Document and Entity Information
Document and Entity Information Document - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 31, 2015 | |
Document and Entity Information [Line Items] | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF SAN FRANCISCO | |
Entity Central Index Key | 1,316,944 | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2015 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Current Fiscal Year End Date | --12-31 | |
Entity Well-known Seasoned Issuer | No | |
Entity Voluntary Filers | No | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 29,872,925 |
Statements of Condition
Statements of Condition - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Assets: | |||
Cash and due from banks | $ 1,239 | $ 3,920 | |
Securities purchased under agreements to resell | 7,250 | 1,000 | |
Federal funds sold | 5,188 | 7,503 | |
Trading securities | [1] | 2,923 | 3,524 |
Available-for-sale (AFS) securities | [1] | 5,950 | 6,371 |
Held-to-maturity (HTM) securities (fair values were $12,250 and $13,657, respectively) | [2],[3],[4] | 12,169 | 13,551 |
Advances (includes $4,978 and $5,137 at fair value under the fair value option, respectively) | 50,188 | 38,986 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $1, respectively | 671 | 708 | |
Loans to other Federal Home Loan Banks | 125 | 0 | |
Accrued interest receivable | 63 | 67 | |
Premises, software, and equipment, net | 29 | 28 | |
Derivative assets, Net | 75 | 59 | |
Other assets | 92 | 90 | |
Total Assets | 85,962 | 75,807 | |
Liabilities: | |||
Deposits | 488 | 160 | |
Consolidated obligations: | |||
Bonds (includes $6,203 and $6,717 at fair value under the fair value option, respectively) | 45,597 | 47,045 | |
Discount Notes | 33,859 | 21,811 | |
Total consolidated obligations | 79,456 | 68,856 | |
Mandatorily redeemable capital stock | 142 | 719 | |
Accrued interest payable | 92 | 95 | |
Affordable Housing Program (AHP) payable | 188 | 147 | |
Derivative liabilities, Net | 9 | 20 | |
Other liabilities | 115 | 117 | |
Total Liabilities | $ 80,490 | $ 70,114 | |
Commitments and Contingencies (Note 17) | |||
Capital: | |||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 28 shares and 33 shares, respectively | $ 2,751 | $ 3,278 | |
Unrestricted retained earnings | 483 | 294 | |
Restricted retained earnings | 2,170 | 2,065 | |
Total Retained Earnings | 2,653 | 2,359 | |
Accumulated Other Comprehensive Income (Loss) (AOCI) | 68 | 56 | |
Total Capital | 5,472 | 5,693 | |
Total Liabilities and Capital | $ 85,962 | $ 75,807 | |
[1] | At June 30, 2015, and December 31, 2014, none of these securities were pledged as collateral that may be repledged. | ||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | ||
[3] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | ||
[4] | At June 30, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - Portion at Fair Value Measurement [Member] - USD ($) shares in Millions, $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Assets: | ||
Fair Value of Held-to-maturity securities | $ 12,250 | $ 13,657 |
Fair Value of Advances Under the Fair Value Option | 4,978 | 5,137 |
Allowance for credit losses on mortgage loans | $ 0 | 1 |
Capital: | ||
Common stock, par value | $ 100 | |
Statement of Condition Footnotes: | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 0 | 0 |
Trading securities pledged as collateral that may be repledged | 0 | 0 |
Held-to-maturity securities pledged as collateral that may be repledged | $ 0 | $ 0 |
Common Class B [Member] | ||
Capital: | ||
Common stock, par value | $ 100 | $ 100 |
Common stock, shares issued | 28 | 33 |
Common stock, shares outstanding | 28 | 33 |
Consolidated obligation bonds [Member] | ||
Liabilities: | ||
Fair Value of Bonds Under the Fair Value Option | $ 6,203 | $ 6,717 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Interest Income: | |||||
Advances | $ 73 | $ 76 | $ 140 | $ 155 | |
Prepayment fees on advances, net | 8 | 4 | 8 | 4 | |
Securities purchased under agreements to resell | 1 | 0 | 1 | 0 | |
Federal funds sold | 2 | 2 | 4 | 5 | |
Trading securities | 1 | 2 | 3 | 3 | |
AFS securities | 67 | 72 | 134 | 143 | |
HTM securities | 76 | 93 | 156 | 189 | |
Mortgage loans held for portfolio | 8 | 11 | 17 | 22 | |
Total Interest Income | 236 | 260 | 463 | 521 | |
Interest Expense: | |||||
Bonds | 80 | 82 | 156 | 163 | |
Discount notes | 10 | 6 | 16 | 12 | |
Mandatorily redeemable capital stock | [1] | 38 | 34 | 53 | 73 |
Total Interest Expense | 128 | 122 | 225 | 248 | |
Net Interest Income | 108 | 138 | 238 | 273 | |
Provision for/(reversal of) credit losses on mortgage loans | 0 | 0 | 0 | 1 | |
Net Interest Income After Mortgage Loan Loss Provision | 108 | 138 | 238 | 272 | |
Other Income/(Loss): | |||||
Total other-than-temporary impairment (OTTI) loss | (15) | (3) | (19) | (4) | |
Net amount of OTTI loss reclassified to/(from) AOCI | 9 | 1 | 11 | 2 | |
Net OTTI loss, credit-related | (6) | (2) | (8) | (2) | |
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (26) | (30) | (33) | (69) | |
Net gain/(loss) on derivatives and hedging activities | 27 | (24) | 6 | (34) | |
Gains on litigation settlements, net | 0 | 0 | 459 | 0 | |
Other | 3 | 2 | 6 | 3 | |
Total Other Income/(Loss) | (2) | (54) | 430 | (102) | |
Other Expense: | |||||
Compensation and benefits | 17 | 16 | 34 | 32 | |
Other operating expense | 15 | 19 | 29 | 31 | |
Federal Housing Finance Agency | 1 | 2 | 3 | 4 | |
Office of Finance | 1 | 0 | 2 | 2 | |
Total Other Expense | 34 | 37 | 68 | 69 | |
Income/(Loss) Before Assessments | 72 | 47 | 600 | 101 | |
AHP Assessment | 11 | 8 | 65 | 17 | |
Net Income/(Loss) | $ 61 | $ 39 | $ 535 | $ 84 | |
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Statements of Comprehensive Inc
Statements of Comprehensive Income - Other than Temporary Impairment, Credit Losses Recognized in Earnings, Categories of Investments [Domain] - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Net Income/(Loss) | $ 61 | $ 39 | $ 535 | $ 84 |
Other Comprehensive Income/(Loss): | ||||
Net change in pension and postretirement benefits | 1 | 0 | 1 | 0 |
Net non-credit-related OTTI gain/(loss) on AFS securities: | ||||
Net change in fair value of other-than-temporarily impaired securities | (2) | 79 | 18 | 160 |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (9) | (1) | (11) | (2) |
Total net non-credit-related OTTI gain/(loss) on AFS securities | (11) | 78 | 7 | 158 |
Net non-credit-related OTTI gain/(loss) on HTM securities: | ||||
Accretion of Noncredit Related OTTI Loss | 2 | 2 | 4 | 3 |
Total net non-credit-related OTTI gain/(loss) on HTM securities | 2 | 2 | 4 | 3 |
Total other comprehensive income/(loss) | (8) | 80 | 12 | 161 |
Total Comprehensive Income (Loss) | $ 53 | $ 119 | $ 547 | $ 245 |
Statements of Capital Accounts
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions | Total | Retained Earnings [Member] | Restricted [Member] | Unrestricted [Member] | Accumulated Other Comprehensive Income/(Loss) [Member] | Common Class B [Member]Common Stock [Member] |
Balance, Shares at Dec. 31, 2013 | 35 | |||||
Balance at Dec. 31, 2013 | $ 5,709 | $ 2,394 | $ 2,077 | $ 317 | $ (145) | $ 3,460 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 5 | |||||
Issuance of capital stock, value | 544 | $ 544 | ||||
Repurchase of capital stock, shares | (6) | |||||
Repurchase of capital stock, value | (617) | $ (617) | ||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (2) | $ (2) | ||||
Comprehensive Income (Loss) | 245 | 84 | (22) | 106 | 161 | |
Cash dividends paid on capital stock | (117) | (117) | (117) | |||
Balance, Shares at Jun. 30, 2014 | 34 | |||||
Balance at Jun. 30, 2014 | 5,762 | 2,361 | 2,055 | 306 | 16 | $ 3,385 |
Balance, Shares at Dec. 31, 2014 | 33 | |||||
Balance at Dec. 31, 2014 | 5,693 | 2,359 | 2,065 | 294 | 56 | $ 3,278 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 5 | |||||
Issuance of capital stock, value | 527 | $ 527 | ||||
Repurchase of capital stock, shares | (10) | |||||
Repurchase of capital stock, value | (1,042) | $ (1,042) | ||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (12) | $ (12) | ||||
Comprehensive Income (Loss) | 547 | 535 | 105 | 430 | 12 | |
Cash dividends paid on capital stock | (241) | (241) | (241) | |||
Balance, Shares at Jun. 30, 2015 | 28 | |||||
Balance at Jun. 30, 2015 | $ 5,472 | $ 2,653 | $ 2,170 | $ 483 | $ 68 | $ 2,751 |
Statements of Capital Accounts
Statements of Capital Accounts (Parenthetical) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Annualized Dividend Rate on Capital Stock | 22.65% | 6.80% | 14.58% | 6.73% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Cash Flows from Operating Activities: | ||
Net Income/(Loss) | $ 535 | $ 84 |
Adjustments to reconcile net income/(loss) to net cash provided by operating activities: | ||
Depreciation and amortization | (46) | (42) |
Provision for/(reversal of) credit losses on mortgage loans | 0 | 1 |
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option | 33 | 69 |
Change in net derivatives and hedging activities | (30) | (50) |
Net OTTI loss, credit-related | 8 | 2 |
Net change in: | ||
Accrued interest receivable | 5 | 5 |
Other assets | (6) | (4) |
Accrued interest payable | (6) | 2 |
Other liabilities | 39 | 4 |
Total adjustments | (3) | (13) |
Net cash provided by/(used in) operating activities | 532 | 71 |
Cash Flows from Investing Activities: | ||
Interest-bearing deposits | (226) | (188) |
Securities purchased under agreements to resell | (6,250) | (1,000) |
Federal funds sold | 2,315 | 1,525 |
Premises, software, and equipment | (4) | (5) |
Loans to other FHLBanks | (125) | 0 |
Trading securities: | ||
Proceeds from maturities of long-term | 601 | 82 |
Purchases of long-term | 0 | (400) |
AFS securities: | ||
Proceeds from maturities of long-term | 465 | 457 |
HTM securities: | ||
Net (increase)/decrease in short-term | 0 | (282) |
Proceeds from maturities of long-term | 1,387 | 1,182 |
Purchases of long-term | 0 | (207) |
Advances: | ||
Principal collected | 470,851 | 341,194 |
Made to members | (482,082) | (343,383) |
Mortgage loans held for portfolio: | ||
Principal collected | 94 | 99 |
Purchases | (57) | 0 |
Proceeds from Sale of Foreclosed Assets | 2 | 1 |
Net cash provided by/(used in) investing activities | (13,029) | (925) |
Cash Flows from Financing Activities: | ||
Net change in Deposits | 501 | 154 |
Net (payments)/proceeds on derivatives contracts with financing elements | 9 | 6 |
Net proceeds from issuance of consolidated obligations: | ||
Bonds | 15,658 | 19,169 |
Discount notes | 65,159 | 49,703 |
Payments for matured and retired consolidated obligations: | ||
Bonds | (17,048) | (16,128) |
Discount notes | (53,118) | (50,402) |
Proceeds from issuance of capital stock | 527 | 544 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (589) | (897) |
Payments for repurchase of capital stock | (1,042) | (617) |
Cash dividends paid | (241) | (117) |
Net cash provided by/(used in) financing activities | 9,816 | 1,415 |
Net increase/(decrease) in cash and due from banks | (2,681) | 561 |
Cash and due from banks at beginning of the period | 3,920 | 4,906 |
Cash and due from banks at end of period | 1,239 | 5,467 |
Supplemental Disclosures: | ||
Interest paid | 215 | 244 |
AHP payments | 24 | 15 |
Supplemental Disclosures of Noncash Investing Activities: | ||
Transfers of mortgage loans to real estate owned | 1 | 1 |
Transfers of other-than-temporarily impaired HTM securities to AFS securities | $ 4 | $ 0 |
Basis of Presentation
Basis of Presentation | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a normal recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2015. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2014 (2014 Form 10‑K). Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates. Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 15 – Derivatives and Hedging Activities . Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. Variable Interest Entities. The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of June 30, 2015 , to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value. Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain. Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2014 Form 10-K. Other changes to these policies as of June 30, 2015 , are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance . |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 6 Months Ended |
Jun. 30, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued and Adopted Accounting Guidance | Recently Issued and Adopted Accounting Guidance Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the Financial Accounting Standards Board (FASB) issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted. The Bank can elect to adopt the amendments either (1) prospectively to all arrangements entered into or materially modified after the effective date or (2) retrospectively. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the statement of condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted for financial statements that have not been previously issued. The guidance is required to be applied on a retrospective basis to each individual period presented on the statement of condition. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows. Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following: • Placing more emphasis on risk of loss when determining a controlling financial interest. A reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement, when certain criteria are met. • Reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE. • Changing consolidation conclusions for public and private companies in several industries that typically make use of limited partnerships or VIEs. This guidance becomes effective for the Bank for interim and annual periods beginning after December 15, 2015, and early adoption is permitted, including adoption in an interim period. This guidance is not expected to affect the Bank’s financial condition, results of operations, and cash flows. Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2016, and early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, and cash flows. Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure. On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, or lease contracts. This guidance becomes effective for the interim and annual reporting periods beginning after December 15, 2016, and early application is not permitted. The guidance provides the entities with the option of using the following two methods upon adoption: a full retrospective method, applied retrospectively to each prior reporting period presented; or a transition method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, the FASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Regulatory Guidance Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio for the six months ended June 30, 2015 . The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
Trading Securities
Trading Securities | 6 Months Ended |
Jun. 30, 2015 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities The estimated fair value of trading securities as of June 30, 2015 , and December 31, 2014 , was as follows: June 30, 2015 December 31, 2014 Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds $ 2,913 $ 3,513 MBS – Other U.S. obligations – Ginnie Mae 10 11 Total $ 2,923 $ 3,524 The net unrealized gain/(loss) on trading securities was de minimis for the three and six months ended June 30, 2015 and 2014 . These amounts represent the changes in the fair value of the securities during the reported periods. |
Available-for-Sale Securities
Available-for-Sale Securities | 6 Months Ended |
Jun. 30, 2015 | |
Available-for-sale Securities [Abstract] | |
Available-for-Sale Securities | Available-for-Sale Securities Available-for-sale (AFS) securities by major security type as of June 30, 2015 , and December 31, 2014 , were as follows: June 30, 2015 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 535 $ (1 ) $ 29 $ — $ 563 Alt-A, option ARM 991 (33 ) 83 (2 ) 1,039 Alt-A, other 4,329 (138 ) 160 (3 ) 4,348 Total $ 5,855 $ (172 ) $ 272 $ (5 ) $ 5,950 December 31, 2014 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 565 $ (4 ) $ 31 $ — $ 592 Alt-A, option ARM 1,031 (43 ) 77 — 1,065 Alt-A, other 4,687 (145 ) 174 (2 ) 4,714 Total $ 6,283 $ (192 ) $ 282 $ (2 ) $ 6,371 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts , and previous OTTI recognized in earnings. Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees. At June 30, 2015 , the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,104 . At December 31, 2014 , the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,173 . The following table summarizes the AFS securities with unrealized losses as of June 30, 2015 , and December 31, 2014 . The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2015 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses PLRMBS: Prime $ — $ — $ 28 $ 1 $ 28 $ 1 Alt-A, option ARM 35 2 415 33 450 35 Alt-A, other 180 3 1,692 138 1,872 141 Total $ 215 $ 5 $ 2,135 $ 172 $ 2,350 $ 177 December 31, 2014 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses PLRMBS: Prime $ 71 $ 3 $ 36 $ 1 $ 107 $ 4 Alt-A, option ARM — — 580 43 580 43 Alt-A, other 403 12 1,682 135 2,085 147 Total $ 474 $ 15 $ 2,298 $ 179 $ 2,772 $ 194 As indicated in the tables above, as of June 30, 2015 , the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their acquisition cost. Interest Rate Payment Terms. Interest rate payment terms for AFS securities at June 30, 2015 , and December 31, 2014 , are shown in the following table: June 30, 2015 December 31, 2014 Amortized cost of AFS PLRMBS: Collateralized mortgage obligations: Fixed rate $ 1,761 $ 1,917 Adjustable rate 4,094 4,366 Total $ 5,855 $ 6,283 Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows: June 30, 2015 December 31, 2014 Collateralized mortgage obligations: Converts in 1 year or less $ 56 $ 71 Converts after 1 year through 5 years 215 226 Total $ 271 $ 297 See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio. |
Held-to-Maturity Securities
Held-to-Maturity Securities | 6 Months Ended |
Jun. 30, 2015 | |
Held-to-maturity Securities, Unclassified [Abstract] | |
Held-to-maturity Securities | Held-to-Maturity Securities The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity: June 30, 2015 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 297 $ — $ 297 $ — $ (40 ) $ 257 MBS: Other U.S. obligations – Ginnie Mae 1,369 — 1,369 7 (2 ) 1,374 GSEs: Freddie Mac 4,099 — 4,099 58 (15 ) 4,142 Fannie Mae 4,708 — 4,708 106 (8 ) 4,806 Subtotal GSEs 8,807 — 8,807 164 (23 ) 8,948 PLRMBS: Prime 1,020 — 1,020 1 (25 ) 996 Alt-A, option ARM 13 — 13 — (1 ) 12 Alt-A, other 679 (16 ) 663 16 (16 ) 663 Subtotal PLRMBS 1,712 (16 ) 1,696 17 (42 ) 1,671 Total MBS 11,888 (16 ) 11,872 188 (67 ) 11,993 Total $ 12,185 $ (16 ) $ 12,169 $ 188 $ (107 ) $ 12,250 December 31, 2014 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 328 $ — $ 328 $ — $ (45 ) $ 283 MBS: Other U.S. obligations – Ginnie Mae 1,513 — 1,513 15 (2 ) 1,526 GSEs: Freddie Mac 4,517 — 4,517 61 (12 ) 4,566 Fannie Mae 5,313 — 5,313 121 (6 ) 5,428 Subtotal GSEs 9,830 — 9,830 182 (18 ) 9,994 PLRMBS: Prime 1,133 — 1,133 1 (27 ) 1,107 Alt-A, option ARM 14 — 14 — (1 ) 13 Alt-A, other 753 (20 ) 733 19 (18 ) 734 Subtotal PLRMBS 1,900 (20 ) 1,880 20 (46 ) 1,854 Total MBS 13,243 (20 ) 13,223 217 (66 ) 13,374 Total $ 13,571 $ (20 ) $ 13,551 $ 217 $ (111 ) $ 13,657 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. At June 30, 2015 , the amortized cost of the Bank’s MBS classified as HTM included premiums of $46 , discounts of $50 , and credit-related OTTI of $7 . At December 31, 2014 , the amortized cost of the Bank’s MBS classified as HTM included premiums of $51 , discounts of $55 , and credit-related OTTI of $7 . The following tables summarize the HTM securities with unrealized losses as of June 30, 2015 , and December 31, 2014 . The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2015 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Housing finance agency bonds: CalHFA bonds $ — $ — $ 257 $ 40 $ 257 $ 40 MBS: Other U.S. obligations – Ginnie Mae 589 2 2 — 591 2 GSEs: Freddie Mac 1,652 15 22 — 1,674 15 Fannie Mae 645 6 130 2 775 8 Subtotal GSEs 2,297 21 152 2 2,449 23 PLRMBS: Prime 207 2 592 23 799 25 Alt-A, option ARM — — 12 1 12 1 Alt-A, other 25 — 623 32 648 32 Subtotal PLRMBS 232 2 1,227 56 1,459 58 Total MBS 3,118 25 1,381 58 4,499 83 Total $ 3,118 $ 25 $ 1,638 $ 98 $ 4,756 $ 123 December 31, 2014 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Housing finance agency bonds: CalHFA bonds $ — $ — $ 283 $ 45 $ 283 $ 45 MBS: Other U.S. obligations – Ginnie Mae 131 — 94 2 225 2 GSEs: Freddie Mac 622 1 1,044 11 1,666 12 Fannie Mae 286 1 562 5 848 6 Subtotal GSEs 908 2 1,606 16 2,514 18 PLRMBS: Prime 264 2 682 25 946 27 Alt-A, option ARM — — 13 1 13 1 Alt-A, other 30 — 685 38 715 38 Subtotal PLRMBS 294 2 1,380 64 1,674 66 Total MBS 1,333 4 3,080 82 4,413 86 Total $ 1,333 $ 4 $ 3,363 $ 127 $ 4,696 $ 131 As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses primarily related to CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of the loan collateral underlying these securities, which caused these assets to be valued at discounts to their acquisition cost. Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of June 30, 2015 , and December 31, 2014 , are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees. June 30, 2015 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 5 years through 10 years $ 61 $ 61 $ 55 Due after 10 years 236 236 202 Subtotal 297 297 257 MBS: Other U.S. obligations – Ginnie Mae 1,369 1,369 1,374 GSEs: Freddie Mac 4,099 4,099 4,142 Fannie Mae 4,708 4,708 4,806 Subtotal GSEs 8,807 8,807 8,948 PLRMBS: Prime 1,020 1,020 996 Alt-A, option ARM 13 13 12 Alt-A, other 679 663 663 Subtotal PLRMBS 1,712 1,696 1,671 Total MBS 11,888 11,872 11,993 Total $ 12,185 $ 12,169 $ 12,250 December 31, 2014 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 5 years through 10 years $ 78 $ 78 $ 70 Due after 10 years 250 250 213 Subtotal 328 328 283 MBS: Other U.S. obligations – Ginnie Mae 1,513 1,513 1,526 GSEs: Freddie Mac 4,517 4,517 4,566 Fannie Mae 5,313 5,313 5,428 Subtotal GSEs 9,830 9,830 9,994 PLRMBS: Prime 1,133 1,133 1,107 Alt-A, option ARM 14 14 13 Alt-A, other 753 733 734 Subtotal PLRMBS 1,900 1,880 1,854 Total MBS 13,243 13,223 13,374 Total $ 13,571 $ 13,551 $ 13,657 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. Interest Rate Payment Terms. Interest rate payment terms for HTM securities at June 30, 2015 , and December 31, 2014 , are detailed in the following table: June 30, 2015 December 31, 2014 Amortized cost of HTM securities other than MBS: Adjustable rate $ 297 $ 328 Subtotal 297 328 Amortized cost of HTM MBS: Passthrough securities: Fixed rate 237 285 Adjustable rate 393 415 Collateralized mortgage obligations: Fixed rate 8,225 9,249 Adjustable rate 3,033 3,294 Subtotal 11,888 13,243 Total $ 12,185 $ 13,571 Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows: June 30, 2015 December 31, 2014 Passthrough securities: Converts in 1 year or less $ 61 $ 79 Converts after 1 year through 5 years 119 140 Converts after 5 years through 10 years 51 59 Total $ 231 $ 278 Collateralized mortgage obligations: Converts in 1 year or less $ 42 $ 73 Converts after 1 year through 5 years 23 26 Total $ 65 $ 99 See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment Analysis | 6 Months Ended |
Jun. 30, 2015 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other-than-Temporary Impairment Analysis | Other-Than-Temporary Impairment Analysis On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that meet neither of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss. PLRMBS. A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 2.0% to an increase of 8.0% over the 12-month period beginning April 1, 2015 . For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. For securities determined to be other-than-temporarily impaired as of June 30, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings in the second quarter of 2015 , and the related current credit enhancement for the Bank. June 30, 2015 Significant Inputs for Other-Than-Temporarily Impaired PLRMBS Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Year of Securitization Weighted Average % Weighted Average % Weighted Average % Weighted Average % Prime 2006 13.8 19.4 34.1 — Total Prime 13.8 19.4 34.1 — Alt-A, other 2007 11.3 26.9 35.7 11.3 2006 10.4 26.4 38.5 23.5 2005 12.9 16.3 37.2 5.2 Total Alt-A, other 11.5 23.9 36.9 13.4 Total 11.5 23.9 36.9 13.4 Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification (Prime; Alt-A, option ARM; and Alt-A, other) is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination. The following table presents the credit-related OTTI, which is recognized in earnings, for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Balance, beginning of the period $ 1,297 $ 1,362 $ 1,314 $ 1,378 Additional charges on securities for which OTTI was previously recognized (1) 6 2 8 2 Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities (19 ) (17 ) (38 ) (33 ) Balance, end of the period $ 1,284 $ 1,347 $ 1,284 $ 1,347 (1) For the three months ended June 30, 2015 and 2014 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2015 and 2014 , respectively. For the six months ended June 30, 2015 and 2014 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015 and 2014 , respectively Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2015 . The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2014. Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Amortized Cost OTTI Recognized in AOCI Gross Unrecognized Holding Gains (Losses) Estimated Fair Value Amortized Cost OTTI Recognized in AOCI Gross Unrecognized Holding Gains (Losses) Estimated Fair Value Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: Prime $ — $ — $ — $ — $ 4 $ — $ — $ 4 Total $ — $ — $ — $ — $ 4 $ — $ — $ 4 The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at June 30, 2015 , and December 31, 2014 , by loan collateral type: June 30, 2015 Available-for-Sale Securities Held-to-Maturity Securities Unpaid Principal Balance Amortized Cost Estimated Fair Value Unpaid Principal Balance Amortized Cost Carrying Value Estimated Fair Value Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: Prime $ 645 $ 535 $ 563 $ — $ — $ — $ — Alt-A, option ARM 1,330 991 1,039 — — — — Alt-A, other 4,975 4,329 4,348 123 118 102 118 Total $ 6,950 $ 5,855 $ 5,950 $ 123 $ 118 $ 102 $ 118 December 31, 2014 Available-for-Sale Securities Held-to-Maturity Securities Unpaid Principal Balance Amortized Cost Estimated Fair Value Unpaid Principal Balance Amortized Cost Carrying Value Estimated Fair Value Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: Prime $ 682 $ 565 $ 592 $ — $ — $ — $ — Alt-A, option ARM 1,391 1,031 1,065 — — — — Alt-A, other 5,374 4,687 4,714 132 128 108 127 Total $ 7,447 $ 6,283 $ 6,371 $ 132 $ 128 $ 108 $ 127 For the Bank’s PLRMBS that were not other-than-temporarily impaired as of June 30, 2015 , the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their acquisition cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of June 30, 2015 , all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired. All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of June 30, 2015 , all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of June 30, 2015 , all of the gross unrealized losses on its agency MBS are temporary. |
Advances
Advances | 6 Months Ended |
Jun. 30, 2015 | |
Federal Home Loan Banks [Abstract] | |
Advances | Advances The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to LIBOR or to another specified index. Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.16% to 8.57% at June 30, 2015 , and 0.14% to 8.57% at December 31, 2014 , as summarized below. June 30, 2015 December 31, 2014 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Overdrawn demand and overnight deposit accounts $ 10 0.01 % $ — — % Within 1 year 25,050 0.57 $ 21,328 0.63 After 1 year through 2 years 7,239 0.89 7,597 1.07 After 2 years through 3 years 4,546 1.04 3,235 1.39 After 3 years through 4 years 7,203 0.89 3,216 1.65 After 4 years through 5 years 2,260 1.05 1,655 1.82 After 5 years 3,753 1.49 1,799 2.81 Total par value 50,061 0.80 % 38,830 1.02 % Valuation adjustments for hedging activities 69 67 Valuation adjustments under fair value option 58 89 Total $ 50,188 $ 38,986 Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $4,782 at June 30, 2015 , and $4,915 at December 31, 2014 . Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $10,323 at June 30, 2015 , and $328 at December 31, 2014 . The Bank’s advances at June 30, 2015 , and December 31, 2014 , included $140 and $140 , respectively, of putable advances. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase. The following table summarizes advances at June 30, 2015 , and December 31, 2014 , by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances. Earlier of Contractual Maturity or Next Call Date Earlier of Contractual Maturity or Next Put Date June 30, 2015 December 31, 2014 June 30, 2015 December 31, 2014 Overdrawn demand and overnight deposit accounts $ 10 $ — $ 10 $ — Within 1 year 26,218 21,460 25,190 21,468 After 1 year through 2 years 7,316 7,693 7,164 7,597 After 2 years through 3 years 8,283 3,258 4,481 3,135 After 3 years through 4 years 3,844 3,291 7,203 3,176 After 4 years through 5 years 2,913 1,646 2,260 1,655 After 5 years 1,477 1,482 3,753 1,799 Total par value $ 50,061 $ 38,830 $ 50,061 $ 38,830 Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 2015 and 2014 . The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and six months ended June 30, 2015 and 2014 . June 30, 2015 Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest Income from Advances (1) Percentage of Interest (1) Percentage of JPMorgan Chase & Co.: JPMorgan Bank & Trust Company, National Association $ 13,000 26 % $ 16 16 % $ 27 14 % JPMorgan Chase Bank, National Association (2) 817 2 1 1 3 1 Subtotal JPMorgan Chase & Co. 13,817 28 17 17 30 15 Bank of the West 6,602 13 6 6 12 6 First Republic Bank 4,725 9 20 20 40 20 Bank of America California, N.A. 4,000 8 3 3 5 3 Citigroup Inc Citibank, N.A. (2) 3,000 6 1 1 2 1 Banamex USA — — — — — — Subtotal Citigroup Inc 3,000 6 1 1 2 1 Subtotal 32,144 64 47 47 89 45 Others 17,917 36 53 53 107 55 Total par value $ 50,061 100 % $ 100 100 % $ 196 100 % June 30, 2014 Three Months Ended June 30, 2014 Six Months Ended June 30, 2014 Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest Percentage of Interest Income from Advances (1) Percentage of Total Interest Income from Advances Bank of America California, N.A. $ 8,000 17 % $ 6 5 % $ 11 5 % Bank of the West 6,316 14 7 6 16 7 JPMorgan Chase & Co.: JPMorgan Bank & Trust Company, National Association 5,125 11 15 13 31 14 JPMorgan Chase Bank, National Association (2) 831 2 2 2 4 2 Subtotal JPMorgan Chase & Co. 5,956 13 17 15 35 16 First Republic Bank 5,550 12 22 20 43 19 OneWest Bank, N.A. 3,730 8 8 7 11 5 Subtotal 29,552 64 60 53 116 52 Others 16,824 36 52 47 109 48 Total par value $ 46,376 100 % $ 112 100 % $ 225 100 % (1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. (2) Nonmember institution. The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances. For information related to the Bank’s credit risk on advances and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses . Interest Rate Payment Terms. Interest rate payment terms for advances at June 30, 2015 , and December 31, 2014 , are detailed below: June 30, 2015 December 31, 2014 Par value of advances: Fixed rate: Due within 1 year $ 19,081 $ 15,422 Due after 1 year 10,547 12,330 Total fixed rate 29,628 27,752 Adjustable rate: Due within 1 year 5,979 5,906 Due after 1 year 14,454 5,172 Total adjustable rate 20,433 11,078 Total par value $ 50,061 $ 38,830 The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 15 – Derivatives and Hedging Activities and Note 16 – Fair Value . The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at June 30, 2015 , or December 31, 2014 . The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value . Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income, as follows: Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Prepayment fees received $ 12 $ 13 $ 26 $ 14 Fair value adjustments (4 ) (9 ) (18 ) (10 ) Net 8 $ 4 $ 8 $ 4 Advance principal prepaid $ 638 $ 555 $ 1,245 $ 705 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate mortgage loans and FHA/VA-insured mortgage loans from members for the Bank’s own portfolio under the Original MPF and MPF Government products. In addition, the Bank may facilitate the purchase of fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.) As of June 30, 2015 , the Bank had approved six members as participating financial institutions since renewing its participation in the MPF Program in the fourth quarter of 2013. From May 2002 through October 2006, the Bank purchased conventional conforming fixed rate mortgage loans from its participating financial institutions under the Original MPF and MPF Plus products. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans. The following table presents information as of June 30, 2015 , and December 31, 2014 , on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. June 30, 2015 December 31, 2014 Fixed rate medium-term mortgage loans $ 131 $ 160 Fixed rate long-term mortgage loans 542 553 Subtotal 673 713 Unamortized premiums 7 6 Unamortized discounts (9 ) (10 ) Mortgage loans held for portfolio 671 709 Less: Allowance for credit losses — (1 ) Total mortgage loans held for portfolio, net $ 671 $ 708 Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years. For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 9 – Allowance for Credit Losses . |
Allowance for Credit Losses
Allowance for Credit Losses | 6 Months Ended |
Jun. 30, 2015 | |
Loans and Leases Receivable, Allowance [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The Bank has established an allowance methodology for each of its portfolio segments: credit products, mortgage loans held for portfolio, term securities purchased under agreements to resell, and term Federal funds sold. For more information on these portfolio segments, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2014 Form 10-K. Credit Products. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At June 30, 2015 , and December 31, 2014 , none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during the six months ended June 30, 2015 , or during 2014 . Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of June 30, 2015 , the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products. No member institutions were placed into receivership during the first six months of 2015 or from July 1 to July 31, 2015. Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of June 30, 2015 , and December 31, 2014 . June 30, 2015 December 31, 2014 Recorded Investment (1) Recorded Investment (1) 30 – 59 days delinquent $ 11 $ 12 60 – 89 days delinquent 4 5 90 days or more delinquent 20 22 Total past due 35 39 Total current loans 640 673 Total mortgage loans $ 675 $ 712 In process of foreclosure, included above (2) $ 10 $ 11 Nonaccrual loans $ 20 $ 22 Loans past due 90 days or more and still accruing interest $ — $ — Serious delinquencies as a percentage of total mortgage loans outstanding (3) 2.89 % 3.12 % (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance. (2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. (3) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. The allowance for credit losses on the mortgage loan portfolio was as follows: Three Months Ended Six Months Ended June 30, June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Balance, beginning of the period $ — $ 2 $ 1 $ 2 (Charge-offs) /recoveries — — (1 ) (1 ) Provision for/(reversal of) credit losses — — — 1 Balance, end of the period $ — $ 2 $ — $ 2 Ratio of net charge-offs during the period to average loans outstanding during the period (0.01 )% (0.01 )% (0.19 )% (0.03 )% The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows: June 30, 2015 December 31, 2014 Allowance for credit losses, end of period: Individually evaluated for impairment $ — $ 1 Collectively evaluated for impairment — — Total allowance for credit losses $ — $ 1 Recorded investment, end of period: Individually evaluated for impairment $ 17 $ 20 Collectively evaluated for impairment 658 692 Total recorded investment $ 675 $ 712 The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows: June 30, 2015 December 31, 2014 Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 17 $ 17 $ — $ 14 $ 14 $ — With an allowance — — — 6 6 1 Total $ 17 $ 17 $ — $ 20 $ 20 $ 1 The average recorded investment on impaired loans individually evaluated for impairment is as follows: Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 With no related allowance $ 15 $ 18 $ 14 $ 18 With an allowance — 7 2 7 Total $ 15 $ 25 $ 16 $ 25 The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows: 1. The first layer of protection against loss is the liquidation value of the real property securing the loan. 2. The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80% , if still in place. 3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank. 4. Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred. 5. Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank. The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the Original MPF and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during the first six months of 2015, the corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly. Allowance for Credit Losses on MPF Loans – The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. For this component, the Bank established an allowance for credit losses for Original MPF loans totaling a de minimis amount as of June 30, 2015 , and December 31, 2014 , and for MPF Plus loans totaling a de minimis amount as of June 30, 2015 , and $1 as of December 31, 2014 . The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for Original MPF loans totaling a de minimis amount as of June 30, 2015 , and December 31, 2014 , and for MPF Plus loans totaling a de minimis amount as of June 30, 2015 , and December 31, 2014 . Troubled Debt Restructurings – Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable. The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31% . This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00% , resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. The recorded investment of the Bank's nonperforming MPF loans classified as TDRs totaled $2.7 as of June 30, 2015 , and $2.3 as of December 31, 2014 . Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. Based upon the collateral held as security, the Bank determined that no allowance for credit losses was needed for the term securities purchased under agreements to resell at June 30, 2015 . The Bank did not have any term securities purchased under agreements to resell at December 31, 2014 . Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of June 30, 2015 , and December 31, 2014 , were repaid or are expected to be repaid according to the contractual terms. |
Deposits
Deposits | 6 Months Ended |
Jun. 30, 2015 | |
Deposits [Abstract] | |
Deposits | Deposits The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits as of June 30, 2015 , and December 31, 2014 , were as follows: June 30, 2015 December 31, 2014 Interest-bearing deposits: Demand and overnight $ 486 $ 159 Total interest-bearing deposits 486 159 Non-interest-bearing deposits 2 1 Total $ 488 $ 160 Interest Rate Payment Terms. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at June 30, 2015 , and December 31, 2014 , are detailed in the following table: June 30, 2015 December 31, 2014 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Interest-bearing deposits – Adjustable rate $ 486 0.01 % $ 159 0.01 % Non-interest-bearing deposits 2 1 Total $ 488 $ 160 |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2014 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance. Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at June 30, 2015 , and December 31, 2014 . June 30, 2015 December 31, 2014 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 16,580 0.60 % $ 21,044 0.36 % After 1 year through 2 years 12,502 2.01 9,871 2.43 After 2 years through 3 years 6,855 1.30 4,518 1.70 After 3 years through 4 years 2,180 1.38 2,336 1.49 After 4 years through 5 years 2,890 1.67 3,103 1.71 After 5 years 4,326 2.33 5,851 2.13 Total par value 45,333 1.36 % 46,723 1.29 % Unamortized premiums 39 58 Unamortized discounts (10 ) (13 ) Valuation adjustments for hedging activities 252 308 Fair value option valuation adjustments (17 ) (31 ) Total $ 45,597 $ 47,045 The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $11,640 at June 30, 2015 , and $14,158 at December 31, 2014 . When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $7,400 at June 30, 2015 , and $9,573 at December 31, 2014 . The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate. The Bank’s participation in consolidated obligation bonds at June 30, 2015 , and December 31, 2014 , was as follows: June 30, 2015 December 31, 2014 Par value of consolidated obligation bonds: Non-callable $ 33,693 $ 32,565 Callable 11,640 14,158 Total par value $ 45,333 $ 46,723 The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 2015 , and December 31, 2014 , by the earlier of the year of contractual maturity or next call date. Earlier of Contractual Maturity or Next Call Date June 30, 2015 December 31, 2014 Within 1 year $ 27,660 $ 33,558 After 1 year through 2 years 11,432 9,156 After 2 years through 3 years 4,530 2,043 After 3 years through 4 years 1,125 1,010 After 4 years through 5 years 360 385 After 5 years 226 571 Total par value $ 45,333 $ 46,723 Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows: June 30, 2015 December 31, 2014 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Par value $ 33,877 0.14 % $ 21,815 0.09 % Unamortized discounts (18 ) (4 ) Total $ 33,859 $ 21,811 Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at June 30, 2015 , and December 31, 2014 , are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank’s 2014 Form 10-K. June 30, 2015 December 31, 2014 Par value of consolidated obligations: Bonds: Fixed rate $ 36,963 $ 39,324 Adjustable rate 5,425 3,678 Step-up 1,910 2,654 Step-down 550 500 Fixed rate that converts to adjustable rate 385 467 Range bonds 100 100 Total bonds, par value 45,333 46,723 Discount notes, par value 33,877 21,815 Total consolidated obligations, par value $ 79,210 $ 68,538 The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at June 30, 2015 , or December 31, 2014 . The Bank has generally elected to account for bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 16 – Fair Value . |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 6 Months Ended |
Jun. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income/(Loss) | Accumulated Other Comprehensive Income/(Loss) The following table summarizes the changes in AOCI for the three months ended June 30, 2015 and 2014 : Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total AOCI Balance, March 31, 2014 $ (31 ) $ (26 ) $ (7 ) $ (64 ) Other comprehensive income/(loss) before reclassifications: Net change in fair value 79 79 Accretion of non-credit-related OTTI loss 2 2 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI (1 ) — (1 ) Net current period other comprehensive income/(loss) 78 2 — 80 Balance, June 30, 2014 $ 47 $ (24 ) $ (7 ) $ 16 Balance, March 31, 2015 $ 106 $ (18 ) $ (12 ) $ 76 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 1 1 Non-credit-related OTTI loss (10 ) — (10 ) Net change in fair value (2 ) (2 ) Accretion of non-credit-related OTTI loss 2 2 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI 1 — 1 Net current period other comprehensive income/(loss) (11 ) 2 1 (8 ) Balance, June 30, 2015 $ 95 $ (16 ) $ (11 ) $ 68 The following table summarizes the changes in AOCI for the six months ended June 30, 2015 and 2014 : Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total AOCI Balance, December 31, 2013 $ (111 ) $ (27 ) $ (7 ) $ (145 ) Other comprehensive income/(loss) before reclassifications: Net change in fair value 160 160 Accretion of non-credit-related OTTI loss 3 3 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI (2 ) — (2 ) Net current period other comprehensive income/(loss) 158 3 — 161 Balance, June 30, 2014 $ 47 $ (24 ) $ (7 ) $ 16 Balance, December 31, 2014 $ 88 $ (20 ) $ (12 ) $ 56 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 1 1 Non-credit-related OTTI loss (13 ) — (13 ) Net change in fair value 18 18 Accretion of non-credit-related OTTI loss 4 4 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI 2 — 2 Net current period other comprehensive income/(loss) 7 4 1 12 Balance, June 30, 2015 $ 95 $ (16 ) $ (11 ) $ 68 |
Capital
Capital | 6 Months Ended |
Jun. 30, 2015 | |
Capital [Abstract] | |
Capital | Capital Capital Requirements. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined. As of June 30, 2015 , and December 31, 2014 , the Bank was in compliance with these capital rules and requirements as shown in the following table. June 30, 2015 December 31, 2014 Required Actual Required Actual Risk-based capital $ 2,923 $ 5,546 $ 3,231 $ 6,356 Total regulatory capital $ 3,438 $ 5,546 $ 3,032 $ 6,356 Total regulatory capital ratio 4.00 % 6.45 % 4.00 % 8.38 % Leverage capital $ 4,298 $ 8,318 $ 3,790 $ 9,534 Leverage ratio 5.00 % 9.68 % 5.00 % 12.58 % Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7% , and t he activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0% . Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $142 outstanding to 10 institutions at June 30, 2015 , and $719 outstanding to 32 institutions at December 31, 2014 . The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2015 and 2014 , was as follows: Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Balance at the beginning of the period $ 383 $ 1,644 $ 719 $ 2,071 Reclassified from/(to) capital during the period 4 1 12 2 Redemption of mandatorily redeemable capital stock (28 ) (6 ) (34 ) (15 ) Repurchase of excess mandatorily redeemable capital stock (217 ) (463 ) (555 ) (882 ) Balance at the end of the period $ 142 $ 1,176 $ 142 $ 1,176 Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $38 and $53 for the three and six months ended June 30, 2015 , respectively, and in the amount of $34 and $73 for the three and six months ended June 30, 2014 , respectively. The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2014 Form 10-K. The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at June 30, 2015 , and December 31, 2014 . Contractual Redemption Period June 30, 2015 December 31, 2014 Within 1 year $ 92 $ 51 After 1 year through 2 years — 582 After 2 years through 3 years 1 9 After 3 years through 4 years — 1 After 4 years through 5 years 6 2 Past contractual redemption date because of remaining activity (1) 43 74 Total $ 142 $ 719 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations. The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70% , any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70% , the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 201% as of June 30, 2015 . In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter. Retained Earnings – The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period. The following table summarizes the activity related to restricted retained earnings for the three and six months ended June 30, 2015 and 2014 : Three Months Ended June 30, 2015 June 30, 2014 Restricted Retained Earnings Related to: Restricted Retained Earnings Related to: Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Balance at the beginning of the period $ 25 $ 1,800 $ 325 $ 2,150 $ 71 $ 1,800 $ 198 $ 2,069 Transfers to/(from) restricted retained earnings 8 — 12 20 (22 ) — 8 (14 ) Balance at the end of the period $ 33 $ 1,800 $ 337 $ 2,170 $ 49 $ 1,800 $ 206 $ 2,055 Six Months Ended June 30, 2015 June 30, 2014 Restricted Retained Earnings Related to: Restricted Retained Earnings Related to: Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Balance at the beginning of the period $ 35 $ 1,800 $ 230 $ 2,065 $ 88 $ 1,800 $ 189 $ 2,077 Transfers to/(from) restricted retained earnings (2 ) — 107 105 (39 ) — 17 (22 ) Balance at the end of the period $ 33 $ 1,800 $ 337 $ 2,170 $ 49 $ 1,800 $ 206 $ 2,055 For more information on these three categories of restricted retained earnings and the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2014 Form 10-K. Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings, and may not declare or pay dividends based on projected or anticipated earnings. There is no requirement that the Board of Directors declare and pay any dividend. A decision by the Board of Directors to declare or not declare a dividend is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks. In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of June 30, 2015 , the Bank’s excess capital stock totaled $365 , or 0.42% of total assets. In the second quarter of 2015, the Bank paid dividends on the capital stock outstanding during the first quarter of 2015 at an annualized rate of 22.65% , totaling $220 , including $ 182 in dividends on capital stock and $38 in dividends on mandatorily redeemable capital stock. The dividends included a special dividend in the amount of $145 , including $120 in dividends on capital stock and $25 in dividends on mandatorily redeemable capital stock. In the second quarter of 2014, the Bank paid dividends on the capital stock outstanding during the first quarter of 2014 at an annualized rate of 6.80% , totaling $93 , including $59 in dividends on capital stock and $34 in dividends on mandatorily redeemable capital stock. In the first six months of 2015, the Bank paid dividends at an annualized rate of 14.58% , totaling $294 , of which $145 was related to the special dividend. The total dividends paid included $241 in dividends on capital stock and $53 in dividends on mandatorily redeemable capital stock. In the first six months of 2014, the Bank paid dividends at an annualized rate of 6.73% , totaling $190 , including $117 in dividends on capital stock and $73 in dividends on mandatorily redeemable capital stock. For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income. On July 28, 2015 , the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2015 at an annualized rate of 10.01% , totaling $78 , including $72 in dividends on capital stock and $6 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on July 28, 2015 . The Bank expects to pay the dividend on or about August 13, 2015 . Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the third quarter of 2015 . Excess Capital Stock – The Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank must give the shareholder 15 days’ written notice; however, the shareholder may waive this notice period. The Bank may also repurchase some or all of a shareholder’s excess capital stock at the shareholder’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan. The Bank repurchased $750 and $847 in excess capital stock in the first and second quarters of 2015 , respectively, and $750 in excess capital stock in each of the first and second quarters of 2014 . During the second quarter of 2015 and 2014 , the Bank redeemed $28 and $6 , respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank. On May 29, 2015, the Bank's Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) was revised to reinstate the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly schedule, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement, and excess capital stock is defined as any stock holdings in excess of a shareholder’s minimum stock requirement. In accordance with the revised Framework, each quarter, Bank management will evaluate and determine the amount of capital stock to be repurchased in that quarter, if any, giving consideration to certain capital metrics and capital management objectives and strategies, and subject to the requirements and limitations mentioned above. In addition, at the Bank’s discretion, some or all of the excess stock held by a shareholder may be repurchased upon request of the shareholder, subject to the requirements and limitations mentioned above. At least 15 calendar days before any repurchase, the Bank will notify shareholders of its intention to repurchase capital stock and of the scheduled repurchase date. On the scheduled repurchase date, the Bank will calculate the amount of stock to be repurchased to ensure that each member and nonmember shareholder will continue to meet its minimum stock requirement after the repurchase. On July 29, 2015 , the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on August 14, 2015 . Excess capital stock totaled $365 as of June 30, 2015 , and $1,118 as of December 31, 2014 . For more information on excess capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2014 Form 10-K. Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of June 30, 2015 , or December 31, 2014 . June 30, 2015 December 31, 2014 Name of Institution Capital Stock Outstanding Percentage of Total Capital Stock Outstanding Capital Stock Outstanding Percentage of Total Capital Stock Outstanding JPMorgan Chase & Co.: JPMorgan Bank & Trust Company, National Association $ 390 14 % $ 268 7 % JPMorgan Chase Bank, National Association (1) 40 1 68 2 Subtotal JPMorgan Chase & Co. 430 15 336 9 Citigroup Inc.: Citibank, N.A. (1) 90 3 577 14 Banamex USA 4 — 2 — Subtotal Citigroup Inc. 94 3 579 14 Subtotal 524 18 915 23 Others 2,369 82 3,082 77 Total $ 2,893 100 % $ 3,997 100 % (1) The capital stock held by these nonmember institutions is classified as mandatorily redeemable capital stock. |
Segment Information
Segment Information | 6 Months Ended |
Jun. 30, 2015 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance. For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2014 Form 10-K. The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three and six months ended June 30, 2015 and 2014 . Advances- Related Business Mortgage- Related Business (1) Adjusted Net Interest Income Amortization of Basis Adjustments (2) Income/(Expense) on Economic Hedges (3) Interest Expense on Mandatorily Redeemable Capital Stock (4) Net Interest Income After Mortgage Loan Loss Provision Other Income/ (Loss) Other Expense Income Before AHP Assessment Three months ended: June 30, 2015 $ 47 $ 90 $ 137 $ (5 ) $ (4 ) $ 38 $ 108 $ (2 ) $ 34 $ 72 June 30, 2014 44 105 149 (4 ) (19 ) 34 138 (54 ) 37 47 Six month ended: June 30, 2015 82 183 265 (13 ) (13 ) 53 238 430 68 600 June 30, 2014 83 215 298 (6 ) (41 ) 73 272 (102 ) 69 101 (1) Does not include credit-related OTTI losses of $6 and $2 for the three months ended June 30, 2015 and 2014 , respectively. Does not include credit-related OTTI losses of $8 and $2 for the six months ended June 30, 2015 and 2014 , respectively. (2) Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework . (3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “ Net gain/(loss) on derivatives and hedging activities.” (4) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments. The following table presents total assets by operating segment at June 30, 2015 , and December 31, 2014 . Advances- Related Business Mortgage- Related Business Total Assets June 30, 2015 $ 67,398 $ 18,564 $ 85,962 December 31, 2014 55,424 20,383 75,807 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities General . The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances and the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit. Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of a specific asset or liability, or (iii) an intermediary transaction for members. Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR. Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level. Hedging Activities. The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value or cash flow hedges to: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at the hedge’s inception and on an ongoing basis) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively. The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. Intermediation and Offsetting Derivatives – As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank. The notional principal of the interest rate exchange agreements associated with offsetting derivatives with other counterparties was $160 at June 30, 2015 . The Bank had no interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties at December 31, 2014 . Investments – The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM. The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income. Advances – The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. Mortgage Loans – The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly. The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during the six months ended June 30, 2015 , or the year ended December 31, 2014 . Credit Risk – The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse. Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions. The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below A3/A- (and in one agreement, below A2/A), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at June 30, 2015 , was $42 , for which the Bank had posted collateral with a fair value of $36 in the ordinary course of business. If the Bank’s credit rating at June 30, 2015 , had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $2 of additional collateral (at fair value) to its derivative counterparties at June 30, 2015 . The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of June 30, 2015 , and December 31, 2014 . For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2015 December 31, 2014 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 34,522 $ 296 $ 93 $ 28,018 $ 374 $ 103 Total 34,522 296 93 28,018 374 103 Derivatives not designated as hedging instruments: Interest rate swaps 34,718 74 85 31,973 72 129 Interest rate caps and floors 2,230 6 1 2,306 9 1 Mortgage delivery commitments 7 — — — — — Total 36,955 80 86 34,279 81 130 Total derivatives before netting and collateral adjustments $ 71,477 376 179 $ 62,297 455 233 Netting adjustments and cash collateral (1) (301 ) (170 ) (396 ) (213 ) Total derivative assets and total derivative liabilities $ 75 $ 9 $ 59 $ 20 (1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted was $86 and $65 at June 30, 2015 , and December 31, 2014 , respectively. Cash collateral received was $218 and $248 at June 30, 2015 , and December 31, 2014 , respectively. The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and six months ended June 30, 2015 and 2014 . Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives and hedged items in fair value hedging relationships – hedge ineffectiveness by derivative type: Interest rate swaps $ (3 ) $ (3 ) $ (10 ) $ (5 ) Total net gain/(loss) related to fair value hedge ineffectiveness (3 ) (3 ) (10 ) (5 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 33 5 30 20 Interest rate caps and floors — (7 ) (2 ) (8 ) Net settlements (4 ) (19 ) (13 ) (41 ) Mortgage delivery commitments 1 — 1 — Total net gain/(loss) related to derivatives not designated as hedging instruments 30 (21 ) 16 (29 ) Net gain/(loss) on derivatives and hedging activities $ 27 $ (24 ) $ 6 $ (34 ) The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, 2015 June 30, 2014 Hedged Item Type Gain/(Loss) on Derivatives Gain /(Loss) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ 32 $ (32 ) $ — $ (27 ) $ (23 ) $ 23 $ — $ (34 ) Consolidated obligation bonds (49 ) 46 (3 ) 67 (25 ) 22 (3 ) 67 Total $ (17 ) $ 14 $ (3 ) $ 40 $ (48 ) $ 45 $ (3 ) $ 33 Six Months Ended June 30, 2015 June 30, 2014 Hedged Item Type Gain/(Loss) on Derivatives Gain /(Loss) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ (6 ) $ 6 $ — $ (55 ) $ (13 ) $ 13 $ — $ (66 ) Consolidated obligation bonds (64 ) 54 (10 ) 129 (76 ) 71 (5 ) 132 Total $ (70 ) $ 60 $ (10 ) $ 74 $ (89 ) $ 84 $ (5 ) $ 66 (1) The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item. The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met. The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of June 30, 2015 , and December 31, 2014 . June 30, 2015 December 31, 2014 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements Gross recognized amount Uncleared derivatives $ 266 $ 136 $ 352 $ 199 Cleared derivatives 110 43 103 34 Total gross recognized amount 376 179 455 233 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (245 ) (127 ) (324 ) (179 ) Cleared derivatives (56 ) (43 ) (72 ) (34 ) Total gross amount of netting adjustments and cash collateral (301 ) (170 ) (396 ) (213 ) Total derivative assets and total derivative liabilities Uncleared derivatives 21 9 28 20 Cleared derivatives 54 — 31 — Total derivative assets and derivative liabilities presented in the Statements of Condition 75 9 59 20 Non-cash collateral received or pledged not offset Can be sold or repledged - Uncleared derivatives 20 — 25 — Net unsecured amount Uncleared derivatives 1 9 3 20 Cleared derivatives 54 — 31 — Total net unsecured amount $ 55 $ 9 $ 34 $ 20 |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at June 30, 2015 , and December 31, 2014 . Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities. The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at June 30, 2015 , and December 31, 2014 . June 30, 2015 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments (1) Assets Cash and due from banks $ 1,239 $ 1,239 $ 1,239 $ — $ — $ — Securities purchased under agreements to resell 7,250 7,250 — 7,250 — — Federal funds sold 5,188 5,188 — 5,188 — — Trading securities 2,923 2,923 — 2,923 — — AFS securities 5,950 5,950 — — 5,950 — HTM securities 12,169 12,250 — 10,322 1,928 — Advances 50,188 50,213 — 50,213 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 671 720 — 720 — — Loans to other FHLBanks 125 125 — 125 — — Accrued interest receivable 63 63 — 63 — — Derivative assets, net (1) 75 75 — 376 — (301 ) Other assets (2) 11 11 11 — — — Liabilities Deposits 488 488 — 488 — — Consolidated obligations: Bonds 45,597 45,572 — 45,572 — — Discount notes 33,859 33,861 — 33,861 — — Total consolidated obligations 79,456 79,433 — 79,433 — — Mandatorily redeemable capital stock 142 142 142 — — — Accrued interest payable 92 92 — 92 — — Derivative liabilities, net (1) 9 9 — 179 — (170 ) Other Standby letters of credit 16 16 — 16 — — Commitments to fund advances (3) — 3 — 3 — — Commitments to issue consolidated obligation bonds (3) — 1 — 1 — — December 31, 2014 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments (1) Assets Cash and due from banks $ 3,920 $ 3,920 $ 3,920 $ — $ — $ — Securities purchased under agreements to resell 1,000 1,000 — 1,000 — — Federal funds sold 7,503 7,503 — 7,503 — — Trading securities 3,524 3,524 — 3,524 — — AFS securities 6,371 6,371 — — 6,371 — HTM securities 13,551 13,657 — 11,521 2,136 — Advances 38,986 39,060 — 39,060 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 708 769 — 769 — — Accrued interest receivable 67 67 — 67 — — Derivative assets, net (1) 59 59 — 455 — (396 ) Other assets (2) 11 11 11 — — — Liabilities Deposits 160 160 — 160 — — Consolidated obligations: Bonds 47,045 47,021 — 47,021 — — Discount notes 21,811 21,811 — 21,811 — — Total consolidated obligations 68,856 68,832 — 68,832 — — Mandatorily redeemable capital stock 719 719 719 — — — Accrued interest payable 95 95 — 95 — — Derivative liabilities, net (1) 20 20 — 233 — (213 ) Other Standby letters of credit 12 12 — 12 — — Commitments to fund advances (3) — 2 — 2 — — (1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met . (2) Represents publicly traded mutual funds held in a grantor trust. (3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies . Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: • Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. • Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs 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; (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 by correlation or other means. • Level 3 – Unobservable inputs for the asset or liability. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of June 30, 2015 : • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets For 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. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels. Summary of Valuation Methodologies and Primary Inputs. Cash and Due from Banks – The estimated fair value equals the carrying value. Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Investment Securities – Certificates of Deposit – The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Investment Securities – MBS – To value its MBS, the Bank obtains prices from four 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, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield 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 price discrepancies identified by the Bank. At least annually, the Bank conducts reviews of the four pricing vendors to update and confirm its understanding of the vendors’ pricing processes, methodologies, and control procedures. The Bank’s valuation technique for estimating the fair values of its MBS first requires the establishment of a median vendor price for each security. If four vendor prices are received, the average of the middle two prices is the median price; 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 default fair value) subject to additional validation. All vendor prices that are within a specified tolerance threshold of the median price are included in the cluster of vendor prices that are averaged to establish a default fair value. All vendor 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 dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated 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 fair value rather than the default fair value. If, instead, the analysis confirms that an outlier is (or outliers are) not representative of fair value and the default fair value is the best estimate, then the default fair value is used as the fair value. If all vendor prices received for a security are outside the tolerance threshold level of the median price, then there is no default fair value, and the fair value is determined by an evaluation of all outlier prices (or the other prices, as appropriate) as described above. As of June 30, 2015 , four vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank’s reviews 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 or significant yield variances, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy. As an additional step, the Bank reviewed the fair value estimates of its PLRMBS as of June 30, 2015 , for reasonableness using a market-implied yield test. The Bank calculated a market-implied yield for each of its PLRMBS using the estimated fair value derived from the process described above and the security’s projected cash flows from the Bank’s OTTI process and compared the market-implied yield to the yields for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. Investment Securities – FFCB Bonds and CalHFA Bonds – The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS . Advances – Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable). The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs from derivative dealers for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency’s advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower’s decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees. In addition, the Bank did not adjust its fair value measurement of advances for creditworthiness primarily because advances were fully collateralized. Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. Loans to Other FHLBanks – Because these are overnight transactions, the estimated fair value approximates the recorded carrying value. Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable. Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices. Derivative Assets and Liabilities – In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve; volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew) adjusted for counterparty credit risk, as necessary; and prepayment assumptions. The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral security agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s credit rating, as determined by rating agency long-term credit ratings of the counterparty’s debt securities or deposits, or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s strict eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required. The fair values of the 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 because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Deposits – The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms. Consolidated Obligations – Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary inputs for measuring the fair value of consolidated obligation bonds are market-based CO Curve inputs obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which may be adjusted by indicative spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE trades or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable quotes and inputs from derivative dealers. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk. Mandatorily Redeemable Capital Stock – The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure. Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates. Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates. Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at June 30, 2015 , and December 31, 2014 , by level within the fair value hierarchy. June 30, 2015 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 2,913 $ — $ — $ 2,913 MBS: Other U.S. obligations – Ginnie Mae — 10 — — 10 Total trading securities — 2,923 — — 2,923 AFS securities: PLRMBS — — 5,950 — 5,950 Total AFS securities — — 5,950 — 5,950 Advances (2) — 4,978 — — 4,978 Derivative assets, net: interest rate-related — 376 — (301 ) 75 Other assets 11 — — — 11 Total recurring fair value measurements – Assets $ 11 $ 8,277 $ 5,950 $ (301 ) $ 13,937 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 6,203 $ — $ — $ 6,203 Derivative liabilities, net: interest rate-related — 179 — (170 ) 9 Total recurring fair value measurements – Liabilities $ — $ 6,382 $ — $ (170 ) $ 6,212 Nonrecurring fair value measurements – Assets: (4) REO $ — $ — $ 1 — $ 1 Impaired mortgage loans held for portfolio — — 4 — 4 Total nonrecurring fair value measurements – Assets $ — $ — $ 5 — $ 5 December 31, 2014 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 3,513 $ — $ — $ 3,513 MBS: Other U.S. obligations – Ginnie Mae — 11 — — 11 Total trading securities — 3,524 — — 3,524 AFS securities: PLRMBS — — 6,371 — 6,371 Total AFS securities — — 6,371 — 6,371 Advances (2) — 5,137 — — 5,137 Derivative assets, net: interest rate-related — 455 — (396 ) 59 Other assets 11 — — — 11 Total recurring fair value measurements – Assets $ 11 $ 9,116 $ 6,371 $ (396 ) $ 15,102 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 6,717 $ — $ — $ 6,717 Derivative liabilities, net: interest rate-related — 233 — (213 ) 20 Total recurring fair value measurements – Liabilities $ — $ 6,950 $ — $ (213 ) $ 6,737 Nonrecurring fair value measurements – Assets: REO $ — $ — $ 1 $ 1 (1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met. (2) Represents advances recorded under the fair value option at June 30, 2015 , and December 31, 2014 . (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2015 , and December 31, 2014 . (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2015. The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, 2015 June 30, 2014 Balance, beginning of the period $ 6,188 $ 6,916 Total gain/(loss) realized and unrealized included in: Interest income 22 15 Net OTTI loss, credit-related (6 ) (2 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI (2 ) 79 Net amount of OTTI loss reclassified to/(from) other income/(loss) (9 ) (1 ) Settlements (243 ) (231 ) Transfers of HTM securities to AFS securities — — Balance, end of the period $ 5,950 $ 6,776 Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period $ 16 $ 14 Six Months Ended June 30, 2015 June 30, 2014 Balance, beginning of the period $ 6,371 $ 7,047 Total gain/(loss) realized and unrealized included in: Interest income 41 30 Net OTTI loss, credit-related (8 ) (2 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 18 160 Net amount of OTTI loss reclassified to/(from) other income/(loss) (11 ) (2 ) Settlements (465 ) (457 ) Transfers of HTM securities to AFS securities 4 — Balance, end of the period $ 5,950 $ 6,776 Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period $ 33 $ 29 Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense. For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2014 Form 10-K. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and six months ended June 30, 2015 and 2014 : Three Months Ended June 30, 2015 June 30, 2014 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 4,978 $ 6,375 $ 6,936 $ 7,298 New transactions elected for fair value option 200 1,150 210 1,478 Maturities and terminations (164 ) (1,308 ) (808 ) (1,730 ) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option (36 ) (10 ) 4 34 Change in accrued interest — (4 ) (1 ) — Balance, end of the period $ 4,978 $ 6,203 $ 6,341 $ 7,080 Six Months Ended June 30, 2015 June 30, 2014 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 5,137 $ 6,717 $ 7,069 $ 10,115 New transactions elected for fair value option 446 1,805 348 2,178 Maturities and terminations (588 ) (2,333 ) (1,087 ) (5,295 ) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option (16 ) 17 12 81 Change in accrued interest (1 ) (3 ) (1 ) 1 Balance, end of the period $ 4,978 $ 6,203 $ 6,341 $ 7,080 For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for instrument-specific credit risk were necessary for the three and six months ended June 30, 2015 and 2014 . The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at June 30, 2015 , and December 31, 2014 : At June 30, 2015 At December 31, 2014 Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Advances (1) $ 4,920 $ 4,978 $ 58 $ 5,048 $ 5,137 $ 89 Consolidated obligation bonds 6,220 6,203 (17 ) 6,748 6,717 (31 ) (1) At June 30, 2015 , and December 31, 2014 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of June 30, 2015 , and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $852,783 at June 30, 2015 , and $847,175 at December 31, 2014 . The par value of the Bank’s participation in consolidated obligations was $79,210 at June 30, 2015 , and $68,538 at December 31, 2014 . For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2014 Form 10-K. Off-balance sheet commitments as of June 30, 2015 , and December 31, 2014 , were as follows: June 30, 2015 December 31, 2014 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit outstanding $ 7,671 $ 3,213 $ 10,884 $ 2,699 $ 2,711 $ 5,410 Commitments to fund advances (1) 174 3 177 121 5 126 Commitments to issue consolidated obligation discount notes, par 800 — 800 3 — 3 Commitments to issue consolidated obligation bonds, par (2) 595 — 595 — — — Commitments to purchase mortgage loans 7 — 7 — — — (1) At June 30, 2015 , and December 31, 2014 , $100 of the commitments to fund additional advances were hedged with associated interest rate swaps. (2) At June 30, 2015 , all of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps. Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The original terms of these standby letters of credit range from 44 days to 15 years , including a final expiration in 2030 . The Bank monitors the creditworthiness of members that have standby letters of credit. In addition, standby letters of credit are fully collateralized. As a result, the Bank determined that it was not necessary to record any allowance for losses on these commitments at June 30, 2015 , and December 31, 2014 . The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $16 at June 30, 2015 , and $12 at December 31, 2014 . Letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of June 30, 2015 , and December 31, 2014 . Commitments to fund advances totaled $177 at June 30, 2015 , and $126 at December 31, 2014 . Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses ). Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of June 30, 2015 , and December 31, 2014 . The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 30 days. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition. The Bank executes over-the-counter uncleared interest rate exchange agreements with major banks and derivative entities affiliated with broker-dealers and with its members. The Bank enters into master agreements with netting provisions and into bilateral security agreements with all active derivative dealer counterparties. All member counterparty master agreements, excluding those with derivative dealers, are subject to the terms of the Bank’s Advances and Security Agreement with members, and all member counterparties (except for those that are derivative dealers) must fully collateralize the Bank’s net credit exposure. For cleared derivatives, the clearinghouse is the Bank’s counterparty, and the Bank has clearing agreements with clearing agents that provide for delivery of initial margin to, and exchange of variation margin with, the clearinghouse. See Note 15 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features. As of June 30, 2015 , the Bank had pledged total cash collateral of $727 to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. As of December 31, 2014 , the Bank had pledged total collateral of $502 , including securities with a de minimis carrying value, all of which may be sold or repledged, and cash collateral of $502 to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations. |
Transactions with Certain Membe
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks Transactions with Certain Members and Certain Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with: (i) members and nonmembers that held more than 10% of the outstanding shares of the Bank’s capital stock, including mandatorily redeemable capital stock, at any time during the periods indicated, (ii) members that had an officer or director serving on the Bank’s Board of Directors at any time during the periods indicated, and (iii) affiliates of the foregoing members and nonmembers. All transactions with members, the nonmembers described above, and their respective affiliates are entered into in the ordinary course of business. The tables include securities transactions where the foregoing members, nonmembers, and their affiliates (as described above) are the issuers or obligors of the securities, but do not include securities purchased, sold or issued through, or otherwise underwritten by, affiliates of the foregoing members and nonmembers. The tables also do not include any AHP or Community Investment Cash Advance (CICA) grants. Securities purchased, sold or issued through, or otherwise underwritten by, and AHP or CICA grants provided to, the affiliates of foregoing members and nonmembers are in the ordinary course of the Bank’s business. June 30, 2015 December 31, 2014 Assets: Investments (1) $ 348 $ 139 Advances 15,795 5,081 Mortgage loans held for portfolio 526 33 Accrued interest receivable 20 6 Other assets — 18 Derivative assets, net 1 — Total Assets $ 16,690 $ 5,277 Liabilities: Deposits $ 9 $ 3 Mandatorily redeemable capital stock 40 577 Derivative liabilities, net — 18 Total Liabilities $ 49 $ 598 Notional amount of derivatives $ 7,252 $ 2,858 Standby letters of credit 75 21 (1) Investments consist of securities purchased under agreements to resell, Federal funds sold, AFS securities, and HTM securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates. Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Interest Income: Investments (1) $ 3 $ 13 $ 5 $ 18 Advances (2) 24 15 44 39 Mortgage loans held for portfolio 7 1 14 10 Total Interest Income $ 34 $ 29 $ 63 $ 67 Interest Expense: Mandatorily redeemable capital stock $ 4 $ 21 $ 5 $ 46 Consolidated obligations (2) (28 ) (2 ) (56 ) (38 ) Total Interest Expense $ (24 ) $ 19 $ (51 ) $ 8 Other Income/(Loss): Net gain/(loss) on derivatives and hedging activities $ (18 ) $ (261 ) $ (51 ) $ (305 ) Total Other Income/(Loss) $ (18 ) $ (261 ) $ (51 ) $ (305 ) (1) Investments consist of securities purchased under agreements to resell, Federal funds sold, AFS securities, and HTM securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates. (2) Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates. Transactions with Other FHLBanks. Transactions with other FHLBanks are identified on the face of the Bank’s financial statements. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7% , and t he activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0% . There were no other material subsequent events identified, subsequent to June 30, 2015 , until the time of the Form 10-Q filing with the Securities and Exchange Commission. |
Basis of Presentation _ Summary
Basis of Presentation / Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Line Items] | |
Fair Value of Financial Instruments, Policy [Policy Text Block] | Investment Securities – MBS – To value its MBS, the Bank obtains prices from four 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, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield 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 price discrepancies identified by the Bank. Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates. Consolidated Obligations – Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary inputs for measuring the fair value of consolidated obligation bonds are market-based CO Curve inputs obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which may be adjusted by indicative spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE trades or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable quotes and inputs from derivative dealers. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk. The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral security agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s credit rating, as determined by rating agency long-term credit ratings of the counterparty’s debt securities or deposits, or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s strict eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required. The fair values of the 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 because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: • Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. • Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs 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; (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 by correlation or other means. • Level 3 – Unobservable inputs for the asset or liability. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of June 30, 2015 : • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets Investment Securities – FFCB Bonds and CalHFA Bonds – The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS . Advances – Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable). The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs from derivative dealers for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Deposits – The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms. Investment Securities – Certificates of Deposit – The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Cash and Due from Banks – The estimated fair value equals the carrying value. Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Loans to Other FHLBanks – Because these are overnight transactions, the estimated fair value approximates the recorded carrying value. Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable. Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices. For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. The Bank calculated a market-implied yield for each of its PLRMBS using the estimated fair value derived from the process described above and the security’s projected cash flows from the Bank’s OTTI process and compared the market-implied yield to the yields for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. Derivative Assets and Liabilities – In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve; volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew) adjusted for counterparty credit risk, as necessary; and prepayment assumptions. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense. For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 19 – Fair Values” in the Bank’s 2014 Form 10-K. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. Mandatorily Redeemable Capital Stock – The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure. |
Use of Estimates, Policy [Policy Text Block] | The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates. |
Repurchase and Resale Agreements Policy [Policy Text Block] | Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. |
Investment, Policy [Policy Text Block] | On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. As part of this evaluation, the Bank considers whether it intends to sell each debt security and whether it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the amortized cost basis. If either of these conditions is met, the Bank recognizes an OTTI charge to earnings equal to the entire difference between the security’s amortized cost basis and its fair value at the statement of condition date. For securities in an unrealized loss position that meet neither of these conditions, the Bank considers whether it expects to recover the entire amortized cost basis of the security by comparing its best estimate of the present value of the cash flows expected to be collected from the security with the amortized cost basis of the security. If the Bank’s best estimate of the present value of the cash flows expected to be collected is less than the amortized cost basis, the difference is considered the credit loss. PLRMBS. A significant input to the Bank’s cash flow analysis of its PLRMBS is the forecast of future housing price changes. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 2.0% to an increase of 8.0% over the 12-month period beginning April 1, 2015 . For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 15 – Derivatives and Hedging Activities . Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met. |
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of June 30, 2015 , to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value. |
Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows: 1. The first layer of protection against loss is the liquidation value of the real property securing the loan. 2. The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80% , if still in place. 3. Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank. 4. Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred. 5. Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank. The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the Original MPF and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during the first six months of 2015, the corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly. Allowance for Credit Losses on MPF Loans – The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. |
Loans and Leases Receivable, Troubled Debt Restructuring Policy [Policy Text Block] | Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable. The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31% . This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00% , resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. |
Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy [Policy Text Block] | The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. |
Derivatives, Policy [Policy Text Block] | In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM. The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank. |
Derivatives, Hedge Discontinuances [Policy Text Block] | The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. |
Derivatives, Embedded Derivatives [Policy Text Block] | The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at June 30, 2015 , or December 31, 2014 . The Bank has generally elected to account for bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). |
Derivatives, Methods of Accounting, Hedging Derivatives [Policy Text Block] | The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances and the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit. Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of a specific asset or liability, or (iii) an intermediary transaction for members. Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR. Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level. The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value or cash flow hedges to: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at the hedge’s inception and on an ongoing basis) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively. The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly. Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse. Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions. The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below A3/A- (and in one agreement, below A2/A), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge receives fair value option accounting treatment. |
Deposits, Policy [Policy Text Block] | The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. |
Stockholders' Equity, Policy [Policy Text Block] | The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations. The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70% , any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70% , the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 201% as of June 30, 2015 . In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined. |
Segment Reporting, Policy [Policy Text Block] | The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance. |
Fair Value Transfer, Policy [Policy Text Block] | For 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. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels. |
Subsequent Events, Policy [Policy Text Block] | There were no other material subsequent events identified, subsequent to June 30, 2015 , until the time of the Form 10-Q filing with the Securities and Exchange Commission. |
New Accounting Pronouncements, Policy [Policy Text Block] | Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the Financial Accounting Standards Board (FASB) issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted. The Bank can elect to adopt the amendments either (1) prospectively to all arrangements entered into or materially modified after the effective date or (2) retrospectively. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the statement of condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance becomes effective for the Bank for the interim and annual periods beginning after December 15, 2015, and early adoption is permitted for financial statements that have not been previously issued. The guidance is required to be applied on a retrospective basis to each individual period presented on the statement of condition. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows. Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following: • Placing more emphasis on risk of loss when determining a controlling financial interest. A reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement, when certain criteria are met. • Reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE. • Changing consolidation conclusions for public and private companies in several industries that typically make use of limited partnerships or VIEs. This guidance becomes effective for the Bank for interim and annual periods beginning after December 15, 2015, and early adoption is permitted, including adoption in an interim period. This guidance is not expected to affect the Bank’s financial condition, results of operations, and cash flows. Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2016, and early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, and cash flows. Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure. On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for entities to use in accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, or lease contracts. This guidance becomes effective for the interim and annual reporting periods beginning after December 15, 2016, and early application is not permitted. The guidance provides the entities with the option of using the following two methods upon adoption: a full retrospective method, applied retrospectively to each prior reporting period presented; or a transition method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, the FASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Regulatory Guidance Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio for the six months ended June 30, 2015 . The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block] | The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income |
Revenue Recognition Accounting Policy, Gross and Net Revenue Disclosure [Policy Text Block] | Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain. |
Term Federal Funds Sold [Member] | |
Accounting Policies [Line Items] | |
Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. |
Term Securities Purchased Under Agreements To Resell [Member] | |
Accounting Policies [Line Items] | |
Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. Based upon the collateral held as security, the Bank determined that no allowance for credit losses was needed for the term securities purchased under agreements to resell at June 30, 2015 . |
PLRMBS [Member] | |
Accounting Policies [Line Items] | |
Investment, Policy [Policy Text Block] | For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2015 . The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2014. |
Trading Securities (Tables)
Trading Securities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Trading Securities [Abstract] | |
Trading Securities (and Certain Trading Assets) [Table Text Block] | The estimated fair value of trading securities as of June 30, 2015 , and December 31, 2014 , was as follows: June 30, 2015 December 31, 2014 Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds $ 2,913 $ 3,513 MBS – Other U.S. obligations – Ginnie Mae 10 11 Total $ 2,923 $ 3,524 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities [Table Text Block] | Available-for-sale (AFS) securities by major security type as of June 30, 2015 , and December 31, 2014 , were as follows: June 30, 2015 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 535 $ (1 ) $ 29 $ — $ 563 Alt-A, option ARM 991 (33 ) 83 (2 ) 1,039 Alt-A, other 4,329 (138 ) 160 (3 ) 4,348 Total $ 5,855 $ (172 ) $ 272 $ (5 ) $ 5,950 December 31, 2014 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 565 $ (4 ) $ 31 $ — $ 592 Alt-A, option ARM 1,031 (43 ) 77 — 1,065 Alt-A, other 4,687 (145 ) 174 (2 ) 4,714 Total $ 6,283 $ (192 ) $ 282 $ (2 ) $ 6,371 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts , and previous OTTI recognized in earnings. |
Available-for-sale Securities [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes the AFS securities with unrealized losses as of June 30, 2015 , and December 31, 2014 . The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2015 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses PLRMBS: Prime $ — $ — $ 28 $ 1 $ 28 $ 1 Alt-A, option ARM 35 2 415 33 450 35 Alt-A, other 180 3 1,692 138 1,872 141 Total $ 215 $ 5 $ 2,135 $ 172 $ 2,350 $ 177 December 31, 2014 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses PLRMBS: Prime $ 71 $ 3 $ 36 $ 1 $ 107 $ 4 Alt-A, option ARM — — 580 43 580 43 Alt-A, other 403 12 1,682 135 2,085 147 Total $ 474 $ 15 $ 2,298 $ 179 $ 2,772 $ 194 |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest rate payment terms for AFS securities at June 30, 2015 , and December 31, 2014 , are shown in the following table: June 30, 2015 December 31, 2014 Amortized cost of AFS PLRMBS: Collateralized mortgage obligations: Fixed rate $ 1,761 $ 1,917 Adjustable rate 4,094 4,366 Total $ 5,855 $ 6,283 |
Schedule of Investments With Converted Interest Rate [Table Text Block] | Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows: June 30, 2015 December 31, 2014 Collateralized mortgage obligations: Converts in 1 year or less $ 56 $ 71 Converts after 1 year through 5 years 215 226 Total $ 271 $ 297 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Held-to-maturity Securities [Table Text Block] | The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity: June 30, 2015 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 297 $ — $ 297 $ — $ (40 ) $ 257 MBS: Other U.S. obligations – Ginnie Mae 1,369 — 1,369 7 (2 ) 1,374 GSEs: Freddie Mac 4,099 — 4,099 58 (15 ) 4,142 Fannie Mae 4,708 — 4,708 106 (8 ) 4,806 Subtotal GSEs 8,807 — 8,807 164 (23 ) 8,948 PLRMBS: Prime 1,020 — 1,020 1 (25 ) 996 Alt-A, option ARM 13 — 13 — (1 ) 12 Alt-A, other 679 (16 ) 663 16 (16 ) 663 Subtotal PLRMBS 1,712 (16 ) 1,696 17 (42 ) 1,671 Total MBS 11,888 (16 ) 11,872 188 (67 ) 11,993 Total $ 12,185 $ (16 ) $ 12,169 $ 188 $ (107 ) $ 12,250 December 31, 2014 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 328 $ — $ 328 $ — $ (45 ) $ 283 MBS: Other U.S. obligations – Ginnie Mae 1,513 — 1,513 15 (2 ) 1,526 GSEs: Freddie Mac 4,517 — 4,517 61 (12 ) 4,566 Fannie Mae 5,313 — 5,313 121 (6 ) 5,428 Subtotal GSEs 9,830 — 9,830 182 (18 ) 9,994 PLRMBS: Prime 1,133 — 1,133 1 (27 ) 1,107 Alt-A, option ARM 14 — 14 — (1 ) 13 Alt-A, other 753 (20 ) 733 19 (18 ) 734 Subtotal PLRMBS 1,900 (20 ) 1,880 20 (46 ) 1,854 Total MBS 13,243 (20 ) 13,223 217 (66 ) 13,374 Total $ 13,571 $ (20 ) $ 13,551 $ 217 $ (111 ) $ 13,657 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. |
Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following tables summarize the HTM securities with unrealized losses as of June 30, 2015 , and December 31, 2014 . The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2015 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Housing finance agency bonds: CalHFA bonds $ — $ — $ 257 $ 40 $ 257 $ 40 MBS: Other U.S. obligations – Ginnie Mae 589 2 2 — 591 2 GSEs: Freddie Mac 1,652 15 22 — 1,674 15 Fannie Mae 645 6 130 2 775 8 Subtotal GSEs 2,297 21 152 2 2,449 23 PLRMBS: Prime 207 2 592 23 799 25 Alt-A, option ARM — — 12 1 12 1 Alt-A, other 25 — 623 32 648 32 Subtotal PLRMBS 232 2 1,227 56 1,459 58 Total MBS 3,118 25 1,381 58 4,499 83 Total $ 3,118 $ 25 $ 1,638 $ 98 $ 4,756 $ 123 December 31, 2014 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Housing finance agency bonds: CalHFA bonds $ — $ — $ 283 $ 45 $ 283 $ 45 MBS: Other U.S. obligations – Ginnie Mae 131 — 94 2 225 2 GSEs: Freddie Mac 622 1 1,044 11 1,666 12 Fannie Mae 286 1 562 5 848 6 Subtotal GSEs 908 2 1,606 16 2,514 18 PLRMBS: Prime 264 2 682 25 946 27 Alt-A, option ARM — — 13 1 13 1 Alt-A, other 30 — 685 38 715 38 Subtotal PLRMBS 294 2 1,380 64 1,674 66 Total MBS 1,333 4 3,080 82 4,413 86 Total $ 1,333 $ 4 $ 3,363 $ 127 $ 4,696 $ 131 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of June 30, 2015 , and December 31, 2014 , are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees. June 30, 2015 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 5 years through 10 years $ 61 $ 61 $ 55 Due after 10 years 236 236 202 Subtotal 297 297 257 MBS: Other U.S. obligations – Ginnie Mae 1,369 1,369 1,374 GSEs: Freddie Mac 4,099 4,099 4,142 Fannie Mae 4,708 4,708 4,806 Subtotal GSEs 8,807 8,807 8,948 PLRMBS: Prime 1,020 1,020 996 Alt-A, option ARM 13 13 12 Alt-A, other 679 663 663 Subtotal PLRMBS 1,712 1,696 1,671 Total MBS 11,888 11,872 11,993 Total $ 12,185 $ 12,169 $ 12,250 December 31, 2014 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 5 years through 10 years $ 78 $ 78 $ 70 Due after 10 years 250 250 213 Subtotal 328 328 283 MBS: Other U.S. obligations – Ginnie Mae 1,513 1,513 1,526 GSEs: Freddie Mac 4,517 4,517 4,566 Fannie Mae 5,313 5,313 5,428 Subtotal GSEs 9,830 9,830 9,994 PLRMBS: Prime 1,133 1,133 1,107 Alt-A, option ARM 14 14 13 Alt-A, other 753 733 734 Subtotal PLRMBS 1,900 1,880 1,854 Total MBS 13,243 13,223 13,374 Total $ 13,571 $ 13,551 $ 13,657 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest rate payment terms for HTM securities at June 30, 2015 , and December 31, 2014 , are detailed in the following table: June 30, 2015 December 31, 2014 Amortized cost of HTM securities other than MBS: Adjustable rate $ 297 $ 328 Subtotal 297 328 Amortized cost of HTM MBS: Passthrough securities: Fixed rate 237 285 Adjustable rate 393 415 Collateralized mortgage obligations: Fixed rate 8,225 9,249 Adjustable rate 3,033 3,294 Subtotal 11,888 13,243 Total $ 12,185 $ 13,571 |
Schedule of Investments With Converted Interest Rate [Table Text Block] | Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows: June 30, 2015 December 31, 2014 Passthrough securities: Converts in 1 year or less $ 61 $ 79 Converts after 1 year through 5 years 119 140 Converts after 5 years through 10 years 51 59 Total $ 231 $ 278 Collateralized mortgage obligations: Converts in 1 year or less $ 42 $ 73 Converts after 1 year through 5 years 23 26 Total $ 65 $ 99 |
Other-Than-Temporary Impairme32
Other-Than-Temporary Impairment Analysis (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings [Table Text Block] | For securities determined to be other-than-temporarily impaired as of June 30, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings in the second quarter of 2015 , and the related current credit enhancement for the Bank. June 30, 2015 Significant Inputs for Other-Than-Temporarily Impaired PLRMBS Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Year of Securitization Weighted Average % Weighted Average % Weighted Average % Weighted Average % Prime 2006 13.8 19.4 34.1 — Total Prime 13.8 19.4 34.1 — Alt-A, other 2007 11.3 26.9 35.7 11.3 2006 10.4 26.4 38.5 23.5 2005 12.9 16.3 37.2 5.2 Total Alt-A, other 11.5 23.9 36.9 13.4 Total 11.5 23.9 36.9 13.4 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the credit-related OTTI, which is recognized in earnings, for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Balance, beginning of the period $ 1,297 $ 1,362 $ 1,314 $ 1,378 Additional charges on securities for which OTTI was previously recognized (1) 6 2 8 2 Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities (19 ) (17 ) (38 ) (33 ) Balance, end of the period $ 1,284 $ 1,347 $ 1,284 $ 1,347 (1) For the three months ended June 30, 2015 and 2014 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2015 and 2014 , respectively. For the six months ended June 30, 2015 and 2014 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015 and 2014 , respectively |
Schedule of Transfers From Held to Maturity to Available for Sale [Table Text Block] | The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2015 . The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2014. Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Amortized Cost OTTI Recognized in AOCI Gross Unrecognized Holding Gains (Losses) Estimated Fair Value Amortized Cost OTTI Recognized in AOCI Gross Unrecognized Holding Gains (Losses) Estimated Fair Value Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: Prime $ — $ — $ — $ — $ 4 $ — $ — $ 4 Total $ — $ — $ — $ — $ 4 $ — $ — $ 4 |
Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities [Table Text Block] | The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at June 30, 2015 , and December 31, 2014 , by loan collateral type: June 30, 2015 Available-for-Sale Securities Held-to-Maturity Securities Unpaid Principal Balance Amortized Cost Estimated Fair Value Unpaid Principal Balance Amortized Cost Carrying Value Estimated Fair Value Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: Prime $ 645 $ 535 $ 563 $ — $ — $ — $ — Alt-A, option ARM 1,330 991 1,039 — — — — Alt-A, other 4,975 4,329 4,348 123 118 102 118 Total $ 6,950 $ 5,855 $ 5,950 $ 123 $ 118 $ 102 $ 118 December 31, 2014 Available-for-Sale Securities Held-to-Maturity Securities Unpaid Principal Balance Amortized Cost Estimated Fair Value Unpaid Principal Balance Amortized Cost Carrying Value Estimated Fair Value Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: Prime $ 682 $ 565 $ 592 $ — $ — $ — $ — Alt-A, option ARM 1,391 1,031 1,065 — — — — Alt-A, other 5,374 4,687 4,714 132 128 108 127 Total $ 7,447 $ 6,283 $ 6,371 $ 132 $ 128 $ 108 $ 127 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.16% to 8.57% at June 30, 2015 , and 0.14% to 8.57% at December 31, 2014 , as summarized below. June 30, 2015 December 31, 2014 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Overdrawn demand and overnight deposit accounts $ 10 0.01 % $ — — % Within 1 year 25,050 0.57 $ 21,328 0.63 After 1 year through 2 years 7,239 0.89 7,597 1.07 After 2 years through 3 years 4,546 1.04 3,235 1.39 After 3 years through 4 years 7,203 0.89 3,216 1.65 After 4 years through 5 years 2,260 1.05 1,655 1.82 After 5 years 3,753 1.49 1,799 2.81 Total par value 50,061 0.80 % 38,830 1.02 % Valuation adjustments for hedging activities 69 67 Valuation adjustments under fair value option 58 89 Total $ 50,188 $ 38,986 The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 2015 and 2014 . The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and six months ended June 30, 2015 and 2014 . June 30, 2015 Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest Income from Advances (1) Percentage of Interest (1) Percentage of JPMorgan Chase & Co.: JPMorgan Bank & Trust Company, National Association $ 13,000 26 % $ 16 16 % $ 27 14 % JPMorgan Chase Bank, National Association (2) 817 2 1 1 3 1 Subtotal JPMorgan Chase & Co. 13,817 28 17 17 30 15 Bank of the West 6,602 13 6 6 12 6 First Republic Bank 4,725 9 20 20 40 20 Bank of America California, N.A. 4,000 8 3 3 5 3 Citigroup Inc Citibank, N.A. (2) 3,000 6 1 1 2 1 Banamex USA — — — — — — Subtotal Citigroup Inc 3,000 6 1 1 2 1 Subtotal 32,144 64 47 47 89 45 Others 17,917 36 53 53 107 55 Total par value $ 50,061 100 % $ 100 100 % $ 196 100 % June 30, 2014 Three Months Ended June 30, 2014 Six Months Ended June 30, 2014 Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest Percentage of Interest Income from Advances (1) Percentage of Total Interest Income from Advances Bank of America California, N.A. $ 8,000 17 % $ 6 5 % $ 11 5 % Bank of the West 6,316 14 7 6 16 7 JPMorgan Chase & Co.: JPMorgan Bank & Trust Company, National Association 5,125 11 15 13 31 14 JPMorgan Chase Bank, National Association (2) 831 2 2 2 4 2 Subtotal JPMorgan Chase & Co. 5,956 13 17 15 35 16 First Republic Bank 5,550 12 22 20 43 19 OneWest Bank, N.A. 3,730 8 8 7 11 5 Subtotal 29,552 64 60 53 116 52 Others 16,824 36 52 47 109 48 Total par value $ 46,376 100 % $ 112 100 % $ 225 100 % (1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. (2) Nonmember institution. The following table summarizes advances at June 30, 2015 , and December 31, 2014 , by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances. Earlier of Contractual Maturity or Next Call Date Earlier of Contractual Maturity or Next Put Date June 30, 2015 December 31, 2014 June 30, 2015 December 31, 2014 Overdrawn demand and overnight deposit accounts $ 10 $ — $ 10 $ — Within 1 year 26,218 21,460 25,190 21,468 After 1 year through 2 years 7,316 7,693 7,164 7,597 After 2 years through 3 years 8,283 3,258 4,481 3,135 After 3 years through 4 years 3,844 3,291 7,203 3,176 After 4 years through 5 years 2,913 1,646 2,260 1,655 After 5 years 1,477 1,482 3,753 1,799 Total par value $ 50,061 $ 38,830 $ 50,061 $ 38,830 Interest rate payment terms for advances at June 30, 2015 , and December 31, 2014 , are detailed below: June 30, 2015 December 31, 2014 Par value of advances: Fixed rate: Due within 1 year $ 19,081 $ 15,422 Due after 1 year 10,547 12,330 Total fixed rate 29,628 27,752 Adjustable rate: Due within 1 year 5,979 5,906 Due after 1 year 14,454 5,172 Total adjustable rate 20,433 11,078 Total par value $ 50,061 $ 38,830 The net amount of prepayment fees is reflected as interest income in the Statements of Income, as follows: Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Prepayment fees received $ 12 $ 13 $ 26 $ 14 Fair value adjustments (4 ) (9 ) (18 ) (10 ) Net 8 $ 4 $ 8 $ 4 Advance principal prepaid $ 638 $ 555 $ 1,245 $ 705 |
Mortgage Loans Held for Portf34
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule of Participating Mortgage Loans [Table Text Block] | The following table presents information as of June 30, 2015 , and December 31, 2014 , on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. June 30, 2015 December 31, 2014 Fixed rate medium-term mortgage loans $ 131 $ 160 Fixed rate long-term mortgage loans 542 553 Subtotal 673 713 Unamortized premiums 7 6 Unamortized discounts (9 ) (10 ) Mortgage loans held for portfolio 671 709 Less: Allowance for credit losses — (1 ) Total mortgage loans held for portfolio, net $ 671 $ 708 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Loans and Leases Receivable, Allowance [Abstract] | |
Past Due Financing Receivables [Table Text Block] | The following table presents information on delinquent mortgage loans as of June 30, 2015 , and December 31, 2014 . June 30, 2015 December 31, 2014 Recorded Investment (1) Recorded Investment (1) 30 – 59 days delinquent $ 11 $ 12 60 – 89 days delinquent 4 5 90 days or more delinquent 20 22 Total past due 35 39 Total current loans 640 673 Total mortgage loans $ 675 $ 712 In process of foreclosure, included above (2) $ 10 $ 11 Nonaccrual loans $ 20 $ 22 Loans past due 90 days or more and still accruing interest $ — $ — Serious delinquencies as a percentage of total mortgage loans outstanding (3) 2.89 % 3.12 % (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance. (2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. (3) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | The allowance for credit losses on the mortgage loan portfolio was as follows: Three Months Ended Six Months Ended June 30, June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Balance, beginning of the period $ — $ 2 $ 1 $ 2 (Charge-offs) /recoveries — — (1 ) (1 ) Provision for/(reversal of) credit losses — — — 1 Balance, end of the period $ — $ 2 $ — $ 2 Ratio of net charge-offs during the period to average loans outstanding during the period (0.01 )% (0.01 )% (0.19 )% (0.03 )% |
Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows: June 30, 2015 December 31, 2014 Allowance for credit losses, end of period: Individually evaluated for impairment $ — $ 1 Collectively evaluated for impairment — — Total allowance for credit losses $ — $ 1 Recorded investment, end of period: Individually evaluated for impairment $ 17 $ 20 Collectively evaluated for impairment 658 692 Total recorded investment $ 675 $ 712 |
Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans [Table Text Block] | The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows: June 30, 2015 December 31, 2014 Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 17 $ 17 $ — $ 14 $ 14 $ — With an allowance — — — 6 6 1 Total $ 17 $ 17 $ — $ 20 $ 20 $ 1 |
Schedule of Average Recorded Investment on Impaired Loans [Table Text Block] | The average recorded investment on impaired loans individually evaluated for impairment is as follows: Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 With no related allowance $ 15 $ 18 $ 14 $ 18 With an allowance — 7 2 7 Total $ 15 $ 25 $ 16 $ 25 |
Deposits (Tables)
Deposits (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component [Table Text Block] | Deposits as of June 30, 2015 , and December 31, 2014 , were as follows: June 30, 2015 December 31, 2014 Interest-bearing deposits: Demand and overnight $ 486 $ 159 Total interest-bearing deposits 486 159 Non-interest-bearing deposits 2 1 Total $ 488 $ 160 |
Schedule of Interest Rate Payment Terms On Deposit Liabilities [Table Text Block] | Interest rate payment terms for deposits at June 30, 2015 , and December 31, 2014 , are detailed in the following table: June 30, 2015 December 31, 2014 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Interest-bearing deposits – Adjustable rate $ 486 0.01 % $ 159 0.01 % Non-interest-bearing deposits 2 1 Total $ 488 $ 160 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s participation in consolidated obligation bonds at June 30, 2015 , and December 31, 2014 . June 30, 2015 December 31, 2014 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 16,580 0.60 % $ 21,044 0.36 % After 1 year through 2 years 12,502 2.01 9,871 2.43 After 2 years through 3 years 6,855 1.30 4,518 1.70 After 3 years through 4 years 2,180 1.38 2,336 1.49 After 4 years through 5 years 2,890 1.67 3,103 1.71 After 5 years 4,326 2.33 5,851 2.13 Total par value 45,333 1.36 % 46,723 1.29 % Unamortized premiums 39 58 Unamortized discounts (10 ) (13 ) Valuation adjustments for hedging activities 252 308 Fair value option valuation adjustments (17 ) (31 ) Total $ 45,597 $ 47,045 |
Schedule of Long-term Debt by Call Feature [Table Text Block] | The Bank’s participation in consolidated obligation bonds at June 30, 2015 , and December 31, 2014 , was as follows: June 30, 2015 December 31, 2014 Par value of consolidated obligation bonds: Non-callable $ 33,693 $ 32,565 Callable 11,640 14,158 Total par value $ 45,333 $ 46,723 |
Schedule of Maturities of Long-term Debt by Contractual or Next Call Date [Table Text Block] | The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 2015 , and December 31, 2014 , by the earlier of the year of contractual maturity or next call date. Earlier of Contractual Maturity or Next Call Date June 30, 2015 December 31, 2014 Within 1 year $ 27,660 $ 33,558 After 1 year through 2 years 11,432 9,156 After 2 years through 3 years 4,530 2,043 After 3 years through 4 years 1,125 1,010 After 4 years through 5 years 360 385 After 5 years 226 571 Total par value $ 45,333 $ 46,723 |
Schedule of Short-term Debt [Table Text Block] | The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows: June 30, 2015 December 31, 2014 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Par value $ 33,877 0.14 % $ 21,815 0.09 % Unamortized discounts (18 ) (4 ) Total $ 33,859 $ 21,811 |
Schedule of Interest Rate Payment Terms for Debt [Table Text Block] | Interest rate payment terms for consolidated obligations at June 30, 2015 , and December 31, 2014 , are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank’s 2014 Form 10-K. June 30, 2015 December 31, 2014 Par value of consolidated obligations: Bonds: Fixed rate $ 36,963 $ 39,324 Adjustable rate 5,425 3,678 Step-up 1,910 2,654 Step-down 550 500 Fixed rate that converts to adjustable rate 385 467 Range bonds 100 100 Total bonds, par value 45,333 46,723 Discount notes, par value 33,877 21,815 Total consolidated obligations, par value $ 79,210 $ 68,538 |
Accumulated Other Comprehensi38
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table summarizes the changes in AOCI for the three months ended June 30, 2015 and 2014 : Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total AOCI Balance, March 31, 2014 $ (31 ) $ (26 ) $ (7 ) $ (64 ) Other comprehensive income/(loss) before reclassifications: Net change in fair value 79 79 Accretion of non-credit-related OTTI loss 2 2 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI (1 ) — (1 ) Net current period other comprehensive income/(loss) 78 2 — 80 Balance, June 30, 2014 $ 47 $ (24 ) $ (7 ) $ 16 Balance, March 31, 2015 $ 106 $ (18 ) $ (12 ) $ 76 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 1 1 Non-credit-related OTTI loss (10 ) — (10 ) Net change in fair value (2 ) (2 ) Accretion of non-credit-related OTTI loss 2 2 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI 1 — 1 Net current period other comprehensive income/(loss) (11 ) 2 1 (8 ) Balance, June 30, 2015 $ 95 $ (16 ) $ (11 ) $ 68 The following table summarizes the changes in AOCI for the six months ended June 30, 2015 and 2014 : Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total AOCI Balance, December 31, 2013 $ (111 ) $ (27 ) $ (7 ) $ (145 ) Other comprehensive income/(loss) before reclassifications: Net change in fair value 160 160 Accretion of non-credit-related OTTI loss 3 3 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI (2 ) — (2 ) Net current period other comprehensive income/(loss) 158 3 — 161 Balance, June 30, 2014 $ 47 $ (24 ) $ (7 ) $ 16 Balance, December 31, 2014 $ 88 $ (20 ) $ (12 ) $ 56 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 1 1 Non-credit-related OTTI loss (13 ) — (13 ) Net change in fair value 18 18 Accretion of non-credit-related OTTI loss 4 4 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI 2 — 2 Net current period other comprehensive income/(loss) 7 4 1 12 Balance, June 30, 2015 $ 95 $ (16 ) $ (11 ) $ 68 |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | As of June 30, 2015 , and December 31, 2014 , the Bank was in compliance with these capital rules and requirements as shown in the following table. June 30, 2015 December 31, 2014 Required Actual Required Actual Risk-based capital $ 2,923 $ 5,546 $ 3,231 $ 6,356 Total regulatory capital $ 3,438 $ 5,546 $ 3,032 $ 6,356 Total regulatory capital ratio 4.00 % 6.45 % 4.00 % 8.38 % Leverage capital $ 4,298 $ 8,318 $ 3,790 $ 9,534 Leverage ratio 5.00 % 9.68 % 5.00 % 12.58 % |
Schedule of Mandatorily Redeemable Capital Stock [Table Text Block] | The Bank had mandatorily redeemable capital stock totaling $142 outstanding to 10 institutions at June 30, 2015 , and $719 outstanding to 32 institutions at December 31, 2014 . The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2015 and 2014 , was as follows: Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Balance at the beginning of the period $ 383 $ 1,644 $ 719 $ 2,071 Reclassified from/(to) capital during the period 4 1 12 2 Redemption of mandatorily redeemable capital stock (28 ) (6 ) (34 ) (15 ) Repurchase of excess mandatorily redeemable capital stock (217 ) (463 ) (555 ) (882 ) Balance at the end of the period $ 142 $ 1,176 $ 142 $ 1,176 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block] | The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at June 30, 2015 , and December 31, 2014 . Contractual Redemption Period June 30, 2015 December 31, 2014 Within 1 year $ 92 $ 51 After 1 year through 2 years — 582 After 2 years through 3 years 1 9 After 3 years through 4 years — 1 After 4 years through 5 years 6 2 Past contractual redemption date because of remaining activity (1) 43 74 Total $ 142 $ 719 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. |
Schedule of Restricted Retained Earnings [Table Text Block] | The following table summarizes the activity related to restricted retained earnings for the three and six months ended June 30, 2015 and 2014 : Three Months Ended June 30, 2015 June 30, 2014 Restricted Retained Earnings Related to: Restricted Retained Earnings Related to: Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Balance at the beginning of the period $ 25 $ 1,800 $ 325 $ 2,150 $ 71 $ 1,800 $ 198 $ 2,069 Transfers to/(from) restricted retained earnings 8 — 12 20 (22 ) — 8 (14 ) Balance at the end of the period $ 33 $ 1,800 $ 337 $ 2,170 $ 49 $ 1,800 $ 206 $ 2,055 Six Months Ended June 30, 2015 June 30, 2014 Restricted Retained Earnings Related to: Restricted Retained Earnings Related to: Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Valuation Adjustments Targeted Buildup Joint Capital Enhancement Agreement Total Balance at the beginning of the period $ 35 $ 1,800 $ 230 $ 2,065 $ 88 $ 1,800 $ 189 $ 2,077 Transfers to/(from) restricted retained earnings (2 ) — 107 105 (39 ) — 17 (22 ) Balance at the end of the period $ 33 $ 1,800 $ 337 $ 2,170 $ 49 $ 1,800 $ 206 $ 2,055 |
Schedule of Concentration in Capital Stock Held [Table Text Block] | The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of June 30, 2015 , or December 31, 2014 . June 30, 2015 December 31, 2014 Name of Institution Capital Stock Outstanding Percentage of Total Capital Stock Outstanding Capital Stock Outstanding Percentage of Total Capital Stock Outstanding JPMorgan Chase & Co.: JPMorgan Bank & Trust Company, National Association $ 390 14 % $ 268 7 % JPMorgan Chase Bank, National Association (1) 40 1 68 2 Subtotal JPMorgan Chase & Co. 430 15 336 9 Citigroup Inc.: Citibank, N.A. (1) 90 3 577 14 Banamex USA 4 — 2 — Subtotal Citigroup Inc. 94 3 579 14 Subtotal 524 18 915 23 Others 2,369 82 3,082 77 Total $ 2,893 100 % $ 3,997 100 % (1) The capital stock held by these nonmember institutions is classified as mandatorily redeemable capital stock. |
Segment Information (Tables)
Segment Information (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Segment Reporting [Abstract] | |
Reconciliation of Operating Profit (Loss) from Segments to Consolidated [Table Text Block] | The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three and six months ended June 30, 2015 and 2014 . Advances- Related Business Mortgage- Related Business (1) Adjusted Net Interest Income Amortization of Basis Adjustments (2) Income/(Expense) on Economic Hedges (3) Interest Expense on Mandatorily Redeemable Capital Stock (4) Net Interest Income After Mortgage Loan Loss Provision Other Income/ (Loss) Other Expense Income Before AHP Assessment Three months ended: June 30, 2015 $ 47 $ 90 $ 137 $ (5 ) $ (4 ) $ 38 $ 108 $ (2 ) $ 34 $ 72 June 30, 2014 44 105 149 (4 ) (19 ) 34 138 (54 ) 37 47 Six month ended: June 30, 2015 82 183 265 (13 ) (13 ) 53 238 430 68 600 June 30, 2014 83 215 298 (6 ) (41 ) 73 272 (102 ) 69 101 (1) Does not include credit-related OTTI losses of $6 and $2 for the three months ended June 30, 2015 and 2014 , respectively. Does not include credit-related OTTI losses of $8 and $2 for the six months ended June 30, 2015 and 2014 , respectively. (2) Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework . (3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “ Net gain/(loss) on derivatives and hedging activities.” (4) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments. |
Schedule of Segment Assets by Segment [Table Text Block] | The following table presents total assets by operating segment at June 30, 2015 , and December 31, 2014 . Advances- Related Business Mortgage- Related Business Total Assets June 30, 2015 $ 67,398 $ 18,564 $ 85,962 December 31, 2014 55,424 20,383 75,807 |
Derivatives and Hedging Activ41
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 fair value of derivative instruments including the effect of netting adjustments and cash collateral as of June 30, 2015 , and December 31, 2014 . For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2015 December 31, 2014 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 34,522 $ 296 $ 93 $ 28,018 $ 374 $ 103 Total 34,522 296 93 28,018 374 103 Derivatives not designated as hedging instruments: Interest rate swaps 34,718 74 85 31,973 72 129 Interest rate caps and floors 2,230 6 1 2,306 9 1 Mortgage delivery commitments 7 — — — — — Total 36,955 80 86 34,279 81 130 Total derivatives before netting and collateral adjustments $ 71,477 376 179 $ 62,297 455 233 Netting adjustments and cash collateral (1) (301 ) (170 ) (396 ) (213 ) Total derivative assets and total derivative liabilities $ 75 $ 9 $ 59 $ 20 (1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted was $86 and $65 at June 30, 2015 , and December 31, 2014 , respectively. Cash collateral received was $218 and $248 at June 30, 2015 , and December 31, 2014 , respectively. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the three and six months ended June 30, 2015 and 2014 . Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives and hedged items in fair value hedging relationships – hedge ineffectiveness by derivative type: Interest rate swaps $ (3 ) $ (3 ) $ (10 ) $ (5 ) Total net gain/(loss) related to fair value hedge ineffectiveness (3 ) (3 ) (10 ) (5 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 33 5 30 20 Interest rate caps and floors — (7 ) (2 ) (8 ) Net settlements (4 ) (19 ) (13 ) (41 ) Mortgage delivery commitments 1 — 1 — Total net gain/(loss) related to derivatives not designated as hedging instruments 30 (21 ) 16 (29 ) Net gain/(loss) on derivatives and hedging activities $ 27 $ (24 ) $ 6 $ (34 ) |
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, 2015 June 30, 2014 Hedged Item Type Gain/(Loss) on Derivatives Gain /(Loss) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ 32 $ (32 ) $ — $ (27 ) $ (23 ) $ 23 $ — $ (34 ) Consolidated obligation bonds (49 ) 46 (3 ) 67 (25 ) 22 (3 ) 67 Total $ (17 ) $ 14 $ (3 ) $ 40 $ (48 ) $ 45 $ (3 ) $ 33 Six Months Ended June 30, 2015 June 30, 2014 Hedged Item Type Gain/(Loss) on Derivatives Gain /(Loss) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ (6 ) $ 6 $ — $ (55 ) $ (13 ) $ 13 $ — $ (66 ) Consolidated obligation bonds (64 ) 54 (10 ) 129 (76 ) 71 (5 ) 132 Total $ (70 ) $ 60 $ (10 ) $ 74 $ (89 ) $ 84 $ (5 ) $ 66 (1) The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item. |
Schedule of Derivative Instruments, Offsetting Derivative Assets and Liabilities [Table Text Block] | The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of June 30, 2015 , and December 31, 2014 . June 30, 2015 December 31, 2014 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements Gross recognized amount Uncleared derivatives $ 266 $ 136 $ 352 $ 199 Cleared derivatives 110 43 103 34 Total gross recognized amount 376 179 455 233 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (245 ) (127 ) (324 ) (179 ) Cleared derivatives (56 ) (43 ) (72 ) (34 ) Total gross amount of netting adjustments and cash collateral (301 ) (170 ) (396 ) (213 ) Total derivative assets and total derivative liabilities Uncleared derivatives 21 9 28 20 Cleared derivatives 54 — 31 — Total derivative assets and derivative liabilities presented in the Statements of Condition 75 9 59 20 Non-cash collateral received or pledged not offset Can be sold or repledged - Uncleared derivatives 20 — 25 — Net unsecured amount Uncleared derivatives 1 9 3 20 Cleared derivatives 54 — 31 — Total net unsecured amount $ 55 $ 9 $ 34 $ 20 |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at June 30, 2015 , and December 31, 2014 . June 30, 2015 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments (1) Assets Cash and due from banks $ 1,239 $ 1,239 $ 1,239 $ — $ — $ — Securities purchased under agreements to resell 7,250 7,250 — 7,250 — — Federal funds sold 5,188 5,188 — 5,188 — — Trading securities 2,923 2,923 — 2,923 — — AFS securities 5,950 5,950 — — 5,950 — HTM securities 12,169 12,250 — 10,322 1,928 — Advances 50,188 50,213 — 50,213 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 671 720 — 720 — — Loans to other FHLBanks 125 125 — 125 — — Accrued interest receivable 63 63 — 63 — — Derivative assets, net (1) 75 75 — 376 — (301 ) Other assets (2) 11 11 11 — — — Liabilities Deposits 488 488 — 488 — — Consolidated obligations: Bonds 45,597 45,572 — 45,572 — — Discount notes 33,859 33,861 — 33,861 — — Total consolidated obligations 79,456 79,433 — 79,433 — — Mandatorily redeemable capital stock 142 142 142 — — — Accrued interest payable 92 92 — 92 — — Derivative liabilities, net (1) 9 9 — 179 — (170 ) Other Standby letters of credit 16 16 — 16 — — Commitments to fund advances (3) — 3 — 3 — — Commitments to issue consolidated obligation bonds (3) — 1 — 1 — — December 31, 2014 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments (1) Assets Cash and due from banks $ 3,920 $ 3,920 $ 3,920 $ — $ — $ — Securities purchased under agreements to resell 1,000 1,000 — 1,000 — — Federal funds sold 7,503 7,503 — 7,503 — — Trading securities 3,524 3,524 — 3,524 — — AFS securities 6,371 6,371 — — 6,371 — HTM securities 13,551 13,657 — 11,521 2,136 — Advances 38,986 39,060 — 39,060 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 708 769 — 769 — — Accrued interest receivable 67 67 — 67 — — Derivative assets, net (1) 59 59 — 455 — (396 ) Other assets (2) 11 11 11 — — — Liabilities Deposits 160 160 — 160 — — Consolidated obligations: Bonds 47,045 47,021 — 47,021 — — Discount notes 21,811 21,811 — 21,811 — — Total consolidated obligations 68,856 68,832 — 68,832 — — Mandatorily redeemable capital stock 719 719 719 — — — Accrued interest payable 95 95 — 95 — — Derivative liabilities, net (1) 20 20 — 233 — (213 ) Other Standby letters of credit 12 12 — 12 — — Commitments to fund advances (3) — 2 — 2 — — (1) Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met . (2) Represents publicly traded mutual funds held in a grantor trust. (3) Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies . |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Table Text Block] | The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at June 30, 2015 , and December 31, 2014 , by level within the fair value hierarchy. June 30, 2015 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 2,913 $ — $ — $ 2,913 MBS: Other U.S. obligations – Ginnie Mae — 10 — — 10 Total trading securities — 2,923 — — 2,923 AFS securities: PLRMBS — — 5,950 — 5,950 Total AFS securities — — 5,950 — 5,950 Advances (2) — 4,978 — — 4,978 Derivative assets, net: interest rate-related — 376 — (301 ) 75 Other assets 11 — — — 11 Total recurring fair value measurements – Assets $ 11 $ 8,277 $ 5,950 $ (301 ) $ 13,937 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 6,203 $ — $ — $ 6,203 Derivative liabilities, net: interest rate-related — 179 — (170 ) 9 Total recurring fair value measurements – Liabilities $ — $ 6,382 $ — $ (170 ) $ 6,212 Nonrecurring fair value measurements – Assets: (4) REO $ — $ — $ 1 — $ 1 Impaired mortgage loans held for portfolio — — 4 — 4 Total nonrecurring fair value measurements – Assets $ — $ — $ 5 — $ 5 December 31, 2014 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 3,513 $ — $ — $ 3,513 MBS: Other U.S. obligations – Ginnie Mae — 11 — — 11 Total trading securities — 3,524 — — 3,524 AFS securities: PLRMBS — — 6,371 — 6,371 Total AFS securities — — 6,371 — 6,371 Advances (2) — 5,137 — — 5,137 Derivative assets, net: interest rate-related — 455 — (396 ) 59 Other assets 11 — — — 11 Total recurring fair value measurements – Assets $ 11 $ 9,116 $ 6,371 $ (396 ) $ 15,102 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 6,717 $ — $ — $ 6,717 Derivative liabilities, net: interest rate-related — 233 — (213 ) 20 Total recurring fair value measurements – Liabilities $ — $ 6,950 $ — $ (213 ) $ 6,737 Nonrecurring fair value measurements – Assets: REO $ — $ — $ 1 $ 1 (1) Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met. (2) Represents advances recorded under the fair value option at June 30, 2015 , and December 31, 2014 . (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2015 , and December 31, 2014 . (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2015. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2015 and 2014 . Three Months Ended June 30, 2015 June 30, 2014 Balance, beginning of the period $ 6,188 $ 6,916 Total gain/(loss) realized and unrealized included in: Interest income 22 15 Net OTTI loss, credit-related (6 ) (2 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI (2 ) 79 Net amount of OTTI loss reclassified to/(from) other income/(loss) (9 ) (1 ) Settlements (243 ) (231 ) Transfers of HTM securities to AFS securities — — Balance, end of the period $ 5,950 $ 6,776 Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period $ 16 $ 14 Six Months Ended June 30, 2015 June 30, 2014 Balance, beginning of the period $ 6,371 $ 7,047 Total gain/(loss) realized and unrealized included in: Interest income 41 30 Net OTTI loss, credit-related (8 ) (2 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 18 160 Net amount of OTTI loss reclassified to/(from) other income/(loss) (11 ) (2 ) Settlements (465 ) (457 ) Transfers of HTM securities to AFS securities 4 — Balance, end of the period $ 5,950 $ 6,776 Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period $ 33 $ 29 |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and six months ended June 30, 2015 and 2014 : Three Months Ended June 30, 2015 June 30, 2014 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 4,978 $ 6,375 $ 6,936 $ 7,298 New transactions elected for fair value option 200 1,150 210 1,478 Maturities and terminations (164 ) (1,308 ) (808 ) (1,730 ) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option (36 ) (10 ) 4 34 Change in accrued interest — (4 ) (1 ) — Balance, end of the period $ 4,978 $ 6,203 $ 6,341 $ 7,080 Six Months Ended June 30, 2015 June 30, 2014 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 5,137 $ 6,717 $ 7,069 $ 10,115 New transactions elected for fair value option 446 1,805 348 2,178 Maturities and terminations (588 ) (2,333 ) (1,087 ) (5,295 ) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option (16 ) 17 12 81 Change in accrued interest (1 ) (3 ) (1 ) 1 Balance, end of the period $ 4,978 $ 6,203 $ 6,341 $ 7,080 |
Fair Value Option, Quantitative Disclosure, Difference Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding [Table Text Block] | The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at June 30, 2015 , and December 31, 2014 : At June 30, 2015 At December 31, 2014 Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Advances (1) $ 4,920 $ 4,978 $ 58 $ 5,048 $ 5,137 $ 89 Consolidated obligation bonds 6,220 6,203 (17 ) 6,748 6,717 (31 ) (1) At June 30, 2015 , and December 31, 2014 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Off-balance sheet commitments as of June 30, 2015 , and December 31, 2014 , were as follows: June 30, 2015 December 31, 2014 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit outstanding $ 7,671 $ 3,213 $ 10,884 $ 2,699 $ 2,711 $ 5,410 Commitments to fund advances (1) 174 3 177 121 5 126 Commitments to issue consolidated obligation discount notes, par 800 — 800 3 — 3 Commitments to issue consolidated obligation bonds, par (2) 595 — 595 — — — Commitments to purchase mortgage loans 7 — 7 — — — (1) At June 30, 2015 , and December 31, 2014 , $100 of the commitments to fund additional advances were hedged with associated interest rate swaps. (2) At June 30, 2015 , all of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps. |
Transactions with Certain Mem44
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members and Nonmembers and Other FHLBanks, by Balance Sheet Grouping [Table Text Block] | The following tables set forth information at the dates and for the periods indicated with respect to transactions with: (i) members and nonmembers that held more than 10% of the outstanding shares of the Bank’s capital stock, including mandatorily redeemable capital stock, at any time during the periods indicated, (ii) members that had an officer or director serving on the Bank’s Board of Directors at any time during the periods indicated, and (iii) affiliates of the foregoing members and nonmembers. All transactions with members, the nonmembers described above, and their respective affiliates are entered into in the ordinary course of business. The tables include securities transactions where the foregoing members, nonmembers, and their affiliates (as described above) are the issuers or obligors of the securities, but do not include securities purchased, sold or issued through, or otherwise underwritten by, affiliates of the foregoing members and nonmembers. The tables also do not include any AHP or Community Investment Cash Advance (CICA) grants. Securities purchased, sold or issued through, or otherwise underwritten by, and AHP or CICA grants provided to, the affiliates of foregoing members and nonmembers are in the ordinary course of the Bank’s business. June 30, 2015 December 31, 2014 Assets: Investments (1) $ 348 $ 139 Advances 15,795 5,081 Mortgage loans held for portfolio 526 33 Accrued interest receivable 20 6 Other assets — 18 Derivative assets, net 1 — Total Assets $ 16,690 $ 5,277 Liabilities: Deposits $ 9 $ 3 Mandatorily redeemable capital stock 40 577 Derivative liabilities, net — 18 Total Liabilities $ 49 $ 598 Notional amount of derivatives $ 7,252 $ 2,858 Standby letters of credit 75 21 (1) Investments consist of securities purchased under agreements to resell, Federal funds sold, AFS securities, and HTM securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates. |
Transactions with Certain Members and Nonmembers and Other FHLBanks, Income Statement [Table Text Block] | Three Months Ended Six Months Ended June 30, 2015 June 30, 2014 June 30, 2015 June 30, 2014 Interest Income: Investments (1) $ 3 $ 13 $ 5 $ 18 Advances (2) 24 15 44 39 Mortgage loans held for portfolio 7 1 14 10 Total Interest Income $ 34 $ 29 $ 63 $ 67 Interest Expense: Mandatorily redeemable capital stock $ 4 $ 21 $ 5 $ 46 Consolidated obligations (2) (28 ) (2 ) (56 ) (38 ) Total Interest Expense $ (24 ) $ 19 $ (51 ) $ 8 Other Income/(Loss): Net gain/(loss) on derivatives and hedging activities $ (18 ) $ (261 ) $ (51 ) $ (305 ) Total Other Income/(Loss) $ (18 ) $ (261 ) $ (51 ) $ (305 ) (1) Investments consist of securities purchased under agreements to resell, Federal funds sold, AFS securities, and HTM securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates. (2) Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates. |
Recently Issued and Adopted A45
Recently Issued and Adopted Accounting Guidance Narrative (Details) $ in Millions | Jun. 30, 2015USD ($) |
Federal Home Loan Banks [Abstract] | |
Charge-off Provision, AB 2012-02 Effective Jan 1, 2015 | $ 1 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | [1] | $ 2,923 | $ 3,524 |
Non-MBS - GSE - FFCB bonds [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | 2,913 | 3,513 | |
MBS - Other US Obligations - Ginnie Mae [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading securities | $ 10 | $ 11 | |
[1] | At June 30, 2015, and December 31, 2014, none of these securities were pledged as collateral that may be repledged. |
Available-for-Sale Securities47
Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit-related OTTI | $ 1,284 | $ 1,297 | $ 1,314 | $ 1,347 | $ 1,362 | $ 1,378 |
Available-for-sale Securities [Member] | Collateralized Mortgage Backed Securities [Member] | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit-related OTTI | $ 1,104 | $ 1,173 |
Available-for-Sale Securities48
Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 5,855 | $ 6,283 |
OTTI Recognized in AOCI | (172) | (192) | |
Gross Unrealized Gains | 272 | 282 | |
Gross Unrealized Losses | (5) | (2) | |
Estimated Fair Value | [2] | 5,950 | 6,371 |
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Prime [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 535 | 565 |
OTTI Recognized in AOCI | (1) | (4) | |
Gross Unrealized Gains | 29 | 31 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 563 | 592 | |
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Alt-A, option ARM [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 991 | 1,031 |
OTTI Recognized in AOCI | (33) | (43) | |
Gross Unrealized Gains | 83 | 77 | |
Gross Unrealized Losses | (2) | 0 | |
Estimated Fair Value | 1,039 | 1,065 | |
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Alt-A, other [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 4,329 | 4,687 |
OTTI Recognized in AOCI | (138) | (145) | |
Gross Unrealized Gains | 160 | 174 | |
Gross Unrealized Losses | (3) | (2) | |
Estimated Fair Value | $ 4,348 | $ 4,714 | |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. | ||
[2] | At June 30, 2015, and December 31, 2014, none of these securities were pledged as collateral that may be repledged. |
Available-for-Sale Securities49
Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 215 | $ 474 |
Less Than 12 Months: Unrealized Losses | 5 | 15 |
12 Months or More: Estimated Fair Value | 2,135 | 2,298 |
12 Months or More: Unrealized Losses | 172 | 179 |
Estimated Fair Value | 2,350 | 2,772 |
Unrealized Losses | 177 | 194 |
Residential Mortgage Backed Securities [Member] | Prime [Member] | PLRMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 71 |
Less Than 12 Months: Unrealized Losses | 0 | 3 |
12 Months or More: Estimated Fair Value | 28 | 36 |
12 Months or More: Unrealized Losses | 1 | 1 |
Estimated Fair Value | 28 | 107 |
Unrealized Losses | 1 | 4 |
Residential Mortgage Backed Securities [Member] | Alt-A, option ARM [Member] | PLRMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 35 | 0 |
Less Than 12 Months: Unrealized Losses | 2 | 0 |
12 Months or More: Estimated Fair Value | 415 | 580 |
12 Months or More: Unrealized Losses | 33 | 43 |
Estimated Fair Value | 450 | 580 |
Unrealized Losses | 35 | 43 |
Residential Mortgage Backed Securities [Member] | Alt-A, other [Member] | PLRMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 180 | 403 |
Less Than 12 Months: Unrealized Losses | 3 | 12 |
12 Months or More: Estimated Fair Value | 1,692 | 1,682 |
12 Months or More: Unrealized Losses | 138 | 135 |
Estimated Fair Value | 1,872 | 2,085 |
Unrealized Losses | $ 141 | $ 147 |
Available-for-Sale Securities50
Available-for-Sale Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
AFS Securities, Amortized Cost | [1] | $ 5,855 | $ 6,283 |
Fixed Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
AFS Securities, Amortized Cost | 1,761 | 1,917 | |
Fixed Interest Rate [Member] | Collateralized mortgage obligations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
AFS Securities, Amortized Cost | 271 | 297 | |
Converts in 1 year or less | 56 | 71 | |
Converts after 1 year through 5 years | 215 | 226 | |
Variable Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
AFS Securities, Amortized Cost | $ 4,094 | $ 4,366 | |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. |
Held-to-Maturity Securities (Cl
Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [1],[2] | $ 12,185 | $ 13,571 | |||||
OTTI Recognized in AOCI | [2] | (16) | (20) | |||||
HTM securities, Carrying Value | [1],[2],[3] | 12,169 | 13,551 | |||||
Gross Unrecognized Holding Gain | 188 | 217 | ||||||
Gross Unrecognized Holding Loss | (107) | (111) | ||||||
HTM Securities, Fair Value | 12,250 | 13,657 | ||||||
Credit-related OTTI | 1,284 | $ 1,297 | 1,314 | $ 1,347 | $ 1,362 | $ 1,378 | ||
Housing finance agency bonds [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 297 | 328 | |||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [2] | 297 | 328 | |||||
Gross Unrecognized Holding Gain | 0 | 0 | ||||||
Gross Unrecognized Holding Loss | (40) | (45) | ||||||
HTM Securities, Fair Value | 257 | 283 | ||||||
MBS - Other US Obligations - Ginnie Mae [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 1,369 | 1,513 | [1] | ||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [1] | 1,369 | 1,513 | [2] | ||||
Gross Unrecognized Holding Gain | 7 | 15 | ||||||
Gross Unrecognized Holding Loss | (2) | (2) | ||||||
HTM Securities, Fair Value | 1,374 | 1,526 | ||||||
GSEs [Member] | Single Family Mortgage Backed Securities [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [1],[2] | 8,807 | 9,830 | |||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [1],[2] | 8,807 | 9,830 | |||||
Gross Unrecognized Holding Gain | 164 | 182 | ||||||
Gross Unrecognized Holding Loss | (23) | (18) | ||||||
HTM Securities, Fair Value | 8,948 | 9,994 | ||||||
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [1],[2] | 1,712 | 1,900 | |||||
OTTI Recognized in AOCI | [2] | (16) | (20) | |||||
HTM securities, Carrying Value | [1],[2] | 1,696 | 1,880 | |||||
Gross Unrecognized Holding Gain | 17 | 20 | ||||||
Gross Unrecognized Holding Loss | (42) | (46) | ||||||
HTM Securities, Fair Value | 1,671 | 1,854 | ||||||
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | Prime [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 1,020 | 1,133 | [1] | ||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [2] | 1,020 | 1,133 | [1] | ||||
Gross Unrecognized Holding Gain | 1 | 1 | ||||||
Gross Unrecognized Holding Loss | (25) | (27) | ||||||
HTM Securities, Fair Value | 996 | 1,107 | ||||||
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | Alt-A, option ARM [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 13 | 14 | [1] | ||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [2] | 13 | 14 | [1] | ||||
Gross Unrecognized Holding Gain | 0 | 0 | ||||||
Gross Unrecognized Holding Loss | (1) | (1) | ||||||
HTM Securities, Fair Value | 12 | 13 | ||||||
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | Alt-A, other [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 679 | 753 | [1] | ||||
OTTI Recognized in AOCI | [2] | (16) | (20) | |||||
HTM securities, Carrying Value | [2] | 663 | 733 | [1] | ||||
Gross Unrecognized Holding Gain | 16 | 19 | ||||||
Gross Unrecognized Holding Loss | (16) | (18) | ||||||
HTM Securities, Fair Value | 663 | 734 | ||||||
MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 11,888 | 13,243 | |||||
OTTI Recognized in AOCI | [2] | (16) | (20) | |||||
HTM securities, Carrying Value | [2] | 11,872 | 13,223 | |||||
Gross Unrecognized Holding Gain | 188 | 217 | ||||||
Gross Unrecognized Holding Loss | (67) | (66) | ||||||
HTM Securities, Fair Value | 11,993 | 13,374 | ||||||
Held-to-maturity Securities, Premiums | 46 | 51 | ||||||
Held-to-maturity Securities, Discounts | 50 | 55 | ||||||
MBS [Member] | Held-to-maturity Securities [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Credit-related OTTI | 7 | 7 | ||||||
Freddie Mac [Member] | GSEs [Member] | Single Family Mortgage Backed Securities [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 4,099 | 4,517 | [1] | ||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [2] | 4,099 | 4,517 | [1] | ||||
Gross Unrecognized Holding Gain | 58 | 61 | ||||||
Gross Unrecognized Holding Loss | (15) | (12) | ||||||
HTM Securities, Fair Value | 4,142 | 4,566 | ||||||
Fannie Mae [Member] | GSEs [Member] | Single Family Mortgage Backed Securities [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost | [2] | 4,708 | 5,313 | [1] | ||||
OTTI Recognized in AOCI | [2] | 0 | 0 | |||||
HTM securities, Carrying Value | [2] | 4,708 | 5,313 | [1] | ||||
Gross Unrecognized Holding Gain | 106 | 121 | ||||||
Gross Unrecognized Holding Loss | (8) | (6) | ||||||
HTM Securities, Fair Value | $ 4,806 | $ 5,428 | ||||||
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | |||||||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | |||||||
[3] | At June 30, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged. |
Held-to-Maturity Securities (Se
Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | $ 3,118 | $ 1,333 |
Less Than 12 Months, Unrealized losses | 25 | 4 |
12 Months or More, Estimated Fair Value | 1,638 | 3,363 |
12 Months Or More, Unrealized losses | 98 | 127 |
Total, Estimated Fair Value | 4,756 | 4,696 |
Total, Unrealized Losses | 123 | 131 |
CalHFA bonds [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 0 | 0 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 257 | 283 |
12 Months Or More, Unrealized losses | 40 | 45 |
Total, Estimated Fair Value | 257 | 283 |
Total, Unrealized Losses | 40 | 45 |
MBS - Other US Obligations - Ginnie Mae [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 589 | 131 |
Less Than 12 Months, Unrealized losses | 2 | 0 |
12 Months or More, Estimated Fair Value | 2 | 94 |
12 Months Or More, Unrealized losses | 0 | 2 |
Total, Estimated Fair Value | 591 | 225 |
Total, Unrealized Losses | 2 | 2 |
GSEs [Member] | Single Family Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 2,297 | 908 |
Less Than 12 Months, Unrealized losses | 21 | 2 |
12 Months or More, Estimated Fair Value | 152 | 1,606 |
12 Months Or More, Unrealized losses | 2 | 16 |
Total, Estimated Fair Value | 2,449 | 2,514 |
Total, Unrealized Losses | 23 | 18 |
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 232 | 294 |
Less Than 12 Months, Unrealized losses | 2 | 2 |
12 Months or More, Estimated Fair Value | 1,227 | 1,380 |
12 Months Or More, Unrealized losses | 56 | 64 |
Total, Estimated Fair Value | 1,459 | 1,674 |
Total, Unrealized Losses | 58 | 66 |
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | Prime [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 207 | 264 |
Less Than 12 Months, Unrealized losses | 2 | 2 |
12 Months or More, Estimated Fair Value | 592 | 682 |
12 Months Or More, Unrealized losses | 23 | 25 |
Total, Estimated Fair Value | 799 | 946 |
Total, Unrealized Losses | 25 | 27 |
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | Alt-A, option ARM [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 0 | 0 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 12 | 13 |
12 Months Or More, Unrealized losses | 1 | 1 |
Total, Estimated Fair Value | 12 | 13 |
Total, Unrealized Losses | 1 | 1 |
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | Alt-A, other [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 25 | 30 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 623 | 685 |
12 Months Or More, Unrealized losses | 32 | 38 |
Total, Estimated Fair Value | 648 | 715 |
Total, Unrealized Losses | 32 | 38 |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 3,118 | 1,333 |
Less Than 12 Months, Unrealized losses | 25 | 4 |
12 Months or More, Estimated Fair Value | 1,381 | 3,080 |
12 Months Or More, Unrealized losses | 58 | 82 |
Total, Estimated Fair Value | 4,499 | 4,413 |
Total, Unrealized Losses | 83 | 86 |
Freddie Mac [Member] | GSEs [Member] | Single Family Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 1,652 | 622 |
Less Than 12 Months, Unrealized losses | 15 | 1 |
12 Months or More, Estimated Fair Value | 22 | 1,044 |
12 Months Or More, Unrealized losses | 0 | 11 |
Total, Estimated Fair Value | 1,674 | 1,666 |
Total, Unrealized Losses | 15 | 12 |
Fannie Mae [Member] | GSEs [Member] | Single Family Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 645 | 286 |
Less Than 12 Months, Unrealized losses | 6 | 1 |
12 Months or More, Estimated Fair Value | 130 | 562 |
12 Months Or More, Unrealized losses | 2 | 5 |
Total, Estimated Fair Value | 775 | 848 |
Total, Unrealized Losses | $ 8 | $ 6 |
Held-to-Maturity Securities (Re
Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1],[2] | $ 12,185 | $ 13,571 | |
HTM securities, Carrying Value | [1],[2],[3] | 12,169 | 13,551 | |
HTM Securities, Fair Value | 12,250 | 13,657 | ||
Other Than Mortgage Backed Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Due after 5 years through 10 years, Amortized Cost | [1] | 61 | 78 | |
Due after 5 years through 10 years, Carrying Value | [1] | 61 | 78 | |
Due after 5 years through 10 years, Estimated Fair Value | 55 | 70 | ||
Due after 10 years, Amortized Cost | [1] | 236 | 250 | |
Due after 10 years, Carrying Value | [1] | 236 | 250 | |
Due after 10 years, Estimated Fair Value | 202 | 213 | ||
Amortized Cost | 297 | 328 | ||
HTM securities, Carrying Value | 297 | 328 | ||
HTM Securities, Fair Value | 257 | 283 | ||
MBS - Other US Obligations - Ginnie Mae [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 1,369 | 1,513 | [1] |
HTM securities, Carrying Value | [1] | 1,369 | 1,513 | [2] |
HTM Securities, Fair Value | 1,374 | 1,526 | ||
Collateralized Mortgage Backed Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 11,888 | 13,243 | |
HTM securities, Carrying Value | [2] | 11,872 | 13,223 | |
HTM Securities, Fair Value | 11,993 | 13,374 | ||
Single Family Mortgage Backed Securities [Member] | GSEs [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1],[2] | 8,807 | 9,830 | |
HTM securities, Carrying Value | [1],[2] | 8,807 | 9,830 | |
HTM Securities, Fair Value | 8,948 | 9,994 | ||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1],[2] | 1,712 | 1,900 | |
HTM securities, Carrying Value | [1],[2] | 1,696 | 1,880 | |
HTM Securities, Fair Value | 1,671 | 1,854 | ||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Prime [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 1,020 | 1,133 | [1] |
HTM securities, Carrying Value | [2] | 1,020 | 1,133 | [1] |
HTM Securities, Fair Value | 996 | 1,107 | ||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Alt-A, option ARM [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 13 | 14 | [1] |
HTM securities, Carrying Value | [2] | 13 | 14 | [1] |
HTM Securities, Fair Value | 12 | 13 | ||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Alt-A, other [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 679 | 753 | [1] |
HTM securities, Carrying Value | [2] | 663 | 733 | [1] |
HTM Securities, Fair Value | 663 | 734 | ||
Freddie Mac [Member] | Single Family Mortgage Backed Securities [Member] | GSEs [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 4,099 | 4,517 | [1] |
HTM securities, Carrying Value | [2] | 4,099 | 4,517 | [1] |
HTM Securities, Fair Value | 4,142 | 4,566 | ||
Fannie Mae [Member] | Single Family Mortgage Backed Securities [Member] | GSEs [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [2] | 4,708 | 5,313 | [1] |
HTM securities, Carrying Value | [2] | 4,708 | 5,313 | [1] |
HTM Securities, Fair Value | $ 4,806 | $ 5,428 | ||
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | |||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | |||
[3] | At June 30, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged. |
Held-to-Maturity Securities (In
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1],[2] | $ 12,185 | $ 13,571 |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 297 | 328 | |
Other Than Mortgage Backed Securities [Member] | Variable Interest Rate [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 297 | 328 | |
Mortgage Passthrough Securities [Member] | Fixed Interest Rate [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 237 | 285 | |
Converts in 1 year or less | 61 | 79 | |
Converts after 1 year through 5 years | 119 | 140 | |
Converts after 5 years through 10 years | 51 | 59 | |
Total | 231 | 278 | |
Mortgage Passthrough Securities [Member] | Variable Interest Rate [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 393 | 415 | |
Collateralized Mortgage Obligations [Member] | Fixed Interest Rate [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 8,225 | 9,249 | |
Converts in 1 year or less | 42 | 73 | |
Converts after 1 year through 5 years | 23 | 26 | |
Total | 65 | 99 | |
Collateralized Mortgage Obligations [Member] | Variable Interest Rate [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 3,033 | 3,294 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [2] | $ 11,888 | $ 13,243 |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | ||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. |
Other-Than-Temporary Impairme55
Other-Than-Temporary Impairment Analysis (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Period Assumed For Housing Markets That Have Reached Trough | 12 months | |||
PLRMBS [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | $ 0 | $ 0 | $ 4 | $ 0 |
Minimum [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Projected House Price Increase Rate | 2.00% | 2.00% | ||
Minimum [Member] | PLRMBS [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Assumed Current to Trough Home Price Decline Rate | 2.00% | 2.00% | ||
Maximum [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Projected House Price Increase Rate | 5.00% | 5.00% | ||
Maximum [Member] | PLRMBS [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Assumed Current to Trough Home Price Increase Rate | 8.00% | 8.00% |
Other-Than-Temporary Impairme56
Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Jun. 30, 2015 - PLRMBS [Member] | Total |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 11.50% |
Default Rates, Weighted Average | 23.90% |
Loss Severities, Weighted Average | 36.90% |
Current Credit Enhancement, Weighted Average | 13.40% |
Prime [Member] | |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 13.80% |
Default Rates, Weighted Average | 19.40% |
Loss Severities, Weighted Average | 34.10% |
Current Credit Enhancement, Weighted Average | 0.00% |
Alt-A, other [Member] | |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 11.50% |
Default Rates, Weighted Average | 23.90% |
Loss Severities, Weighted Average | 36.90% |
Current Credit Enhancement, Weighted Average | 13.40% |
Securitization in 2007 [Member] | Alt-A, other [Member] | |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 11.30% |
Default Rates, Weighted Average | 26.90% |
Loss Severities, Weighted Average | 35.70% |
Current Credit Enhancement, Weighted Average | 11.30% |
Securitization in 2006 [Member] | Prime [Member] | |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 13.80% |
Default Rates, Weighted Average | 19.40% |
Loss Severities, Weighted Average | 34.10% |
Current Credit Enhancement, Weighted Average | 0.00% |
Securitization in 2006 [Member] | Alt-A, other [Member] | |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 10.40% |
Default Rates, Weighted Average | 26.40% |
Loss Severities, Weighted Average | 38.50% |
Current Credit Enhancement, Weighted Average | 23.50% |
Securitization in 2005 [Member] | Alt-A, other [Member] | |
Other than Temporary Impairment, Disclosure [Line Items] | |
Prepayment Rates, Weighted Average | 12.90% |
Default Rates, Weighted Average | 16.30% |
Loss Severities, Weighted Average | 37.20% |
Current Credit Enhancement, Weighted Average | 5.20% |
Other-Than-Temporary Impairme57
Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance, beginning of the period | $ 1,297 | $ 1,362 | $ 1,314 | $ 1,378 | |
Additional charges on securities for which OTTI was previously recognized | [1] | 6 | 2 | 8 | 2 |
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | (19) | (17) | (38) | (33) | |
Balance, end of the period | $ 1,284 | $ 1,347 | $ 1,284 | $ 1,347 | |
[1] | For the three months ended June 30, 2015 and 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2015 and 2014, respectively. For the six months ended June 30, 2015 and 2014, “securities for which OTTIwas previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015 and 2014, respectively |
Other-Than-Temporary Impairme58
Other-Than-Temporary Impairment Analysis (Transfers) (Details) - PLRMBS [Member] - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Significant Inputs for Credit Loss Measurement [Line Items] | ||||
Amortized Cost | $ 0 | $ 4 | ||
OTTI Recognized in AOCI | 0 | 0 | ||
Gross Unrecognized Holding Gains (Losses) | 0 | 0 | ||
Estimated Fair Value | 0 | $ 0 | 4 | $ 0 |
Prime [Member] | ||||
Significant Inputs for Credit Loss Measurement [Line Items] | ||||
Amortized Cost | 0 | 4 | ||
OTTI Recognized in AOCI | 0 | 0 | ||
Gross Unrecognized Holding Gains (Losses) | 0 | 0 | ||
Estimated Fair Value | $ 0 | $ 4 |
Other-Than-Temporary Impairme59
Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - PLRMBS [Member] - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Available-for-sale Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | $ 6,950 | $ 7,447 |
Amortized Cost | 5,855 | 6,283 |
Estimated Fair Value | 5,950 | 6,371 |
Available-for-sale Securities [Member] | Prime [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 645 | 682 |
Amortized Cost | 535 | 565 |
Estimated Fair Value | 563 | 592 |
Available-for-sale Securities [Member] | Alt-A, option ARM [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 1,330 | 1,391 |
Amortized Cost | 991 | 1,031 |
Estimated Fair Value | 1,039 | 1,065 |
Available-for-sale Securities [Member] | Alt-A, other [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 4,975 | 5,374 |
Amortized Cost | 4,329 | 4,687 |
Estimated Fair Value | 4,348 | 4,714 |
Held-to-maturity Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 123 | 132 |
Amortized Cost | 118 | 128 |
Carrying Value | 102 | 108 |
Estimated Fair Value | 118 | 127 |
Held-to-maturity Securities [Member] | Prime [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 0 | 0 |
Amortized Cost | 0 | 0 |
Carrying Value | 0 | 0 |
Estimated Fair Value | 0 | 0 |
Held-to-maturity Securities [Member] | Alt-A, option ARM [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 0 | 0 |
Amortized Cost | 0 | 0 |
Carrying Value | 0 | 0 |
Estimated Fair Value | 0 | 0 |
Held-to-maturity Securities [Member] | Alt-A, other [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 123 | 132 |
Amortized Cost | 118 | 128 |
Carrying Value | 102 | 108 |
Estimated Fair Value | $ 118 | $ 127 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | |
Advances [Line Items] | |||
Advances, Par Value | $ 50,061 | $ 38,830 | $ 46,376 |
Advances With Partial Prepayment Symmetry Outstanding | $ 4,782 | $ 4,915 | |
Minimum [Member] | |||
Advances [Line Items] | |||
Advances, Maturity Period, Fixed Rate | 1 day | ||
Advances, Maturity Period, Variable Rate | 30 days | ||
Advances, Interest Rate | 0.16% | 0.14% | |
Maximum [Member] | |||
Advances [Line Items] | |||
Advances, Maturity Period, Fixed Rate | 30 years | ||
Advances, Maturity Period, Variable Rate | 10 years | ||
Advances, Interest Rate | 8.57% | 8.57% | |
Advances, Callable Option [Member] | |||
Advances [Line Items] | |||
Advances, Par Value | $ 10,323 | $ 328 | |
Advances, Putable Option [Member] | |||
Advances [Line Items] | |||
Advances, Par Value | $ 140 | $ 140 |
Advances (Redemption Terms) (De
Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 |
Federal Home Loan Bank Advances, Maturities [Abstract] | |||
Overdrawn demand and overnight deposit accounts | $ 10 | $ 0 | |
Within 1 year | 25,050 | 21,328 | |
After 1 year through 2 years | 7,239 | 7,597 | |
After 2 years through 3 years | 4,546 | 3,235 | |
After 3 years through 4 years | 7,203 | 3,216 | |
After 4 years through 5 years | 2,260 | 1,655 | |
After 5 years | 3,753 | 1,799 | |
Total par amount | 50,061 | 38,830 | $ 46,376 |
Valuation adjustments for hedging activities | 69 | 67 | |
Valuation adjustments under fair value option | 58 | 89 | |
Advances | $ 50,188 | $ 38,986 | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | |||
Overdrawn demand and overnight deposit accounts | 0.01% | 0.00% | |
Within 1 year | 0.57% | 0.63% | |
After 1 year through 2 years | 0.89% | 1.07% | |
After 2 years through 3 years | 1.04% | 1.39% | |
After 3 years through 4 years | 0.89% | 1.65% | |
After 4 years through 5 years | 1.05% | 1.82% | |
After 5 years | 1.49% | 2.81% | |
Total par value | 0.80% | 1.02% |
Advances (Earlier of Contractua
Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand and overnight deposit accounts | $ 10 | $ 0 | |
Within 1 year | 26,218 | 21,460 | |
After 1 year through 2 years | 7,316 | 7,693 | |
After 2 years through 3 years | 8,283 | 3,258 | |
After 3 years through 4 years | 3,844 | 3,291 | |
After 4 years through 5 years | 2,913 | 1,646 | |
After 5 years | 1,477 | 1,482 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand and overnight deposit accounts | 10 | 0 | |
Within 1 year | 25,190 | 21,468 | |
After 1 year through 2 years | 7,164 | 7,597 | |
After 2 years through 3 years | 4,481 | 3,135 | |
After 3 years through 4 years | 7,203 | 3,176 | |
After 4 years through 5 years | 2,260 | 1,655 | |
After 5 years | 3,753 | 1,799 | |
Total par amount | $ 50,061 | $ 38,830 | $ 46,376 |
Advances (Credit and Concentrat
Advances (Credit and Concentration Risk) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2015USD ($)bank | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)bank | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($) | |||||
Advances [Line Items] | |||||||||
Number Of Top Advances Borrowers | bank | 5 | 5 | |||||||
Advances Outstanding | $ 50,061 | $ 46,376 | $ 50,061 | $ 46,376 | $ 38,830 | ||||
Percentage of Total Advances Outstanding | 100.00% | 100.00% | 100.00% | 100.00% | |||||
Interest Income from Advances | [1] | $ 100 | $ 112 | $ 196 | $ 225 | ||||
Percentage of Total Interest Income from Advances | 100.00% | 100.00% | 100.00% | 100.00% | |||||
JPMorgan Bank And Trust Company National Association [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 13,000 | $ 5,125 | $ 13,000 | $ 5,125 | |||||
Percentage of Total Advances Outstanding | 26.00% | 11.00% | 26.00% | 11.00% | |||||
Interest Income from Advances | [1] | $ 16 | $ 15 | $ 27 | $ 31 | ||||
Percentage of Total Interest Income from Advances | 16.00% | 13.00% | 14.00% | 14.00% | |||||
JPMorgan Chase Bank National Association [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | [2] | $ 817 | $ 831 | $ 817 | $ 831 | ||||
Percentage of Total Advances Outstanding | [2] | 2.00% | 2.00% | 2.00% | 2.00% | ||||
Interest Income from Advances | [1] | $ 1 | [2] | $ 2 | [2] | $ 3 | $ 4 | [2] | |
Percentage of Total Interest Income from Advances | [2] | 1.00% | 2.00% | 1.00% | 2.00% | ||||
JPMorgan Chase And Co [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 13,817 | $ 5,956 | $ 13,817 | $ 5,956 | |||||
Percentage of Total Advances Outstanding | 28.00% | 13.00% | 28.00% | 13.00% | |||||
Interest Income from Advances | [1] | $ 17 | $ 17 | $ 30 | $ 35 | ||||
Percentage of Total Interest Income from Advances | 17.00% | 15.00% | 15.00% | 16.00% | |||||
Bank of the West [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 6,602 | $ 6,316 | $ 6,602 | $ 6,316 | |||||
Percentage of Total Advances Outstanding | 13.00% | 14.00% | 13.00% | 14.00% | |||||
Interest Income from Advances | [1] | $ 6 | $ 7 | $ 12 | $ 16 | ||||
Percentage of Total Interest Income from Advances | 6.00% | 6.00% | 6.00% | 7.00% | |||||
First Republic Bank [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 4,725 | $ 5,550 | $ 4,725 | $ 5,550 | |||||
Percentage of Total Advances Outstanding | 9.00% | 12.00% | 9.00% | 12.00% | |||||
Interest Income from Advances | [1] | $ 20 | $ 22 | $ 40 | $ 43 | ||||
Percentage of Total Interest Income from Advances | 20.00% | 20.00% | 20.00% | 19.00% | |||||
Bank of America California N A [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 4,000 | $ 8,000 | $ 4,000 | $ 8,000 | |||||
Percentage of Total Advances Outstanding | 8.00% | 17.00% | 8.00% | 17.00% | |||||
Interest Income from Advances | [1] | $ 3 | $ 6 | $ 5 | $ 11 | ||||
Percentage of Total Interest Income from Advances | 3.00% | 5.00% | 3.00% | 5.00% | |||||
Citibank N.A. [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | [2] | $ 3,000 | $ 3,000 | ||||||
Percentage of Total Advances Outstanding | [2] | 6.00% | 6.00% | ||||||
Interest Income from Advances | [1] | $ 1 | [2] | $ 2 | |||||
Percentage of Total Interest Income from Advances | [2] | 1.00% | 1.00% | ||||||
Banamex USA [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 0 | $ 0 | |||||||
Percentage of Total Advances Outstanding | 0.00% | 0.00% | |||||||
Interest Income from Advances | [1] | $ 0 | $ 0 | ||||||
Percentage of Total Interest Income from Advances | 0.00% | 0.00% | |||||||
Citigroup Inc. [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 3,000 | $ 3,000 | |||||||
Percentage of Total Advances Outstanding | 6.00% | 6.00% | |||||||
Interest Income from Advances | [1] | $ 1 | $ 2 | ||||||
Percentage of Total Interest Income from Advances | 1.00% | 1.00% | |||||||
OneWest Bank, N.A. [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 3,730 | $ 3,730 | |||||||
Percentage of Total Advances Outstanding | 8.00% | 8.00% | |||||||
Interest Income from Advances | [1] | $ 8 | $ 11 | ||||||
Percentage of Total Interest Income from Advances | 7.00% | 5.00% | |||||||
Subtotal | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 32,144 | $ 29,552 | $ 32,144 | $ 29,552 | |||||
Percentage of Total Advances Outstanding | 64.00% | 64.00% | 64.00% | 64.00% | |||||
Interest Income from Advances | [1] | $ 47 | $ 60 | $ 89 | $ 116 | ||||
Percentage of Total Interest Income from Advances | 47.00% | 53.00% | 45.00% | 52.00% | |||||
Other Borrowers [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 17,917 | $ 16,824 | $ 17,917 | $ 16,824 | |||||
Percentage of Total Advances Outstanding | 36.00% | 36.00% | 36.00% | 36.00% | |||||
Interest Income from Advances | [1] | $ 53 | $ 52 | $ 107 | $ 109 | ||||
Percentage of Total Interest Income from Advances | 53.00% | 47.00% | 55.00% | 48.00% | |||||
[1] | Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. | ||||||||
[2] | Nonmember institution |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||||
Fixed Rate, due within 1 year | $ 19,081 | $ 19,081 | $ 15,422 | ||
Fixed Rate, due after 1 year | 10,547 | 10,547 | 12,330 | ||
Advances, Total Fixed Rate | 29,628 | 29,628 | 27,752 | ||
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||||
Adjustable Rate, due within 1 year | 5,979 | 5,979 | 5,906 | ||
Adjustable Rate, due after 1 year | 14,454 | 14,454 | 5,172 | ||
Advances, Total Adjustable Rate | 20,433 | 20,433 | 11,078 | ||
Total par amount | 50,061 | $ 46,376 | 50,061 | $ 46,376 | $ 38,830 |
Prepayment Fees, Net [Abstract] | |||||
Prepayment Fees Received | 12 | 13 | 26 | 14 | |
Fair Value Adjustments | (4) | (9) | (18) | (10) | |
Net | 8 | 4 | 8 | 4 | |
Advance Principal Prepaid | $ 638 | $ 555 | $ 1,245 | $ 705 |
Mortgage Loans Held for Portf65
Mortgage Loans Held for Portfolio (Details) $ in Millions | 6 Months Ended | |
Jun. 30, 2015USD ($)Institutions | Dec. 31, 2014USD ($) | |
Mortgage Loans on Real Estate [Line Items] | ||
Number of Institutions Participating in Renewed MPF Program | Institutions | 6 | |
Unpaid principal balance | $ 673 | $ 713 |
Unamortized premiums | 7 | 6 |
Unamortized discounts | (9) | (10) |
Mortgage loans held for portfolio | 671 | 709 |
Less: Allowance for credit losses | 0 | (1) |
Total mortgage loans held for portfolio, net | 671 | 708 |
Fixed rate medium-term mortgage loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 131 | 160 |
Fixed rate medium-term mortgage loans [Member] | Maximum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | |
Fixed rate long-term mortgage loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 542 | 553 |
Fixed rate long-term mortgage loans [Member] | Minimum [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | |
Conventional Mortgage Loan [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 673 | $ 713 |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) $ in Millions | 1 Months Ended | 6 Months Ended | |||||
Jul. 31, 2015Institutions | Jun. 30, 2015USD ($)Institutions | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2013USD ($) | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions | 0 | ||||||
Period Loan Receivable Becomes Nonaccrual Status | 90 days | ||||||
Period Loan Receivable Evaluated for Charge-Off | 180 days | ||||||
Loan to Value Ratio Above Which a Borrower is Required to Obtain Primary Mortgage Insurance | 80.00% | ||||||
Allowance for credit losses on mortgage loans | $ 0 | $ 1 | |||||
Troubled Debt Restructuring Modification Period | 36 months | ||||||
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum | 31.00% | ||||||
Troubled Debt Restructuring Loan Modification for Principal and Interest Payment Term, Maximum | 40 years | ||||||
Troubled Debt Restructuring Loan Modification Interest Rate Reduction Period if Expense Ratio is Not Met | 36 months | ||||||
Troubled Debt Restructuring Modification Incremental Interest Decrease Percent | 0.125% | ||||||
Troubled Debt Restructuring Modification Interest Decrease Floor, Percent | 3.00% | ||||||
MPF Plus Loans, Specifically Identified As Impaired [Member] | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Allowance for credit losses on mortgage loans | 1 | ||||||
Subsequent Event [Member] | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions | 0 | ||||||
Conventional Mortgage Loan [Member] | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Allowance for credit losses on mortgage loans | $ 0 | $ 0 | 1 | $ 2 | $ 2 | $ 2 | |
Troubled Debt Restructuring, Modifications, Recorded Investment | $ 2.7 | $ 2.3 |
Allowance for Credit Losses (De
Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
30 – 59 days delinquent | [1] | $ 11 | $ 12 |
60 – 89 days delinquent | [1] | 4 | 5 |
90 days or more delinquent | [1] | 20 | 22 |
Total past due | [1] | 35 | 39 |
Total current loans | [1] | 640 | 673 |
Total mortgage loans, gross | [1] | 675 | 712 |
In process of foreclosure, included above | [1],[2] | 10 | 11 |
Nonaccrual loans | [1] | 20 | 22 |
Loans past due 90 days or more and still accruing interest | [1] | $ 0 | $ 0 |
Serious delinquencies as a percentage of total mortgage loans outstanding | [1],[3] | 2.89% | 3.12% |
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance. | ||
[2] | Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. | ||
[3] | Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding |
Allowance for Credit Losses (Ro
Allowance for Credit Losses (Rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||
Ratio Of Net Charge-offs To Average Loans Outstanding | (0.01%) | (0.01%) | (0.19%) | (0.03%) |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of the period | $ 1 | |||
Provision for/(reversal of) credit losses | $ 0 | $ 0 | 0 | $ 1 |
Balance, end of the period | 0 | 0 | ||
Conventional Mortgage Loan [Member] | ||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of the period | 0 | 2 | 1 | 2 |
(Charge-offs)/recoveries | 0 | 0 | (1) | (1) |
Provision for/(reversal of) credit losses | 0 | 0 | 0 | 1 |
Balance, end of the period | $ 0 | $ 2 | $ 0 | $ 2 |
Allowance for Credit Losses (By
Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Total Allowance for Credit Losses | $ 0 | $ 1 | |||||
Conventional Mortgage Loan [Member] | |||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||
Individually evaluated for impairment, Allowance for credit losses | 0 | 1 | |||||
Collectively Evaluated for Impairment, Allowance for credit losses | 0 | 0 | |||||
Total Allowance for Credit Losses | 0 | $ 0 | 1 | $ 2 | $ 2 | $ 2 | |
Individually evaluated for impairment, Recorded investment | 17 | 20 | |||||
Collectively evaluated for impairment, Recorded investment | 658 | 692 | |||||
Total mortgage loans, gross | [1] | $ 675 | $ 712 | ||||
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance. |
Allowance for Credit Losses (Re
Allowance for Credit Losses (Recorded Investment, Average Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Impaired Financing Receivable, Recorded Investment [Abstract] | |||||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | $ 17 | $ 17 | $ 14 | ||
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 0 | 0 | 6 | ||
Impaired Financing Receivable, Recorded Investment | 17 | 17 | 20 | ||
Impaired Financing Receivable, Unpaid Principal Balance [Abstract] | |||||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 17 | 17 | 14 | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 0 | 0 | 6 | ||
Impaired Financing Receivable, Unpaid Principal Balance | 17 | 17 | 20 | ||
Impaired Financing Receivable, Related Allowance | 0 | 0 | $ 1 | ||
Impaired Financing Receivable, Average Recorded Investment [Abstract] | |||||
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment | 15 | $ 18 | 14 | $ 18 | |
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment | 0 | 7 | 2 | 7 | |
Impaired Financing Receivable, Average Recorded Investment | $ 15 | $ 25 | $ 16 | $ 25 |
Deposits (Details)
Deposits (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Deposits [Line Items] | ||
Interest-bearing Deposit Liabilities, Domestic | $ 486 | $ 159 |
Noninterest-bearing Deposits | 2 | 1 |
Deposits | 488 | 160 |
Adjustable rate [Member] | ||
Deposits [Line Items] | ||
Interest-bearing Deposit, Demand and Overnight | $ 486 | $ 159 |
Weighted Average Rate Domestic Deposit | 0.01% | 0.01% |
Consolidated Obligations Narrat
Consolidated Obligations Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | $ 79,210 | $ 68,538 |
Derivative, Notional Amount | 71,477 | 62,297 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 45,333 | 46,723 |
Consolidated obligation bonds [Member] | Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 11,640 | 14,158 |
Derivative, Notional Amount | $ 7,400 | $ 9,573 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par amount | $ 79,210 | $ 68,538 |
Consolidated Obligations, Bonds | 45,597 | 47,045 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Within 1 year | 16,580 | 21,044 |
After 1 year through 2 years | 12,502 | 9,871 |
After 2 years through 3 years | 6,855 | 4,518 |
After 3 years through 4 years | 2,180 | 2,336 |
After 4 years through 5 years | 2,890 | 3,103 |
After 5 years | 4,326 | 5,851 |
Total par amount | 45,333 | 46,723 |
Unamortized premiums | 39 | 58 |
Unamortized discounts | (10) | (13) |
Valuation adjustments for hedging activities | 252 | 308 |
Fair value option valuation adjustments | $ (17) | $ (31) |
Within 1 year, Weighted Average Interest Rate | 0.60% | 0.36% |
After 1 year through 2 years, Weighted Average Interest Rate | 2.01% | 2.43% |
After 2 years through 3 years, Weighted Average Interest Rate | 1.30% | 1.70% |
After 3 years through 4 years, Weighted Average Interest Rate | 1.38% | 1.49% |
After 4 years through 5 years, Weighted Average Interest Rate | 1.67% | 1.71% |
After 5 years, Weighted Average Interest Rate | 2.33% | 2.13% |
Total par amount, Weighted Average Interest Rate | 1.36% | 1.29% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par amount | $ 79,210 | $ 68,538 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par amount | 45,333 | 46,723 |
Consolidated obligation bonds [Member] | Non-callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par amount | 33,693 | 32,565 |
Consolidated obligation bonds [Member] | Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par amount | $ 11,640 | $ 14,158 |
Consolidated Obligations (Con75
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total par amount | $ 79,210 | $ 68,538 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Within 1 year | 16,580 | 21,044 |
After 1 year through 2 years | 12,502 | 9,871 |
After 2 years through 3 years | 6,855 | 4,518 |
After 3 years through 4 years | 2,180 | 2,336 |
After 4 years through 5 years | 2,890 | 3,103 |
After 5 years | 4,326 | 5,851 |
Total par amount | 45,333 | 46,723 |
Consolidated obligation bonds [Member] | Earlier of Contractual Maturity or Next Call Date [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Within 1 year | 27,660 | 33,558 |
After 1 year through 2 years | 11,432 | 9,156 |
After 2 years through 3 years | 4,530 | 2,043 |
After 3 years through 4 years | 1,125 | 1,010 |
After 4 years through 5 years | 360 | 385 |
After 5 years | $ 226 | $ 571 |
Consolidated Obligations (Con76
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Short-term Debt [Line Items] | ||
Consolidated Obligations, Discount Notes | $ 33,859 | $ 21,811 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Par amount, Amount Outstanding | 33,877 | 21,815 |
Unamortized discounts | $ (18) | $ (4) |
Par amount, Weighted Average Interest Rate | 0.14% | 0.09% |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | $ 79,210 | $ 68,538 |
Discount Notes [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Discount notes, par value | 33,877 | 21,815 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 45,333 | 46,723 |
Consolidated obligation bonds [Member] | Fixed rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 36,963 | 39,324 |
Consolidated obligation bonds [Member] | Adjustable rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 5,425 | 3,678 |
Consolidated obligation bonds [Member] | Step-up [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 1,910 | 2,654 |
Consolidated obligation bonds [Member] | Step-down [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 550 | 500 |
Consolidated obligation bonds [Member] | Fixed rate that converts to adjustable rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | 385 | 467 |
Consolidated obligation bonds [Member] | Range Bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total consolidated obligations, par | $ 100 | $ 100 |
Accumulated Other Comprehensi78
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
AOCI Balance, beginning of period | $ 56 | |||
Net change in pension and postretirement benefits | $ 1 | $ 0 | 1 | $ 0 |
Net change in fair value | (2) | 79 | 18 | 160 |
Accretion of Noncredit Related OTTI Loss | 2 | 2 | 4 | 3 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
AOCI Balance, end of period | 68 | 68 | ||
Accumulated Other-than-Temporary Impairment [Member] | Available-for-sale Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
AOCI Balance, beginning of period | 106 | (31) | 88 | (111) |
Non-credit-related OTTI loss, Available-for-sale Securities | (10) | (1) | (13) | (2) |
Net change in fair value | (2) | 79 | 18 | 160 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Non-credit-related OTTI to credit-related OTTI, AFS | 1 | 2 | ||
Net current period other comprehensive income/(loss) | (11) | 78 | 7 | 158 |
AOCI Balance, end of period | 95 | 47 | 95 | 47 |
Accumulated Other-than-Temporary Impairment [Member] | Held-to-maturity Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
AOCI Balance, beginning of period | (18) | (26) | (20) | (27) |
Non-credit-related OTTI loss, Held-to-maturity Securities | 0 | 0 | ||
Accretion of Noncredit Related OTTI Loss | 2 | 2 | 4 | 3 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Non-credit-related OTTI to credit-related OTTI, HTM | 0 | 0 | 0 | 0 |
Net current period other comprehensive income/(loss) | 2 | 2 | 4 | 3 |
AOCI Balance, end of period | (16) | (24) | (16) | (24) |
Accumulated Defined Benefit Plans Adjustment [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
AOCI Balance, beginning of period | (12) | (7) | (12) | (7) |
Net change in pension and postretirement benefits | 1 | 1 | ||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Net current period other comprehensive income/(loss) | 1 | 0 | 1 | 0 |
AOCI Balance, end of period | (11) | (7) | (11) | (7) |
Accumulated Other Comprehensive Income/(Loss) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
AOCI Balance, beginning of period | 76 | (64) | 56 | (145) |
Net change in pension and postretirement benefits | 1 | 1 | ||
Non-credit-related OTTI loss, Available-for-sale Securities | (10) | (1) | (13) | (2) |
Net change in fair value | (2) | 79 | 18 | 160 |
Accretion of Noncredit Related OTTI Loss | 2 | 2 | 4 | 3 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Non-credit-related OTTI to credit-related OTTI, AFS | 1 | 2 | ||
Net current period other comprehensive income/(loss) | (8) | 80 | 12 | 161 |
AOCI Balance, end of period | $ 68 | $ 16 | $ 68 | $ 16 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Millions | Aug. 03, 2015 | Jun. 30, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Capital [Line Items] | ||||
Risk-Based Capital, Required | $ 2,923 | $ 2,923 | $ 3,231 | |
Risk-Based Capital, Actual | 5,546 | 5,546 | 6,356 | |
Regulatory Capital, Required | 3,438 | 3,438 | 3,032 | |
Regulatory Capital, Actual | $ 5,546 | $ 5,546 | $ 6,356 | |
Regulatory Capital Ratio, Required | 4.00% | 4.00% | 4.00% | |
Regulatory Capital Ratio, Actual | 6.45% | 6.45% | 8.38% | |
Leverage Capital, Required | $ 4,298 | $ 4,298 | $ 3,790 | |
Leverage Capital, Actual | $ 8,318 | $ 8,318 | $ 9,534 | |
Leverage ratio - Required | 5.00% | 5.00% | 5.00% | |
Leverage Ratio, Actual | 9.68% | 12.58% | ||
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | 1.5 | ||
Federal Home Loan Bank Advances [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 3.00% | |||
Mortgage Loans on Real Estate [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 3.00% | |||
Subsequent Event [Member] | Federal Home Loan Bank Advances [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 2.70% | |||
Subsequent Event [Member] | Mortgage Loans on Real Estate [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 0.00% |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)Institutions | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($)Institutions | ||
Capital [Abstract] | ||||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 10 | 32 | ||||
Mandatorily Redeemable Capital Stock [Roll Forward] | ||||||
Balance at the beginning of the period | $ 383 | $ 1,644 | $ 719 | $ 2,071 | $ 2,071 | |
Reclassified from/(to) capital during the period | 4 | 1 | 12 | 2 | ||
Redemption of mandatorily redeemable capital stock | (28) | (6) | (34) | (15) | ||
Repurchase of excess mandatorily redeemable capital stock | (217) | (463) | (555) | (882) | ||
Balance at the end of the period | 142 | 1,176 | 142 | 1,176 | $ 719 | |
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | $ 38 | $ 34 | $ 53 | $ 73 | |
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Capital (By Redemption Period)
Capital (By Redemption Period) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||||
Within 1 year | $ 92 | $ 51 | |||||
After 1 year through 2 years | 0 | 582 | |||||
After 2 years through 3 years | 1 | 9 | |||||
After 3 years through 4 years | 0 | 1 | |||||
After 4 years through 5 years | 6 | 2 | |||||
Past Contractual Redemption Date Because of Remaining Activity | [1] | 43 | 74 | ||||
Total | $ 142 | $ 383 | $ 719 | $ 1,176 | $ 1,644 | $ 2,071 | |
[1] | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. |
Capital (Retained Earnings and
Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions | Aug. 13, 2015 | Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Jul. 28, 2015 | |
Capital [Line Items] | |||||||
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70% | 70.00% | 70.00% | |||||
Ratio of Market Value of Capital to Par Value of Capital Stock | 201.00% | 201.00% | |||||
Dividends, Per Share, Cash, Annualized Rate | 22.65% | 6.80% | 14.58% | 6.73% | |||
Payments of Dividends | $ 220 | $ 93 | $ 294 | $ 190 | |||
Cash dividends paid on capital stock | 241 | 117 | |||||
Mandatorily redeemable capital stock | [1] | 38 | 34 | 53 | 73 | ||
Restricted Retained Earnings Activity [Roll Forward] | |||||||
Balance at beginning of the period | 2,065 | ||||||
Balance at end of the period | 2,170 | 2,170 | |||||
Retained Earnings, Unappropriated [Member] | |||||||
Capital [Line Items] | |||||||
Cash dividends paid on capital stock | 182 | 59 | 241 | 117 | |||
Restricted [Member] | |||||||
Restricted Retained Earnings Activity [Roll Forward] | |||||||
Balance at beginning of the period | 2,150 | 2,069 | 2,065 | 2,077 | |||
Transfers to/(from) restricted retained earnings | 20 | (14) | 105 | (22) | |||
Balance at end of the period | 2,170 | 2,055 | 2,170 | 2,055 | |||
Retained Earnings, Appropriated, Valuation Adjustments [Member] | |||||||
Restricted Retained Earnings Activity [Roll Forward] | |||||||
Balance at beginning of the period | 25 | 71 | 35 | 88 | |||
Transfers to/(from) restricted retained earnings | 8 | (22) | (2) | (39) | |||
Balance at end of the period | 33 | 49 | 33 | 49 | |||
Retained Earnings, Appropriated, Targeted Buildup [Member] | |||||||
Restricted Retained Earnings Activity [Roll Forward] | |||||||
Balance at beginning of the period | 1,800 | 1,800 | 1,800 | 1,800 | |||
Transfers to/(from) restricted retained earnings | 0 | 0 | 0 | 0 | |||
Balance at end of the period | 1,800 | 1,800 | 1,800 | 1,800 | |||
Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member] | |||||||
Restricted Retained Earnings Activity [Roll Forward] | |||||||
Balance at beginning of the period | 325 | 198 | 230 | 189 | |||
Transfers to/(from) restricted retained earnings | 12 | 8 | 107 | 17 | |||
Balance at end of the period | $ 337 | $ 206 | $ 337 | $ 206 | |||
Minimum [Member] | |||||||
Capital [Line Items] | |||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 70.00% | 70.00% | |||||
Maximum [Member] | |||||||
Capital [Line Items] | |||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 100.00% | 100.00% | |||||
Subsequent Event [Member] | |||||||
Subsequent Events [Abstract] | |||||||
Dividends, Cash Declared, Annualized Rate | 10.01% | ||||||
Interest and Dividends Payable, Current | $ 78 | ||||||
Dividends Payable, Amount | 72 | ||||||
Interest Payable, Current | $ 6 | ||||||
Dividends Payable, Date to be Paid | Aug. 13, 2015 | ||||||
Special Dividend in Cash [Member] | |||||||
Capital [Line Items] | |||||||
Payments of Dividends | $ 145 | $ 145 | |||||
Mandatorily redeemable capital stock | 25 | ||||||
Special Dividend in Cash [Member] | Retained Earnings, Unappropriated [Member] | |||||||
Capital [Line Items] | |||||||
Cash dividends paid on capital stock | $ 120 | ||||||
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Capital (Excess Capital Stock)
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2015 | Mar. 31, 2015 | Jun. 30, 2014 | Mar. 31, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Aug. 14, 2015 | Dec. 31, 2014 | |
Capital [Line Items] | ||||||||
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period | $ 847 | $ 750 | $ 750 | $ 750 | ||||
Surplus Capital Stock Threshold Percentage, Amount Over Minimum Capital Stock Requirement | 115.00% | 115.00% | ||||||
Financial Instruments Subject to Mandatory Redemption, Redemption | $ 28 | $ 6 | $ 34 | $ 15 | ||||
Common stock, par value | $ 100 | $ 100 | ||||||
Excess Capital | $ 365 | $ 365 | $ 1,118 | |||||
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice | 15 days | |||||||
Mandatorily Redeemable Capital Stock, Redemption Period | 5 years | |||||||
Excess Capital to Assets | 0.42% | 0.42% | ||||||
Subsequent Event [Member] | ||||||||
Subsequent Events [Abstract] | ||||||||
Surplus and Excess Capital Stock Repurchased, Percentage | 100.00% | |||||||
Minimum [Member] | ||||||||
Capital [Line Items] | ||||||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1.00% | 1.00% |
Capital (Concentration) (Detail
Capital (Concentration) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 2,893 | $ 3,997 | |
Concentration of total capital stock outstanding | 100.00% | 100.00% | |
Capital Stock Ownership By Third Party [Member] | |||
Concentration Risk [Line Items] | |||
Concentration Risk Benchmark, Percent | 10.00% | ||
Capital Stock Ownership By Third Party [Member] | JPMorgan Bank And Trust Company National Association [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 390 | $ 268 | |
Concentration of total capital stock outstanding | 14.00% | 7.00% | |
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase Bank National Association [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | [1] | $ 40 | $ 68 |
Concentration of total capital stock outstanding | [1] | 1.00% | 2.00% |
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase And Co [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 430 | $ 336 | |
Concentration of total capital stock outstanding | 15.00% | 9.00% | |
Capital Stock Ownership By Third Party [Member] | Citibank N.A. [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | [1] | $ 90 | $ 577 |
Concentration of total capital stock outstanding | [1] | 3.00% | 14.00% |
Capital Stock Ownership By Third Party [Member] | Banamex USA [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 4 | $ 2 | |
Concentration of total capital stock outstanding | 0.00% | 0.00% | |
Capital Stock Ownership By Third Party [Member] | Citigroup Inc. [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 94 | $ 579 | |
Concentration of total capital stock outstanding | 3.00% | 14.00% | |
Capital Stock Ownership By Third Party [Member] | Subtotal [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 524 | $ 915 | |
Concentration of total capital stock outstanding | 18.00% | 23.00% | |
Capital Stock Ownership By Third Party [Member] | Third Party, All Others [Member] | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 2,369 | $ 3,082 | |
Concentration of total capital stock outstanding | 82.00% | 77.00% | |
[1] | The capital stock held by these nonmember institutions is classified as mandatorily redeemable capital stock |
Segment Information (Details)
Segment Information (Details) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($)segment | Jun. 30, 2014USD ($) | Dec. 31, 2014USD ($) | ||
Segment Reporting Information [Line Items] | ||||||
Number of Operating Segments | segment | 2 | |||||
Adjusted Net Interest Income | $ 137 | $ 149 | $ 265 | $ 298 | ||
Amortization of Basis Adjustments | [1] | (5) | (4) | (13) | (6) | |
Income/ (Expense) on Economic Hedges | [2] | (4) | (19) | (13) | (41) | |
Interest Expense on Mandatorily Redeemable Capital Stock | [3] | 38 | 34 | 53 | 73 | |
Net Interest Income After Mortgage Loan Loss Provision | 108 | 138 | 238 | 272 | ||
Other Income/(Loss) | (2) | (54) | 430 | (102) | ||
Other Expense | 34 | 37 | 68 | 69 | ||
Income Before AHP Assessments | 72 | 47 | 600 | 101 | ||
Net OTTI loss, credit-related | (6) | (2) | (8) | (2) | ||
Assets | 85,962 | 85,962 | $ 75,807 | |||
Advances-Related Business [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Adjusted Net Interest Income | 47 | 44 | 82 | 83 | ||
Assets | 67,398 | 67,398 | 55,424 | |||
Mortgage-Related Business [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Adjusted Net Interest Income | [4] | 90 | $ 105 | 183 | $ 215 | |
Assets | $ 18,564 | $ 18,564 | $ 20,383 | |||
[1] | Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework. | |||||
[2] | The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.” | |||||
[3] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments | |||||
[4] | Does not include credit-related OTTI losses of $6 and $2 for the three months ended June 30, 2015 and 2014, respectively. Does not include credit-related OTTI losses of $8 and $2 for the six months ended June 30, 2015 and 2014, respectively. |
Derivatives and Hedging Activ86
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 71,477 | $ 62,297 |
Derivative, Net Liability Position, Aggregate Fair Value | 42 | |
Collateral Already Posted, Aggregate Fair Value | 36 | |
Additional Collateral, Aggregate Fair Value | 2 | |
Derivatives With Intermediary Transactions and Offsetting Derivatives [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 160 | $ 0 |
Maximum [Member] | ||
Derivative [Line Items] | ||
Advances, Maturity Term | 30 years |
Derivatives and Hedging Activ87
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | $ 71,477 | $ 62,297 | |
Derivative Asset, Fair Value, Gross Asset | 376 | 455 | |
Derivative Asset, Total collateral and netting adjustments | [1] | (301) | (396) |
Derivative Assets as reported on the Statements of Condition | 75 | 59 | |
Derivative Liability, Fair Value, Gross Liability | 179 | 233 | |
Derivative Liability, Total collateral and netting adjustments | [1] | (170) | (213) |
Derivative Liabilities as reported on the Statements of Condition | 9 | 20 | |
Cash collateral posted | 86 | 65 | |
Cash collateral received | 218 | 248 | |
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 34,522 | 28,018 | |
Derivative Asset, Fair Value, Gross Asset | 296 | 374 | |
Derivative Liability, Fair Value, Gross Liability | 93 | 103 | |
Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 34,522 | 28,018 | |
Derivative Asset, Fair Value, Gross Asset | 296 | 374 | |
Derivative Liability, Fair Value, Gross Liability | 93 | 103 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 36,955 | 34,279 | |
Derivative Asset, Fair Value, Gross Asset | 80 | 81 | |
Derivative Liability, Fair Value, Gross Liability | 86 | 130 | |
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 34,718 | 31,973 | |
Derivative Asset, Fair Value, Gross Asset | 74 | 72 | |
Derivative Liability, Fair Value, Gross Liability | 85 | 129 | |
Not Designated as Hedging Instrument [Member] | Interest rate caps and floors [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 2,230 | 2,306 | |
Derivative Asset, Fair Value, Gross Asset | 6 | 9 | |
Derivative Liability, Fair Value, Gross Liability | 1 | 1 | |
Mortgages [Member] | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 7 | 0 | |
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability | $ 0 | $ 0 | |
[1] | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted was $86 and $65 at June 30, 2015, and December 31, 2014, respectively. Cash collateral received was $218 and $248 at June 30, 2015, and December 31, 2014, respectively. |
Derivatives and Hedging Activ88
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair value hedge ineffectiveness | $ (3) | $ (3) | $ (10) | $ (5) |
Total net gain/(loss) related to derivatives not designated as hedging instruments | 30 | (21) | 16 | (29) |
Net gain/(loss) on derivatives and hedging activities | 27 | (24) | 6 | (34) |
Interest rate swaps [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair value hedge ineffectiveness | (3) | (3) | (10) | (5) |
Total net gain/(loss) related to derivatives not designated as hedging instruments | 33 | 5 | 30 | 20 |
Interest rate caps and floors [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | 0 | (7) | (2) | (8) |
Net settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | (4) | (19) | (13) | (41) |
Mortgages [Member] | Mortgage delivery commitments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | $ 1 | $ 0 | $ 1 | $ 0 |
Derivatives and Hedging Activ89
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivatives | $ (17) | $ (48) | $ (70) | $ (89) | |
Gain/(Loss) on Hedged Item | 14 | 45 | 60 | 84 | |
Net Fair Value Hedge Ineffectiveness | (3) | (3) | (10) | (5) | |
Effect of Derivatives on Net Interest Income | [1] | 40 | 33 | 74 | 66 |
Advances [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivatives | 32 | (23) | (6) | (13) | |
Gain/(Loss) on Hedged Item | (32) | 23 | 6 | 13 | |
Net Fair Value Hedge Ineffectiveness | 0 | 0 | 0 | 0 | |
Effect of Derivatives on Net Interest Income | [1] | (27) | (34) | (55) | (66) |
Consolidated obligation bonds [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain/(Loss) on Derivatives | (49) | (25) | (64) | (76) | |
Gain/(Loss) on Hedged Item | 46 | 22 | 54 | 71 | |
Net Fair Value Hedge Ineffectiveness | (3) | (3) | (10) | (5) | |
Effect of Derivatives on Net Interest Income | [1] | $ 67 | $ 67 | $ 129 | $ 132 |
[1] | The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item. |
Derivatives and Hedging Activ90
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | $ 376 | $ 455 | |
Derivative Asset, Total collateral and netting adjustments | [1] | (301) | (396) |
Derivative Assets as reported on the Statements of Condition | 75 | 59 | |
Derivative Asset, Fair Value, Net Unsecured Amount | 55 | 34 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 179 | 233 | |
Derivative Liability, Total collateral and netting adjustments | [1] | (170) | (213) |
Derivative Liabilities as reported on the Statements of Condition | 9 | 20 | |
Derivative Liability, Fair Value, Net Unsecured Amount | 9 | 20 | |
Uncleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 266 | 352 | |
Derivative Asset, Total collateral and netting adjustments | (245) | (324) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 21 | 28 | |
Derivative Asset, Collateral Received or Pledged not offset, Can Be Sold or Repledged | 20 | 25 | |
Derivative Asset, Fair Value, Net Unsecured Amount | 1 | 3 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 136 | 199 | |
Derivative Liability, Total collateral and netting adjustments | (127) | (179) | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 9 | 20 | |
Derivative Liability, Collateral Received or Pledged not offset, Can be sold or repledged | 0 | 0 | |
Derivative Liability, Fair Value, Net Unsecured Amount | 9 | 20 | |
Cleared derivatives [Member] | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 110 | 103 | |
Derivative Asset, Total collateral and netting adjustments | (56) | (72) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 54 | 31 | |
Derivative Asset, Fair Value, Net Unsecured Amount | 54 | 31 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 43 | 34 | |
Derivative Liability, Total collateral and netting adjustments | (43) | (34) | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 | |
Derivative Liability, Fair Value, Net Unsecured Amount | $ 0 | $ 0 | |
[1] | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted was $86 and $65 at June 30, 2015, and December 31, 2014, respectively. Cash collateral received was $218 and $248 at June 30, 2015, and December 31, 2014, respectively. |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |
Assets | |||||||
Trading securities | [1] | $ 2,923 | $ 3,524 | ||||
Available-for-sale (AFS) securities | [1] | 5,950 | 6,371 | ||||
HTM securities, Carrying Value | [2],[3],[4] | 12,169 | 13,551 | ||||
HTM Securities, Fair Value | 12,250 | 13,657 | |||||
Loans to other Federal Home Loan Banks | 125 | 0 | |||||
Derivative assets, Net | 75 | 59 | |||||
Derivative Asset, Fair Value, Gross Asset | 376 | 455 | |||||
Derivative Asset, Netting adjustments | [5] | (301) | (396) | ||||
Liabilities | |||||||
Federal Home Loan Bank, Consolidated Obligations | 79,456 | 68,856 | |||||
Mandatorily redeemable capital stock | 142 | $ 383 | 719 | $ 1,176 | $ 1,644 | $ 2,071 | |
Derivative liabilities, Net | 9 | 20 | |||||
Derivative Liability, Fair Value, Gross Liability | 179 | 233 | |||||
Derivative Liability, Netting adjustments | [5] | (170) | (213) | ||||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||
Assets | |||||||
Cash and due from banks | 1,239 | 3,920 | |||||
Securities purchased under agreements to resell | 7,250 | 1,000 | |||||
Federal funds sold | 5,188 | 7,503 | |||||
Trading securities | 2,923 | 3,524 | |||||
Available-for-sale (AFS) securities | 5,950 | 6,371 | |||||
HTM securities, Carrying Value | 12,169 | 13,551 | |||||
Advances | 50,188 | 38,986 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 671 | 708 | |||||
Loans to other Federal Home Loan Banks | 125 | ||||||
Accrued interest receivable | 63 | 67 | |||||
Derivative assets, Net | [6] | 75 | 59 | ||||
Other Assets | [7] | 11 | 11 | ||||
Liabilities | |||||||
Deposits | 488 | 160 | |||||
Federal Home Loan Bank, Consolidated Obligations | 79,456 | 68,856 | |||||
Mandatorily redeemable capital stock | 142 | 719 | |||||
Accrued interest payable | 92 | 95 | |||||
Derivative liabilities, Net | [6] | 9 | 20 | ||||
Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Assets | |||||||
Cash and due from banks | 1,239 | 3,920 | |||||
Securities purchased under agreements to resell | 7,250 | 1,000 | |||||
Federal funds sold | 5,188 | 7,503 | |||||
Trading securities | 2,923 | 3,524 | |||||
Available-for-sale (AFS) securities | 5,950 | 6,371 | |||||
HTM Securities, Fair Value | 12,250 | 13,657 | |||||
Advances | 50,213 | 39,060 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 720 | 769 | |||||
Loans to other Federal Home Loan Banks | 125 | ||||||
Accrued interest receivable | 63 | 67 | |||||
Derivative assets, Net | [6] | 75 | 59 | ||||
Other Assets | [7] | 11 | 11 | ||||
Liabilities | |||||||
Deposits | 488 | 160 | |||||
Federal Home Loan Bank, Consolidated Obligations | 79,433 | 68,832 | |||||
Mandatorily redeemable capital stock | 142 | 719 | |||||
Accrued interest payable | 92 | 95 | |||||
Derivative liabilities, Net | [6] | 9 | 20 | ||||
Fair Value, Inputs, Level 1 [Member] | |||||||
Assets | |||||||
Cash and due from banks | 1,239 | 3,920 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale (AFS) securities | 0 | 0 | |||||
HTM Securities, Fair Value | 0 | 0 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | |||||
Loans to other Federal Home Loan Banks | 0 | ||||||
Accrued interest receivable | 0 | 0 | |||||
Derivative Asset, Fair Value, Gross Asset | [6] | 0 | 0 | ||||
Other Assets | [7] | 11 | 11 | ||||
Liabilities | |||||||
Deposits | 0 | 0 | |||||
Federal Home Loan Bank, Consolidated Obligations | 0 | 0 | |||||
Mandatorily redeemable capital stock | 142 | 719 | |||||
Accrued interest payable | 0 | 0 | |||||
Derivative Liability, Fair Value, Gross Liability | [6] | 0 | 0 | ||||
Fair Value, Inputs, Level 2 [Member] | |||||||
Assets | |||||||
Cash and due from banks | 0 | 0 | |||||
Securities purchased under agreements to resell | 7,250 | 1,000 | |||||
Federal funds sold | 5,188 | 7,503 | |||||
Trading securities | 2,923 | 3,524 | |||||
Available-for-sale (AFS) securities | 0 | 0 | |||||
HTM Securities, Fair Value | 10,322 | 11,521 | |||||
Advances | 50,213 | 39,060 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 720 | 769 | |||||
Loans to other Federal Home Loan Banks | 125 | ||||||
Accrued interest receivable | 63 | 67 | |||||
Derivative Asset, Fair Value, Gross Asset | [6] | 376 | 455 | ||||
Derivative Asset, Netting adjustments | [6] | (301) | (396) | ||||
Other Assets | [7] | 0 | 0 | ||||
Liabilities | |||||||
Deposits | 488 | 160 | |||||
Federal Home Loan Bank, Consolidated Obligations | 79,433 | 68,832 | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||||
Accrued interest payable | 92 | 95 | |||||
Derivative Liability, Fair Value, Gross Liability | [6] | 179 | 233 | ||||
Derivative Liability, Netting adjustments | [6] | (170) | (213) | ||||
Fair Value, Inputs, Level 3 [Member] | |||||||
Assets | |||||||
Cash and due from banks | 0 | 0 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Available-for-sale (AFS) securities | 5,950 | 6,371 | |||||
HTM Securities, Fair Value | 1,928 | 2,136 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | |||||
Loans to other Federal Home Loan Banks | 0 | ||||||
Accrued interest receivable | 0 | 0 | |||||
Derivative Asset, Fair Value, Gross Asset | [6] | 0 | 0 | ||||
Other Assets | [7] | 0 | 0 | ||||
Liabilities | |||||||
Deposits | 0 | 0 | |||||
Federal Home Loan Bank, Consolidated Obligations | 0 | 0 | |||||
Mandatorily redeemable capital stock | 0 | 0 | |||||
Accrued interest payable | 0 | 0 | |||||
Derivative Liability, Fair Value, Gross Liability | [6] | 0 | 0 | ||||
Consolidated Obligations, Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||
Liabilities | |||||||
Discount notes | 33,859 | 21,811 | |||||
Consolidated Obligations, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Liabilities | |||||||
Discount notes | 33,861 | 21,811 | |||||
Consolidated Obligations, Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Liabilities | |||||||
Discount notes | 0 | 0 | |||||
Consolidated Obligations, Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Liabilities | |||||||
Discount notes | 33,861 | 21,811 | |||||
Consolidated Obligations, Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Liabilities | |||||||
Discount notes | 0 | 0 | |||||
Standby Letters of Credit [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | 16 | 12 | |||||
Standby Letters of Credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | 16 | 12 | |||||
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Other | |||||||
Other commitments | 0 | 0 | |||||
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Other | |||||||
Other commitments | 16 | 12 | |||||
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Other | |||||||
Other commitments | 0 | 0 | |||||
Commitments to fund advances [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 0 | 0 | ||||
Commitments to fund advances [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 3 | 2 | ||||
Commitments to fund advances [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Other | |||||||
Other commitments | [8] | 0 | 0 | ||||
Commitments to fund advances [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Other | |||||||
Other commitments | [8] | 3 | 2 | ||||
Commitments to fund advances [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Other | |||||||
Other commitments | [8] | 0 | 0 | ||||
Consolidated Obligations, Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 0 | |||||
Consolidated Obligations, Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 1 | |||||
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 0 | |||||
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 1 | |||||
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Other | |||||||
Other commitments | [8] | 0 | |||||
Consolidated obligation bonds [Member] | |||||||
Liabilities | |||||||
Consolidated obligation bonds | 6,203 | 6,717 | |||||
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||
Liabilities | |||||||
Consolidated obligation bonds | 45,597 | 47,045 | |||||
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||
Liabilities | |||||||
Consolidated obligation bonds | 45,572 | 47,021 | |||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||
Liabilities | |||||||
Consolidated obligation bonds | 0 | 0 | |||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||
Liabilities | |||||||
Consolidated obligation bonds | 45,572 | 47,021 | |||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||
Liabilities | |||||||
Consolidated obligation bonds | $ 0 | $ 0 | |||||
[1] | At June 30, 2015, and December 31, 2014, none of these securities were pledged as collateral that may be repledged. | ||||||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | ||||||
[3] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | ||||||
[4] | At June 30, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged. | ||||||
[5] | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted was $86 and $65 at June 30, 2015, and December 31, 2014, respectively. Cash collateral received was $218 and $248 at June 30, 2015, and December 31, 2014, respectively. | ||||||
[6] | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. | ||||||
[7] | Represents publicly traded mutual funds held in a grantor trust. | ||||||
[8] | Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 17 – Commitments and Contingencies |
Fair Value (Summary of Valuatio
Fair Value (Summary of Valuation Methodologies and Primary Inputs) (Details) - Jun. 30, 2015 | vendorprice |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 4 |
MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of designated third-party pricing vendors | vendor | 4 |
Four vendor prices received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 4 |
Median price, number of prices | 2 |
Three vendor prices received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 3 |
Two vendor prices received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 2 |
Median price, number of prices | 2 |
One vendor price received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 1 |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Dec. 31, 2014 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | [1] | $ 2,923 | $ 3,524 | |
Available-for-sale (AFS) securities | [1] | 5,950 | 6,371 | |
Advances, Fair Value Disclosure | 4,978 | 5,137 | ||
Derivative Asset, Fair Value, Gross Asset | 376 | 455 | ||
Derivative Asset, Netting adjustments | [2] | (301) | (396) | |
Derivative Liability, Fair Value, Gross Liability | 179 | 233 | ||
Derivative Liability, Netting adjustments | [2] | (170) | (213) | |
Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Available-for-sale (AFS) securities | 0 | 0 | ||
Derivative Asset, Fair Value, Gross Asset | [3] | 0 | 0 | |
Other Assets | [4] | 11 | 11 | |
Derivative Liability, Fair Value, Gross Liability | [3] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,923 | 3,524 | ||
Available-for-sale (AFS) securities | 0 | 0 | ||
Derivative Asset, Fair Value, Gross Asset | [3] | 376 | 455 | |
Derivative Asset, Netting adjustments | [3] | (301) | (396) | |
Other Assets | [4] | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability | [3] | 179 | 233 | |
Derivative Liability, Netting adjustments | [3] | (170) | (213) | |
Mortgage loans held for portfolio | 720 | 769 | ||
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Available-for-sale (AFS) securities | 5,950 | 6,371 | ||
Derivative Asset, Fair Value, Gross Asset | [3] | 0 | 0 | |
Other Assets | [4] | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability | [3] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Netting adjustments | [5] | (301) | (396) | |
Derivative Liability, Netting adjustments | [5] | (170) | (213) | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Available-for-sale (AFS) securities | 0 | 0 | ||
Advances, Fair Value Disclosure | [6] | 0 | 0 | |
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | ||
Other Assets | 11 | 11 | ||
Total fair value measurements – Assets | 11 | 11 | ||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | ||
Total recurring fair value measurements – Liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,923 | 3,524 | ||
Available-for-sale (AFS) securities | 0 | 0 | ||
Advances, Fair Value Disclosure | [6] | 4,978 | 5,137 | |
Derivative Asset, Fair Value, Gross Asset | 376 | 455 | ||
Other Assets | 0 | 0 | ||
Total fair value measurements – Assets | 8,277 | 9,116 | ||
Derivative Liability, Fair Value, Gross Liability | 179 | 233 | ||
Total recurring fair value measurements – Liabilities | 6,382 | 6,950 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Available-for-sale (AFS) securities | 5,950 | 6,371 | ||
Advances, Fair Value Disclosure | [6] | 0 | 0 | |
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | ||
Other Assets | 0 | 0 | ||
Total fair value measurements – Assets | 5,950 | 6,371 | ||
Derivative Liability, Fair Value, Gross Liability | 0 | 0 | ||
Total recurring fair value measurements – Liabilities | 0 | 0 | ||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [7] | 0 | ||
REO | 0 | [7] | 0 | |
Mortgage loans held for portfolio | [7] | 0 | ||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [7] | 0 | ||
REO | 0 | [7] | 0 | |
Mortgage loans held for portfolio | [7] | 0 | ||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [7] | 5 | ||
REO | 1 | [7] | 1 | |
Mortgage loans held for portfolio | [7] | 4 | ||
FFCB bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,913 | 3,513 | ||
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,913 | 3,513 | ||
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Ginnie Mae | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 10 | 11 | ||
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 10 | 11 | ||
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 0 | 0 | ||
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 0 | 0 | ||
PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 5,950 | 6,371 | ||
Consolidated obligation bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | 6,203 | 6,717 | ||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | 0 | 0 | ||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | 45,572 | 47,021 | ||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | 0 | 0 | ||
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | [8] | 0 | 0 | |
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | [8] | 6,203 | 6,717 | |
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | [8] | 0 | 0 | |
Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,923 | 3,524 | ||
Available-for-sale (AFS) securities | 5,950 | 6,371 | ||
Other Assets | [4] | 11 | 11 | |
Mortgage loans held for portfolio | 720 | 769 | ||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,923 | 3,524 | ||
Available-for-sale (AFS) securities | 5,950 | 6,371 | ||
Advances, Fair Value Disclosure | [6] | 4,978 | 5,137 | |
Derivative assets, net: interest rate-related | 75 | 59 | ||
Other Assets | 11 | 11 | ||
Total fair value measurements – Assets | 13,937 | 15,102 | ||
Derivative liabilities, net: interest rate-related | 9 | 20 | ||
Total recurring fair value measurements – Liabilities | 6,212 | 6,737 | ||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [7] | 5 | ||
REO | 1 | [7] | 1 | |
Mortgage loans held for portfolio | [7] | 4 | ||
Estimate of Fair Value Measurement [Member] | FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,913 | 3,513 | ||
Estimate of Fair Value Measurement [Member] | Ginnie Mae | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 10 | 11 | ||
Estimate of Fair Value Measurement [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 5,950 | 6,371 | ||
Estimate of Fair Value Measurement [Member] | Consolidated obligation bonds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | 45,572 | 47,021 | ||
Estimate of Fair Value Measurement [Member] | Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Consolidated obligation bonds | [8] | $ 6,203 | $ 6,717 | |
[1] | At June 30, 2015, and December 31, 2014, none of these securities were pledged as collateral that may be repledged. | |||
[2] | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted was $86 and $65 at June 30, 2015, and December 31, 2014, respectively. Cash collateral received was $218 and $248 at June 30, 2015, and December 31, 2014, respectively. | |||
[3] | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. | |||
[4] | Represents publicly traded mutual funds held in a grantor trust. | |||
[5] | Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met. | |||
[6] | Represents advances recorded under the fair value option at June 30, 2015, and December 31, 2014. | |||
[7] | The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2015. | |||
[8] | Represents consolidated obligation bonds recorded under the fair value option at June 30, 2015, and December 31, 2014 |
Fair Value (Level 3) (Details)
Fair Value (Level 3) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Net OTTI loss, credit-related | [1] | $ (6) | $ (2) | $ (8) | $ (2) |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (9) | (1) | (11) | (2) | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | PLRMBS [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning of the period | 6,188 | 6,916 | 6,371 | 7,047 | |
Interest Income | 22 | 15 | 41 | 30 | |
Net OTTI loss, credit-related | (6) | (2) | (8) | (2) | |
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI | (2) | 79 | 18 | 160 | |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (9) | (1) | (11) | (2) | |
Settlements | (243) | (231) | (465) | (457) | |
Transfers of HTM securities to AFS securities | 0 | 0 | 4 | 0 | |
Balance, end of the period | 5,950 | 6,776 | 5,950 | 6,776 | |
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period | $ 16 | $ 14 | $ 33 | $ 29 | |
[1] | For the three months ended June 30, 2015 and 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2015 and 2014, respectively. For the six months ended June 30, 2015 and 2014, “securities for which OTTIwas previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015 and 2014, respectively |
Fair Value (Fair Value Option)
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |||
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward] | ||||||
Balance, beginning of the period | $ 5,137 | |||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | $ (26) | $ (30) | (33) | $ (69) | ||
Balance, end of the period | 4,978 | 4,978 | ||||
Advances [Member] | ||||||
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward] | ||||||
Balance, beginning of the period | 4,978 | 6,936 | 5,137 | [1] | 7,069 | |
New transactions elected for fair value option | 200 | 210 | 446 | 348 | ||
Maturities and terminations | (164) | (808) | (588) | (1,087) | ||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (36) | 4 | (16) | 12 | ||
Change in accrued interest | 0 | (1) | (1) | (1) | ||
Balance, end of the period | 4,978 | [1] | 6,341 | 4,978 | [1] | 6,341 |
Consolidated obligation bonds [Member] | ||||||
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward] | ||||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (10) | 34 | 17 | 81 | ||
Balance, beginning of the period | 6,375 | 7,298 | 6,717 | 10,115 | ||
New transactions elected for fair value option | 1,150 | 1,478 | 1,805 | 2,178 | ||
Maturities and terminations | (1,308) | (1,730) | (2,333) | (5,295) | ||
Change in accrued interest | (4) | 0 | (3) | 1 | ||
Balance, end of the period | $ 6,203 | $ 7,080 | $ 6,203 | $ 7,080 | ||
[1] | At June 30, 2015, and December 31, 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Fair Value (Fair Value Differen
Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||||
Fair Value of Advances Under the Fair Value Option | $ 4,978 | $ 5,137 | |||||||
Fair Value Over/(Under) Principal Balance | 58 | 89 | |||||||
Advances [Member] | |||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||||
Principal Balance | [1] | 4,920 | 5,048 | ||||||
Fair Value of Advances Under the Fair Value Option | 4,978 | [1] | $ 4,978 | 5,137 | [1] | $ 6,341 | $ 6,936 | $ 7,069 | |
Fair Value Over/(Under) Principal Balance | [1] | 58 | 89 | ||||||
Consolidated obligation bonds [Member] | |||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||||
Principal Balance | 6,220 | 6,748 | |||||||
Fair Value of Bonds Under the Fair Value Option | 6,203 | $ 6,375 | 6,717 | $ 7,080 | $ 7,298 | $ 10,115 | |||
Fair Value Over/(Under) Principal Balance | $ (17) | $ (31) | |||||||
[1] | At June 30, 2015, and December 31, 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies O
Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | ||
Loss Contingencies [Line Items] | |||
Total consolidated obligations, par | $ 79,210 | $ 68,538 | |
Standby Letters Of Credit, Final Expiration | 2,030 | ||
Other Liabilities | $ 115 | 117 | |
Commitments to purchase mortgage loans, maximum term | 30 days | ||
Assets Pledged as Collateral | $ 727 | 502 | |
Cash Collateral Held | 727 | 502 | |
FHLBanks [Member] | |||
Loss Contingencies [Line Items] | |||
Total consolidated obligations, par | 852,783 | 847,175 | |
Standby letters of credit outstanding [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 7,671 | 2,699 | |
Expire After One Year | 3,213 | 2,711 | |
Total | 10,884 | 5,410 | |
Other Liabilities | 16 | 12 | |
Commitments to fund advances [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | [1] | 174 | 121 |
Expire After One Year | [1] | 3 | 5 |
Total | [1] | 177 | 126 |
Commitments to Issue consolidated obligations, discount notes [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 800 | 3 | |
Expire After One Year | 0 | 0 | |
Total | 800 | 3 | |
Commitments to issue consolidated obligation bonds, par | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | [2] | 595 | 0 |
Expire After One Year | [2] | 0 | 0 |
Total | [2] | 595 | 0 |
Interest rate swaps [Member] | Commitments to fund advances [Member] | |||
Loss Contingencies [Line Items] | |||
Total | 100 | 100 | |
Interest rate swaps [Member] | Commitments to issue consolidated obligation bonds, par | |||
Loss Contingencies [Line Items] | |||
Total | $ 595 | 0 | |
Minimum [Member] | |||
Loss Contingencies [Line Items] | |||
Standby Letters Of Credit, Original Terms | 44 days | ||
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Standby Letters Of Credit, Original Terms | 15 years | ||
Guarantee of Indebtedness of Others [Member] | |||
Loss Contingencies [Line Items] | |||
Total consolidated obligations, par | $ 79,210 | 68,538 | |
Mortgages [Member] | Commitments to purchase mortgage loans [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 7 | 0 | |
Expire After One Year | 0 | 0 | |
Total | $ 7 | $ 0 | |
[1] | At June 30, 2015, and December 31, 2014, $100 of the commitments to fund additional advances were hedged with associated interest rate swaps. | ||
[2] | At June 30, 2015, all of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps. |
Transactions with Certain Mem98
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||||||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |||||||
Assets: | ||||||||||||||
Advances | $ 50,188 | $ 50,188 | $ 38,986 | |||||||||||
Mortgage loans held for portfolio | 671 | 671 | 708 | |||||||||||
Accrued interest receivable | 63 | 63 | 67 | |||||||||||
Other assets | 92 | 92 | 90 | |||||||||||
Derivative assets, Net | 75 | 75 | 59 | |||||||||||
Liabilities: | ||||||||||||||
Mandatorily redeemable capital stock | 142 | $ 1,176 | 142 | $ 1,176 | $ 383 | 719 | $ 1,644 | $ 2,071 | ||||||
Derivative liabilities, Net | 9 | 9 | 20 | |||||||||||
Derivative, Notional Amount | 71,477 | 71,477 | 62,297 | |||||||||||
Interest Income: | ||||||||||||||
Advances | 73 | 76 | 140 | 155 | ||||||||||
Mortgage loans held for portfolio | 8 | 11 | 17 | 22 | ||||||||||
Interest Expense: | ||||||||||||||
Mandatorily redeemable capital stock | [1] | 38 | 34 | 53 | 73 | |||||||||
Other Income/(Loss): | ||||||||||||||
Net gain/(loss) on derivatives and hedging activities | 27 | (24) | 6 | (34) | ||||||||||
Certain Members And Certain Nonmembers [Member] | ||||||||||||||
Assets: | ||||||||||||||
Investments | 348 | [2] | 348 | [2] | 139 | [3] | ||||||||
Advances | 15,795 | 15,795 | 5,081 | |||||||||||
Mortgage loans held for portfolio | 526 | 526 | 33 | |||||||||||
Accrued interest receivable | 20 | 20 | 6 | |||||||||||
Other assets | 0 | 0 | 18 | |||||||||||
Derivative assets, Net | 1 | 1 | 0 | |||||||||||
Total Assets | 16,690 | 16,690 | 5,277 | |||||||||||
Liabilities: | ||||||||||||||
Deposits | 9 | 9 | 3 | |||||||||||
Mandatorily redeemable capital stock | 40 | 40 | 577 | |||||||||||
Derivative liabilities, Net | 0 | 0 | 18 | |||||||||||
Total Liabilities | 49 | 49 | 598 | |||||||||||
Derivative, Notional Amount | 7,252 | 7,252 | 2,858 | |||||||||||
Standby letters of credit | 75 | 75 | $ 21 | |||||||||||
Interest Income: | ||||||||||||||
Investments | 3 | [2] | 13 | [3] | 5 | [2] | 18 | [2] | ||||||
Advances | [4] | 24 | 15 | 44 | 39 | |||||||||
Mortgage loans held for portfolio | 7 | 1 | 14 | 10 | ||||||||||
Total | 34 | 29 | 63 | 67 | ||||||||||
Interest Expense: | ||||||||||||||
Mandatorily redeemable capital stock | 4 | 21 | 5 | 46 | ||||||||||
Consolidated Obligations | [4] | (28) | (2) | (56) | (38) | |||||||||
Interest Income, Related Parties | (24) | (51) | ||||||||||||
Interest Expense, Related Party | 19 | 8 | ||||||||||||
Other Income/(Loss): | ||||||||||||||
Net gain/(loss) on derivatives and hedging activities | (18) | (261) | (51) | (305) | ||||||||||
Total Other Income (Loss) | $ (18) | $ (261) | $ (51) | $ (305) | ||||||||||
Minimum [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Transaction with Certain Members and Nonmembers, Definition, Capital Stock, Percent | 10.00% | 10.00% | ||||||||||||
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments | |||||||||||||
[2] | Investments consist of securities purchased under agreements to resell, Federal funds sold, AFS securities, and HTM securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates. | |||||||||||||
[3] | Investments consist of securities purchased under agreements to resell, Federal funds sold, AFS securities, and HTM securities issued by and/or purchased from the members or nonmembers described in this section or their affiliates. | |||||||||||||
[4] | Reflects the effect of associated derivatives with the members or nonmembers described in this section or their affiliates |
Subsequent Events Narrative (De
Subsequent Events Narrative (Details) | Aug. 03, 2015 | Jun. 30, 2015 |
Federal Home Loan Bank Advances [Member] | ||
Subsequent Event [Line Items] | ||
Membership Activity-based Stock Requirement | 3.00% | |
Federal Home Loan Bank Advances [Member] | Subsequent Event [Member] | ||
Subsequent Event [Line Items] | ||
Membership Activity-based Stock Requirement | 2.70% | |
Mortgage Loans on Real Estate [Member] | ||
Subsequent Event [Line Items] | ||
Membership Activity-based Stock Requirement | 3.00% | |
Mortgage Loans on Real Estate [Member] | Subsequent Event [Member] | ||
Subsequent Event [Line Items] | ||
Membership Activity-based Stock Requirement | 0.00% |
Uncategorized Items - fhlbsf-20
Label | Element | Value |
Net Income (Loss) Attributable to Parent, Net of Federal Home Loan Bank Assessments | us-gaap_NetIncomeLossAttributableToParentNetOfFederalHomeLoanBankAssessments | $ 39 |
Net Income (Loss) Attributable to Parent, Net of Federal Home Loan Bank Assessments | us-gaap_NetIncomeLossAttributableToParentNetOfFederalHomeLoanBankAssessments | $ 61 |