as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. An entity may elect to apply the amendments in ASU 2020-04 to eligible hedging relationships existing as of the beginning of the interim period that includes March 12, 2020 and to new eligible hedging relationships entered into after the beginning of the interim period that includes March 12, 2020 through December 31, 2022. The one-time election to sell, transfer, or both sell and transfer debt securities classified as held-to-maturity may be made at any time after March 12, 2020 but no later than December 31, 2022. The Bank expects that it will elect to apply some of the expedients and exceptions provided in ASU 2020-04 relating to contract modifications, hedging relationships, and sales or transfers of held-to-maturity securities; however, the Bank has not yet determined the extent to which it will utilize these expedients and exceptions, nor the timing of when the expedients and exceptions will be elected and therefore the impact of the adoption of ASU 2020-04 on the Bank's financial condition and results of operations is not currently determinable. Troubled Debt Restructuring Relief. On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act"), was signed into law by the President of the United States. The CARES Act includes provisions that allow optional, temporary relief from accounting for certain modifications of loans that were not more than 30 days past due as of December 31, 2019 as troubled debt restructurings ("TDRs"). Specifically, under the provisions of the CARES Act, a qualifying financial institution may elect to suspend: (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as TDRs and (2) any determination that such loan modifications would be considered TDRs, including the related impairment for accounting purposes. The TDR relief provisions of the CARES Act apply to any modification that is related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any other similar arrangement that defers or delays the payment of principal or interest, that occurs during the period from March 1, 2020 through the earlier of December 31, 2020 or the date that is 60 days after the termination of the national emergency concerning the COVID-19 pandemic. The Bank has elected to apply the TDR relief provided by the CARES Act. Accordingly, all modifications meeting the provisions of the CARES Act will be excluded from TDR classification, accounting and disclosure. Loan modifications that do not meet the provisions of the CARES Act will continue to be assessed for TDR classification under the Bank’s existing accounting practices. Through June 30, 2020, the Bank did not have any qualifying loan modifications and, therefore, the election to apply the TDR relief provisions of the CARES Act has thus far not had any impact on the Bank's financial condition, results of operations or disclosures.
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Trading Securities |
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Trading, Gain (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities Disclosure[Text Block] | Trading Securities Trading securities as of June 30, 2020 and December 31, 2019 were as follows (in thousands):
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Available-for-Sale Securities |
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Debt Securities, Available-for-sale [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Available-for-Sale Securities Major Security Types. Available-for-sale securities as of June 30, 2020 were as follows (in thousands):
Available-for-sale securities as of December 31, 2019 were as follows (in thousands):
In the tables above, the amortized cost of the Bank's available-for-sale securities includes premiums, discounts and hedging adjustments. Amortized cost excludes accrued interest of $65,336,000 and $66,931,000 at June 30, 2020 and December 31, 2019, respectively. Other debentures are comprised of securities issued by the Private Export Funding Corporation. 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 following table summarizes (in thousands, except number of positions) the available-for-sale securities with unrealized losses as of June 30, 2020. 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, 2019. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities (excluding accrued interest) by contractual maturity at June 30, 2020 and December 31, 2019 are presented below (in thousands).
Interest Rate Payment Terms. At June 30, 2020 and December 31, 2019, all of the Bank's available-for-sale securities were fixed rate securities which were swapped to a variable rate. Sales of Securities. There were no sales of available-for-sale securities during the six months ended June 30, 2020. During the three months ended June 30, 2019, the Bank sold an available-for-sale security with an amortized cost (determined by the specific identification method) of $24,734,000. Proceeds from the sale totaled $24,874,000, resulting in a realized gain of $140,000. During the six months ended June 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
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Held-to-Maturity Securities |
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Debt Securities, Held-to-maturity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
fhlbd_HeldToMaturitySecuritiesDisclosureTextBlock | Held-to-Maturity Securities Major Security Types. Held-to-maturity securities as of June 30, 2020 were as follows (in thousands):
Held-to-maturity securities as of December 31, 2019 were as follows (in thousands):
In the tables above, amortized cost includes premiums, discounts and the credit portion of other-than-temporary impairments ("OTTI") recorded prior to January 1, 2020. Amortized cost excludes accrued interest of $293,000 and $1,005,000 at June 30, 2020 and December 31, 2019, respectively. Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at June 30, 2020 and December 31, 2019 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 $1,640,000 and $1,952,000 at June 30, 2020 and December 31, 2019, respectively. Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at June 30, 2020 and December 31, 2019 (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 2019 or the six months ended June 30, 2020. Sales of Securities. There were no sales of held-to-maturity securities during the six months ended June 30, 2020 or 2019.
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Advances |
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Advances [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances [Text Block] | Advances Redemption Terms. At June 30, 2020 and December 31, 2019, the Bank had advances outstanding at interest rates ranging from 0.15 percent to 8.27 percent and 0.48 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).
Advances presented in the table above exclude accrued interest of $27,850,000 and $49,096,000 at June 30, 2020 and December 31, 2019, respectively. The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. At June 30, 2020 and December 31, 2019, the Bank had aggregate prepayable and callable advances totaling $11,416,994,000 and $10,428,894,000, respectively. The following table summarizes advances outstanding at June 30, 2020 and December 31, 2019, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):
The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At June 30, 2020 and December 31, 2019, the Bank had putable advances outstanding totaling $8,045,800,000 and $6,796,500,000, respectively. The following table summarizes advances outstanding at June 30, 2020 and December 31, 2019, by the earlier of contractual maturity or next possible put date (in thousands):
Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at June 30, 2020 and December 31, 2019 (in thousands):
At June 30, 2020 and December 31, 2019, 53 percent and 39 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate. Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. These fees are reflected as interest income in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances) as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance and the advance meets the accounting criteria to qualify as a modification of the prepaid advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income on advances over the life of the modified advance using the level-yield method. During the three months ended June 30, 2020 and 2019, gross advance prepayment fees received from members/borrowers were $4,057,000 and $549,000, respectively, none of which were deferred. During the six months ended June 30, 2020 and 2019, gross advance prepayment fees received from members/borrowers were $6,029,000 and $742,000, respectively, none of which were deferred. The Bank also offers advances that include a symmetrical prepayment feature which allows a member to prepay an advance at the lower of par value or fair value plus a make-whole amount payable to the Bank. There were no prepayments of symmetrical prepayment advances during the six months ended June 30, 2020. During the three months ended March 31, 2019, a symmetrical prepayment advance with a par value of $5,000,000 was prepaid. The difference by which the par value of the advance exceeded its fair value, less the make-whole amount, totaled $68,000 and was recorded in prepayment fees on advances. There were no prepayments of symmetrical prepayment advances during the three months ended June 30, 2019.
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Mortgage Loans Held for Portfolio (Notes) |
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Mortgage Loans Held for Portfolio [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans, Notes, Trade and Other Receivables Disclosure [Text Block] | Mortgage Loans Held for Portfolio Mortgage loans held for portfolio represent held-for-investment loans acquired through the Mortgage Partnership Finance® ("MPF"®) program. The following table presents information as of June 30, 2020 and December 31, 2019 for mortgage loans held for portfolio (in thousands):
________________________________________ *Medium-term is defined as an original term of 15 years or less. Mortgage loans presented in the table above exclude accrued interest receivable of $22,162,000 and $21,863,000 at June 30, 2020 and December 31, 2019, respectively. The unpaid principal balance of mortgage loans held for portfolio at June 30, 2020 and December 31, 2019 was comprised of conventional loans totaling $3,927,050,000 and $3,980,970,000, respectively, and government-guaranteed/insured loans totaling $12,097,000 and $13,377,000, respectively.
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Accrued Interest (Notes) |
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Accrued Interest Receivables [Text Block] | Accrued Interest Receivable The components of accrued interest receivable as of June 30, 2020 and December 31, 2019 were as follows (in thousands):
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Allowance for Credit Losses |
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses [Text Block] | Allowance for Credit LossesAs discussed in Note 2, on January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments. As of the balance sheet date, an allowance for credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sales securities and its off-balance sheet credit exposures. Expected credit losses on these financial instruments are recorded through an allowance for credit losses. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. The accounting treatment for credit losses on financing receivables and impairment on investments in periods prior to January 1, 2020 is discussed in the 2019 10-K. Short-Term Investments. The Bank invests in overnight interest-bearing deposits, overnight Federal Funds sold and overnight securities sold under agreements to repurchase. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest is recorded separately on the statement of condition (see Note 8). At June 30, 2020, all investments in Federal Funds sold, interest-bearing deposits and securities purchased under agreements to resell were repaid according to the contractual terms. Accordingly, no allowance for credit losses was recorded on these assets at June 30, 2020. Long-Term Investments. The Bank evaluates its available-for-sale securities for impairment by comparing the security's fair value to its amortized cost. Impairment exists when the fair value of the investment is less than its amortized cost (i.e., when the security is in an unrealized loss position).The Bank evaluates each impaired security to determine whether the impairment is due to credit losses. Held-to-maturity securities are evaluated for impairment on a pooled basis, unless an individual assessment is deemed necessary because the securities do not contain similar risk characteristics. Accrued interest is recorded separately on the statement of condition. At June 30, 2020, the gross unrealized losses on the Bank’s available-for-sale securities were $120,440,000, all of which related to securities that are either guaranteed by the U.S. government or issued and guaranteed by GSEs. At June 30, 2020, the gross unrealized losses on the Bank’s held-to-maturity securities were $4,774,000, of which $1,440,000 were attributable to MBS that are issued and guaranteed by GSEs, $123,000 were attributable to securities issued by a state housing agency and $3,211,000 were attributable to its holdings of non-agency (i.e., private-label) residential MBS ("RMBS"). Government-Guaranteed and GSE Investments. As of June 30, 2020, the U.S. government and the issuers of the Bank’s holdings of GSE debentures, GSE commercial MBS ("CMBS") and GSE RMBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and AA+ by S&P Global Ratings (“S&P”). Through June 30, 2020, the Bank has not experienced any defaults on its government-guaranteed debentures, GSE CMBS or GSE RMBS. In the event of a default, the guarantor is required to repurchase the security at its par value and thus the Bank's exposure is limited to the amount of any unamortized premiums and/or positive fair value hedge accounting adjustments included in the amortized cost basis of the investment. Based upon the Bank's assessment of the strength of the government guaranty, the Bank expects that the amounts to be collected on its holdings of U.S. government-guaranteed debentures will not be less than the Bank's amortized cost bases in these investments. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures that were in an unrealized loss position at June 30, 2020 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 CMBS and GSE RMBS and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on its holdings of GSE MBS will not be less than the Bank’s amortized cost bases in these investments (or, in the rare circumstance of a default, the amount to be collected would not be expected to be significantly less than the Bank’s amortized cost basis in the investment). 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. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the amount expected to be collected on its held-to-maturity securities is not less than the amortized cost of these investments, the Bank has determined that an allowance for credit losses is not necessary on any of its government-guaranteed or GSE investments at June 30, 2020. State Housing Agency Debentures. As of June 30, 2020, the Bank's holdings of state housing agency bonds are rated triple-A by both Moody's and S&P. The Bank has not experienced any defaults on its state housing agency debentures, nor does it expect to experience any defaults on these securities. Based upon the Bank's assessment of the creditworthiness of the state housing agency and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on its holdings of state housing agency debentures will not be less than the amortized cost basis of these investments. 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 an allowance for credit losses on its state housing debentures to be necessary at June 30, 2020. Non-Agency RMBS. As of June 30, 2020, 5 of the Bank's non-agency RMBS with an aggregate amortized cost of $11,473,000 were rated investment grade (i.e., triple-B or higher by Moody's and/or S&P), 16 non-agency RMBS with an aggregate amortized cost of $44,657,000 were rated below investment grade and 1 non-agency RMBS with an amortized cost of $75,000 was unrated. In periods prior to 2017, 15 of the non-agency RMBS that were rated below investment grade at June 30, 2020 had been determined to be other-than-temporarily impaired. At June 30, 2020 and December 31, 2019, the amortized cost of the Bank's non-agency RMBS included credit losses of $6,509,000 and $6,765,000, respectively, on these previously impaired 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 an allowance for credit losses was needed on its 22 non-agency RMBS holdings, the Bank considered the results of the cash flow analyses that it performed for each security as of December 31, 2019 under both a best estimate scenario and a more stressful housing price scenario. The analyses were performed using two third-party models. The first model considered 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. The month-by-month projections of future loan performance derived from the first model, which reflected projected prepayments, defaults and loss severities under each scenario, were then input into a second model that allocated 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. At June 30, 2020, the Bank considered the potential impact that recent changes in economic conditions could have on the collectibility of these securities relative to the assumptions that were used in the cash flow projections under the more stressful housing price scenario referred to above to determine whether it expected to incur any additional credit losses on these securities. Based on the results of these cash flow analyses, the payment status of the securities and the considerations regarding the potential impact that the COVID-19 pandemic could have on the securities' cash flows, 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, no allowance for credit losses on the Bank's non-agency RMBS was deemed to be necessary at June 30, 2020. Standby Bond Purchase Agreements. The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. To date, the Bank has never been required to purchase a bond under its standby bond purchase agreements. In addition, the agreements contain provisions that allow the Bank to terminate the agreement if the housing finance agency's credit rating, or the rating of the bonds underlying the agreements, decline to a level below investment grade. Based on these provisions, the high credit quality of the housing finance agency and the unlikelihood that the Bank will be required to repurchase the bonds, a reserve for credit losses on standby bond purchase agreements was not considered necessary at June 30, 2020. Financing Receivables. 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 on financing receivables which, for the Bank, includes off-balance sheet credit exposures to members. 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 six months ended June 30, 2020 and 2019, 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. The Bank has procedures in place for validating the reasonableness of its collateral valuations. In addition, collateral verifications and on-site reviews are performed based on the risk profile of the borrower. 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 June 30, 2020 or December 31, 2019. 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 June 30, 2020 and December 31, 2019, 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 June 30, 2020 and December 31, 2019, 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 to members. 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 2019 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 credit losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, projected performance, loan portfolio characteristics, collateral-related characteristics, prevailing economic conditions and reasonable and supportable forecasts of expected economic conditions. The allowance for credit losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. Any credit losses that are expected to be recovered from the credit enhancements are not reserved as part of the Bank’s allowance for credit 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 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. Collateral-dependent loans that are on nonaccrual status are measured for impairment based on the fair value of the underlying mortgaged 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 less estimated selling costs is less than the amortized cost of 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 amount expected to be collected on the loan is less than its amortized cost. As discussed in Note 2, the CARES Act provides temporary relief from the accounting and reporting requirements for certain loan modifications related to COVID-19 that would otherwise be categorized as a TDR. Eligible mortgage loans that are current under the modified terms of the loan agreements are returned to accrual status as long as the Bank expects repayment of the remaining contractual principal and interest. As of June 30, 2020, the Bank had not entered into any qualifying loan modifications. The servicers of the Bank's mortgage loans may grant a forbearance period to borrowers who request forbearance as a result of difficulties relating to COVID-19 regardless of the status of the loan at the time of the request. During the forbearance period, the Bank accounts for these loans in the same manner as it accounts for any other past due loans whether the forbearance arrangement is formal or informal. The accrual status of mortgage loans in forbearance is determined by the past due status of the loan as the legal terms of the loan agreement remain unchanged during this period. 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 amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at June 30, 2020 and the recorded investment (which includes accrued interest receivable) by payment status for mortgage loans at December 31, 2019 (dollars in thousands).
_____________________________ (1)All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004. (2)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. (3)Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio. (4)Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.` (5)The Bank did not have any specific allowance for credit losses on nonaccrual loans at June 30, 2020. As of June 30, 2020, approximately $165,130,000 (unpaid principal balance) of conventional loans were in forbearance as a result of COVID-19. Approximately $3,338,000 of these loans had a current payment status, $70,544,000 were 30 to 59 days past due, $83,645,000 were 60 to 89 days past due, and $7,603,000 were 90 days or more past due and in nonaccrual status. At June 30, 2020 and December 31, 2019, the Bank’s other assets included $300,000 and $15,000, 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 seriously delinquent mortgage loan and each TDR is specifically reviewed for impairment. At June 30, 2020 and December 31, 2019, the Bank did not have any TDRs related to mortgage loans. At these dates, the estimated value of the collateral securing each seriously delinquent 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 for credit losses was established for any of the seriously delinquent 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, current economic conditions, reasonable and supportable forecasts of expected economic conditions (taking into account the forecasted impact of the COVID-19 pandemic) and expected recoveries from credit enhancements, the Bank determined that an allowance for credit losses of $4,892,000 was adequate to reserve for expected credit losses in its conventional mortgage loan portfolio at June 30, 2020. The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the three and six months ended June 30, 2020 and 2019 (in thousands):
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Affordable Housing Program ("AHP") |
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Affordable Housing Program (“AHP”) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program [Text Block] | Affordable Housing Program (“AHP”) The following table summarizes the changes in the Bank’s AHP liability during the six months ended June 30, 2020 and 2019 (in thousands):
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Assets and Liabilities Subject to Offsetting |
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Assets and Liabilities Subject to Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets and Liabilities Subject to Offsetting [Text Block] | Assets and Liabilities Subject to Offsetting The Bank has derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of June 30, 2020 or December 31, 2019. The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $50,000 to $500,000) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions. For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Unlike bilateral derivatives, variation margin payments on cleared derivatives are legally characterized as settlements on the contracts. Initial and variation margin is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received) and any cash collateral pledged or received. The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of June 30, 2020 and December 31, 2019 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.
_____________________________ (1)Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. (2)Consists of collateral pledged by member counterparties. (3)The Bank had pledged securities with aggregate fair values of $866,039,000 and $842,256,000 at June 30, 2020 and December 31, 2019, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.
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Derivatives and Hedging Activities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Derivatives and Hedging Activities Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption, cap and forward rate agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives and, as of June 30, 2020, it was not a party to any forward rate agreements. The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs. The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit. At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges. Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps. A substantial portion of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank entered into interest rate cap agreements, only one of which remained outstanding at June 30, 2020. These derivatives are treated as economic hedges. All of the Bank's available-for-sale securities are fixed-rate agency and other highly rated debentures and agency CMBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges. The Bank's trading securities include both fixed-rate and variable-rate U.S. Treasury Notes. To convert most of its fixed-rate U.S. Treasury Notes to a short-term floating rate, the Bank has entered into fixed-for-floating interest rate exchange agreements that are primarily indexed to the overnight index swap ("OIS") rate. These derivatives are treated as economic hedges. The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio are treated as economic hedges. Advances — The Bank issues both fixed-rate and variable-rate advances. When deemed appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates. From time to time, a small portion of the Bank’s variable-rate advances are subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank will generally enter into interest rate cap agreements. This type of hedge is treated as a fair value hedge. The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance. The Bank enters into optional advance commitments with its members. In an optional advance commitment, the Bank sells an option to the member that provides the member with the right to increase the amount of an existing advance at a specified fixed rate and term on a specified future date, provided the member has satisfied all of the customary requirements for such advance. This embedded option is clearly and closely related to the host contract. The Bank may hedge an optional advance commitment through the use of an interest rate swaption. In this case, the swaption will function as the hedging instrument for both the commitment and, if the option is exercised by the member, the subsequent advance. These swaptions are treated as fair value hedges. Consolidated Obligations — While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances. To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate assets. These transactions are treated as fair value hedges. On occasion, the Bank may enter into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are indexed to the OIS rate and are treated as economic hedges. The Bank may also use interest rate exchange agreements to convert variable-rate consolidated obligation bonds from one index rate to another index rate. These transactions are treated as economic hedges. The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars. Forecasted Issuances of Consolidated Obligations — The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges. Balance Sheet Management — From time to time, the Bank may enter into interest rate basis swaps to reduce its exposure to changing spreads between different interest rate indices. In addition, to reduce its exposure to reset risk, the Bank may occasionally enter into forward rate agreements. These derivatives are treated as economic hedges. Intermediation — The Bank offers interest rate swaps, caps and floors to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges. Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges. Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances. Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate). Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in accumulated other comprehensive income ("AOCI") until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes). An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Impact of Derivatives and Hedging Activities. 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 June 30, 2020 and December 31, 2019 (in thousands).
_____________________________ (1)Derivatives designated as fair hedges. (2)Derivatives designated as cash flow hedges. (3)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. The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three and six months ended June 30, 2020 and 2019 (in thousands).
For the three and six months ended June 30, 2020 and 2019, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At June 30, 2020, $21,201,000 of deferred net losses on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At June 30, 2020, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 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 June 30, 2020 (in thousands).
_____________________________ (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. 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 six months ended June 30, 2020 and 2019 (in thousands).
_____________________________ (1)Reflects 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. Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. The majority of the Bank's derivative contracts have been cleared through third-party central clearinghouses (as of June 30, 2020, the notional balance of cleared transactions outstanding totaled $31.8 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of June 30, 2020, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $14.9 billion and $0.1 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations. The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of the loss position. The net exposure on derivative agreements is presented in Note 12. Based on the netting provisions and collateral requirements associated with its derivative agreements and the creditworthiness of its derivative counterparties, Bank management does not currently anticipate any credit losses on its derivative agreements.
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Employee Retirement Plans |
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Employee Retirement Plans [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Pension and Other Postretirement Benefits Disclosure [Text Block] | Employee Retirement Plans The Bank sponsors a retirement benefits program that includes health care and limited life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and six months ended June 30, 2020 and 2019 were as follows (in thousands):
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Fair Value Measures and Disclosures |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures | Estimated Fair Values Fair value is defined under U.S. GAAP as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. Level 2 Inputs — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs. For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the six months ended June 30, 2020 and 2019, the Bank did not reclassify any fair value measurements. The following estimated fair value amounts have been determined by the Bank using available market information and management’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of June 30, 2020 and December 31, 2019. Although management uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities. The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below. Trading and available-for-sale securities. To value its U.S. Treasury Notes and U.S. Treasury Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. A "median" price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. All prices that are within a specified tolerance threshold of the median price are included in the “cluster” of prices that are averaged to compute a “default” price. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of June 30, 2020 and December 31, 2019, three vendor prices were received for substantially all of the Bank’s trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy. Derivative assets/liabilities. The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve or the OIS curve and, for purposes of discounting, the OIS curve) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps and floors are also estimated using a pricing model with inputs that are observable in the market (that is, cap/floor volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve). As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 12), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability. The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS. Other assets held at fair value. To value its mutual fund investments included in other assets, the Bank obtains quoted prices for the mutual funds. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at June 30, 2020 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE
___________________________ (1)Financial instruments measured at fair value on a recurring basis as of June 30, 2020. (2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency debentures 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. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2019 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE
___________________________ (1)Financial instruments measured at fair value on a recurring basis as of December 31, 2019. (2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency debentures 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.
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Commitments and Contingencies |
6 Months Ended |
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Jun. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | Joint and several liability. The Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At June 30, 2020, the par amount of the other 10 FHLBanks’ outstanding consolidated obligations was approximately $847 billion. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote. Other commitments and contingencies. At June 30, 2020 and December 31, 2019, the Bank had commitments to make additional advances totaling approximately $23,775,000 and $19,397,000, respectively. In addition, outstanding standby letters of credit totaled $22,077,455,000 and $21,781,829,000 at June 30, 2020 and December 31, 2019, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 9). The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At June 30, 2020 and December 31, 2019, the Bank had outstanding standby bond purchase agreements totaling $724,733,000 and $484,872,000, respectively. At June 30, 2020, standby bond purchase agreements totaling $180,615,000, $239,475,000, $51,302,000, and $253,341,000 expire in 2022, 2023, 2024, and 2025, respectively. The Bank was not required to purchase any bonds under these agreements during the six months ended June 30, 2020 or the year ended December 31, 2019. At June 30, 2020 and December 31, 2019, the Bank had commitments to purchase conventional mortgage loans totaling $44,951,000 and $31,765,000, respectively, from certain of its members that participate in the MPF program. At June 30, 2020, the Bank had commitments to issue $50,000,000 (par value) of consolidated obligation bonds, none of which were hedged. At December 31, 2019, the Bank had commitments to issue $115,000,000 (par value) of consolidated obligation bonds, all of which were hedged with interest rate swaps. In addition, at June 30, 2020 and December 31, 2019, the Bank had commitments to issue $61,422,000 and $679,510,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of June 30, 2020 and December 31, 2019, the Bank had pledged cash collateral of $696,453,000 and $156,676,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of June 30, 2020 and December 31, 2019, the Bank had pledged securities with carrying values (and fair values) of $866,039,000 and $842,256,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statements of condition. In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings.
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Transactions with Shareholders |
6 Months Ended |
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Jun. 30, 2020 | |
Transactions with Shareholders [Abstract] | |
Transactions With Stockholders [Text Block] | Transactions with ShareholdersAffiliates 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. The Bank repurchased all of the affiliate's outstanding capital stock during the three months ended June 30, 2019 and, accordingly, the affiliate of Citigroup is no longer a shareholder of the Bank. |
Transactions with Other FHLBanks |
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Transactions with Other FHLBanks | Transactions with Other FHLBanks Occasionally, the Bank loans (or borrows) short-term federal funds to (or from) other FHLBanks. During the six months ended June 30, 2019, interest income on loans to other FHLBanks totaled $20,000. The Bank did not loan any short-term federal funds to other FHLBanks during the six months ended June 30, 2020. The following table summarizes the Bank's loans to other FHLBanks during the six months ended June 30, 2019.
During the six months ended June 30, 2020 and 2019, interest expense on borrowings from other FHLBanks totaled $456 and $108,000, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2020 and 2019 (in thousands).
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Accumulated Other Comprehensive Income (Loss) |
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Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table presents the changes in the components of AOCI for the three and six months ended June 30, 2020 and 2019 (in thousands).
_____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.
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Basis of Presentation (Policies) |
6 Months Ended |
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Jun. 30, 2020 | |
Basis of Presentation [Abstract] | |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. |
Derivatives, Policy [Policy Text Block] | Accounting for Derivatives and Hedging Activities. The Bank accounts for derivatives and hedging activities in accordance with the guidance in Topic 815 of the FASB’s Accounting Standards Codification (“ASC”) entitled “Derivatives and Hedging” (“ASC 815”). All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. Changes in the fair value of a derivative that is effective as — and that is designated and qualifies as — a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in ASC 815. The Bank has defined the market settlement convention to be five business days or less for advances. Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate). Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in accumulated other comprehensive income ("AOCI") until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes). An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting under ASC 815, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."
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Derivatives, Embedded Derivatives [Policy Text Block] | The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. |
Derivatives, Hedge Discontinuances [Policy Text Block] | The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument in accordance with ASC 815 is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities."
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Trading Securities Tables (Tables) |
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Trading, Gain (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Trading, and Equity Securities, FV-NI [Table] | Note 3—Trading Securities Trading securities as of June 30, 2020 and December 31, 2019 were as follows (in thousands):
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Available-for-Sale Securities (Tables) |
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Debt Securities, Available-for-sale [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-sale securities as of June 30, 2020 were as follows (in thousands):
Available-for-sale securities as of December 31, 2019 were as follows (in thousands):
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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 June 30, 2020. 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, 2019. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position.
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Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of available-for-sale securities (excluding accrued interest) by contractual maturity at June 30, 2020 and December 31, 2019 are presented below (in thousands).
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Held-to-Maturity Securities (Tables) |
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Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Held-to-maturity [Table Text Block] | Held-to-maturity securities as of June 30, 2020 were as follows (in thousands):
Held-to-maturity securities as of December 31, 2019 were as follows (in thousands):
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Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | The following table provides interest rate payment terms for investment securities classified as held-to-maturity at June 30, 2020 and December 31, 2019 (in thousands):
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Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at June 30, 2020 and December 31, 2019 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities.
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Advances (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances [Table Text Block] | At June 30, 2020 and December 31, 2019, the Bank had advances outstanding at interest rates ranging from 0.15 percent to 8.27 percent and 0.48 percent to 8.27 percent, respectively, as summarized below (dollars in thousands).
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Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Table Text Block] | The following table summarizes advances outstanding at June 30, 2020 and December 31, 2019, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands):
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Schedule of Advances Classified by Contractual Maturity Date or Next Put Date [Table Text Block] | The following table summarizes advances outstanding at June 30, 2020 and December 31, 2019, by the earlier of contractual maturity or next possible put date (in thousands):
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Schedule of Federal Home Loan Bank Advances by Interest Rate Payment Terms [Table Text Block] | The following table provides interest rate payment terms for advances outstanding at June 30, 2020 and December 31, 2019 (in thousands):
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Mortgage Loans Held for Portfolio (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held For Portfolio [Table Text Block] | The following table presents information as of June 30, 2020 and December 31, 2019 for mortgage loans held for portfolio (in thousands):
________________________________________ *Medium-term is defined as an original term of 15 years or less.
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Accrued Interest (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued Interest Receivable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued Interest Receivable [Table Text Block] | The components of accrued interest receivable as of June 30, 2020 and December 31, 2019 were as follows (in thousands):
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Allowance for Credit Losses (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Allowance for Credit Losses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing Receivable, Past Due [Table Text Block] | The table below summarizes the amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at June 30, 2020 and the recorded investment (which includes accrued interest receivable) by payment status for mortgage loans at December 31, 2019 (dollars in thousands).
_____________________________ (1)All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004. (2)Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. (3)Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio. (4)Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.` (5)The Bank did not have any specific allowance for credit losses on nonaccrual loans at June 30, 2020.
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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 six months ended June 30, 2020 and 2019 (in thousands):
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Consolidated Obligations (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at June 30, 2020 and December 31, 2019 (in thousands, at par value).
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Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s consolidated obligation bonds outstanding at June 30, 2020 and December 31, 2019, by contractual maturity (dollars in thousands):
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Schedule of Consolidated Obligation Bonds by Call Feature [Table Text Block] | At June 30, 2020 and December 31, 2019, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value):
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Schedule of Maturities of Consolidated Obligation Bonds by Contractual Maturity or Next Call Date [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding at June 30, 2020 and December 31, 2019, by the earlier of contractual maturity or next possible call date (in thousands, at par value):
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Schedule of Short-term Debt [Table Text Block] | At June 30, 2020 and December 31, 2019, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands):
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Affordable Housing Program ("AHP") (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program (“AHP”) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | The following table summarizes the changes in the Bank’s AHP liability during the six months ended June 30, 2020 and 2019 (in thousands):
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Assets and Liabilities Subject to Offsetting (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets and Liabilities Subject to Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting Assets and Liabilities [Table Text Block] | The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of June 30, 2020 and December 31, 2019 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities.
_____________________________ (1)Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. (2)Consists of collateral pledged by member counterparties. (3)The Bank had pledged securities with aggregate fair values of $866,039,000 and $842,256,000 at June 30, 2020 and December 31, 2019, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank.
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Derivatives and Hedging Activities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 June 30, 2020 and December 31, 2019 (in thousands).
_____________________________ (1)Derivatives designated as fair hedges. (2)Derivatives designated as cash flow hedges. (3)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.
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Net Gains (Losses) on Fair Value and Cash Flow Hedging Relationship [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 six months ended June 30, 2020 and 2019 (in thousands).
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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 June 30, 2020 (in thousands).
_____________________________ (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.
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Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income [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 six months ended June 30, 2020 and 2019 (in thousands).
_____________________________ (1)Reflects 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.
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Capital (Tables) |
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Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | The following table summarizes the Bank’s compliance with those capital requirements as of June 30, 2020 and December 31, 2019 (dollars in thousands):
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Employee Retirement Plans (Tables) |
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Employee Retirement Plans [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Net Benefit Costs [Table Text Block] | The Bank sponsors a retirement benefits program that includes health care and limited life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and six months ended June 30, 2020 and 2019 were as follows (in thousands):
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Fair Value Measures and Disclosures (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping | The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at June 30, 2020 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE
___________________________ (1)Financial instruments measured at fair value on a recurring basis as of June 30, 2020. (2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency debentures 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. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2019 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE
___________________________ (1)Financial instruments measured at fair value on a recurring basis as of December 31, 2019. (2)Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency debentures 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.
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Financial Services, Federal Home Loan Banks (Tables) |
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Schedule of Loans to Other Federal Home Loan Banks | The following table summarizes the Bank's loans to other FHLBanks during the six months ended June 30, 2019.
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Schedule of Loans from Other Federal Home Loan Banks [Table Text Block] | The following table summarizes the Bank’s borrowings from other FHLBanks during the six months ended June 30, 2020 and 2019 (in thousands).
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Accumulated Other Comprehensive Income (Loss) (Tables) |
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Accumulated Other Comprehensive Income (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table presents the changes in the components of AOCI for the three and six months ended June 30, 2020 and 2019 (in thousands).
_____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income.
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Recently Adopted Accounting Guidance ASU2016-13 (Details) $ in Thousands |
Jan. 01, 2020
USD ($)
|
---|---|
Accounting Standards Update 2016-13 [Member] | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative Effect of New Accounting Principle in Period of Adoption | $ (2,191) |
Trading Securities Details (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
[2] | Dec. 31, 2019 |
||||||
Debt and Equity Securities, FV-NI [Line Items] | |||||||||||
Trading securities | $ 5,914,379 | $ 5,914,379 | $ 5,460,136 | ||||||||
Dividends, Common Stock, Cash | 60 | $ 65 | 120 | [1] | $ 131 | ||||||
US Treasury Notes [Member] | |||||||||||
Debt and Equity Securities, FV-NI [Line Items] | |||||||||||
Trading securities | 3,005,766 | 3,005,766 | 4,532,126 | ||||||||
US Treasury Bill Securities [Member] | |||||||||||
Debt and Equity Securities, FV-NI [Line Items] | |||||||||||
Trading securities | $ 2,908,613 | $ 2,908,613 | $ 928,010 | ||||||||
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Available-for-Sale Securities (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
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Jun. 30, 2019
USD ($)
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Jun. 30, 2020
USD ($)
securities
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Dec. 31, 2019
USD ($)
securities
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Debt Securities, Available-for-sale Securities, Gross Realized Gain (Loss) [Abstract] | ||||||
Amortized Cost of Sold Available-for-sale Securities | $ 24,734 | $ 435,439 | ||||
Proceeds from Sale of Debt Securities, Available-for-sale | 24,874 | 436,019 | ||||
Available-for-sale Securities, Gross Realized Gains | $ 140 | $ 580 | ||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-sale, Amortized Cost | $ 17,637,425 | $ 16,621,667 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 95,802 | 171,252 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 120,440 | 26,419 | ||||
Available-for-sale securities | [1] | $ 17,612,787 | $ 16,766,500 | |||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | securities | 217 | 34 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 7,828,401 | $ 1,031,193 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 113,607 | $ 3,331 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | securities | 5 | 70 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 313,224 | $ 2,351,749 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 6,833 | $ 23,088 | ||||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | securities | 222 | 104 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 8,141,625 | $ 3,382,942 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 120,440 | 26,419 | ||||
Available-for-sale Securities, Debt Maturities [Abstract] | ||||||
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | 293 | 1,005 | ||||
US Government Agencies Debt Securities [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 448,853 | 447,072 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 3,354 | 6,124 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 13 | 0 | ||||
Available-for-sale securities | $ 452,194 | 453,196 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | securities | 1 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 35,298 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 13 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | securities | 0 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 0 | |||||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | securities | 1 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 35,298 | |||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 13 | |||||
US Government-sponsored Enterprises Debt Securities [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 5,684,023 | 5,501,456 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 66,184 | 84,911 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2,977 | 1,986 | ||||
Available-for-sale securities | $ 5,747,230 | $ 5,584,381 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | securities | 4 | 0 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 164,774 | $ 0 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 2,977 | $ 0 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | securities | 0 | 3 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 0 | $ 128,794 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 0 | $ 1,986 | ||||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | securities | 4 | 3 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 164,774 | $ 128,794 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 2,977 | 1,986 | ||||
Other Debt Obligations [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 46,204 | 45,217 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 160 | 342 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 | ||||
Available-for-sale securities | 46,364 | 45,559 | ||||
Non-mortgage-backed securities [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 6,179,080 | 5,993,745 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 69,698 | 91,377 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2,990 | 1,986 | ||||
Available-for-sale securities | 6,245,788 | 6,083,136 | ||||
Available-for-sale Securities, Debt Maturities [Abstract] | ||||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost | 781,709 | 298,084 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 3,356,746 | 3,465,898 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost | 2,023,952 | 2,183,310 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 16,673 | 46,453 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value | 783,410 | 299,005 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 3,386,782 | 3,504,780 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 2,058,155 | 2,231,183 | ||||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 17,441 | 48,168 | ||||
GSE mortgage-backed securities[Member] | Multifamily [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-sale, Amortized Cost | 11,458,345 | 10,627,922 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 26,104 | 79,875 | ||||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 117,450 | 24,433 | ||||
Available-for-sale securities | $ 11,366,999 | $ 10,683,364 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position [Abstract] | ||||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | securities | 212 | 34 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 7,628,329 | $ 1,031,193 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ 110,617 | $ 3,331 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | securities | 5 | 67 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | $ 313,224 | $ 2,222,955 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | $ 6,833 | $ 21,102 | ||||
Available-for-sale Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | securities | 217 | 101 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | $ 7,941,553 | $ 3,254,148 | ||||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | 117,450 | 24,433 | ||||
Available-for-sale Securities [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 65,336 | $ 66,931 | ||||
|
Held-to-Maturity Securities (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
||
---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 1,091,248 | $ 1,214,810 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 7,570 | 8,640 | ||
Held-to-maturity securities | [1] | 1,083,678 | 1,206,170 | |
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 11,737 | 14,234 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 3,000 | 4,824 | ||
Debt Securities, Held-to-maturity, Fair Value | 1,092,415 | 1,215,580 | ||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 4,774 | |||
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | 293 | 1,005 | ||
US Government Agencies Debt Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 4,992 | 5,862 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 4,992 | 5,862 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 2 | 12 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 0 | 0 | ||
Debt Securities, Held-to-maturity, Fair Value | 4,994 | 5,874 | ||
US States and Political Subdivisions Debt Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 109,587 | 109,478 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 109,587 | 109,478 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 1,073 | 0 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 123 | 908 | ||
Debt Securities, Held-to-maturity, Fair Value | 108,570 | |||
Non-mortgage-backed securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 114,579 | 115,340 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 114,579 | 115,340 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 1,075 | 12 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 123 | 908 | ||
Debt Securities, Held-to-maturity, Fair Value | 115,531 | 114,444 | ||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 4,992 | 5,862 | ||
Held-to-maturity Securities, Debt Maturities, After One Through Five Years, Net Carrying Amount | 4,992 | 5,862 | ||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 4,994 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 109,587 | 109,478 | ||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after 10 Years, Net Carrying Amount | 109,587 | 109,478 | ||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 110,537 | 108,570 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 56,205 | 62,885 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 7,570 | 8,640 | ||
Held-to-maturity securities | 48,635 | 54,245 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 7,733 | 11,641 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1,437 | 481 | ||
Debt Securities, Held-to-maturity, Fair Value | 54,931 | 65,405 | ||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 3,211 | |||
Mortgage Backed Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 976,669 | 1,099,470 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 7,570 | 8,640 | ||
Held-to-maturity securities | 969,099 | 1,090,830 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 10,662 | 14,222 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 2,877 | 3,916 | ||
Debt Securities, Held-to-maturity, Fair Value | 976,884 | 1,101,136 | ||
Held-to-maturity Securities, Premium (Discounts), Net | (1,640) | (1,952) | ||
Single Family [Member] | US States and Political Subdivisions Debt Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 123 | |||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 920,464 | 1,036,585 | ||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | ||
Held-to-maturity securities | 920,464 | 1,036,585 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 2,929 | 2,581 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1,440 | 3,435 | ||
Debt Securities, Held-to-maturity, Fair Value | $ 921,953 | $ 1,035,731 | ||
|
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 1,091,248 | $ 1,214,810 |
Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 114,579 | 115,340 |
Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 976,669 | 1,099,470 |
Fixed Interest Rate [Member] | Mortgage Passthrough Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 27 | 36 |
Fixed Interest Rate [Member] | Collateralized Mortgage Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 28 | 57 |
Variable Interest Rate [Member] | Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 114,579 | 115,340 |
Variable Interest Rate [Member] | Collateralized Mortgage Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 976,614 | $ 1,099,377 |
Advances Redemption Terms (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Advances by Redemption Terms [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 0 | $ 613 |
Weighted Average Interest Rate on Overdrawn Demand Deposit | 0.00% | 1.45% |
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 15,299,792 | $ 16,683,401 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 0.68% | 1.72% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | $ 1,181,465 | $ 1,491,736 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 1.99% | 2.35% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | $ 1,457,369 | $ 1,125,342 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 1.94% | 2.38% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | $ 1,125,734 | $ 742,698 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 2.07% | 2.67% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | $ 1,750,138 | $ 1,435,402 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 1.19% | 2.11% |
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Five | $ 16,984,794 | $ 15,464,698 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 0.80% | 1.69% |
Federal Home Loan Bank Advances Par Value | $ 37,799,292 | $ 36,943,890 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 0.89% | 1.79% |
Deferred Prepayment Fees | $ (6,908) | $ (6,657) |
Federal Home Loan Bank, Advances, Commitment Fees | (95) | (99) |
Federal Home Loan Bank Advances, Valuation Adjustments For Hedging Activities | 850,374 | 180,321 |
Federal Home Loan Bank Advances | $ 38,642,663 | $ 37,117,455 |
Advances Outstanding by the Earlier of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 0 | $ 613 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months | 24,601,251 | 26,716,128 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two | 1,095,382 | 1,408,317 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three | 1,400,456 | 1,018,388 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four | 900,192 | 691,905 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five | 1,317,411 | 1,030,243 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five | 8,484,600 | 6,078,296 |
Federal Home Loan Bank Advances Par Value | $ 37,799,292 | $ 36,943,890 |
Advances Outstanding by the Earlier of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Advances by Earlier of Contractual Maturity or Next Put Date [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 0 | $ 613 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, due in Next Rolling Twelve Months | 22,355,592 | 21,999,901 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 1,991,465 | 1,851,736 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 1,542,369 | 1,195,342 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 1,155,534 | 791,498 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 1,490,138 | 1,191,402 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | 9,264,194 | 9,913,398 |
Federal Home Loan Bank Advances Par Value | $ 37,799,292 | $ 36,943,890 |
Advances Interest Rate Payment Terms (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Advances by Interest Rate Payment Terms [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 0 | $ 613 |
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | 15,069,092 | 16,054,501 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | 12,903,030 | 9,911,487 |
Federal Home Loan Bank, Advances, Fixed Rate | 27,972,122 | 25,965,988 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | 230,700 | 629,513 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | 9,596,470 | 10,348,389 |
Federal Home Loan Bank, Advances, Floating Rate | 9,827,170 | 10,977,902 |
Federal Home Loan Bank Advances Par Value | $ 37,799,292 | $ 36,943,890 |
Advances Narrative (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Dec. 31, 2019 |
|
Advances [Line Items] | ||||||
Percent Of Fixed Rate Advances Swapped To Adjustable Rate | 53.00% | 53.00% | 39.00% | |||
Gross Prepayment Fees on Advances Received | $ 4,057 | $ 549 | $ 6,029 | $ 742 | ||
Prepaid Advances with Symmetrical prepayment Feature | $ 5,000 | |||||
Federal Home Loan Bank Advances Par Value | $ 37,799,292 | $ 37,799,292 | $ 36,943,890 | |||
Fees paid on prepaid Advances with Symmetrical Prepayment Feature | $ 68 | |||||
Minimum [Member] | ||||||
Advances [Line Items] | ||||||
Federal Home Loan Bank Advances, Interest Rate | 0.15% | 0.15% | 0.48% | |||
Maximum [Member] | ||||||
Advances [Line Items] | ||||||
Federal Home Loan Bank Advances, Interest Rate | 8.27% | 8.27% | 8.27% | |||
Federal Home Loan Bank Advances Callable Option [Member] | ||||||
Advances [Line Items] | ||||||
Federal Home Loan Bank Advances Par Value | $ 11,416,994 | $ 11,416,994 | $ 10,428,894 | |||
Federal Home Loan Bank Advances Putable Option [Member] | ||||||
Advances [Line Items] | ||||||
Federal Home Loan Bank Advances Par Value | 8,045,800 | 8,045,800 | 6,796,500 | |||
Federal Home Loan Bank Advances Receivable [Member] | ||||||
Advances [Line Items] | ||||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 27,850 | $ 27,850 | $ 49,096 |
Mortgage Loans Held for Portfolio (Details) $ in Thousands |
6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2020
USD ($)
|
Mar. 31, 2020
USD ($)
|
Dec. 31, 2019
USD ($)
|
Jun. 30, 2019
USD ($)
|
Mar. 31, 2019
USD ($)
|
Dec. 31, 2018
USD ($)
|
|||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Mortgage Loans On Real Estate, Original Contractual Terms | 15 | |||||||
Loans and Leases Receivable, Unamortized Premiums | $ 77,237 | $ 78,643 | ||||||
Loans and Leases Receivable, Unamortized Discounts | (1,613) | (1,821) | ||||||
Loans And Leases Receivable, Net Deferred Loan Costs | 9,729 | 5,444 | ||||||
Mortgage Loans, Gross | 4,024,500 | 4,076,613 | ||||||
Loans and Leases Receivable, Net Amount | 4,019,608 | 4,075,464 | ||||||
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans and Leases Receivable, Unpaid Principal Balance | [1] | 60,854 | 33,954 | |||||
Loans Receivable With Fixed Rates Of Interest Long Term [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans and Leases Receivable, Unpaid Principal Balance | 3,878,293 | 3,960,393 | ||||||
Government Loan [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans and Leases Receivable, Unpaid Principal Balance | 12,097 | 13,377 | ||||||
Conventional Mortgage Loan [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans and Leases Receivable, Unpaid Principal Balance | 3,927,050 | 3,980,970 | ||||||
Conventional Mortgage Loan [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Loans and Leases Receivable, Allowance | (4,892) | $ (4,339) | (1,149) | $ (731) | $ (611) | $ (493) | ||
Real Estate Loan [Member] | ||||||||
Mortgage Loans on Real Estate [Line Items] | ||||||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 22,162 | $ 21,863 | ||||||
|
Accrued Interest (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 125,631 | $ 154,218 |
Advances [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 27,850 | 49,096 |
Trading [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 9,852 | 13,742 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 65,336 | 66,931 |
Held-to-maturity Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 293 | 1,005 |
Real Estate Loan [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 22,162 | 21,863 |
Interest-bearing Deposits [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 124 | 1,192 |
Securities Purchased under Agreements to Resell [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 7 | 195 |
Federal Funds Sold [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 7 | $ 194 |
Allowance for Credit Losses (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2020
USD ($)
securities
|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2020
USD ($)
securities
|
Jun. 30, 2019
USD ($)
|
Dec. 31, 2019
USD ($)
|
|
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Available-for-sale Securities, Accumulated Gross Unrealized Gain (Loss), before Tax | $ 120,440 | $ 120,440 | |||
OTTI Credit Losses in the Amortized Cost of Held to Maturity Securities | 6,509 | 6,509 | $ 6,765 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 3,000 | 3,000 | 4,824 | ||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 4,774 | 4,774 | |||
Real Estate Acquired Through Foreclosure | $ 300 | $ 300 | 15 | ||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 22 | 22 | |||
Receivables [Abstract] | |||||
Total past due | $ 197,268 | $ 197,268 | 47,199 | ||
Total current loans | 3,827,232 | 3,827,232 | 4,051,277 | ||
Total mortgage loans | 4,024,500 | 4,024,500 | 4,098,476 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 1,715 | $ 1,715 | $ 1,788 | ||
Serious delinquency rate | 0.30% | 0.30% | 0.20% | ||
Past due 90 days or more and still accruing interest | $ 161 | $ 161 | $ 80 | ||
Non-accrual loans | 13,289 | 13,289 | 7,304 | ||
Troubled debt restructurings | 0 | 0 | 0 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Provision for mortgage loan losses | 553 | $ 120 | 1,552 | $ 238 | |
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,091,248 | 1,091,248 | 1,214,810 | ||
Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 9,149 | 9,149 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 4,003,201 | 4,003,201 | |||
Receivables [Abstract] | |||||
Total mortgage loans | 4,012,350 | 4,012,350 | 4,084,921 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 1,680 | $ 1,680 | $ 1,752 | ||
Serious delinquency rate | 0.30% | 0.30% | 0.20% | ||
Past due 90 days or more and still accruing interest | $ 0 | $ 0 | $ 0 | ||
Non-accrual loans | 13,289 | 13,289 | 7,304 | ||
Troubled debt restructurings | 0 | 0 | 0 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Balance, beginning of period | 4,339 | 611 | 1,149 | 493 | |
Adjustment to initially apply new credit loss accounting guidance | 0 | 0 | 2,191 | 0 | |
Provision for mortgage loan losses | 553 | 120 | 1,552 | 238 | |
Balance, end of period | 4,892 | $ 731 | 4,892 | $ 731 | |
fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 165,130 | 165,130 | |||
Financial Asset, 30 to 59 Days Past Due [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 94,145 | 94,145 | 38,096 | ||
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 207 | 207 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 93,442 | 93,442 | |||
Receivables [Abstract] | |||||
Total past due | 93,649 | 93,649 | 37,632 | ||
Financial Asset, 30 to 59 Days Past Due [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 70,544 | 70,544 | |||
Financial Asset, 60 to 89 Days Past Due [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 90,767 | 90,767 | 2,917 | ||
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 179 | 179 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 90,327 | 90,327 | |||
Receivables [Abstract] | |||||
Total past due | 90,506 | 90,506 | 2,728 | ||
Financial Asset, 60 to 89 Days Past Due [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 83,645 | 83,645 | |||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 12,356 | 12,356 | 6,186 | ||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 225 | 225 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 11,970 | 11,970 | |||
Receivables [Abstract] | |||||
Total past due | 12,195 | 12,195 | 6,106 | ||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 7,603 | 7,603 | |||
US Government Agency Insured Loans [Member] | |||||
Receivables [Abstract] | |||||
Total mortgage loans | 12,150 | 12,150 | 13,555 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 35 | $ 35 | $ 36 | ||
Serious delinquency rate | 1.30% | 1.30% | 0.60% | ||
Past due 90 days or more and still accruing interest | $ 161 | $ 161 | $ 80 | ||
Non-accrual loans | 0 | 0 | 0 | ||
Troubled debt restructurings | 0 | 0 | 0 | ||
US Government Agency Insured Loans [Member] | Financial Asset, 30 to 59 Days Past Due [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 496 | 496 | 464 | ||
US Government Agency Insured Loans [Member] | Financial Asset, 60 to 89 Days Past Due [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 261 | 261 | 189 | ||
US Government Agency Insured Loans [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 161 | 161 | 80 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1,437 | 1,437 | 481 | ||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 3,211 | 3,211 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 56,205 | 56,205 | 62,885 | ||
US States and Political Subdivisions Debt Securities [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 123 | 123 | 908 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 109,587 | 109,587 | 109,478 | ||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1,440 | 1,440 | 3,435 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 920,464 | 920,464 | 1,036,585 | ||
Single Family [Member] | US States and Political Subdivisions Debt Securities [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 123 | 123 | |||
Nonperforming Financial Instruments [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 611 | 611 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 195,739 | 195,739 | |||
Receivables [Abstract] | |||||
Total past due | 196,350 | 196,350 | 46,466 | ||
Nonperforming Financial Instruments [Member] | US Government Agency Insured Loans [Member] | |||||
Receivables [Abstract] | |||||
Total past due | 918 | 918 | 733 | ||
Performing Financial Instruments [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 8,538 | 8,538 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 3,807,462 | 3,807,462 | |||
Receivables [Abstract] | |||||
Total current loans | 3,816,000 | 3,816,000 | 4,038,455 | ||
Performing Financial Instruments [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 3,338 | 3,338 | |||
Performing Financial Instruments [Member] | US Government Agency Insured Loans [Member] | |||||
Receivables [Abstract] | |||||
Total current loans | $ 11,232 | $ 11,232 | $ 12,822 | ||
External Credit Rating, Non Investment Grade [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 16 | 16 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 44,657 | $ 44,657 | |||
External Credit Rating, Investment Grade [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 5 | 5 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 11,473 | $ 11,473 | |||
External credit rating, Unrated [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 1 | 1 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 75 | $ 75 |
Consolidated Obligations (Details) - USD ($) $ in Billions |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate | 73.00% | 86.00% |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 916.0 | $ 1,026.0 |
FHL Bank of Dallas [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 68.5 | $ 70.1 |
Consolidated Obligations Interest Rate Payment Terms (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Debt Instrument [Line Items] | ||
Debt, Gross | $ 32,509,360 | $ 35,684,315 |
Fixed Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 11,816,360 | 21,529,815 |
Variable Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 20,498,000 | 12,642,000 |
Step Down [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 0 | 175,000 |
Step Up [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | $ 195,000 | $ 1,337,500 |
Consolidated Obligations Redemption Terms (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Debt Instrument, Redemption [Line Items] | ||
Bonds | $ 32,694,975 | $ 35,745,827 |
Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Debt, Gross | 32,509,360 | 35,684,315 |
Debt Instrument, Unamortized Premium | 813 | 1,091 |
Debt Instrument, Unamortized Discount | (552) | (781) |
Unamortized Debt Issuance Expense | (3,387) | (4,479) |
Debt Valuation Adjustment for Hedging Activities | 188,741 | 65,681 |
Bonds | 32,694,975 | 35,745,827 |
Contractual Maturity [Member] | Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 19,979,940 | $ 16,900,625 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 0.48% | 1.75% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 5,006,035 | $ 7,849,605 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 0.87% | 1.76% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 2,636,505 | $ 2,269,005 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.27% | 2.21% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 880,590 | $ 1,912,490 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.45% | 2.42% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 2,596,790 | $ 3,811,615 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.97% | 2.16% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,409,500 | $ 2,940,975 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.23% | 2.52% |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 0.93% | 1.93% |
Consolidated Obligations Callable/Non-callable (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 32,509,360 | $ 35,684,315 |
Non Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | 27,604,860 | 22,188,915 |
Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 4,904,500 | $ 13,495,400 |
Consolidated Obligations Contractual Maturity or Next Call Date (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Debt, Gross | $ 32,509,360 | $ 35,684,315 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 24,579,440 | 25,936,025 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 5,121,035 | 6,397,605 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,911,505 | 1,649,005 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 550,590 | 1,193,590 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 346,790 | 409,615 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 | 98,475 |
Debt, Gross | $ 32,509,360 | $ 35,684,315 |
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Short-term Debt [Line Items] | ||
Percent of Fixed Rate Consolidated Obligation Bonds Swapped to An Adjustable Rate | 73.00% | 86.00% |
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 35,978,006 | $ 34,327,886 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Debt Instrument, Face Amount | $ 35,992,183 | $ 34,405,724 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 0.26% | 1.57% |
Affordable Housing Program ("AHP") (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
Affordable Housing Program [Roll Forward] | ||||
Balance, beginning of period | $ 57,247 | $ 44,358 | ||
AHP assessment | $ 7,441 | $ 6,015 | 13,175 | 12,509 |
Grants funded, net of recaptured amounts | (10,553) | (8,818) | ||
Balance, end of period | $ 59,869 | $ 48,049 | $ 59,869 | $ 48,049 |
Assets and Liabilities Subject to Offsetting (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
||||||||
---|---|---|---|---|---|---|---|---|---|---|
Offsetting Assets and Liabilities [Line Items] | ||||||||||
Derivative Asset, Fair Value, Gross Asset | $ 95,994 | $ 56,339 | ||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (68,276) | (15,068) | |||||||
Derivative Assets | 27,718 | 41,271 | ||||||||
Derivative, Collateral, Obligation to Return Securities | [2] | (9,437) | (5,313) | |||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 18,281 | 35,958 | ||||||||
Securities Purchased under Agreements to Resell, Gross | 2,500,000 | 4,310,000 | ||||||||
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral | 0 | 0 | ||||||||
Securities Purchased under Agreements to Resell | 2,500,000 | 4,310,000 | ||||||||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | [2] | (2,500,000) | (4,310,000) | |||||||
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral | 0 | 0 | ||||||||
Offsetting Assets, Gross | 2,595,994 | 4,366,339 | ||||||||
Assets, Amounts Offset Against Collateral | (68,276) | (15,068) | ||||||||
Offsetting Assets, Total | 2,527,718 | 4,351,271 | ||||||||
Offsetting Assets, Collateral Not Offset in the Statement of Condition | [2] | (2,509,437) | (4,315,313) | |||||||
Offsetting Assets, Amount Not Offset Against Collateral | 18,281 | 35,958 | ||||||||
Derivative Liability, Fair Value, Gross Liability | 737,201 | 172,435 | ||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (732,150) | (168,580) | |||||||
Derivative Liabilities | 5,051 | 3,855 | ||||||||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2] | 0 | 0 | |||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 5,051 | 3,855 | ||||||||
Over the Counter [Member] | ||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||
Derivative Asset, Fair Value, Gross Asset | 76,298 | 22,721 | ||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (62,533) | (10,978) | ||||||||
Derivative Assets | 13,765 | 11,743 | ||||||||
Derivative, Collateral, Obligation to Return Securities | [2],[3] | (9,437) | (5,313) | |||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 4,328 | 6,430 | ||||||||
Derivative Liability, Fair Value, Gross Liability | 729,467 | 168,297 | ||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (724,416) | (164,442) | ||||||||
Derivative Liabilities | 5,051 | 3,855 | ||||||||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2] | 0 | 0 | |||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 5,051 | 3,855 | ||||||||
Exchange Cleared [Member] | ||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||
Derivative Asset, Fair Value, Gross Asset | 19,696 | 33,618 | ||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (5,743) | (4,090) | ||||||||
Derivative Assets | 13,953 | 29,528 | ||||||||
Derivative, Collateral, Obligation to Return Securities | [2] | 0 | 0 | |||||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 13,953 | 29,528 | ||||||||
Derivative Liability, Fair Value, Gross Liability | 7,734 | 4,138 | ||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (7,734) | (4,138) | ||||||||
Derivative Liabilities | 0 | 0 | ||||||||
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2],[4] | 0 | 0 | |||||||
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | 0 | ||||||||
Derivative Liabilities, Additional Net Exposure, Collateral Pledged to Counterparties in Excess of Net Liabilities | 866,039 | $ 842,256 | ||||||||
Minimum [Member] | Non-member Counterparty [Member] | ||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||
Collateral Thresholds | 50 | |||||||||
Maximum [Member] | Non-member Counterparty [Member] | ||||||||||
Offsetting Assets and Liabilities [Line Items] | ||||||||||
Collateral Thresholds | $ 500 | |||||||||
|
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
||||||
---|---|---|---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | $ 46,873,905 | $ 54,943,177 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 95,994 | 56,339 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 737,201 | 172,435 | ||||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | (30,885) | (3,440) | ||||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | (692,767) | (156,903) | ||||||
Derivative Asset Fair Value Cash Received Exceeding Variation Margin Requirement | 1,992 | (5) | ||||||
Derivative Liability, Fair Value Cash Remitted Exceeding Variation Margin Requirement | 0 | (54) | ||||||
Derivative Asset, Fair Value, Gross Liability | (39,383) | (11,623) | ||||||
Derivative Liability, Fair Value, Gross Asset | (39,383) | (11,623) | ||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (68,276) | (15,068) | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (732,150) | (168,580) | |||||
Derivative assets | 27,718 | 41,271 | ||||||
Derivative liabilities | 5,051 | 3,855 | ||||||
Designated as Hedging Instrument [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 40,665,767 | 47,121,632 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 67,259 | 49,669 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 720,874 | 167,857 | ||||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | [2] | 14,910,303 | 10,102,510 | |||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [2] | 814 | 5,117 | |||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [2] | 684,213 | 134,520 | |||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | [2] | 15,961,949 | 16,114,507 | |||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [2] | 15,107 | 28,049 | |||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [2] | 35,220 | 19,718 | |||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | [2] | 8,727,515 | 19,861,615 | |||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [2] | 50,305 | 14,000 | |||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [2] | 1,441 | 13,619 | |||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | [3] | 1,066,000 | 1,043,000 | |||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [3] | 1,033 | 2,503 | |||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [3] | 0 | 0 | |||||
Not Designated as Hedging Instrument [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 6,208,138 | 7,821,545 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 28,735 | 6,670 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 16,327 | 4,578 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 260,000 | 255,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 25 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 12,391 | 16 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Available-for-sale Securities [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 3,136 | 3,144 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2 | 4 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 0 | 1,000,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Mortgages [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 263,350 | 339,600 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 318 | 343 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 70 | 1,118 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Intermediary Transactions [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 126,701 | 842,036 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 8,473 | 5,312 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 3,153 | 2,355 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Other Contract [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 1,425,000 | 925,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 367 | 328 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 637 | 1,069 | ||||||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 44,951 | 31,765 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 971 | 94 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Mortgages [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 1,355,000 | 145,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 18,455 | 381 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Intermediary Transactions [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 80,000 | 80,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 6 | 12 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 6 | 12 | ||||||
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Held-to-maturity Securities [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 500,000 | 500,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | ||||||
Not Designated as Hedging Instrument, Trading [Member] | Interest Rate Swap [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative, Notional Amount | 2,150,000 | 3,700,000 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 143 | 171 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 70 | $ 8 | ||||||
|
Derivatives and Hedging Activities (Net gains (losses) on fair value and cash flow hedges) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Advances | $ 100,443 | $ 244,658 | $ 261,356 | $ 482,522 |
Available-for-sale securities | 74,830 | 112,788 | 139,795 | 231,796 |
Interest Expense, Other Long-term Debt | (63,860) | (166,004) | (217,804) | (356,772) |
Interest Expense, Other Short-term Borrowings | (54,334) | (231,322) | (169,116) | (427,573) |
Total other comprehensive income (loss) | 79,127 | (79,098) | (270,882) | (47,897) |
Unrealized losses on cash flow hedges | (10,896) | (33,976) | (106,629) | (54,366) |
Interest Rate Contract [Member] | Designated as Hedging Instrument [Member] | Other Comprehensive Income (Loss) [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net | 3,162 | (765) | 4,178 | (1,572) |
Unrealized losses on cash flow hedges | (10,896) | (33,976) | (106,629) | (54,366) |
Net Gain (Loss) on Cash Flow Hedging Relationship | (7,734) | (34,741) | (102,451) | (55,938) |
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (125,199) | (110,910) | (668,966) | (145,993) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 119,262 | 122,509 | 670,027 | 170,605 |
Gain Loss On Fair Value Hedging Relationship | (5,937) | 11,599 | 1,061 | 24,612 |
Available-for-sale Securities [Member] | Interest Rate Contract [Member] | Interest Income [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (136,404) | (469,575) | (1,262,373) | (753,436) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 103,046 | 475,566 | 1,184,397 | 774,352 |
Gain Loss On Fair Value Hedging Relationship | (33,358) | 5,991 | (77,976) | 20,916 |
Consolidated Obligation Bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 21,360 | 122,435 | 172,023 | 215,660 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 15,200 | (138,342) | (123,060) | (250,582) |
Gain Loss On Fair Value Hedging Relationship | 36,560 | (15,907) | 48,963 | (34,922) |
Consolidated Obligation Discount Notes [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | Designated as Hedging Instrument [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net | (3,162) | 765 | (4,178) | 1,572 |
Net Gain (Loss) on Cash Flow Hedging Relationship | $ (3,162) | $ 765 | $ (4,178) | $ 1,572 |
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
||||
---|---|---|---|---|---|---|
Advances [Member] | ||||||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | ||||||
Hedged Asset, Fair Value Hedge | [1] | $ 15,761,704 | $ 10,283,221 | |||
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease | 845,995 | 175,343 | ||||
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 4,379 | 4,978 | ||||
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | [2] | 850,374 | 180,321 | |||
Available-for-sale Securities [Member] | ||||||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | ||||||
Hedged Asset, Fair Value Hedge | [1] | 17,637,425 | 16,621,667 | |||
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease | 1,531,181 | 346,741 | ||||
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (1,031) | (985) | ||||
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | [2] | 1,530,150 | 345,756 | |||
Consolidated Obligation Bonds [Member] | ||||||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | ||||||
Hedged Liability, Fair Value Hedge | [1] | (9,389,222) | (20,310,223) | |||
HedgedLiabilityActiveFairValueHedgeCumulativeIncreaseDecrease | (187,320) | (64,027) | ||||
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (1,421) | (1,654) | ||||
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | [2] | $ (188,741) | $ (65,681) | |||
|
Derivatives and Hedging Activities (Net gains (losses) on derivatives and hedging activities in other income (loss)) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 3,035 | $ 12,762 | $ 2,298 | $ 21,421 | ||
Derivative Instruments, Other Gain (Loss) | [1] | 2 | 28 | 22 | 135 | |
Gain (Loss) on Derivative Instruments, Net, Pretax | 3,037 | 12,790 | 2,320 | 21,556 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 9,199 | 11,532 | 2,133 | 20,097 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | NetInterestSettlements [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (9,801) | (1,021) | (12,685) | (2,044) | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (270) | 1,704 | 6,556 | 1,475 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps And Floors [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (2) | 2 | 0 | 87 | ||
Mortgage Receivable [Member] | Forward Contracts [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 3,909 | $ 545 | $ 6,294 | $ 1,806 | ||
|
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2020 |
Dec. 31, 2019 |
|
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 46,873,905 | $ 54,943,177 |
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ (21,201) | |
Maximum Length of Time Hedged in Cash Flow Hedge | 9 years 7 months | |
Over the Counter [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 14,900,000 | |
Exchange Cleared [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | 31,800,000 | |
Member Counterparties [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 100,000 |
Capital (Details) - USD ($) |
3 Months Ended | 6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2020 |
Jun. 30, 2019 |
Aug. 01, 2020 |
Jun. 26, 2020 |
Apr. 01, 2020 |
Mar. 27, 2020 |
Dec. 31, 2019 |
Oct. 21, 2015 |
|
Capital [Line Items] | |||||||||
Minimum Capital Stock to Assets Ratio, Percent Required | 2.00% | 2.00% | |||||||
Federal Home Loan Bank, Risk-Based Capital, Required | $ 1,037,738,000 | $ 1,037,738,000 | $ 881,970,000 | ||||||
Federal Home Loan Bank, Risk-Based Capital, Actual | 3,820,154,000 | 3,820,154,000 | 3,706,059,000 | ||||||
Federal Home Loan Bank, Regulatory Capital, Required | 2,998,392,000 | 2,998,392,000 | 3,015,264,000 | ||||||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 3,820,154,000 | $ 3,820,154,000 | $ 3,706,059,000 | ||||||
Regulatory Capital Ratio, Required | 4.00% | 4.00% | 4.00% | ||||||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 5.10% | 5.10% | 4.92% | ||||||
Federal Home Loan Bank, Leverage Capital, Required | $ 3,747,990,000 | $ 3,747,990,000 | $ 3,769,080,000 | ||||||
Federal Home Loan Bank, Leverage Capital, Actual | $ 5,730,231,000 | $ 5,730,231,000 | $ 5,559,088,000 | ||||||
Leverage Ratio, Required | 5.00% | 5.00% | 5.00% | ||||||
Leverage Ratio, Actual | 7.64% | 7.64% | 7.37% | ||||||
Membership Investment Requirement, Percent of Members Total Assets as of Previous Calendar Year | 0.04% | 0.04% | |||||||
Membership Investment Requirement, Minimum Dollar Amount | $ 1,000 | $ 1,000 | |||||||
Membership Investment Requirement, Maximum Dollar Amount | $ 7,000,000 | $ 7,000,000 | |||||||
Activity Based Investment Requirement, Percent of Outstanding Advances | 4.10% | 4.10% | 4.10% | ||||||
Activity Based % Requirement, Special Advances Program | 2.00% | ||||||||
Surplus Stock Threshold Percentage | 125.00% | 125.00% | 125.00% | 125.00% | |||||
Minimum Stock Surplus Required For Repurchase | $ 2,500,000 | $ 2,500,000 | $ 2,500,000 | $ 2,500,000 | |||||
Repurchased Surplus Stock, Total | 184,412,000 | 139,080,000 | |||||||
RepurchasedSurplusStockMRCSPortion | $ 2,800 | $ 2,600 | |||||||
Activity Based Investment Requirement, Percent of Outstanding Advances 2020 | 4.10% | ||||||||
Activity Based % Special Advances Program 2020 | 2.00% | ||||||||
Partial recovery of prior capital distribution to Financing Corporation (Note 14) | 17,639,000 | 17,639,000 | $ 0 | ||||||
2020 Special Advance Offering, Maximum Balance | $ 5,000,000,000.0 | $ 5,000,000,000.0 | |||||||
Activity Based Investment Requirement, Percent of Outstanding Advances 2020 Modification | 4.10% | ||||||||
Activity Based % Requirement, Special Advances Program 2020 Modification | 2.00% |
Employee Retirement Plans (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|
Defined Benefit Plan Disclosure [Line Items] | ||||
Service cost | $ 9 | $ 7 | $ 18 | $ 14 |
Interest cost | 5 | 5 | 10 | 10 |
Amortization of prior service cost | 5 | 5 | 10 | 10 |
Amortization of net actuarial gain | (20) | (23) | (40) | (46) |
Net periodic benefit credit | $ (1) | $ (6) | $ (2) | $ (12) |
Fair Value Measures and Disclosures (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
||||||
---|---|---|---|---|---|---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Cash and due from banks | $ 95,556 | $ 20,551 | ||||||
Trading securities | 5,914,379 | 5,460,136 | ||||||
Available-for-sale securities | [1] | 17,612,787 | 16,766,500 | |||||
Debt Securities, Held-to-maturity | [2] | 1,083,678 | 1,206,170 | |||||
Debt Securities, Held-to-maturity, Fair Value | 1,092,415 | 1,215,580 | ||||||
Accrued interest receivable (Note 8) | 125,631 | 154,218 | ||||||
Derivative assets | 27,718 | 41,271 | ||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [3] | (68,276) | (15,068) | |||||
Other Assets, Fair Value Disclosure | 13,476 | 14,222 | ||||||
Mandatorily redeemable capital stock | 6,803 | 7,140 | ||||||
Accrued interest payable | 74,872 | 115,350 | ||||||
Derivative liabilities | 5,051 | 3,855 | ||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | (732,150) | (168,580) | |||||
Securities purchased under agreements to resell (Notes 8, 9 and 12) | 2,500,000 | 4,310,000 | ||||||
Fair Value, Inputs, Level 1 [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Cash and due from banks | 95,556 | 20,551 | ||||||
Interest-bearing Deposits, Fair Value Disclosure | 0 | 0 | ||||||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | 0 | ||||||
Federal Funds Sold, Fair Value Disclosure | 0 | 0 | ||||||
Trading securities | 0 | 0 | ||||||
Available-for-sale securities | 0 | 0 | ||||||
Debt Securities, Held-to-maturity, Fair Value | 0 | 0 | ||||||
Federal Home Loan Bank Advances, Fair Value Disclosure | 0 | 0 | ||||||
Loans Receivable, Fair Value Disclosure | 0 | 0 | ||||||
Accrued interest receivable (Note 8) | 0 | 0 | ||||||
Derivative assets | 0 | 0 | ||||||
Other Assets, Fair Value Disclosure | 13,476 | 14,222 | ||||||
Deposits, Fair Value Disclosure | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 6,803 | 7,140 | ||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative liabilities | 0 | 0 | ||||||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Debt Instrument, Fair Value Disclosure | 0 | 0 | ||||||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Short-term Debt, Fair Value | 0 | 0 | ||||||
Fair Value, Inputs, Level 2 [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Cash and due from banks | 0 | 0 | ||||||
Interest-bearing Deposits, Fair Value Disclosure | 2,022,209 | 1,670,249 | ||||||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 2,500,000 | 4,310,000 | ||||||
Federal Funds Sold, Fair Value Disclosure | 2,867,000 | 4,505,000 | ||||||
Trading securities | 5,914,379 | 5,460,136 | ||||||
Available-for-sale securities | 17,612,787 | 16,766,500 | ||||||
Debt Securities, Held-to-maturity, Fair Value | 1,037,484 | 1,150,175 | ||||||
Federal Home Loan Bank Advances, Fair Value Disclosure | 38,537,636 | 37,092,230 | ||||||
Loans Receivable, Fair Value Disclosure | 4,154,156 | 4,109,758 | ||||||
Accrued interest receivable (Note 8) | 125,631 | 154,218 | ||||||
Derivative assets | 95,994 | 56,339 | ||||||
Other Assets, Fair Value Disclosure | 0 | 0 | ||||||
Deposits, Fair Value Disclosure | 2,460,380 | 1,286,258 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 74,872 | 115,350 | ||||||
Derivative liabilities | 737,201 | 172,435 | ||||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Debt Instrument, Fair Value Disclosure | 32,777,935 | 35,757,691 | ||||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Short-term Debt, Fair Value | 35,978,994 | 34,325,476 | ||||||
Fair Value, Inputs, Level 3 [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Cash and due from banks | 0 | 0 | ||||||
Interest-bearing Deposits, Fair Value Disclosure | 0 | 0 | ||||||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | 0 | ||||||
Federal Funds Sold, Fair Value Disclosure | 0 | 0 | ||||||
Trading securities | 0 | 0 | ||||||
Available-for-sale securities | 0 | 0 | ||||||
Debt Securities, Held-to-maturity, Fair Value | 54,931 | 65,405 | ||||||
Federal Home Loan Bank Advances, Fair Value Disclosure | 0 | 0 | ||||||
Loans Receivable, Fair Value Disclosure | 0 | 0 | ||||||
Accrued interest receivable (Note 8) | 0 | 0 | ||||||
Derivative assets | 0 | 0 | ||||||
Other Assets, Fair Value Disclosure | 0 | |||||||
Deposits, Fair Value Disclosure | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative liabilities | 0 | 0 | ||||||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Debt Instrument, Fair Value Disclosure | 0 | 0 | ||||||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Short-term Debt, Fair Value | 0 | 0 | ||||||
Estimate of Fair Value Measurement [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Cash and due from banks | 95,556 | 20,551 | ||||||
Interest-bearing Deposits, Fair Value Disclosure | 2,022,209 | 1,670,249 | ||||||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 2,500,000 | 4,310,000 | ||||||
Federal Funds Sold, Fair Value Disclosure | 2,867,000 | 4,505,000 | ||||||
Trading securities | 5,914,379 | 5,460,136 | ||||||
Available-for-sale securities | 17,612,787 | 16,766,500 | ||||||
Debt Securities, Held-to-maturity, Fair Value | 1,092,415 | 1,215,580 | ||||||
Federal Home Loan Bank Advances, Fair Value Disclosure | 38,537,636 | 37,092,230 | ||||||
Loans Receivable, Fair Value Disclosure | 4,154,156 | 4,109,758 | ||||||
Accrued interest receivable (Note 8) | 125,631 | 154,218 | ||||||
Derivative assets | 27,718 | 41,271 | ||||||
Other Assets, Fair Value Disclosure | 13,476 | 14,222 | ||||||
Deposits, Fair Value Disclosure | 2,460,380 | 1,286,258 | ||||||
Mandatorily redeemable capital stock | 6,803 | 7,140 | ||||||
Accrued interest payable | 74,872 | 115,350 | ||||||
Derivative liabilities | 5,051 | 3,855 | ||||||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Debt Instrument, Fair Value Disclosure | 32,777,935 | 35,757,691 | ||||||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Short-term Debt, Fair Value | 35,978,994 | 34,325,476 | ||||||
Reported Value Measurement [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Cash and due from banks | 95,556 | 20,551 | ||||||
Interest-bearing Deposits, Fair Value Disclosure | 2,022,209 | 1,670,249 | ||||||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 2,500,000 | 4,310,000 | ||||||
Federal Funds Sold, Fair Value Disclosure | 2,867,000 | 4,505,000 | ||||||
Trading securities | 5,914,379 | 5,460,136 | ||||||
Available-for-sale securities | 17,612,787 | 16,766,500 | ||||||
Debt Securities, Held-to-maturity | 1,083,678 | 1,206,170 | ||||||
Federal Home Loan Bank Advances, Fair Value Disclosure | 38,642,663 | 37,117,455 | ||||||
Loans Receivable, Fair Value Disclosure | 4,019,608 | 4,075,464 | ||||||
Accrued interest receivable (Note 8) | 125,631 | 154,218 | ||||||
Derivative assets | 27,718 | 41,271 | ||||||
Other Assets, Fair Value Disclosure | 13,476 | 14,222 | ||||||
Deposits, Fair Value Disclosure | 2,460,279 | 1,286,219 | ||||||
Mandatorily redeemable capital stock | 6,803 | 7,140 | ||||||
Accrued interest payable | 74,872 | 115,350 | ||||||
Derivative liabilities | 5,051 | 3,855 | ||||||
Reported Value Measurement [Member] | Consolidated Obligation Bonds [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Debt Instrument, Fair Value Disclosure | 32,694,975 | 35,745,827 | ||||||
Reported Value Measurement [Member] | Consolidated Obligation Discount Notes [Member] | ||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||||
Short-term Debt, Fair Value | $ 35,978,006 | $ 34,327,886 | ||||||
|
Commitments and Contingencies (Details) - USD ($) $ in Thousands |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 696,453 | $ 156,676 |
Other FHLBanks [Member] | ||
Commitments and Contingencies [Line Items] | ||
Debt, Gross | 847,000,000 | |
Available-for-sale Securities [Member] | ||
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Securities | 866,039 | 842,256 |
Loan Origination Commitments [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 23,775 | 19,397 |
Standby Letters of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 22,077,455 | 21,781,829 |
Financial Standby Letter of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2023 | 239,475 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2024 | 51,302 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2025 | 253,341 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 724,733 | 484,872 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2022 | 180,615 | |
Consolidated Obligation Bonds [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 50,000 | 115,000 |
Consolidated Obligation Discount Notes [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 61,422 | 679,510 |
Conventional Mortgage Loan [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 44,951 | $ 31,765 |
Transactions with Other FHLBanks (Details) - USD ($) |
6 Months Ended | |
---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
|
Schedule of Other Transactions [Line Items] | ||
Interest Income, Loans to Other Federal Home Loan Banks | $ 20,000 | |
Loans Made to Other FHLBanks [Roll Forward] | ||
Loans to other FHLBanks, Beginning of period | 0 | |
Loans to other FHLBanks, End of period | 0 | |
Borrowings from Other FHLBanks [Roll Forward] | ||
Loans from other FHLBanks, Beginning of period | $ 0 | 0 |
Loans from other FHLBanks, End of period | 0 | 400,000,000 |
Interest Expense, Loans from Other Federal Home Loan Banks | 456 | 108,000 |
FHLB of San Francisco [Member] | ||
Borrowings from Other FHLBanks [Roll Forward] | ||
Proceeds from FHLBank Borrowings, Financing Activities | 0 | 400,000,000 |
FHLB of Boston [Member] | ||
Loans Made to Other FHLBanks [Roll Forward] | ||
Payments for Federal Home Loan Bank Loans | 300,000,000 | |
Collections from other FHLBanks | 300,000,000 | |
Borrowings from Other FHLBanks [Roll Forward] | ||
Payments of FHLBank Borrowings, Financing Activities | 0 | (150,000,000) |
Proceeds from FHLBank Borrowings, Financing Activities | 0 | 150,000,000 |
FHLB of New York [Member] | ||
Borrowings from Other FHLBanks [Roll Forward] | ||
Payments of FHLBank Borrowings, Financing Activities | 0 | (250,000,000) |
Proceeds from FHLBank Borrowings, Financing Activities | 0 | 250,000,000 |
FHLBank of Indianapolis [Member] | ||
Borrowings from Other FHLBanks [Roll Forward] | ||
Payments of FHLBank Borrowings, Financing Activities | (20,000,000) | (20,000,000) |
Proceeds from FHLBank Borrowings, Financing Activities | $ 20,000,000 | $ 20,000,000 |
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2020 |
Jun. 30, 2019 |
Jun. 30, 2020 |
Jun. 30, 2019 |
|||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Accumulated other comprehensive income (loss), Start of period | $ 99,049 | |||||
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 | $ (140) | 0 | $ (580) | ||
Reclassification adjustment for losses (gains) on cash flow hedges included in net income | 3,162 | (765) | 4,178 | (1,572) | ||
Other amounts of other comprehensive income (loss) | ||||||
Net unrealized gains (losses) on available-for-sale securities | 86,277 | (44,739) | (169,471) | 7,524 | ||
Unrealized losses on cash flow hedges | (10,896) | (33,976) | (106,629) | (54,366) | ||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 599 | 540 | 1,070 | 1,133 | ||
Total other comprehensive income (loss) | 79,127 | (79,098) | (270,882) | (47,897) | ||
Accumulated Other Comprehensive Income (Loss), End of Period | (171,833) | (171,833) | ||||
Accumulated Net Unrealized Investment Gain (Loss) [Member] | ||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Accumulated other comprehensive income (loss), Start of period | [1] | (110,915) | 170,803 | 144,833 | 118,980 | |
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||||
Reclassification adjustment for realized gains on sales of available-for-sale securities included in net income | [1] | (140) | (580) | |||
Other amounts of other comprehensive income (loss) | ||||||
Net unrealized gains (losses) on available-for-sale securities | [1] | 86,277 | (44,739) | (169,471) | 7,524 | |
Total other comprehensive income (loss) | [1] | 86,277 | (44,879) | (169,471) | 6,944 | |
Accumulated Other Comprehensive Income (Loss), End of Period | [1] | (24,638) | 125,924 | (24,638) | 125,924 | |
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 | (132,911) | (2,785) | (38,194) | 18,412 | ||
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||||
Reclassification adjustment for losses (gains) on cash flow hedges included in net income | 3,162 | (765) | 4,178 | (1,572) | ||
Other amounts of other comprehensive income (loss) | ||||||
Unrealized losses on cash flow hedges | (10,896) | (33,976) | (106,629) | (54,366) | ||
Total other comprehensive income (loss) | (7,734) | (34,741) | (102,451) | (55,938) | ||
Accumulated Other Comprehensive Income (Loss), End of Period | (140,645) | (37,526) | (140,645) | (37,526) | ||
Accumulated Defined Benefit Plans Adjustment [Member] | ||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Accumulated other comprehensive income (loss), Start of period | 1,035 | 1,258 | 1,050 | 1,276 | ||
Reclassifications from accumulated other comprehensive income (loss) to net income | ||||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (15) | (18) | (30) | (36) | ||
Other amounts of other comprehensive income (loss) | ||||||
Total other comprehensive income (loss) | (15) | (18) | (30) | (36) | ||
Accumulated Other Comprehensive Income (Loss), End of Period | 1,020 | 1,240 | 1,020 | 1,240 | ||
AOCI Attributable to Parent [Member] | ||||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||||
Accumulated other comprehensive income (loss), Start of period | (250,960) | 159,202 | 99,049 | 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 | (140) | (580) | ||||
Reclassification adjustment for losses (gains) on cash flow hedges included in net income | 3,162 | (765) | 4,178 | (1,572) | ||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (15) | (18) | (30) | (36) | ||
Other amounts of other comprehensive income (loss) | ||||||
Net unrealized gains (losses) on available-for-sale securities | 86,277 | (44,739) | (169,471) | 7,524 | ||
Unrealized losses on cash flow hedges | (10,896) | (33,976) | (106,629) | (54,366) | ||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 599 | 540 | 1,070 | 1,133 | ||
Total other comprehensive income (loss) | 79,127 | (79,098) | (270,882) | (47,897) | ||
Accumulated Other Comprehensive Income (Loss), End of Period | (171,833) | 80,104 | (171,833) | 80,104 | ||
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 | (8,169) | (10,074) | (8,640) | (10,667) | ||
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 | 599 | 540 | 1,070 | 1,133 | ||
Total other comprehensive income (loss) | 599 | 540 | 1,070 | 1,133 | ||
Accumulated Other Comprehensive Income (Loss), End of Period | $ (7,570) | $ (9,534) | $ (7,570) | $ (9,534) | ||
|
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