Document and Entity Information
Document and Entity Information Document - shares | 6 Months Ended | |
Jun. 30, 2018 | Jul. 31, 2018 | |
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, 2018 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2,018 | |
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 | 31,014,964 |
Statements of Condition
Statements of Condition - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Assets: | |||
Cash and due from banks | $ 44 | $ 31 | |
Interest-bearing deposits | 2,035 | 1,115 | |
Securities purchased under agreements to resell | 4,000 | 11,750 | |
Federal funds sold | 8,727 | 11,028 | |
Trading securities | [1] | 662 | 1,164 |
Available-for-sale (AFS) securities | [1] | 3,510 | 3,833 |
Held-to-maturity (HTM) securities (fair values were $13,739 and $14,704, respectively) | [1],[2] | 13,769 | 14,680 |
Advances (includes $6,083 and $6,431 at fair value under the fair value option, respectively) | 70,314 | 77,382 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively | 2,728 | 2,076 | |
Accrued interest receivable | 161 | 119 | |
Premises, software, and equipment, net | 22 | 29 | |
Derivative assets, net | 141 | 83 | |
Other assets | 95 | 95 | |
Total Assets | 106,208 | 123,385 | |
Liabilities: | |||
Deposits | 379 | 281 | |
Consolidated obligations: | |||
Bonds (includes $1,404 and $949 at fair value under the fair value option, respectively) | 74,061 | 85,063 | |
Discount notes | 24,519 | 30,440 | |
Total consolidated obligations | 98,580 | 115,503 | |
Mandatorily redeemable capital stock | 255 | 309 | |
Accrued interest payable | 131 | 116 | |
Affordable Housing Program (AHP) payable | 198 | 204 | |
Derivative liabilities, net | 2 | 1 | |
Other liabilities | 164 | 165 | |
Total Liabilities | 99,709 | 116,579 | |
Commitments and Contingencies (Note 17) | |||
Capital: | |||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 29 shares and 32 shares, respectively | 2,850 | 3,243 | |
Unrestricted retained earnings | 2,707 | 2,670 | |
Restricted retained earnings | 612 | 575 | |
Total Retained Earnings | 3,319 | 3,245 | |
Accumulated other comprehensive income/(loss) (AOCI) | 330 | 318 | |
Total Capital | 6,499 | 6,806 | |
Total Liabilities and Capital | $ 106,208 | $ 123,385 | |
[1] | At June 30, 2018 , and December 31, 2017 , none | ||
[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. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Trading securities pledged as collateral that may be repledged | $ 0 | $ 0 | |
Available-for-sale securities pledged as collateral that may be repledged | 0 | 0 | |
Held-to-maturity securities pledged as collateral that may be repledged | 0 | 0 | |
Assets: | |||
Fair Value of Held-to-maturity securities | 13,739 | 14,704 | |
Fair Value of Advances Under the Fair Value Option | 6,083 | [1] | 6,431 |
Allowance for credit losses on mortgage loans | $ 0 | $ 0 | |
Capital: | |||
Common stock, par value | $ 100 | ||
Common Class B [Member] | |||
Capital: | |||
Common stock, par value | $ 100 | $ 100 | |
Common stock, shares issued | 29 | 32 | |
Common stock, shares outstanding | 29 | 32 | |
Consolidated obligation bonds | |||
Liabilities: | |||
Fair Value of Bonds Under the Fair Value Option | $ 1,404 | $ 949 | |
[1] | At June 30, 2018 , and December 31, 2017 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Interest Income: | |||||
Advances | $ 379 | $ 193 | $ 748 | $ 346 | |
Prepayment fees on advances, net | 1 | 0 | 1 | 0 | |
Interest-bearing deposits | 6 | 2 | 10 | 3 | |
Securities purchased under agreements to resell | 23 | 3 | 32 | 4 | |
Federal funds sold | 42 | 26 | 93 | 45 | |
Trading securities | 4 | 4 | 8 | 8 | |
AFS securities | 56 | 60 | 113 | 121 | |
HTM securities | 87 | 67 | 168 | 134 | |
Mortgage loans held for portfolio | 23 | 11 | 44 | 20 | |
Total Interest Income | 621 | 366 | 1,217 | 681 | |
Interest Expense: | |||||
Bonds | 339 | 147 | 646 | 263 | |
Discount notes | 122 | 67 | 256 | 121 | |
Deposits | 1 | 1 | 2 | 1 | |
Mandatorily redeemable capital stock | [1] | 5 | 7 | 11 | 18 |
Total Interest Expense | 467 | 222 | 915 | 403 | |
Net Interest Income | 154 | 144 | 302 | 278 | |
Provision for/(reversal of) credit losses on mortgage loans | 0 | 0 | 0 | 0 | |
Net Interest Income After Mortgage Loan Loss Provision | 154 | 144 | 302 | 278 | |
Other Income/(Loss): | |||||
Total other-than-temporary impairment (OTTI) loss | (13) | (7) | (16) | (8) | |
Net amount of OTTI loss reclassified to/(from) AOCI | 8 | 1 | 10 | (1) | |
Net OTTI loss, credit-related | (5) | (6) | (6) | (9) | |
Net gain/(loss) on trading securities | 0 | (1) | (1) | 0 | |
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (12) | 5 | (53) | 4 | |
Net gain/(loss) on derivatives and hedging activities | 17 | (19) | 48 | (28) | |
Gains on litigation settlements, net | 0 | 0 | 0 | 119 | |
Other | 5 | 5 | 9 | 10 | |
Total Other Income/(Loss) | 5 | (16) | (3) | 96 | |
Other Expense: | |||||
Compensation and benefits | 19 | 19 | 40 | 38 | |
Other operating expense | 16 | 16 | 30 | 30 | |
Federal Housing Finance Agency | 2 | 1 | 3 | 3 | |
Office of Finance | 1 | 2 | 3 | 3 | |
Quality Jobs Fund expense | 5 | 0 | 15 | 40 | |
Other, net | 0 | 1 | 1 | 5 | |
Total Other Expense | 43 | 39 | 92 | 119 | |
Income/(Loss) Before Assessment | 116 | 89 | 207 | 255 | |
AHP Assessment | 12 | 9 | 22 | 27 | |
Net Income/(Loss) | $ 104 | $ 80 | $ 185 | $ 228 | |
[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 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income/(Loss) | $ 104 | $ 80 | $ 185 | $ 228 |
Other Comprehensive Income/(Loss): | ||||
Net change in pension and postretirement benefits | 0 | 0 | 1 | 0 |
Net non-credit-related OTTI gain/(loss) on AFS securities: | ||||
Net change in fair value of other-than-temporarily impaired securities | 3 | 84 | 20 | 113 |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (8) | (1) | (10) | 1 |
Total net non-credit-related OTTI gain/(loss) on AFS securities | (5) | 83 | 10 | 114 |
Accretion of non-credit-related OTTI loss | 0 | 1 | 1 | 2 |
Total net non-credit-related OTTI gain/(loss) on HTM securities | 0 | 1 | 1 | 2 |
Total other comprehensive income/(loss) | (5) | 84 | 12 | 116 |
Total Comprehensive Income/(Loss) | $ 99 | $ 164 | $ 197 | $ 344 |
Statements of Capital Accounts
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions | Total | Total Retained Earnings | Total Restricted Retained Earnings | Unrestricted [Member] | Accumulated Other Comprehensive Income/(Loss) | Common Class B - Putable [Member]Common Stock [Member] |
Balance, Shares at Dec. 31, 2016 | 24 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 5 | |||||
Repurchase of capital stock, shares | (2) | |||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Balance, Shares at Jun. 30, 2017 | 27 | |||||
Balance at Dec. 31, 2016 | $ 5,537 | $ 3,056 | $ 2,168 | $ 888 | $ 111 | $ 2,370 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 344 | 228 | 149 | 79 | 116 | |
Issuance of capital stock, value | 551 | 551 | ||||
Repurchase of capital stock, value | (232) | (232) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (2) | (2) | ||||
Cash dividends on capital stock | (95) | (95) | (95) | |||
Balance at Jun. 30, 2017 | 6,103 | 3,189 | 2,317 | 872 | 227 | $ 2,687 |
Balance, Shares at Jun. 30, 2017 | 27 | |||||
Balance at Mar. 31, 2017 | 3,150 | 2,300 | 850 | 143 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 164 | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (2) | |||||
Cash dividends on capital stock | (41) | (41) | ||||
Balance at Jun. 30, 2017 | 6,103 | 3,189 | 2,317 | 872 | 227 | $ 2,687 |
Balance, Shares at Dec. 31, 2017 | 32 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 7 | |||||
Repurchase of capital stock, shares | (10) | |||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Balance, Shares at Jun. 30, 2018 | 29 | |||||
Balance at Dec. 31, 2017 | 6,806 | 3,245 | 575 | 2,670 | 318 | $ 3,243 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 197 | 185 | 37 | 148 | 12 | |
Issuance of capital stock, value | 681 | 681 | ||||
Repurchase of capital stock, value | (1,072) | (1,072) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (2) | (2) | ||||
Cash dividends on capital stock | (111) | (111) | (111) | |||
Balance at Jun. 30, 2018 | 6,499 | 3,319 | 612 | 2,707 | 330 | $ 2,850 |
Balance, Shares at Jun. 30, 2018 | 29 | |||||
Balance at Mar. 31, 2018 | 3,273 | 592 | 2,681 | 335 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 99 | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (2) | |||||
Cash dividends on capital stock | (58) | (58) | ||||
Balance at Jun. 30, 2018 | $ 6,499 | $ 3,319 | $ 612 | $ 2,707 | $ 330 | $ 2,850 |
Statements of Capital Accounts
Statements of Capital Accounts (Parenthetical) | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Statement of Stockholders' Equity [Abstract] | ||
Annualized Dividend Rate on Capital Stock | 7.00% | 8.04% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Net Cash Provided by (Used in) Operating Activities | ||
Net Income/(Loss) | $ 185 | $ 228 |
Adjustments to reconcile net income/(loss) to net cash provided by operating activities: | ||
Depreciation and amortization | (24) | (23) |
Provision for Loan Losses Expensed | 0 | 0 |
Change in net fair value of trading securities | 1 | 0 |
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | 53 | (4) |
Change in net derivatives and hedging activities | 140 | 12 |
Net OTTI loss, credit-related | 6 | 9 |
Net change in: | ||
Accrued interest receivable | (44) | 7 |
Other assets | (3) | 17 |
Accrued interest payable | 19 | 9 |
Other liabilities | (16) | (17) |
Total adjustments | 132 | 10 |
Net cash provided by/(used in) operating activities | 317 | 238 |
Net Cash Provided by (Used in) Investing Activities | ||
Interest-bearing deposits | (1,105) | (176) |
Securities purchased under agreements to resell | 7,750 | (1,000) |
Federal funds sold | 2,301 | (3,988) |
Premises, software, and equipment | 0 | (11) |
Trading securities: | ||
Proceeds from maturities of long-term | 501 | 801 |
AFS securities: | ||
Proceeds from maturities of long-term | 381 | 476 |
HTM securities: | ||
Net (increase)/decrease in short-term | (50) | 450 |
Proceeds from maturities of long-term | 1,582 | 1,456 |
Purchases of long-term | (629) | (1,998) |
Advances: | ||
Repaid | 999,983 | 815,993 |
Originated | (993,050) | (821,323) |
Mortgage loans held for portfolio: | ||
Principal collected | 132 | 65 |
Purchases | (777) | (610) |
Proceeds from sales of foreclosed assets | 0 | 2 |
Net cash provided by/(used in) investing activities | 17,019 | (9,863) |
Net Cash Provided by (Used in) Financing Activities | ||
Net change in deposits and other financing activities | 111 | 269 |
Borrowings from other FHLBanks | 0 | (1,345) |
Net proceeds from issuance of consolidated obligations: | ||
Bonds | 41,662 | 34,821 |
Discount notes | 72,788 | 78,530 |
Payments for matured and retired consolidated obligations: | ||
Bonds | (52,606) | (24,072) |
Discount notes | (78,720) | (78,719) |
Proceeds from issuance of capital stock | 681 | 551 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (56) | (55) |
Payments for repurchase of capital stock | (1,072) | (232) |
Cash dividends paid | (111) | (95) |
Net cash provided by/(used in) financing activities | (17,323) | 9,653 |
Net increase/(decrease) in cash and due from banks | 13 | 28 |
Cash and due from banks at beginning of the period | 31 | 2 |
Cash and due from banks at end of the period | 44 | 30 |
Supplemental Disclosures: | ||
Interest paid | 888 | 391 |
AHP payments | 29 | 23 |
Supplemental Disclosures of Noncash Investing and Financing Activities: | ||
Transfers of other-than-temporarily impaired HTM securities to AFS securities | 12 | 0 |
Transfers of capital stock to mandatorily redeemable capital stock | $ 2 | $ 2 |
Basis of Presentation (Notes)
Basis of Presentation (Notes) | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | 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, 2018 . 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, 2017 ( 2017 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. Derivatives. All derivatives are recognized on the Statements of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and certain variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities on the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative. The Bank uses the clearinghouse, London Clearing House (LCH) Ltd, for all cleared derivative transactions. Effective January 16, 2018, LCH Ltd made certain amendments to its rulebook, changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral. Initial margin continues to be considered cash collateral. 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, 2018 , 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. 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 2017 Form 10-K. Other changes to these policies as of June 30, 2018 |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 6 Months Ended |
Jun. 30, 2018 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued and Adopted Accounting Guidance | Recently Issued and Adopted Accounting Guidance Targeted Improvements to Accounting for Hedging Activities. On August 28, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the amendments include certain targeted improvements to the assessment of hedge effectiveness and permit, among other things, the following: • Measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. • Measurement of the hedged item in a partial-term fair value hedge of interest rate risk by assuming the hedged item has a term that reflects only the designated cash flows being hedged. • Consideration only of how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest rate risk. • For a cash flow hedge of interest rate risk of a variable-rate financial instrument, an entity could designate as the hedged risk the variability in cash flows attributable to the contractually specified interest rate. This guidance becomes effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. The amended presentation and disclosure guidance is required only prospectively. The Bank does not intend to adopt this guidance early. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures has not yet been determined. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The adoption of this guidance is not expected to have any effect on the Bank’s financial condition, results of operations, or cash flows. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the Statements of Income. This guidance became effective for the Bank for interim and annual periods beginning on January 1, 2018, and was adopted retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the Statements of Income. The adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, cash flows, or financial statement disclosures. Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the Statements of Cash Flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the Statements of Cash Flows. This guidance became effective for the Bank for interim and annual periods beginning on January 1, 2018. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments. On June 16, 2016, the FASB issued amended guidance for the accounting for credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate under the circumstances. In addition, under the new guidance, a financial asset, or a group of financial assets, is required to be measured at its amortized cost to be presented at the net amount expected to be collected over the contractual term of the financial assets. Among other things, the guidance also requires: • The Statement of Income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period. • The entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost basis in a similar manner to other financial assets measured at amortized cost basis. The initial allowance for credit losses is required to be added to the purchase price. • Credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost. • Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage). The guidance is effective for the Bank for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, the entities are required to use a prospective transition approach for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. The Bank does not intend to adopt the guidance early. The Bank is in the process of evaluating this guidance and expects the adoption of the guidance may result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset, including an allowance for debt securities. The effect on the Bank’s financial condition, results of operations, and cash flows will depend on the composition of financial assets held by the Bank at the adoption date, as well as on economic conditions and forecasts at that time. Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous U.S. GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within U.S. GAAP. The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank does not intend to adopt this guidance early. Upon adoption, the Bank expects to report higher assets and liabilities as a result of recording right-of-use assets and lease liabilities for its existing leases on the Statements of Condition. The Bank is in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows is not expected to be material. Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following: • Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income; • Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments; • Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the Statement of Condition or in the accompanying notes to the financial statements; • Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the Statement of Condition. The guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2018. While the adoption of this guidance affected the Bank’s disclosures, the requirement to present the instrument-specific credit risk in other comprehensive income did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Revenue from Contracts with Customers. |
Trading Securities
Trading Securities | 6 Months Ended |
Jun. 30, 2018 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities The estimated fair value of trading securities as of June 30, 2018 , and December 31, 2017 , was as follows: June 30, 2018 December 31, 2017 Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds $ 657 $ 1,158 MBS – Other U.S. obligations – Ginnie Mae 5 6 Total $ 662 $ 1,164 The net unrealized gain/(loss) on trading securities was de minimis and $(1) for the three months ended June 30, 2018 and 2017 , respectively. The net unrealized gain/(loss) on trading securities was $(1) and de minimis for the six months ended June 30, 2018 and 2017 |
Available-for-Sale Securities
Available-for-Sale Securities | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 , and December 31, 2017 , were as follows: June 30, 2018 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 294 $ — $ 29 $ — $ 323 Alt-A, option ARM 639 (7 ) 137 — 769 Alt-A, other 2,230 (13 ) 201 — 2,418 Total $ 3,163 $ (20 ) $ 367 $ — $ 3,510 December 31, 2017 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 335 $ — $ 29 $ — $ 364 Alt-A, option ARM 714 (10 ) 130 — 834 Alt-A, other 2,447 (23 ) 211 — 2,635 Total $ 3,496 $ (33 ) $ 370 $ — $ 3,833 (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, 2018 , the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $742 . At December 31, 2017 , the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $801 . The following table summarizes the AFS securities with unrealized losses as of June 30, 2018 , and December 31, 2017 . 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, 2018 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 $ 2 $ — $ 8 $ — $ 10 $ — Alt-A, option ARM — — 137 7 137 7 Alt-A, other 49 — 277 13 326 13 Total $ 51 $ — $ 422 $ 20 $ 473 $ 20 December 31, 2017 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 $ — $ — $ 11 $ — $ 11 $ — Alt-A, option ARM — — 144 10 144 10 Alt-A, other 5 — 356 23 361 23 Total $ 5 $ — $ 511 $ 33 $ 516 $ 33 As indicated in the tables above, as of June 30, 2018 , the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. See Note 6 – Other-Than-Temporary Impairment Analysis |
Held-to-Maturity Securities
Held-to-Maturity Securities | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Certificates of deposit $ 550 $ — $ 550 $ — $ — $ 550 Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 155 $ — $ 155 $ — $ (8 ) $ 147 MBS: Other U.S. obligations – single-family: Ginnie Mae 678 — 678 — (12 ) 666 GSEs – single-family: Freddie Mac 1,760 — 1,760 7 (33 ) 1,734 Fannie Mae 3,098 — 3,098 23 (20 ) 3,101 Subtotal GSEs – single-family 4,858 — 4,858 30 (53 ) 4,835 GSEs – multifamily: Freddie Mac 4,855 — 4,855 6 — 4,861 Fannie Mae 1,993 — 1,993 — (1 ) 1,992 Subtotal GSEs – multifamily 6,848 — 6,848 6 (1 ) 6,853 Subtotal GSEs 11,706 — 11,706 36 (54 ) 11,688 PLRMBS: Prime 443 — 443 4 (4 ) 443 Alt-A, other 242 (5 ) 237 10 (2 ) 245 Subtotal PLRMBS 685 (5 ) 680 14 (6 ) 688 Total MBS 13,069 (5 ) 13,064 50 (72 ) 13,042 Total $ 13,774 $ (5 ) $ 13,769 $ 50 $ (80 ) $ 13,739 December 31, 2017 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Certificates of deposit $ 500 $ — $ 500 $ — $ — $ 500 Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds 187 — 187 — (9 ) 178 MBS: Other U.S. obligations – single-family: Ginnie Mae 751 — 751 1 (1 ) 751 GSEs – single-family: Freddie Mac 2,039 — 2,039 12 (15 ) 2,036 Fannie Mae 3,600 — 3,600 34 (8 ) 3,626 Subtotal GSEs – single-family 5,639 — 5,639 46 (23 ) 5,662 GSEs – multifamily: Freddie Mac 4,651 — 4,651 6 (6 ) 4,651 Fannie Mae 2,131 — 2,131 2 — 2,133 Subtotal GSEs – multifamily 6,782 — 6,782 8 (6 ) 6,784 Subtotal GSEs 12,421 — 12,421 54 (29 ) 12,446 PLRMBS: Prime 521 — 521 5 (6 ) 520 Alt-A, other 306 (6 ) 300 11 (2 ) 309 Subtotal PLRMBS 827 (6 ) 821 16 (8 ) 829 Total MBS 13,999 (6 ) 13,993 71 (38 ) 14,026 Total $ 14,686 $ (6 ) $ 14,680 $ 71 $ (47 ) $ 14,704 (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, 2018 , the amortized cost of the Bank’s MBS classified as HTM included premiums of $16 , discounts of $21 , and credit-related OTTI of $7 . At December 31, 2017 , the amortized cost of the Bank’s MBS classified as HTM included premiums of $19 , discounts of $24 , and credit-related OTTI of $7 . The following tables summarize the HTM securities with unrealized losses as of June 30, 2018 , and December 31, 2017 . 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, 2018 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 $ — $ — $ 147 $ 8 $ 147 $ 8 MBS: Other U.S. obligations – single-family: Ginnie Mae 604 12 — — 604 12 GSEs – single-family: Freddie Mac 1,015 23 280 10 1,295 33 Fannie Mae 944 14 177 6 1,121 20 Subtotal GSEs – single-family 1,959 37 457 16 2,416 53 GSEs – multifamily: Freddie Mac 444 — — — 444 — Fannie Mae 950 1 133 — 1,083 1 Subtotal GSEs – multifamily 1,394 1 133 — 1,527 1 Subtotal GSEs 3,353 38 590 16 3,943 54 PLRMBS: Prime 23 — 148 4 171 4 Alt-A, other 44 — 139 7 183 7 Subtotal PLRMBS 67 — 287 11 354 11 Total MBS 4,024 50 877 27 4,901 77 Total $ 4,024 $ 50 $ 1,024 $ 35 $ 5,048 $ 85 December 31, 2017 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 $ — $ — $ 178 $ 9 $ 178 $ 9 MBS: Other U.S. obligations – single-family: Ginnie Mae 406 1 — — 406 1 GSEs – single-family: Freddie Mac 895 9 323 6 1,218 15 Fannie Mae 702 4 205 4 907 8 Subtotal GSEs – single-family 1,597 13 528 10 2,125 23 GSEs – multifamily: Freddie Mac 1,058 6 — — 1,058 6 Fannie Mae 456 — — — 456 — Subtotal GSEs – multifamily 1,514 6 — — 1,514 6 Subtotal GSEs 3,111 19 528 10 3,639 29 PLRMBS: Prime 2 — 202 6 204 6 Alt-A, other 15 — 191 8 206 8 Subtotal PLRMBS 17 — 393 14 410 14 Total MBS 3,534 20 921 24 4,455 44 Total $ 3,534 $ 20 $ 1,099 $ 33 $ 4,633 $ 53 As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses on 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 and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized 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, 2018 , and December 31, 2017 , 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, 2018 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due in 1 year or less $ 550 $ 550 $ 550 Due after 10 years 155 155 147 Subtotal 705 705 697 MBS 13,069 13,064 13,042 Total $ 13,774 $ 13,769 $ 13,739 December 31, 2017 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due in 1 year or less $ 500 $ 500 $ 500 Due after 5 years through 10 years 12 12 12 Due after 10 years 175 175 166 Subtotal 687 687 678 MBS 13,999 13,993 14,026 Total $ 14,686 $ 14,680 $ 14,704 (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. See Note 6 – Other-Than-Temporary Impairment Analysis |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment Analysis | 6 Months Ended |
Jun. 30, 2018 | |
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 do not meet either 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 8.0% to an increase of 13.0% over the 12-month period beginning April 1, 2018 . For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 7.0% . 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, 2018 (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 during the second quarter of 2018 , and the related current credit enhancement for the Bank. June 30, 2018 Significant Inputs for Other-Than-Temporarily Impaired PLRMBS Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Year of Securitization Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Alt-A, option ARM 2006 7.7 40.9 34.8 — Total Alt-A, option ARM 7.7 40.9 34.8 — Alt-A, other 2007 10.0 28.4 40.6 0.3 2006 10.6 25.4 39.4 20.6 2005 14.4 13.8 34.4 0.1 2004 and earlier 17.7 12.6 32.3 14.0 Total Alt-A, other 10.8 25.9 39.5 8.4 Total 10.4 27.8 38.9 7.4 (1) Weighted average percentage is based on unpaid principal balance. 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 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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, 2018 2017 2018 2017 Balance, beginning of the period $ 1,113 $ 1,169 $ 1,129 $ 1,183 Additional charges on securities for which OTTI was previously recognized (1) 5 6 6 9 Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities (2) (15 ) (17 ) (32 ) (34 ) Balance, end of the period $ 1,103 $ 1,158 $ 1,103 $ 1,158 (1) For the three months ended June 30, 2018 and 2017 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2018 and 2017 , respectively. For the six months ended June 30, 2018 and 2017 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2018 and 2017 , respectively. (2) The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $20 and $23 for the three months ended June 30, 2018 and 2017 , respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $42 and $46 for the six months ended June 30, 2018 and 2017 , 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. In general, the Bank elects to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s held-to-maturity portfolio to its available-for-sale portfolio at their fair values. The Bank recognized an OTTI credit loss on these held-to-maturity PLRMBS, which the Bank believes is evidence of a significant decline in the issuers’ creditworthiness. The decline in the issuers’ creditworthiness is the basis for the transfers to the available-for-sale portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities 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. 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, 2018 . 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, 2017 . Three Months Ended June 30, 2018 Six Months Ended June 30, 2018 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: Alt-A, other $ 12 $ — $ — $ 12 $ 12 $ — $ — $ 12 Total $ 12 $ — $ — $ 12 $ 12 $ — $ — $ 12 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, 2018 , and December 31, 2017 , by loan collateral type: June 30, 2018 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 $ 356 $ 294 $ 323 $ — $ — $ — $ — Alt-A, option ARM 859 639 769 — — — — Alt-A, other 2,679 2,230 2,418 58 53 49 58 Total $ 3,894 $ 3,163 $ 3,510 $ 58 $ 53 $ 49 $ 58 December 31, 2017 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 $ 405 $ 335 $ 364 $ — $ — $ — $ — Alt-A, option ARM 953 714 834 — — — — Alt-A, other 2,927 2,447 2,635 64 59 53 63 Total $ 4,285 $ 3,496 $ 3,833 $ 64 $ 59 $ 53 $ 63 For the Bank’s PLRMBS that were not other-than-temporarily impaired as of June 30, 2018 , the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized 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, 2018 , 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, 2018 , 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, 2018 |
Advances
Advances | 6 Months Ended |
Jun. 30, 2018 | |
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 0.86% to 8.57% at June 30, 2018 , and 0.79% to 8.57% at December 31, 2017 , as summarized below. June 30, 2018 December 31, 2017 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 41,660 2.03 % $ 46,403 1.46 % After 1 year through 2 years 14,131 2.19 16,287 1.61 After 2 years through 3 years 7,524 2.30 5,423 1.73 After 3 years through 4 years 4,596 2.42 6,719 1.69 After 4 years through 5 years 1,550 2.48 1,741 2.10 After 5 years 1,092 3.24 913 3.13 Total par value 70,553 2.14 % 77,486 1.57 % Valuation adjustments for hedging activities (161 ) (88 ) Valuation adjustments under fair value option (78 ) (16 ) Total $ 70,314 $ 77,382 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 $5,109 at June 30, 2018 , and $4,619 at December 31, 2017 . Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $12,817 at June 30, 2018 , and $18,373 at December 31, 2017 . The Bank’s advances at June 30, 2018 , included $10 of putable advances. The Bank had no outstanding putable advances at December 31, 2017 . 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 relative to contractual rates. The following table summarizes advances at June 30, 2018 , and December 31, 2017 , 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, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Within 1 year $ 45,877 $ 52,624 $ 41,665 $ 46,403 After 1 year through 2 years 13,256 12,593 14,136 16,287 After 2 years through 3 years 7,224 7,973 7,524 5,423 After 3 years through 4 years 1,596 1,719 4,596 6,719 After 4 years through 5 years 1,544 1,729 1,550 1,741 After 5 years 1,056 848 1,082 913 Total par value $ 70,553 $ 77,486 $ 70,553 $ 77,486 Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 2018 and 2017 . 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, 2018 and 2017 . June 30, 2018 Three Months Ended Six Months Ended Name of Borrower Advances Percentage of Interest Income from Advances (1) Percentage of Interest (1) Percentage of MUFG Union Bank, National Association $ 13,400 19 % $ 60 16 % $ 104 14 % First Republic Bank 10,250 14 46 13 81 11 JPMorgan Chase Bank, National Association (2) 9,361 13 54 15 104 14 Bank of the West 7,508 11 35 10 64 9 Wells Fargo Financial National Bank 4,000 6 21 6 38 6 Subtotal 44,519 63 216 60 391 54 Others 26,034 37 145 40 336 46 Total par value $ 70,553 100 % $ 361 100 % $ 727 100 % June 30, 2017 Three Months Ended Six Months Ended Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest (1) Percentage of Interest Income from Advances (1) Percentage of Total Interest Income from Advances JPMorgan Chase Bank, National Association (2) $ 12,805 23 % $ 45 22 % $ 86 24 % Bank of the West 9,110 17 19 10 33 9 First Republic Bank 7,700 14 28 14 48 14 MUFG Union Bank, National Association 4,600 8 6 3 8 2 CIT Bank, N.A. 2,396 4 8 4 16 4 Subtotal 36,611 66 106 53 191 53 Others 18,576 34 95 47 171 47 Total par value $ 55,187 100 % $ 201 100 % $ 362 100 % (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, 2018 , and December 31, 2017 , are detailed below: June 30, 2018 December 31, 2017 Par value of advances: Fixed rate: Due within 1 year $ 23,275 $ 31,767 Due after 1 year 17,185 13,022 Total fixed rate 40,460 44,789 Adjustable rate: Due within 1 year 18,385 14,636 Due after 1 year 11,708 18,061 Total adjustable rate 30,093 32,697 Total par value $ 70,553 $ 77,486 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, 2018 , or December 31, 2017 . 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 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2018 | |
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 from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.) In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product; of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product; and of government-insured or government-guaranteed mortgage loans that will be packaged into securities backed by the mortgage loans and guaranteed by Ginnie Mae under the MPF Government MBS product. When members sell mortgage loans under the MPF Xtra, MPF Direct, and MPF Government MBS products, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition. From May 2002 through October 2006, the Bank purchased conventional conforming fixed rate mortgage loans from its participating financial institutions under the MPF Original 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, 2018 , and December 31, 2017 , on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. June 30, 2018 December 31, 2017 Fixed rate medium-term mortgage loans $ 20 $ 32 Fixed rate long-term mortgage loans 2,618 1,973 Subtotal 2,638 2,005 Unamortized premiums 95 76 Unamortized discounts (5 ) (5 ) Mortgage loans held for portfolio 2,728 2,076 Less: Allowance for credit losses — — Total mortgage loans held for portfolio, net $ 2,728 $ 2,076 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, 2018 | |
Loans and Leases Receivable Disclosure [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The Bank has established an allowance methodology for each of its portfolio segments: advances, letters of credit, and other extensions of credit, collectively referred to as “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 2017 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, 2018 , and December 31, 2017 , 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, 2018 , or during 2017 . 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, 2018 , 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. Mortgage Loans Held for Portfolio. The following table presents information on delinquent mortgage loans as of June 30, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Recorded Investment (1) Recorded Investment (1) 30 – 59 days delinquent $ 7 $ 8 60 – 89 days delinquent 2 2 90 days or more delinquent 11 12 Total past due 20 22 Total current loans 2,723 2,065 Total mortgage loans $ 2,743 $ 2,087 In process of foreclosure, included above (2) $ 3 $ 3 Nonaccrual loans $ 11 $ 12 Loans past due 90 days or more and still accruing interest $ — $ — Serious delinquencies as a percentage of total mortgage loans outstanding (3) 0.41 % 0.59 % (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 amounts of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis during the three and six months ended June 30, 2018 and 2017 . The recorded investment by impairment methodology for individually and collectively evaluated impaired loans is as follows: (In millions) June 30, 2018 December 31, 2017 Recorded investment, end of the period: Individually evaluated for impairment $ 9 $ 9 Collectively evaluated for impairment 2,734 2,078 Total recorded investment $ 2,743 $ 2,087 The allowance for credit losses for loans collectively evaluated for impairment totaled de minimis amounts as of June 30, 2018 , and December 31, 2017 . The Bank had no allowance for credit losses for loans individually evaluated for impairment as of June 30, 2018 , and a de minimis allowance for credit losses for loans individually evaluated for impairment as of December 31, 2017 . The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows: June 30, 2018 December 31, 2017 Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 9 $ 9 $ — $ 9 $ 9 $ — With an allowance — — — — — — Total $ 9 $ 9 $ — $ 9 $ 9 $ — 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 had a credit risk exposure at the time of purchase that, as determined by the MPF Program methodology, would be expected from an equivalent investment rated AA if purchased prior to April 2017, or rated BBB if purchased since April 2017, taking i nto 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. 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 had no allowance for credit losses for MPF Original and MPF Plus loans as of June 30, 2018 , and a de minimis allowance for credit losses for MPF Original and MPF Plus loans as of December 31, 2017 . 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 MPF Original and MPF Plus loans totaling de minimis amounts as of June 30, 2018 , and December 31, 2017 . 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 recorded investment of the Bank's nonperforming MPF loans classified as TDRs totaled $2 as of June 30, 2018 , and $3 as of December 31, 2017 . 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, 2018 , and December 31, 2017 |
Deposits
Deposits | 6 Months Ended |
Jun. 30, 2018 | |
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, pe nding 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, 2018 , and December 31, 2017 , were as follows: June 30, 2018 December 31, 2017 Interest-bearing deposits: Demand and overnight $ 354 $ 263 Term 2 — Total interest-bearing deposits 356 263 Non-interest-bearing deposits 23 18 Total $ 379 $ 281 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, 2018 , and December 31, 2017 , are detailed in the following table: June 30, 2018 December 31, 2017 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Interest-bearing deposits: Adjustable rate $ 354 1.60 % $ 263 1.10 % Fixed rate 2 1.60 — — Total interest-bearing deposits 356 263 Non-interest-bearing deposits 23 18 Total $ 379 $ 281 The aggregate amount of time deposits with a denomination of $250 thousand or more was $2 at June 30, 2018 . There were no time deposits at December 31, 2017 |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2018 | |
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 2017 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, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 58,923 1.90 % $ 69,734 1.33 % After 1 year through 2 years 6,226 1.88 6,461 1.42 After 2 years through 3 years 3,791 1.82 2,785 1.74 After 3 years through 4 years 1,165 1.93 2,058 1.78 After 4 years through 5 years 2,029 2.41 1,994 2.15 After 5 years 2,031 2.94 2,076 2.80 Total par value 74,165 1.94 % 85,108 1.41 % Unamortized premiums 5 9 Unamortized discounts (11 ) (11 ) Valuation adjustments for hedging activities (84 ) (37 ) Fair value option valuation adjustments (14 ) (6 ) Total $ 74,061 $ 85,063 The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $10,645 at June 30, 2018 , and $9,612 at December 31, 2017 . 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 $7,141 at June 30, 2018 , and $6,406 at December 31, 2017 . 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, 2018 , and December 31, 2017 , was as follows: June 30, 2018 December 31, 2017 Par value of consolidated obligation bonds: Non-callable $ 63,520 $ 75,496 Callable 10,645 9,612 Total par value $ 74,165 $ 85,108 The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 2018 , and December 31, 2017 , by the earlier of the year of contractual maturity or next call date. Earlier of Contractual Maturity or Next Call Date June 30, 2018 December 31, 2017 Within 1 year $ 68,154 $ 78,606 After 1 year through 2 years 5,125 5,326 After 2 years through 3 years 730 935 After 3 years through 4 years 5 85 After 4 years through 5 years 90 55 After 5 years 61 101 Total par value $ 74,165 $ 85,108 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, 2018 December 31, 2017 Amount Outstanding Weighted Average Interest Rate (1) Amount Outstanding Weighted Average Interest Rate (1) Par value $ 24,570 1.86 % $ 30,494 1.24 % Unamortized discounts (51 ) (54 ) Total $ 24,519 $ 30,440 (1) Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at June 30, 2018 , and December 31, 2017 , 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 2017 Form 10-K. June 30, 2018 December 31, 2017 Par value of consolidated obligations: Bonds: Fixed rate $ 16,348 $ 17,967 Adjustable rate 56,489 66,276 Step-up 953 565 Step-down 275 200 Range bonds 100 100 Total bonds, par value 74,165 85,108 Discount notes, par value 24,570 30,494 Total consolidated obligations, par value $ 98,735 $ 115,602 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, 2018 , or December 31, 2017 . The Bank has generally elected to account for certain 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, 2018 | |
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, 2018 and 2017 : 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, 2017 $ 167 $ (8 ) $ (16 ) $ 143 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (3 ) — (3 ) Net change in fair value 84 84 Accretion of non-credit-related OTTI loss 1 1 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) 83 1 — 84 Balance, June 30, 2017 $ 250 $ (7 ) $ (16 ) $ 227 Balance, March 31, 2018 $ 352 $ (5 ) $ (12 ) $ 335 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (9 ) — (9 ) Net change in fair value 3 3 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) (5 ) — — (5 ) Balance, June 30, 2018 $ 347 $ (5 ) $ (12 ) $ 330 The following table summarizes the changes in AOCI for the six months ended June 30, 2018 and 2017 : Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total Balance, December 31, 2016 $ 136 $ (9 ) $ (16 ) $ 111 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (3 ) — (3 ) Net change in fair value 113 113 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 4 — 4 Net current period other comprehensive income/(loss) 114 2 — 116 Balance, June 30, 2017 $ 250 $ (7 ) $ (16 ) $ 227 Balance, December 31, 2017 $ 337 $ (6 ) $ (13 ) $ 318 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 1 1 Non-credit-related OTTI loss (11 ) — (11 ) Net change in fair value 20 20 Accretion of non-credit-related OTTI loss 1 1 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) 10 1 1 12 Balance, June 30, 2018 $ 347 $ (5 ) $ (12 ) $ 330 |
Capital
Capital | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 , and December 31, 2017 , the Bank was in compliance with these capital rules and requirements as shown in the following table. June 30, 2018 December 31, 2017 Required Actual Required Actual Risk-based capital $ 2,022 $ 6,424 $ 2,023 $ 6,797 Total regulatory capital $ 4,248 $ 6,424 $ 4,935 $ 6,797 Total regulatory capital ratio 4.00 % 6.05 % 4.00 % 5.51 % Leverage capital $ 5,310 $ 9,636 $ 6,169 $ 10,195 Leverage ratio 5.00 % 9.07 % 5.00 % 8.26 % Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $255 outstanding to six institutions at June 30, 2018 , and $309 outstanding to seven institutions at December 31, 2017 . The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2018 and 2017 , was as follows: Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Balance at the beginning of the period $ 309 $ 403 $ 309 $ 457 Reclassified from/(to) capital during the period 2 2 2 2 Redemption of mandatorily redeemable capital stock — — — (54 ) Repurchase of excess mandatorily redeemable capital stock (56 ) (1 ) (56 ) (1 ) Balance at the end of the period $ 255 $ 404 $ 255 $ 404 Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $5 and $7 for the three months ended June 30, 2018 and 2017 , respectively, and in the amount of $11 and $18 for the six months ended June 30, 2018 and 2017 , 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 2017 Form 10-K. The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at June 30, 2018 , and December 31, 2017 . Contractual Redemption Period June 30, 2018 December 31, 2017 After 1 year through 2 years $ 1 $ — After 2 years through 3 years 251 306 Past contractual redemption date because of remaining activity (1) 3 3 Total $ 255 $ 309 (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. By Finance Agency regulation, dividends may be paid only out of current net earnings or previously retained earnings. As required by the Finance Agency, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (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 Board of Directors reviews the Framework at least annually and may amend the Framework from time to time. In January 2017, the Framework was amended and approved by the Bank’s Board of Directors to include a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%, which was considered by the Bank’s Board of Directors beginning with the Bank’s second quarter 2017 dividend declaration. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s Board of Directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration. 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 224% as of June 30, 2018 . 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 following tables summarize the activity related to retained earnings for the three and six months ended June 30, 2018 and 2017 : Restricted Retained Earnings Related to: Unrestricted Retained Earnings Valuation Adjustments Other Joint Capital Enhancement Agreement Total Restricted Retained Earnings Total Retained Earnings Balance, March 31, 2017 $ 850 $ 20 $ 1,750 $ 530 $ 2,300 $ 3,150 Net income 63 1 — 16 17 80 Cash dividends on capital stock (41 ) (41 ) Balance, June 30, 2017 $ 872 $ 21 $ 1,750 $ 546 $ 2,317 $ 3,189 Balance, March 31, 2018 $ 2,681 $ — $ — $ 592 $ 592 $ 3,273 Net income 84 — — 20 20 104 Cash dividends on capital stock (58 ) (58 ) Balance, June 30, 2018 $ 2,707 $ — $ — $ 612 $ 612 $ 3,319 Restricted Retained Earnings Related to: Unrestricted Retained Earnings Valuation Adjustments Other Joint Capital Enhancement Agreement Total Restricted Retained Earnings Total Retained Earnings Balance, December 31, 2016 $ 888 $ 18 $ 1,650 $ 500 $ 2,168 $ 3,056 Net income 79 3 100 46 149 228 Cash dividends on capital stock (95 ) (95 ) Balance, June 30, 2017 $ 872 $ 21 $ 1,750 $ 546 $ 2,317 $ 3,189 Balance, December 31, 2017 $ 2,670 $ — $ — $ 575 $ 575 $ 3,245 Net income 148 — — 37 37 185 Cash dividends on capital stock (111 ) (111 ) Balance, June 30, 2018 $ 2,707 $ — $ — $ 612 $ 612 $ 3,319 The Bank’s Framework assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. Prior to July 2017, the Bank’s Framework had three categories of restricted retained earnings: Valuation Adjustments, Other (which represented a targeted amount), and the Joint Capital Enhancement (JCE Agreement). Under the Framework, the Bank’s required amount of restricted retained earnings was determined using the Bank’s retained earnings methodology. As determined using the Bank’s methodology, from July 2015 to January 2017, the Bank’s restricted retained earnings requirement was $2,000 , and from January 2017 to July 2017, the Bank’s restricted retained earnings requirement was $2,300 . In July 2017, the Bank’s Board of Directors approved the transfer of all amounts classified as restricted retained earnings, other than the amounts related to the JCE Agreement, to unrestricted retained earnings. As a conforming change related to the transfer, the Bank’s Board of Directors amended the Framework to eliminate two of the categories of restricted retained earnings (Valuation Adjustments and Other) and approved revisions to the Bank’s retained earnings methodology to provide for a required level of total retained earnings of $2,300 for loss protection, capital compliance, and business growth. In January 2018, the methodology was further revised to provide a required level of total retained earnings of $2,500 . The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the JCE Agreement) and unrestricted retained earnings. For more information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2017 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, 2018 , the Bank’s excess capital stock totaled $152 , or 0.14% of total assets. In the second quarter of 2018 , the Bank paid dividends at an annualized rate of 7.00% , totaling $63 , including $58 in dividends on capital stock and $5 in dividends on mandatorily redeemable capital stock. In the second quarter of 2017 , the Bank paid dividends at an annualized rate of 7.00% , totaling $48 , including $41 in dividends on capital stock and $7 in dividends on mandatorily redeemable capital stock. In the first six months of 2018 , the Bank paid dividends at an annualized rate of 7.00% , totaling $122 , including $111 in dividends on capital stock and $11 in dividends on mandatorily redeemable capital stock. In the first six months of 2017 , the Bank paid dividends at an annualized rate of 8.04% , totaling $113 , including $95 in dividends on capital stock and $18 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 26, 2018 , the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2018 at an annualized rate of 7.00% , totaling $56 , including $51 in dividends on capital stock and $5 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on July 26, 2018 . The Bank expects to pay the dividend on August 13, 2018 . Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the third quarter of 2018 . 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 all of a member’s excess capital stock at a member’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 $700 and $60 in excess capital stock during the second quarter of 2018 and 2017 , respectively, and $1,128 and $233 in excess capital stock during the first six months of 2018 and 2017 , respectively. The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the second quarter of 2018 and 2017 , the Bank redeemed de minimis amounts 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 April 9, 2018, the Bank’s Board of Directors revised the Framework to change the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all former members from a quarterly schedule to a daily schedule. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. Effective April 24, 2018, the Bank began calculating the amount of stock to be repurchased each business day based on the shareholder’s capital stock outstanding after all stock transactions are completed for the day, ensuring that each member and former member will continue to meet its minimum capital stock requirement after the repurchase. In accordance with the revised Framework, the Bank repurchased $363 of excess capital stock on April 24, 2018. The Bank may change this practice at any time. All repurchases of capital stock are at the Bank’s discretion, subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy, Capital Plan, and the Framework. Excess capital stock totaled $152 and $493 as of June 30, 2018 , and December 31, 2017 , respectively. For more information on excess capital stock, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Capital” in the Bank’s 2017 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, 2018 , or December 31, 2017 . June 30, 2018 December 31, 2017 Name of Institution Capital Stock Outstanding Percentage of Total Capital Stock Outstanding Capital Stock Outstanding Percentage of Total Capital Stock Outstanding MUFG Union Bank $ 367 12 % $ 205 6 % Charles Schwab Bank 17 1 405 11 Subtotal 384 13 610 17 Others 2,721 87 2,942 83 Total $ 3,105 100 % $ 3,552 100 % |
Segment Information
Segment Information | 6 Months Ended |
Jun. 30, 2018 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information The Bank uses an analysis of financial results based on the financial components 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 determine financial management strategies related to the operations of these two 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 2017 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, 2018 and 2017 . 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, 2018 $ 79 $ 73 $ 152 $ — $ (7 ) $ 5 $ 154 $ 5 $ 43 $ 116 June 30, 2017 57 81 138 — (13 ) 7 144 (16 ) 39 89 Six months ended: June 30, 2018 $ 157 $ 148 $ 305 $ (1 ) $ (7 ) $ 11 $ 302 $ (3 ) $ 92 $ 207 June 30, 2017 105 164 269 (2 ) (25 ) 18 278 96 119 255 (1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $20 and $23 for the three months ended June 30, 2018 and 2017 ; and totaled $42 and $46 for the six months ended June 30, 2018 and 2017 , respectively. The mortgage-related business does not include credit-related OTTI losses of $5 and $6 for the three months ended June 30, 2018 and 2017 , and $6 and $9 for the six months ended June 30, 2018 and 2017 , respectively. (2) Represents amortization of amounts deferred for adjusted net interest income purposes only. (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, 2018 , and December 31, 2017 . Advances- Related Business Mortgage- Related Business Total Assets June 30, 2018 $ 86,849 $ 19,359 $ 106,208 December 31, 2017 103,426 19,959 123,385 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2018 | |
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 or 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. 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 derivatives 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 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 or (ii) an economic hedge of assets, liabilities, or other derivatives. The Bank primarily uses the following derivative instruments: 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 either indexed to LIBOR or to the overnight index swap rate. 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 at inception all relationships between derivatives designated as hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. Derivatives designated as fair value hedges may be transacted to hedge: (i) assets and liabilities on the Statement of Condition, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges 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 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. The Bank may have the following types of hedged items: 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 range 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 rate advance, fixed rate advance with embedded options, or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and any embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Fixed rate advances without options that are offset with an interest rate exchange agreement are generally treated as fair value hedges. Advances with embedded options are recorded using the fair value option and are economically hedged using interest rate exchange agreements. 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 mortgage loans 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. When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. This type of hedge is treated as an economic hedge. 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 do not meet the requirements for fair value hedge accounting treatment. Offsetting Derivatives – The Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Offsetting derivatives do not receive hedge accounting treatment and 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 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 following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of June 30, 2018 , and December 31, 2017 . For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2018 December 31, 2017 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 34,853 $ 8 $ 43 $ 24,270 $ 92 $ 27 Total 34,853 8 43 24,270 92 27 Derivatives not designated as hedging instruments: Interest rate swaps 39,022 83 74 73,760 81 57 Interest rate caps and floors 1,563 2 — 1,563 1 1 Mortgage delivery commitments 16 — — 16 — — Total 40,601 85 74 75,339 82 58 Total derivatives before netting and collateral adjustments $ 75,454 93 117 $ 99,609 174 85 Netting adjustments and cash collateral (1) 48 (115 ) (91 ) (84 ) Total derivative assets and total derivative liabilities $ 141 $ 2 $ 83 $ 1 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $195 and $10 at June 30, 2018 , and December 31, 2017 , respectively. Cash collateral received and related accrued interest was $32 and $18 at June 30, 2018 , and December 31, 2017 , 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, 2018 and 2017 . Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives designated as hedging instruments: Interest rate swaps $ 2 $ (2 ) $ 4 $ (2 ) Total net gain/(loss) related to fair value hedge ineffectiveness 2 (2 ) 4 (2 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 18 (10 ) 42 (8 ) Interest rate caps and floors (1 ) (3 ) 1 (5 ) Net settlements (7 ) (13 ) (7 ) (25 ) Mortgage delivery commitments 5 9 9 12 Total net gain/(loss) related to derivatives not designated as hedging instruments 15 (17 ) 45 (26 ) Other (1) — — (1 ) — Net gain/(loss) on derivatives and hedging activities $ 17 $ (19 ) $ 48 $ (28 ) (1) Consists of price alignment amount on derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract. The following tables present, 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, 2018 and 2017 . Three Months Ended June 30, 2018 June 30, 2017 Hedged Item Type Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ 10 $ (6 ) $ 4 $ 17 $ (10 ) $ 8 $ (2 ) $ (8 ) Consolidated obligation bonds (6 ) 4 (2 ) (8 ) 1 (1 ) — 6 Total $ 4 $ (2 ) $ 2 $ 9 $ (9 ) $ 7 $ (2 ) $ (2 ) Six Months Ended June 30, 2018 June 30, 2017 Hedged Item Type Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ 80 $ (73 ) $ 7 $ 20 $ 4 $ (6 ) $ (2 ) $ (17 ) Consolidated obligation bonds (50 ) 47 (3 ) (7 ) (10 ) 10 — 15 Total $ 30 $ (26 ) $ 4 $ 13 $ (6 ) $ 4 $ (2 ) $ (2 ) (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. Credit Risk – The Bank is subject to credit risk as a result of potential nonperformance by counterparties to the interest rate exchange 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, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. 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 Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), 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. 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, 2018 , was $58 , for which the Bank had posted cash collateral of $56 in the ordinary course of business. 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, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Derivative Instruments Meeting Netting Requirements Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 89 $ (87 ) $ 2 $ 35 $ (33 ) $ 2 Cleared 4 135 139 139 (58 ) 81 Total $ 141 $ 83 Derivative Liabilities Uncleared $ 113 $ (111 ) $ 2 $ 29 $ (28 ) $ 1 Cleared 4 (4 ) — 56 (56 ) — Total $ 2 $ 1 |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 , and December 31, 2017 . 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. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). 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, 2018 , and December 31, 2017 . The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. June 30, 2018 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 44 $ 44 $ 44 $ — $ — $ — Interest-bearing deposits 2,035 2,035 2,035 — — — Securities purchased under agreements to resell 4,000 4,000 — 4,000 — — Federal funds sold 8,727 8,729 — 8,729 — — Trading securities 662 662 — 662 — — AFS securities 3,510 3,510 — — 3,510 — HTM securities 13,769 13,739 — 12,904 835 — Advances 70,314 70,363 — 70,363 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 2,728 2,660 — 2,660 — — Accrued interest receivable 161 161 — 161 — — Derivative assets, net (1) 141 141 — 93 — 48 Other assets (2) 9 9 9 — — — Liabilities Deposits 379 379 — 379 — — Consolidated obligations: Bonds 74,061 73,839 — 73,839 — — Discount notes 24,519 24,518 — 24,518 — — Total consolidated obligations 98,580 98,357 — 98,357 — — Mandatorily redeemable capital stock 255 255 255 — — — Accrued interest payable 131 131 — 131 — — Derivative liabilities, net (1) 2 2 — 117 — (115 ) Other Standby letters of credit 22 22 — 22 — — December 31, 2017 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 31 $ 31 $ 31 $ — $ — $ — Interest-bearing deposits 1,115 1,115 1,115 — — — Securities purchased under agreements to resell 11,750 11,750 — 11,750 — — Federal funds sold 11,028 11,029 — 11,029 — — Trading securities 1,164 1,164 — 1,164 — — AFS securities 3,833 3,833 — — 3,833 — HTM securities 14,680 14,704 — 13,697 1,007 — Advances 77,382 77,437 — 77,437 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 2,076 2,075 — 2,075 — — Accrued interest receivable 119 119 — 119 — — Derivative assets, net (1) 83 83 — 174 — (91 ) Other assets (2) 9 9 9 — — — Liabilities Deposits 281 281 — 281 — — Consolidated obligations: Bonds 85,063 84,938 — 84,938 — — Discount notes 30,440 30,437 — 30,437 — — Total consolidated obligations 115,503 115,375 — 115,375 — — Mandatorily redeemable capital stock 309 309 309 — — — Accrued interest payable 116 116 — 116 — — Derivative liabilities, net (1) 1 1 — 85 — (84 ) Other Standby letters of credit 19 19 — 19 — — (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. (2) Represents publicly traded mutual funds held in a grantor trust. 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, 2018 : • 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. The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition are listed below. Investment Securities – MBS – To value its MBS, the Bank obtains prices from multiple 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 multiple 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 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, 2018 , multiple vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined in accordance with the Bank’s valuation technique based on these 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, 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. Investment Securities – FFCB Bonds – The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS . Advances Recorded Under the Fair Value Option – 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 recorded under the fair value option 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 for complex advances recorded under the fair value option. 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 recorded under the fair value option for creditworthiness primarily because advances were fully collateralized. 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 and 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. 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 de alers 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 credit support 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 long-term debt or deposit credit rating, as determined by rating agencies 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 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. Consolidated Obligations Recorded Under the Fair Value Option – 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 input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation 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 issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as 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 recorded under the fair value option have been significantly affected during the reporting period by changes in the instrument-specific credit risk. 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, 2018 , and December 31, 2017 , by level within the fair value hierarchy. June 30, 2018 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 657 $ — $ — $ 657 MBS: Other U.S. obligations – Ginnie Mae — 5 — — 5 Total trading securities — 662 — — 662 AFS securities: PLRMBS — — 3,510 — 3,510 Total AFS securities — — 3,510 — 3,510 Advances (2) — 6,083 — — 6,083 Derivative assets, net: interest rate-related — 93 — 48 141 Other assets 9 — — — 9 Total recurring fair value measurements – Assets $ 9 $ 6,838 $ 3,510 $ 48 $ 10,405 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 1,404 $ — $ — $ 1,404 Derivative liabilities, net: interest rate-related — 117 — (115 ) 2 Total recurring fair value measurements – Liabilities $ — $ 1,521 $ — $ (115 ) $ 1,406 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 2 $ — $ 2 Total nonrecurring fair value measurements – Assets $ — $ — $ 2 $ — $ 2 December 31, 2017 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 1,158 $ — $ — $ 1,158 MBS: Other U.S. obligations – Ginnie Mae — 6 — — 6 Total trading securities — 1,164 — — 1,164 AFS securities: PLRMBS — — 3,833 — 3,833 Total AFS securities — — 3,833 — 3,833 Advances (2) — 6,431 — — 6,431 Derivative assets, net: interest rate-related — 174 — (91 ) 83 Other assets 9 — — — 9 Total recurring fair value measurements – Assets $ 9 $ 7,769 $ 3,833 $ (91 ) $ 11,520 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 949 $ — $ — $ 949 Derivative liabilities, net: interest rate-related — 85 — (84 ) 1 Total recurring fair value measurements – Liabilities $ — $ 1,034 $ — $ (84 ) $ 950 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 3 $ — $ 3 Total nonrecurring fair value measurements – Assets $ — $ — $ 3 $ — $ 3 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty. (2) Represents advances recorded under the fair value option at June 30, 2018 , and December 31, 2017 . (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2018 , and December 31, 2017 . (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2018 , and the year ended December 31, 2017 . The following tables present 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, 2018 and 2017 . Three Months Ended June 30, 2018 June 30, 2017 Balance, beginning of the period $ 3,686 $ 4,294 Total gain/(loss) realized and unrealized included in: Interest income 20 24 Net OTTI loss, credit-related (5 ) (6 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 3 84 Net amount of OTTI loss reclassified to/(from) other income/(loss) (8 ) (1 ) Settlements (198 ) (231 ) Transfers of HTM securities to AFS securities 12 — Balance, end of the period $ 3,510 $ 4,164 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 $ 15 $ 16 Six Months Ended June 30, 2018 June 30, 2017 Balance, beginning of the period $ 3,833 $ 4,489 Total gain/(loss) realized and unrealized included in: Interest income 42 46 Net OTTI loss, credit-related (6 ) (9 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 20 113 Net amount of OTTI loss reclassified to/(from) other income/(loss) (10 ) 1 Settlements (381 ) (476 ) Transfers of HTM securities to AFS securities 12 — Balance, end of the period $ 3,510 $ 4,164 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 $ 36 $ 36 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 2017 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 tables summarize 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, 2018 and 2017 : Three Months Ended June 30, 2018 June 30, 2017 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 6,637 $ 1,315 $ 3,816 $ 2,236 New transactions elected for fair value option 342 89 1,772 95 Maturities and terminations (882 ) — (107 ) (1,215 ) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option (14 ) (2 ) 8 3 Change in accrued interest — 2 1 (1 ) Balance, end of the period $ 6,083 $ 1,404 $ 5,490 $ 1,118 Six Months Ended June 30, 2018 June 30, 2017 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 6,431 $ 949 $ 3,719 $ 1,507 New transactions elected for fair value option 1,564 463 2,060 835 Maturities and terminations (1,850 ) — (299 ) (1,230 ) Net gain/(loss) from changes in fair value recognized in earnings (63 ) (10 ) 9 5 Change in accrued interest 1 2 1 1 Balance, end of the period $ 6,083 $ 1,404 $ 5,490 $ 1,118 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, except for changes in fair value related to instrument-specific credit risk which are recorded in AOCI on the Statements of Condition. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and six months ended June 30, 2018 and 2017 . In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors: • The Bank is a federally chartered GSE, and as a result of this status, the consolidated obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States. • The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. 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, 2018 , and December 31, 2017 : June 30, 2018 December 31, 2017 Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Advances (1) $ 6,161 $ 6,083 $ (78 ) $ 6,447 $ 6,431 $ (16 ) Consolidated obligation bonds 1,418 1,404 (14 ) 955 949 (6 ) (1) At June 30, 2018 , and December 31, 2017 , 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, 2018 | |
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, 2018 , 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 $1,059,859 at June 30, 2018 , and $1,034,260 at December 31, 2017 . The par value of the Bank’s participation in consolidated obligations was $98,735 at June 30, 2018 , and $115,602 at December 31, 2017 . 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 2017 Form 10-K. Off-balance sheet commitments as of June 30, 2018 , and December 31, 2017 , were as follows: June 30, 2018 December 31, 2017 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit outstanding $ 12,737 $ 4,083 $ 16,820 $ 12,910 $ 3,240 $ 16,150 Commitments to fund additional advances — — — 1 — 1 Commitments to issue consolidated obligation discount notes, par 57 — 57 134 — 134 Commitments to issue consolidated obligation bonds, par — — — 595 — 595 Commitments to purchase mortgage loans 16 — 16 16 — 16 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 14 days to 15 years , including a final expiration in 2033 . The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $22 at June 30, 2018 , and $19 at December 31, 2017 . Standby 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, 2018 , and December 31, 2017 . Commitments to fund advances totaled $1 at December 31, 2017 . There were no commitments to fund advances at June 30, 2018 . 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, 2018 , and December 31, 2017 . The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 60 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 has executed uncleared interest rate exchange agreements in the past with the Bank’s members. The Bank enters into master agreements with netting provisions and into bilateral credit support 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. |
Transactions with Certain Membe
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | 6 Months Ended |
Jun. 30, 2018 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks Transactions with Members and Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s Board of Directors. June 30, 2018 December 31, 2017 Assets: Advances $ 3,811 $ 3,072 Mortgage loans held for portfolio 12 13 Accrued interest receivable 7 5 Liabilities: Deposits $ 26 $ 3 Capital: Capital Stock $ 142 $ 126 Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Interest Income: Advances $ 17 $ 10 $ 31 $ 19 All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of June 30, 2018 , and December 31, 2017 , no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2017 Form 10-K. Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. Deposits with other FHLBanks . The Bank may, from time to time, maintain deposits with other FHLBanks. Deposits with other FHLBanks totaled de minimis amounts at June 30, 2018 , and December 31, 2017 , which were recorded in the Statements of Condition in the Cash and due from banks line item. Overnight Funds . The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in other interest income and interest expense from other borrowings in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the six months ended June 30, 2018 and 2017 , the Bank extended overnight loans to other FHLBanks for $280 and $1,005 , respectively. During the six months ended June 30, 2018 and 2017 , the Bank borrowed $1,510 and $15 , respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis in any period in this report. MPF Mortgage Loans . The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the three and six months ended June 30, 2018 , the Bank recorded a de minimis amount and $1 , respectively, in MPF transaction services fee expense to the FHLBank of Chicago, which was recorded in the Statements of Income as other expense. For the three and six months ended June 30, 2017 , the Bank recorded a de minimis amount and $1 , respectively, in MPF transaction services fee expense to the FHLBank of Chicago. In addition, the Bank receives a counterparty fee from the FHLBank of Chicago for facilitating the sale of loans under the MPF program. For the three and six months ended June 30, 2018 and 2017 , the Bank recorded a de minimis amount in MPF counterparty fee income from the FHLBank of Chicago, which was recorded in the Statements of Income as other income. Consolidated Obligations . The Bank may, from time to time, transfer to or assume from another FHLBank the outstanding primary liability for FHLBank consolidated obligations. During the six months ended June 30, 2018 and 2017 , the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks. Transactions with the Office of Finance |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events There were no material subsequent events identified, subsequent to June 30, 2018 |
Basis of Presentation (Policies
Basis of Presentation (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
Accounting Policies [Abstract] | |
Use of Estimates, Policy | 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. |
Derivatives, Offsetting Fair Value Amounts, Policy | 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 |
Derivatives, Policy [Policy Text Block] | Derivatives. All derivatives are recognized on the Statements of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and certain variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities on the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative. The Bank uses the clearinghouse, London Clearing House (LCH) Ltd, for all cleared derivative transactions. Effective January 16, 2018, LCH Ltd made certain amendments to its rulebook, changing the legal characterization |
Consolidation, Variable Interest Entity, Policy | 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, 2018 |
Investment, Policy | 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. 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 8.0% to an increase of 13.0% over the 12-month period beginning April 1, 2018 . For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 7.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. |
Loans and Leases Receivable, Mortgage Banking Activities, Policy | Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) under the MPF Government product. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.) In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product; of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product; and of government-insured or government-guaranteed mortgage loans that will be packaged into securities backed by the mortgage loans and guaranteed by Ginnie Mae under the MPF Government MBS product. When members sell mortgage loans under the MPF Xtra, MPF Direct, and MPF Government MBS products, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition. |
Loans and Leases Receivable, Allowance for Loan Losses Policy | 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. 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 had a credit risk exposure at the time of purchase that, as determined by the MPF Program methodology, would be expected from an equivalent investment rated AA if purchased prior to April 2017, or rated BBB if purchased since April 2017, taking i nto 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. Allowance for Credit Losses on MPF Loans – |
Loans and Leases Receivable, Troubled Debt Restructuring Policy | 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. |
Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy | 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, 2018 , and December 31, 2017 , 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, 2018 , or during 2017 |
Stockholders' Equity, Policy | 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.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 | The Bank uses an analysis of financial results based on the financial components 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 determine financial management strategies related to the operations of these two 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 2017 Form 10-K. |
Derivatives, Embedded Derivatives | 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 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, 2018 , or December 31, 2017 |
Derivatives, Policy | The Bank is subject to credit risk as a result of potential nonperformance by counterparties to the interest rate exchange 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, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a 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. Variation margin and initial margin are posted for changes in the value and risk profile of cleared derivatives. |
Derivatives, Methods of Accounting, Hedging Derivatives | 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 or 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. 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 derivatives 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 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 or (ii) an economic hedge of assets, liabilities, or other derivatives. The Bank primarily uses the following derivative instruments: 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 either indexed to LIBOR or to the overnight index swap rate. 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 at inception all relationships between derivatives designated as hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. Derivatives designated as fair value hedges may be transacted to hedge: (i) assets and liabilities on the Statement of Condition, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges 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 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. The Bank may have the following types of hedged items: 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 range 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 rate advance, fixed rate advance with embedded options, or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and any embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Fixed rate advances without options that are offset with an interest rate exchange agreement are generally treated as fair value hedges. Advances with embedded options are recorded using the fair value option and are economically hedged using interest rate exchange agreements. 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 mortgage loans 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. When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. This type of hedge is treated as an economic hedge. 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 do not meet the requirements for fair value hedge accounting treatment. Offsetting Derivatives – The Bank enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Offsetting derivatives do not receive hedge accounting treatment and 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 | The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value 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. |
Fair Value of Financial Instruments, Policy | 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, 2018 : • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets Investment Securities – MBS – To value its MBS, the Bank obtains prices from multiple 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 multiple 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 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, 2018 , multiple vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined in accordance with the Bank’s valuation technique based on these 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, 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. Investment Securities – FFCB Bonds – The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS . Advances Recorded Under the Fair Value Option – 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 recorded under the fair value option 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 for complex advances recorded under the fair value option. 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 recorded under the fair value option for creditworthiness primarily because advances were fully collateralized. 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 and 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. 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 de alers 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 credit support 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 long-term debt or deposit credit rating, as determined by rating agencies 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 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. Consolidated Obligations Recorded Under the Fair Value Option – 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 input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation 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 issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as 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 recorded under the fair value option have been significantly affected during the reporting period by changes in the instrument-specific credit risk. 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 2017 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. |
Fair Value Transfer, Policy | 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. |
Commitments and Contingencies, Policy | Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition. |
New Accounting Pronouncements, Policy | Targeted Improvements to Accounting for Hedging Activities. On August 28, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the amendments include certain targeted improvements to the assessment of hedge effectiveness and permit, among other things, the following: • Measurement of the change in fair value of the hedged item on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. • Measurement of the hedged item in a partial-term fair value hedge of interest rate risk by assuming the hedged item has a term that reflects only the designated cash flows being hedged. • Consideration only of how changes in the benchmark interest rate affect a decision to settle a prepayable instrument before its scheduled maturity in calculating the change in the fair value of the hedged item attributable to interest rate risk. • For a cash flow hedge of interest rate risk of a variable-rate financial instrument, an entity could designate as the hedged risk the variability in cash flows attributable to the contractually specified interest rate. This guidance becomes effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. The amended presentation and disclosure guidance is required only prospectively. The Bank does not intend to adopt this guidance early. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures has not yet been determined. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance affects all entities that hold investments in callable debt securities that have an amortized cost basis in excess of the amount that is repayable by the issuer at the earliest call date (that is, at a premium). This guidance is effective for the Bank for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The adoption of this guidance is not expected to have any effect on the Bank’s financial condition, results of operations, or cash flows. Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance to improve the presentation of net periodic pension cost and net periodic postretirement benefit cost. The amendments require that employer disaggregate the service cost component from the other components of net benefit cost. The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit cost in the Statements of Income. This guidance became effective for the Bank for interim and annual periods beginning on January 1, 2018, and was adopted retrospectively for the presentation of the service cost component and the other components of net periodic pension cost and net periodic postretirement benefit cost in the Statements of Income. The adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, cash flows, or financial statement disclosures. Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the Statements of Cash Flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the Statements of Cash Flows. This guidance became effective for the Bank for interim and annual periods beginning on January 1, 2018. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments. On June 16, 2016, the FASB issued amended guidance for the accounting for credit losses on financial instruments. The amendments require entities to measure expected credit losses based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. An entity must use judgment in determining the relevant information and estimation methods that are appropriate under the circumstances. In addition, under the new guidance, a financial asset, or a group of financial assets, is required to be measured at its amortized cost to be presented at the net amount expected to be collected over the contractual term of the financial assets. Among other things, the guidance also requires: • The Statement of Income to reflect the measurement of credit losses for newly recognized financial assets, as well as the expected increases or decreases of expected credit losses that have taken place during the period. • The entities to determine the allowance for credit losses for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination that are measured at amortized cost basis in a similar manner to other financial assets measured at amortized cost basis. The initial allowance for credit losses is required to be added to the purchase price. • Credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses. The amendments limit the allowance for credit losses to the amount by which fair value is below amortized cost. • Public entities to further disaggregate the current disclosure of credit quality indicators in relation to the amortized cost of financing receivables by the year of origination (i.e., vintage). The guidance is effective for the Bank for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, the entities are required to use a prospective transition approach for purchased financial assets with a more-than-insignificant amount of credit deterioration since origination and for debt securities for which an other-than-temporary impairment had been recognized before the effective date. The Bank does not intend to adopt the guidance early. The Bank is in the process of evaluating this guidance and expects the adoption of the guidance may result in an increase in the allowance for credit losses given the requirement to assess losses for the entire estimated life of the financial asset, including an allowance for debt securities. The effect on the Bank’s financial condition, results of operations, and cash flows will depend on the composition of financial assets held by the Bank at the adoption date, as well as on economic conditions and forecasts at that time. Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous U.S. GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within U.S. GAAP. The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank does not intend to adopt this guidance early. Upon adoption, the Bank expects to report higher assets and liabilities as a result of recording right-of-use assets and lease liabilities for its existing leases on the Statements of Condition. The Bank is in the process of evaluating this guidance, but its effect on the Bank’s financial condition, results of operations, and cash flows is not expected to be material. Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following: • Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income; • Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments; • Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the Statement of Condition or in the accompanying notes to the financial statements; • Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the Statement of Condition. The guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2018. While the adoption of this guidance affected the Bank’s disclosures, the requirement to present the instrument-specific credit risk in other comprehensive income did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued guidance on revenue from contracts with customers. 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, and lease contracts. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2018. Given that the majority of the Bank's financial instruments and other contractual rights that generate revenue are covered by other U.S. GAAP, the adoption of this guidance did not have any effect on the Bank's financial condition, results of operations, or cash flows. |
Trading Securities (Tables)
Trading Securities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Trading Securities [Abstract] | |
Trading Securities (and Certain Trading Assets) | The estimated fair value of trading securities as of June 30, 2018 , and December 31, 2017 , was as follows: June 30, 2018 December 31, 2017 Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds $ 657 $ 1,158 MBS – Other U.S. obligations – Ginnie Mae 5 6 Total $ 662 $ 1,164 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Schedule of Available-for-sale Securities [Line Items] | |
Available-for-sale Securities | Available-for-sale (AFS) securities by major security type as of June 30, 2018 , and December 31, 2017 , were as follows: June 30, 2018 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 294 $ — $ 29 $ — $ 323 Alt-A, option ARM 639 (7 ) 137 — 769 Alt-A, other 2,230 (13 ) 201 — 2,418 Total $ 3,163 $ (20 ) $ 367 $ — $ 3,510 December 31, 2017 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value PLRMBS: Prime $ 335 $ — $ 29 $ — $ 364 Alt-A, option ARM 714 (10 ) 130 — 834 Alt-A, other 2,447 (23 ) 211 — 2,635 Total $ 3,496 $ (33 ) $ 370 $ — $ 3,833 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts , and previous OTTI recognized in earnings. |
Available-for-sale Securities | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Unrealized Loss on Investments | The following table summarizes the AFS securities with unrealized losses as of June 30, 2018 , and December 31, 2017 . 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, 2018 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 $ 2 $ — $ 8 $ — $ 10 $ — Alt-A, option ARM — — 137 7 137 7 Alt-A, other 49 — 277 13 326 13 Total $ 51 $ — $ 422 $ 20 $ 473 $ 20 December 31, 2017 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 $ — $ — $ 11 $ — $ 11 $ — Alt-A, option ARM — — 144 10 144 10 Alt-A, other 5 — 356 23 361 23 Total $ 5 $ — $ 511 $ 33 $ 516 $ 33 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Schedule of Held-to-maturity Securities [Line Items] | |
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, 2018 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Certificates of deposit $ 550 $ — $ 550 $ — $ — $ 550 Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 155 $ — $ 155 $ — $ (8 ) $ 147 MBS: Other U.S. obligations – single-family: Ginnie Mae 678 — 678 — (12 ) 666 GSEs – single-family: Freddie Mac 1,760 — 1,760 7 (33 ) 1,734 Fannie Mae 3,098 — 3,098 23 (20 ) 3,101 Subtotal GSEs – single-family 4,858 — 4,858 30 (53 ) 4,835 GSEs – multifamily: Freddie Mac 4,855 — 4,855 6 — 4,861 Fannie Mae 1,993 — 1,993 — (1 ) 1,992 Subtotal GSEs – multifamily 6,848 — 6,848 6 (1 ) 6,853 Subtotal GSEs 11,706 — 11,706 36 (54 ) 11,688 PLRMBS: Prime 443 — 443 4 (4 ) 443 Alt-A, other 242 (5 ) 237 10 (2 ) 245 Subtotal PLRMBS 685 (5 ) 680 14 (6 ) 688 Total MBS 13,069 (5 ) 13,064 50 (72 ) 13,042 Total $ 13,774 $ (5 ) $ 13,769 $ 50 $ (80 ) $ 13,739 December 31, 2017 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Certificates of deposit $ 500 $ — $ 500 $ — $ — $ 500 Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds 187 — 187 — (9 ) 178 MBS: Other U.S. obligations – single-family: Ginnie Mae 751 — 751 1 (1 ) 751 GSEs – single-family: Freddie Mac 2,039 — 2,039 12 (15 ) 2,036 Fannie Mae 3,600 — 3,600 34 (8 ) 3,626 Subtotal GSEs – single-family 5,639 — 5,639 46 (23 ) 5,662 GSEs – multifamily: Freddie Mac 4,651 — 4,651 6 (6 ) 4,651 Fannie Mae 2,131 — 2,131 2 — 2,133 Subtotal GSEs – multifamily 6,782 — 6,782 8 (6 ) 6,784 Subtotal GSEs 12,421 — 12,421 54 (29 ) 12,446 PLRMBS: Prime 521 — 521 5 (6 ) 520 Alt-A, other 306 (6 ) 300 11 (2 ) 309 Subtotal PLRMBS 827 (6 ) 821 16 (8 ) 829 Total MBS 13,999 (6 ) 13,993 71 (38 ) 14,026 Total $ 14,686 $ (6 ) $ 14,680 $ 71 $ (47 ) $ 14,704 (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 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Schedule of Unrealized Loss on Investments | The following tables summarize the HTM securities with unrealized losses as of June 30, 2018 , and December 31, 2017 . 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, 2018 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 $ — $ — $ 147 $ 8 $ 147 $ 8 MBS: Other U.S. obligations – single-family: Ginnie Mae 604 12 — — 604 12 GSEs – single-family: Freddie Mac 1,015 23 280 10 1,295 33 Fannie Mae 944 14 177 6 1,121 20 Subtotal GSEs – single-family 1,959 37 457 16 2,416 53 GSEs – multifamily: Freddie Mac 444 — — — 444 — Fannie Mae 950 1 133 — 1,083 1 Subtotal GSEs – multifamily 1,394 1 133 — 1,527 1 Subtotal GSEs 3,353 38 590 16 3,943 54 PLRMBS: Prime 23 — 148 4 171 4 Alt-A, other 44 — 139 7 183 7 Subtotal PLRMBS 67 — 287 11 354 11 Total MBS 4,024 50 877 27 4,901 77 Total $ 4,024 $ 50 $ 1,024 $ 35 $ 5,048 $ 85 December 31, 2017 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 $ — $ — $ 178 $ 9 $ 178 $ 9 MBS: Other U.S. obligations – single-family: Ginnie Mae 406 1 — — 406 1 GSEs – single-family: Freddie Mac 895 9 323 6 1,218 15 Fannie Mae 702 4 205 4 907 8 Subtotal GSEs – single-family 1,597 13 528 10 2,125 23 GSEs – multifamily: Freddie Mac 1,058 6 — — 1,058 6 Fannie Mae 456 — — — 456 — Subtotal GSEs – multifamily 1,514 6 — — 1,514 6 Subtotal GSEs 3,111 19 528 10 3,639 29 PLRMBS: Prime 2 — 202 6 204 6 Alt-A, other 15 — 191 8 206 8 Subtotal PLRMBS 17 — 393 14 410 14 Total MBS 3,534 20 921 24 4,455 44 Total $ 3,534 $ 20 $ 1,099 $ 33 $ 4,633 $ 53 |
Investments Classified by Contractual Maturity Date | 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, 2018 , and December 31, 2017 , 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, 2018 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due in 1 year or less $ 550 $ 550 $ 550 Due after 10 years 155 155 147 Subtotal 705 705 697 MBS 13,069 13,064 13,042 Total $ 13,774 $ 13,769 $ 13,739 December 31, 2017 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due in 1 year or less $ 500 $ 500 $ 500 Due after 5 years through 10 years 12 12 12 Due after 10 years 175 175 166 Subtotal 687 687 678 MBS 13,999 13,993 14,026 Total $ 14,686 $ 14,680 $ 14,704 (1) |
Other-Than-Temporary Impairme32
Other-Than-Temporary Impairment Analysis (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
ScheduleOfTransfersFromHeldToMaturityToAvailableForSale [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, 2018 . 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, 2017 . Three Months Ended June 30, 2018 Six Months Ended June 30, 2018 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: Alt-A, other $ 12 $ — $ — $ 12 $ 12 $ — $ — $ 12 Total $ 12 $ — $ — $ 12 $ 12 $ — $ — $ 12 |
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings | For securities determined to be other-than-temporarily impaired as of June 30, 2018 (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 during the second quarter of 2018 , and the related current credit enhancement for the Bank. June 30, 2018 Significant Inputs for Other-Than-Temporarily Impaired PLRMBS Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Year of Securitization Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Alt-A, option ARM 2006 7.7 40.9 34.8 — Total Alt-A, option ARM 7.7 40.9 34.8 — Alt-A, other 2007 10.0 28.4 40.6 0.3 2006 10.6 25.4 39.4 20.6 2005 14.4 13.8 34.4 0.1 2004 and earlier 17.7 12.6 32.3 14.0 Total Alt-A, other 10.8 25.9 39.5 8.4 Total 10.4 27.8 38.9 7.4 (1) Weighted average percentage is based on unpaid principal balance. |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the credit-related OTTI, which is recognized in earnings, for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, 2018 2017 2018 2017 Balance, beginning of the period $ 1,113 $ 1,169 $ 1,129 $ 1,183 Additional charges on securities for which OTTI was previously recognized (1) 5 6 6 9 Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities (2) (15 ) (17 ) (32 ) (34 ) Balance, end of the period $ 1,103 $ 1,158 $ 1,103 $ 1,158 (1) For the three months ended June 30, 2018 and 2017 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2018 and 2017 , respectively. For the six months ended June 30, 2018 and 2017 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2018 and 2017 , respectively. (2) The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $20 and $23 for the three months ended June 30, 2018 and 2017 , respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $42 and $46 for the six months ended June 30, 2018 and 2017 , respectively. |
Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities | 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, 2018 , and December 31, 2017 , by loan collateral type: June 30, 2018 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 $ 356 $ 294 $ 323 $ — $ — $ — $ — Alt-A, option ARM 859 639 769 — — — — Alt-A, other 2,679 2,230 2,418 58 53 49 58 Total $ 3,894 $ 3,163 $ 3,510 $ 58 $ 53 $ 49 $ 58 December 31, 2017 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 $ 405 $ 335 $ 364 $ — $ — $ — $ — Alt-A, option ARM 953 714 834 — — — — Alt-A, other 2,927 2,447 2,635 64 59 53 63 Total $ 4,285 $ 3,496 $ 3,833 $ 64 $ 59 $ 53 $ 63 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances | Interest rate payment terms for advances at June 30, 2018 , and December 31, 2017 , are detailed below: June 30, 2018 December 31, 2017 Par value of advances: Fixed rate: Due within 1 year $ 23,275 $ 31,767 Due after 1 year 17,185 13,022 Total fixed rate 40,460 44,789 Adjustable rate: Due within 1 year 18,385 14,636 Due after 1 year 11,708 18,061 Total adjustable rate 30,093 32,697 Total par value $ 70,553 $ 77,486 The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.86% to 8.57% at June 30, 2018 , and 0.79% to 8.57% at December 31, 2017 , as summarized below. June 30, 2018 December 31, 2017 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 41,660 2.03 % $ 46,403 1.46 % After 1 year through 2 years 14,131 2.19 16,287 1.61 After 2 years through 3 years 7,524 2.30 5,423 1.73 After 3 years through 4 years 4,596 2.42 6,719 1.69 After 4 years through 5 years 1,550 2.48 1,741 2.10 After 5 years 1,092 3.24 913 3.13 Total par value 70,553 2.14 % 77,486 1.57 % Valuation adjustments for hedging activities (161 ) (88 ) Valuation adjustments under fair value option (78 ) (16 ) Total $ 70,314 $ 77,382 June 30, 2018 , and December 31, 2017 , 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, 2018 December 31, 2017 June 30, 2018 December 31, 2017 Within 1 year $ 45,877 $ 52,624 $ 41,665 $ 46,403 After 1 year through 2 years 13,256 12,593 14,136 16,287 After 2 years through 3 years 7,224 7,973 7,524 5,423 After 3 years through 4 years 1,596 1,719 4,596 6,719 After 4 years through 5 years 1,544 1,729 1,550 1,741 After 5 years 1,056 848 1,082 913 Total par value $ 70,553 $ 77,486 $ 70,553 $ 77,486 The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 2018 and 2017 . 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, 2018 and 2017 . June 30, 2018 Three Months Ended Six Months Ended Name of Borrower Advances Percentage of Interest Income from Advances (1) Percentage of Interest (1) Percentage of MUFG Union Bank, National Association $ 13,400 19 % $ 60 16 % $ 104 14 % First Republic Bank 10,250 14 46 13 81 11 JPMorgan Chase Bank, National Association (2) 9,361 13 54 15 104 14 Bank of the West 7,508 11 35 10 64 9 Wells Fargo Financial National Bank 4,000 6 21 6 38 6 Subtotal 44,519 63 216 60 391 54 Others 26,034 37 145 40 336 46 Total par value $ 70,553 100 % $ 361 100 % $ 727 100 % June 30, 2017 Three Months Ended Six Months Ended Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest (1) Percentage of Interest Income from Advances (1) Percentage of Total Interest Income from Advances JPMorgan Chase Bank, National Association (2) $ 12,805 23 % $ 45 22 % $ 86 24 % Bank of the West 9,110 17 19 10 33 9 First Republic Bank 7,700 14 28 14 48 14 MUFG Union Bank, National Association 4,600 8 6 3 8 2 CIT Bank, N.A. 2,396 4 8 4 16 4 Subtotal 36,611 66 106 53 191 53 Others 18,576 34 95 47 171 47 Total par value $ 55,187 100 % $ 201 100 % $ 362 100 % (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. |
Mortgage Loans Held for Portf34
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule of Participating Mortgage Loans | The following table presents information as of June 30, 2018 , and December 31, 2017 , on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. June 30, 2018 December 31, 2017 Fixed rate medium-term mortgage loans $ 20 $ 32 Fixed rate long-term mortgage loans 2,618 1,973 Subtotal 2,638 2,005 Unamortized premiums 95 76 Unamortized discounts (5 ) (5 ) Mortgage loans held for portfolio 2,728 2,076 Less: Allowance for credit losses — — Total mortgage loans held for portfolio, net $ 2,728 $ 2,076 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Loans and Leases Receivable Disclosure [Abstract] | |
Past Due Financing Receivables | The following table presents information on delinquent mortgage loans as of June 30, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Recorded Investment (1) Recorded Investment (1) 30 – 59 days delinquent $ 7 $ 8 60 – 89 days delinquent 2 2 90 days or more delinquent 11 12 Total past due 20 22 Total current loans 2,723 2,065 Total mortgage loans $ 2,743 $ 2,087 In process of foreclosure, included above (2) $ 3 $ 3 Nonaccrual loans $ 11 $ 12 Loans past due 90 days or more and still accruing interest $ — $ — Serious delinquencies as a percentage of total mortgage loans outstanding (3) 0.41 % 0.59 % (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) |
Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology | The recorded investment by impairment methodology for individually and collectively evaluated impaired loans is as follows: (In millions) June 30, 2018 December 31, 2017 Recorded investment, end of the period: Individually evaluated for impairment $ 9 $ 9 Collectively evaluated for impairment 2,734 2,078 Total recorded investment $ 2,743 $ 2,087 |
Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans | The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows: June 30, 2018 December 31, 2017 Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 9 $ 9 $ — $ 9 $ 9 $ — With an allowance — — — — — — Total $ 9 $ 9 $ — $ 9 $ 9 $ — |
Deposits (Tables)
Deposits (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component | Deposits as of June 30, 2018 , and December 31, 2017 , were as follows: June 30, 2018 December 31, 2017 Interest-bearing deposits: Demand and overnight $ 354 $ 263 Term 2 — Total interest-bearing deposits 356 263 Non-interest-bearing deposits 23 18 Total $ 379 $ 281 |
Schedule of Interest Rate Payment Terms On Deposit Liabilities | 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, 2018 , and December 31, 2017 , are detailed in the following table: June 30, 2018 December 31, 2017 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Interest-bearing deposits: Adjustable rate $ 354 1.60 % $ 263 1.10 % Fixed rate 2 1.60 — — Total interest-bearing deposits 356 263 Non-interest-bearing deposits 23 18 Total $ 379 $ 281 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt | The following is a summary of the Bank’s participation in consolidated obligation bonds at June 30, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 58,923 1.90 % $ 69,734 1.33 % After 1 year through 2 years 6,226 1.88 6,461 1.42 After 2 years through 3 years 3,791 1.82 2,785 1.74 After 3 years through 4 years 1,165 1.93 2,058 1.78 After 4 years through 5 years 2,029 2.41 1,994 2.15 After 5 years 2,031 2.94 2,076 2.80 Total par value 74,165 1.94 % 85,108 1.41 % Unamortized premiums 5 9 Unamortized discounts (11 ) (11 ) Valuation adjustments for hedging activities (84 ) (37 ) Fair value option valuation adjustments (14 ) (6 ) Total $ 74,061 $ 85,063 |
Schedule of Long-term Debt by Call Feature | The Bank’s participation in consolidated obligation bonds at June 30, 2018 , and December 31, 2017 , was as follows: June 30, 2018 December 31, 2017 Par value of consolidated obligation bonds: Non-callable $ 63,520 $ 75,496 Callable 10,645 9,612 Total par value $ 74,165 $ 85,108 |
Schedule of Maturities of Long-term Debt by Contractual or Next Call Date | The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 2018 , and December 31, 2017 , by the earlier of the year of contractual maturity or next call date. Earlier of Contractual Maturity or Next Call Date June 30, 2018 December 31, 2017 Within 1 year $ 68,154 $ 78,606 After 1 year through 2 years 5,125 5,326 After 2 years through 3 years 730 935 After 3 years through 4 years 5 85 After 4 years through 5 years 90 55 After 5 years 61 101 Total par value $ 74,165 $ 85,108 |
Schedule of Short-term Debt | The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows: June 30, 2018 December 31, 2017 Amount Outstanding Weighted Average Interest Rate (1) Amount Outstanding Weighted Average Interest Rate (1) Par value $ 24,570 1.86 % $ 30,494 1.24 % Unamortized discounts (51 ) (54 ) Total $ 24,519 $ 30,440 |
Schedule of Interest Rate Payment Terms for Debt | Interest rate payment terms for consolidated obligations at June 30, 2018 , and December 31, 2017 , 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 2017 Form 10-K. June 30, 2018 December 31, 2017 Par value of consolidated obligations: Bonds: Fixed rate $ 16,348 $ 17,967 Adjustable rate 56,489 66,276 Step-up 953 565 Step-down 275 200 Range bonds 100 100 Total bonds, par value 74,165 85,108 Discount notes, par value 24,570 30,494 Total consolidated obligations, par value $ 98,735 $ 115,602 |
Accumulated Other Comprehensi38
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for the six months ended June 30, 2018 and 2017 : Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total Balance, December 31, 2016 $ 136 $ (9 ) $ (16 ) $ 111 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (3 ) — (3 ) Net change in fair value 113 113 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 4 — 4 Net current period other comprehensive income/(loss) 114 2 — 116 Balance, June 30, 2017 $ 250 $ (7 ) $ (16 ) $ 227 Balance, December 31, 2017 $ 337 $ (6 ) $ (13 ) $ 318 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 1 1 Non-credit-related OTTI loss (11 ) — (11 ) Net change in fair value 20 20 Accretion of non-credit-related OTTI loss 1 1 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) 10 1 1 12 Balance, June 30, 2018 $ 347 $ (5 ) $ (12 ) $ 330 |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As of June 30, 2018 , and December 31, 2017 , the Bank was in compliance with these capital rules and requirements as shown in the following table. June 30, 2018 December 31, 2017 Required Actual Required Actual Risk-based capital $ 2,022 $ 6,424 $ 2,023 $ 6,797 Total regulatory capital $ 4,248 $ 6,424 $ 4,935 $ 6,797 Total regulatory capital ratio 4.00 % 6.05 % 4.00 % 5.51 % Leverage capital $ 5,310 $ 9,636 $ 6,169 $ 10,195 Leverage ratio 5.00 % 9.07 % 5.00 % 8.26 % |
Schedule of Mandatorily Redeemable Capital Stock | The Bank had mandatorily redeemable capital stock totaling $255 outstanding to six institutions at June 30, 2018 , and $309 outstanding to seven institutions at December 31, 2017 . The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2018 and 2017 , was as follows: Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Balance at the beginning of the period $ 309 $ 403 $ 309 $ 457 Reclassified from/(to) capital during the period 2 2 2 2 Redemption of mandatorily redeemable capital stock — — — (54 ) Repurchase of excess mandatorily redeemable capital stock (56 ) (1 ) (56 ) (1 ) Balance at the end of the period $ 255 $ 404 $ 255 $ 404 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at June 30, 2018 , and December 31, 2017 . Contractual Redemption Period June 30, 2018 December 31, 2017 After 1 year through 2 years $ 1 $ — After 2 years through 3 years 251 306 Past contractual redemption date because of remaining activity (1) 3 3 Total $ 255 $ 309 (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 | The following tables summarize the activity related to retained earnings for the three and six months ended June 30, 2018 and 2017 : Restricted Retained Earnings Related to: Unrestricted Retained Earnings Valuation Adjustments Other Joint Capital Enhancement Agreement Total Restricted Retained Earnings Total Retained Earnings Balance, March 31, 2017 $ 850 $ 20 $ 1,750 $ 530 $ 2,300 $ 3,150 Net income 63 1 — 16 17 80 Cash dividends on capital stock (41 ) (41 ) Balance, June 30, 2017 $ 872 $ 21 $ 1,750 $ 546 $ 2,317 $ 3,189 Balance, March 31, 2018 $ 2,681 $ — $ — $ 592 $ 592 $ 3,273 Net income 84 — — 20 20 104 Cash dividends on capital stock (58 ) (58 ) Balance, June 30, 2018 $ 2,707 $ — $ — $ 612 $ 612 $ 3,319 Restricted Retained Earnings Related to: Unrestricted Retained Earnings Valuation Adjustments Other Joint Capital Enhancement Agreement Total Restricted Retained Earnings Total Retained Earnings Balance, December 31, 2016 $ 888 $ 18 $ 1,650 $ 500 $ 2,168 $ 3,056 Net income 79 3 100 46 149 228 Cash dividends on capital stock (95 ) (95 ) Balance, June 30, 2017 $ 872 $ 21 $ 1,750 $ 546 $ 2,317 $ 3,189 Balance, December 31, 2017 $ 2,670 $ — $ — $ 575 $ 575 $ 3,245 Net income 148 — — 37 37 185 Cash dividends on capital stock (111 ) (111 ) Balance, June 30, 2018 $ 2,707 $ — $ — $ 612 $ 612 $ 3,319 |
Segment Information (Tables)
Segment Information (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Segment Reporting [Abstract] | |
Reconciliation of Operating Profit (Loss) from Segments to Consolidated | 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, 2018 and 2017 . 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, 2018 $ 79 $ 73 $ 152 $ — $ (7 ) $ 5 $ 154 $ 5 $ 43 $ 116 June 30, 2017 57 81 138 — (13 ) 7 144 (16 ) 39 89 Six months ended: June 30, 2018 $ 157 $ 148 $ 305 $ (1 ) $ (7 ) $ 11 $ 302 $ (3 ) $ 92 $ 207 June 30, 2017 105 164 269 (2 ) (25 ) 18 278 96 119 255 (1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $20 and $23 for the three months ended June 30, 2018 and 2017 ; and totaled $42 and $46 for the six months ended June 30, 2018 and 2017 , respectively. The mortgage-related business does not include credit-related OTTI losses of $5 and $6 for the three months ended June 30, 2018 and 2017 , and $6 and $9 for the six months ended June 30, 2018 and 2017 , respectively. (2) Represents amortization of amounts deferred for adjusted net interest income purposes only. (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 |
Schedule of Segment Assets by Segment | The following table presents total assets by operating segment at June 30, 2018 , and December 31, 2017 . Advances- Related Business Mortgage- Related Business Total Assets June 30, 2018 $ 86,849 $ 19,359 $ 106,208 December 31, 2017 103,426 19,959 123,385 |
Derivatives and Hedging Activ41
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of June 30, 2018 , and December 31, 2017 . For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2018 December 31, 2017 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 34,853 $ 8 $ 43 $ 24,270 $ 92 $ 27 Total 34,853 8 43 24,270 92 27 Derivatives not designated as hedging instruments: Interest rate swaps 39,022 83 74 73,760 81 57 Interest rate caps and floors 1,563 2 — 1,563 1 1 Mortgage delivery commitments 16 — — 16 — — Total 40,601 85 74 75,339 82 58 Total derivatives before netting and collateral adjustments $ 75,454 93 117 $ 99,609 174 85 Netting adjustments and cash collateral (1) 48 (115 ) (91 ) (84 ) Total derivative assets and total derivative liabilities $ 141 $ 2 $ 83 $ 1 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $195 and $10 at June 30, 2018 , and December 31, 2017 , respectively. Cash collateral received and related accrued interest was $32 and $18 at June 30, 2018 , and December 31, 2017 , respectively. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | 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, 2018 and 2017 . Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives designated as hedging instruments: Interest rate swaps $ 2 $ (2 ) $ 4 $ (2 ) Total net gain/(loss) related to fair value hedge ineffectiveness 2 (2 ) 4 (2 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 18 (10 ) 42 (8 ) Interest rate caps and floors (1 ) (3 ) 1 (5 ) Net settlements (7 ) (13 ) (7 ) (25 ) Mortgage delivery commitments 5 9 9 12 Total net gain/(loss) related to derivatives not designated as hedging instruments 15 (17 ) 45 (26 ) Other (1) — — (1 ) — Net gain/(loss) on derivatives and hedging activities $ 17 $ (19 ) $ 48 $ (28 ) |
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance | The following tables present, 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, 2018 and 2017 . Three Months Ended June 30, 2018 June 30, 2017 Hedged Item Type Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ 10 $ (6 ) $ 4 $ 17 $ (10 ) $ 8 $ (2 ) $ (8 ) Consolidated obligation bonds (6 ) 4 (2 ) (8 ) 1 (1 ) — 6 Total $ 4 $ (2 ) $ 2 $ 9 $ (9 ) $ 7 $ (2 ) $ (2 ) Six Months Ended June 30, 2018 June 30, 2017 Hedged Item Type Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Gain/(Loss) Gain /(Loss) on Hedged Item Net Fair Effect of (1) Advances $ 80 $ (73 ) $ 7 $ 20 $ 4 $ (6 ) $ (2 ) $ (17 ) Consolidated obligation bonds (50 ) 47 (3 ) (7 ) (10 ) 10 — 15 Total $ 30 $ (26 ) $ 4 $ 13 $ (6 ) $ 4 $ (2 ) $ (2 ) (1) |
Schedule of Derivative Instruments, Offsetting Derivative Assets | 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, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Derivative Instruments Meeting Netting Requirements Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 89 $ (87 ) $ 2 $ 35 $ (33 ) $ 2 Cleared 4 135 139 139 (58 ) 81 Total $ 141 $ 83 Derivative Liabilities Uncleared $ 113 $ (111 ) $ 2 $ 29 $ (28 ) $ 1 Cleared 4 (4 ) — 56 (56 ) — Total $ 2 $ 1 |
Schedule of Derivative Instruments, Offsetting Derivative Liabilities | 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, 2018 , and December 31, 2017 . June 30, 2018 December 31, 2017 Derivative Instruments Meeting Netting Requirements Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 89 $ (87 ) $ 2 $ 35 $ (33 ) $ 2 Cleared 4 135 139 139 (58 ) 81 Total $ 141 $ 83 Derivative Liabilities Uncleared $ 113 $ (111 ) $ 2 $ 29 $ (28 ) $ 1 Cleared 4 (4 ) — 56 (56 ) — Total $ 2 $ 1 |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | 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, 2018 , and December 31, 2017 . The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. June 30, 2018 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 44 $ 44 $ 44 $ — $ — $ — Interest-bearing deposits 2,035 2,035 2,035 — — — Securities purchased under agreements to resell 4,000 4,000 — 4,000 — — Federal funds sold 8,727 8,729 — 8,729 — — Trading securities 662 662 — 662 — — AFS securities 3,510 3,510 — — 3,510 — HTM securities 13,769 13,739 — 12,904 835 — Advances 70,314 70,363 — 70,363 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 2,728 2,660 — 2,660 — — Accrued interest receivable 161 161 — 161 — — Derivative assets, net (1) 141 141 — 93 — 48 Other assets (2) 9 9 9 — — — Liabilities Deposits 379 379 — 379 — — Consolidated obligations: Bonds 74,061 73,839 — 73,839 — — Discount notes 24,519 24,518 — 24,518 — — Total consolidated obligations 98,580 98,357 — 98,357 — — Mandatorily redeemable capital stock 255 255 255 — — — Accrued interest payable 131 131 — 131 — — Derivative liabilities, net (1) 2 2 — 117 — (115 ) Other Standby letters of credit 22 22 — 22 — — December 31, 2017 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 31 $ 31 $ 31 $ — $ — $ — Interest-bearing deposits 1,115 1,115 1,115 — — — Securities purchased under agreements to resell 11,750 11,750 — 11,750 — — Federal funds sold 11,028 11,029 — 11,029 — — Trading securities 1,164 1,164 — 1,164 — — AFS securities 3,833 3,833 — — 3,833 — HTM securities 14,680 14,704 — 13,697 1,007 — Advances 77,382 77,437 — 77,437 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 2,076 2,075 — 2,075 — — Accrued interest receivable 119 119 — 119 — — Derivative assets, net (1) 83 83 — 174 — (91 ) Other assets (2) 9 9 9 — — — Liabilities Deposits 281 281 — 281 — — Consolidated obligations: Bonds 85,063 84,938 — 84,938 — — Discount notes 30,440 30,437 — 30,437 — — Total consolidated obligations 115,503 115,375 — 115,375 — — Mandatorily redeemable capital stock 309 309 309 — — — Accrued interest payable 116 116 — 116 — — Derivative liabilities, net (1) 1 1 — 85 — (84 ) Other Standby letters of credit 19 19 — 19 — — (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. (2) Represents publicly traded mutual funds held in a grantor trust. |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques | The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at June 30, 2018 , and December 31, 2017 , by level within the fair value hierarchy. June 30, 2018 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 657 $ — $ — $ 657 MBS: Other U.S. obligations – Ginnie Mae — 5 — — 5 Total trading securities — 662 — — 662 AFS securities: PLRMBS — — 3,510 — 3,510 Total AFS securities — — 3,510 — 3,510 Advances (2) — 6,083 — — 6,083 Derivative assets, net: interest rate-related — 93 — 48 141 Other assets 9 — — — 9 Total recurring fair value measurements – Assets $ 9 $ 6,838 $ 3,510 $ 48 $ 10,405 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 1,404 $ — $ — $ 1,404 Derivative liabilities, net: interest rate-related — 117 — (115 ) 2 Total recurring fair value measurements – Liabilities $ — $ 1,521 $ — $ (115 ) $ 1,406 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 2 $ — $ 2 Total nonrecurring fair value measurements – Assets $ — $ — $ 2 $ — $ 2 December 31, 2017 Fair Value Measurement Using: Netting Level 1 Level 2 Level 3 Adjustments (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 1,158 $ — $ — $ 1,158 MBS: Other U.S. obligations – Ginnie Mae — 6 — — 6 Total trading securities — 1,164 — — 1,164 AFS securities: PLRMBS — — 3,833 — 3,833 Total AFS securities — — 3,833 — 3,833 Advances (2) — 6,431 — — 6,431 Derivative assets, net: interest rate-related — 174 — (91 ) 83 Other assets 9 — — — 9 Total recurring fair value measurements – Assets $ 9 $ 7,769 $ 3,833 $ (91 ) $ 11,520 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 949 $ — $ — $ 949 Derivative liabilities, net: interest rate-related — 85 — (84 ) 1 Total recurring fair value measurements – Liabilities $ — $ 1,034 $ — $ (84 ) $ 950 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 3 $ — $ 3 Total nonrecurring fair value measurements – Assets $ — $ — $ 3 $ — $ 3 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty. (2) Represents advances recorded under the fair value option at June 30, 2018 , and December 31, 2017 . (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2018 , and December 31, 2017 . (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2018 , and the year ended December 31, 2017 . |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables present 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, 2018 and 2017 . Three Months Ended June 30, 2018 June 30, 2017 Balance, beginning of the period $ 3,686 $ 4,294 Total gain/(loss) realized and unrealized included in: Interest income 20 24 Net OTTI loss, credit-related (5 ) (6 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 3 84 Net amount of OTTI loss reclassified to/(from) other income/(loss) (8 ) (1 ) Settlements (198 ) (231 ) Transfers of HTM securities to AFS securities 12 — Balance, end of the period $ 3,510 $ 4,164 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 $ 15 $ 16 Six Months Ended June 30, 2018 June 30, 2017 Balance, beginning of the period $ 3,833 $ 4,489 Total gain/(loss) realized and unrealized included in: Interest income 42 46 Net OTTI loss, credit-related (6 ) (9 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 20 113 Net amount of OTTI loss reclassified to/(from) other income/(loss) (10 ) 1 Settlements (381 ) (476 ) Transfers of HTM securities to AFS securities 12 — Balance, end of the period $ 3,510 $ 4,164 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 $ 36 $ 36 |
Fair Value, Option, Quantitative Disclosures | 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, 2018 , and December 31, 2017 : June 30, 2018 December 31, 2017 Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Advances (1) $ 6,161 $ 6,083 $ (78 ) $ 6,447 $ 6,431 $ (16 ) Consolidated obligation bonds 1,418 1,404 (14 ) 955 949 (6 ) (1) At June 30, 2018 , and December 31, 2017 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. six months ended June 30, 2018 and 2017 : Three Months Ended June 30, 2018 June 30, 2017 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 6,637 $ 1,315 $ 3,816 $ 2,236 New transactions elected for fair value option 342 89 1,772 95 Maturities and terminations (882 ) — (107 ) (1,215 ) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option (14 ) (2 ) 8 3 Change in accrued interest — 2 1 (1 ) Balance, end of the period $ 6,083 $ 1,404 $ 5,490 $ 1,118 Six Months Ended June 30, 2018 June 30, 2017 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 6,431 $ 949 $ 3,719 $ 1,507 New transactions elected for fair value option 1,564 463 2,060 835 Maturities and terminations (1,850 ) — (299 ) (1,230 ) Net gain/(loss) from changes in fair value recognized in earnings (63 ) (10 ) 9 5 Change in accrued interest 1 2 1 1 Balance, end of the period $ 6,083 $ 1,404 $ 5,490 $ 1,118 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | Off-balance sheet commitments as of June 30, 2018 , and December 31, 2017 , were as follows: June 30, 2018 December 31, 2017 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit outstanding $ 12,737 $ 4,083 $ 16,820 $ 12,910 $ 3,240 $ 16,150 Commitments to fund additional advances — — — 1 — 1 Commitments to issue consolidated obligation discount notes, par 57 — 57 134 — 134 Commitments to issue consolidated obligation bonds, par — — — 595 — 595 Commitments to purchase mortgage loans 16 — 16 16 — 16 |
Transactions with Certain Mem44
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members and Nonmembers | The following tables set forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s Board of Directors. June 30, 2018 December 31, 2017 Assets: Advances $ 3,811 $ 3,072 Mortgage loans held for portfolio 12 13 Accrued interest receivable 7 5 Liabilities: Deposits $ 26 $ 3 Capital: Capital Stock $ 142 $ 126 Three Months Ended Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 Interest Income: Advances $ 17 $ 10 $ 31 $ 19 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||
Trading securities | [1] | $ 662 | $ 662 | $ 1,164 | ||
Net unrealized gain/(loss) on trading securities | 0 | $ (1) | (1) | $ 0 | ||
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds | ||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||
Trading securities | 657 | 657 | 1,158 | |||
GSEs – single-family: | MBS – Other U.S. obligations – Ginnie Mae | ||||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||||||
Trading securities | $ 5 | $ 5 | $ 6 | |||
[1] | At June 30, 2018 , and December 31, 2017 , none |
Available-for-Sale Securities46
Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit-related OTTI | $ 1,103 | $ 1,113 | $ 1,129 | $ 1,158 | $ 1,169 | $ 1,183 |
Available-for-sale Securities | Collateralized Mortgage Backed Securities | ||||||
Schedule of Available-for-sale Securities [Line Items] | ||||||
Credit-related OTTI | $ 742 | $ 801 |
Available-for-Sale Securities47
Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 3,163 | $ 3,496 |
OTTI Recognized in AOCI | (20) | (33) | |
Gross Unrealized Gains | 367 | 370 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | [2] | 3,510 | 3,833 |
Subtotal PLRMBS | Prime | Residential Mortgage Backed Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | 294 | 335 | |
OTTI Recognized in AOCI | 0 | 0 | |
Gross Unrealized Gains | 29 | 29 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 323 | 364 | |
Subtotal PLRMBS | Alt-A, option ARM | Residential Mortgage Backed Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | 639 | 714 | |
OTTI Recognized in AOCI | (7) | (10) | |
Gross Unrealized Gains | 137 | 130 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 769 | 834 | |
Subtotal PLRMBS | Alt-A, other | Residential Mortgage Backed Securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | 2,230 | 2,447 | |
OTTI Recognized in AOCI | (13) | (23) | |
Gross Unrealized Gains | 201 | 211 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | $ 2,418 | $ 2,635 | |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. | ||
[2] | At June 30, 2018 , and December 31, 2017 , none |
Available-for-Sale Securities48
Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 51 | $ 5 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 422 | 511 |
12 Months or More: Unrealized Losses | 20 | 33 |
Estimated Fair Value | 473 | 516 |
Unrealized Losses | 20 | 33 |
Prime | Subtotal PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 2 | 0 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 8 | 11 |
12 Months or More: Unrealized Losses | 0 | 0 |
Estimated Fair Value | 10 | 11 |
Unrealized Losses | 0 | 0 |
Alt-A, option ARM | Subtotal PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Available-for-sale 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 | 137 | 144 |
12 Months or More: Unrealized Losses | 7 | 10 |
Estimated Fair Value | 137 | 144 |
Unrealized Losses | 7 | 10 |
Alt-A, other | Subtotal PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 49 | 5 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 277 | 356 |
12 Months or More: Unrealized Losses | 13 | 23 |
Estimated Fair Value | 326 | 361 |
Unrealized Losses | $ 13 | $ 23 |
Held-to-Maturity Securities (Cl
Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | $ 13,774 | $ 14,686 | ||||||
OTTI Recognized in AOCI | [1] | (5) | (6) | ||||||
HTM securities, Carrying Value | [1],[2] | 13,769 | 14,680 | ||||||
Gross Unrecognized Holding Gain | 50 | 71 | |||||||
Gross Unrecognized Holding Loss | (80) | (47) | |||||||
HTM Securities, Fair Value | 13,739 | 14,704 | |||||||
Credit-related OTTI | 1,103 | $ 1,113 | 1,129 | $ 1,158 | $ 1,169 | $ 1,183 | |||
Certificates of deposit | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 550 | [1] | 500 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 550 | [1] | 500 | ||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||
Gross Unrecognized Holding Loss | 0 | 0 | |||||||
HTM Securities, Fair Value | 550 | 500 | |||||||
California Housing Finance Agency (CalHFA) bonds | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 155 | [1] | 187 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 155 | [1] | 187 | ||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||
Gross Unrecognized Holding Loss | (8) | (9) | |||||||
HTM Securities, Fair Value | 147 | 178 | |||||||
Ginnie Mae | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 678 | [1] | 751 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 678 | [3] | 751 | ||||||
Gross Unrecognized Holding Gain | 0 | 1 | |||||||
Gross Unrecognized Holding Loss | (12) | (1) | |||||||
HTM Securities, Fair Value | 666 | 751 | |||||||
Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 11,706 | 12,421 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 11,706 | 12,421 | ||||||
Gross Unrecognized Holding Gain | 36 | 54 | |||||||
Gross Unrecognized Holding Loss | (54) | (29) | |||||||
HTM Securities, Fair Value | 11,688 | 12,446 | |||||||
Subtotal PLRMBS | Residential Mortgage Backed Securities | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 685 | 827 | ||||||
OTTI Recognized in AOCI | [1] | (5) | (6) | ||||||
HTM securities, Carrying Value | [1] | 680 | 821 | ||||||
Gross Unrecognized Holding Gain | 14 | 16 | |||||||
Gross Unrecognized Holding Loss | (6) | (8) | |||||||
HTM Securities, Fair Value | 688 | 829 | |||||||
Total MBS | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 13,069 | 13,999 | ||||||
OTTI Recognized in AOCI | [1] | (5) | (6) | ||||||
HTM securities, Carrying Value | [1] | 13,064 | 13,993 | ||||||
Gross Unrecognized Holding Gain | 50 | 71 | |||||||
Gross Unrecognized Holding Loss | (72) | (38) | |||||||
HTM Securities, Fair Value | 13,042 | 14,026 | |||||||
Held-to-maturity Securities, Premiums | 16 | 19 | |||||||
Held-to-maturity Securities, Discounts | 21 | 24 | |||||||
Total MBS | Held-to-maturity Securities | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Credit-related OTTI | 7 | 7 | |||||||
GSEs – single-family: | Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 4,858 | 5,639 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 4,858 | 5,639 | ||||||
Gross Unrecognized Holding Gain | 30 | 46 | [1] | ||||||
Gross Unrecognized Holding Loss | (53) | (23) | [1] | ||||||
HTM Securities, Fair Value | 4,835 | 5,662 | [1] | ||||||
GSEs – single-family: | Freddie Mac | Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 1,760 | [1] | 2,039 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 1,760 | [1] | 2,039 | ||||||
Gross Unrecognized Holding Gain | 7 | 12 | |||||||
Gross Unrecognized Holding Loss | (33) | (15) | |||||||
HTM Securities, Fair Value | 1,734 | 2,036 | |||||||
GSEs – single-family: | Fannie Mae | Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 3,098 | [1] | 3,600 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 3,098 | [1] | 3,600 | ||||||
Gross Unrecognized Holding Gain | 23 | 34 | |||||||
Gross Unrecognized Holding Loss | (20) | (8) | |||||||
HTM Securities, Fair Value | 3,101 | 3,626 | |||||||
GSEs – multifamily: | Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 6,848 | 6,782 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 6,848 | 6,782 | ||||||
Gross Unrecognized Holding Gain | 6 | 8 | |||||||
Gross Unrecognized Holding Loss | (1) | (6) | |||||||
HTM Securities, Fair Value | 6,853 | 6,784 | |||||||
GSEs – multifamily: | Freddie Mac | Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 4,855 | [1] | 4,651 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 4,855 | [1] | 4,651 | ||||||
Gross Unrecognized Holding Gain | 6 | 6 | |||||||
Gross Unrecognized Holding Loss | 0 | (6) | |||||||
HTM Securities, Fair Value | 4,861 | 4,651 | |||||||
GSEs – multifamily: | Fannie Mae | Subtotal GSEs – single-family | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 1,993 | [1] | 2,131 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 1,993 | [1] | 2,131 | ||||||
Gross Unrecognized Holding Gain | 0 | 2 | |||||||
Gross Unrecognized Holding Loss | (1) | 0 | |||||||
HTM Securities, Fair Value | 1,992 | 2,133 | |||||||
Prime | Subtotal PLRMBS | Residential Mortgage Backed Securities | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 443 | [1] | 521 | ||||||
OTTI Recognized in AOCI | 0 | [1] | 0 | ||||||
HTM securities, Carrying Value | 443 | [1] | 521 | ||||||
Gross Unrecognized Holding Gain | 4 | 5 | |||||||
Gross Unrecognized Holding Loss | (4) | (6) | |||||||
HTM Securities, Fair Value | 443 | 520 | |||||||
Alt-A, other | Subtotal PLRMBS | Residential Mortgage Backed Securities | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | 242 | [1] | 306 | ||||||
OTTI Recognized in AOCI | (5) | [1] | (6) | ||||||
HTM securities, Carrying Value | 237 | [1] | 300 | ||||||
Gross Unrecognized Holding Gain | 10 | 11 | |||||||
Gross Unrecognized Holding Loss | (2) | (2) | |||||||
HTM Securities, Fair Value | $ 245 | $ 309 | |||||||
[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] | At June 30, 2018 , and December 31, 2017 , none | ||||||||
[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. |
Held-to-Maturity Securities (Se
Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | $ 4,024 | $ 3,534 |
Less Than 12 Months, Unrealized losses | 50 | 20 |
12 Months or More, Estimated Fair Value | 1,024 | 1,099 |
12 Months Or More, Unrealized losses | 35 | 33 |
Total, Estimated Fair Value | 5,048 | 4,633 |
Total, Unrealized Losses | 85 | 53 |
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 | 147 | 178 |
12 Months Or More, Unrealized losses | 8 | 9 |
Total, Estimated Fair Value | 147 | 178 |
Total, Unrealized Losses | 8 | 9 |
Ginnie Mae | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 604 | 406 |
Less Than 12 Months, Unrealized losses | 12 | 1 |
12 Months or More, Estimated Fair Value | 0 | 0 |
12 Months Or More, Unrealized losses | 0 | 0 |
Total, Estimated Fair Value | 604 | 406 |
Total, Unrealized Losses | 12 | 1 |
Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 3,353 | 3,111 |
Less Than 12 Months, Unrealized losses | 38 | 19 |
12 Months or More, Estimated Fair Value | 590 | 528 |
12 Months Or More, Unrealized losses | 16 | 10 |
Total, Estimated Fair Value | 3,943 | 3,639 |
Total, Unrealized Losses | 54 | 29 |
Subtotal PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 67 | 17 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 287 | 393 |
12 Months Or More, Unrealized losses | 11 | 14 |
Total, Estimated Fair Value | 354 | 410 |
Total, Unrealized Losses | 11 | 14 |
Total MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 4,024 | 3,534 |
Less Than 12 Months, Unrealized losses | 50 | 20 |
12 Months or More, Estimated Fair Value | 877 | 921 |
12 Months Or More, Unrealized losses | 27 | 24 |
Total, Estimated Fair Value | 4,901 | 4,455 |
Total, Unrealized Losses | 77 | 44 |
GSEs – single-family: | Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 1,959 | 1,597 |
Less Than 12 Months, Unrealized losses | 37 | 13 |
12 Months or More, Estimated Fair Value | 457 | 528 |
12 Months Or More, Unrealized losses | 16 | 10 |
Total, Estimated Fair Value | 2,416 | 2,125 |
Total, Unrealized Losses | 53 | 23 |
GSEs – single-family: | Freddie Mac | Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 1,015 | 895 |
Less Than 12 Months, Unrealized losses | 23 | 9 |
12 Months or More, Estimated Fair Value | 280 | 323 |
12 Months Or More, Unrealized losses | 10 | 6 |
Total, Estimated Fair Value | 1,295 | 1,218 |
Total, Unrealized Losses | 33 | 15 |
GSEs – single-family: | Fannie Mae | Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 944 | 702 |
Less Than 12 Months, Unrealized losses | 14 | 4 |
12 Months or More, Estimated Fair Value | 177 | 205 |
12 Months Or More, Unrealized losses | 6 | 4 |
Total, Estimated Fair Value | 1,121 | 907 |
Total, Unrealized Losses | 20 | 8 |
GSEs – multifamily: | Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 1,394 | 1,514 |
Less Than 12 Months, Unrealized losses | 1 | 6 |
12 Months or More, Estimated Fair Value | 133 | 0 |
12 Months Or More, Unrealized losses | 0 | 0 |
Total, Estimated Fair Value | 1,527 | 1,514 |
Total, Unrealized Losses | 1 | 6 |
GSEs – multifamily: | Freddie Mac | Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 444 | 1,058 |
Less Than 12 Months, Unrealized losses | 0 | 6 |
12 Months or More, Estimated Fair Value | 0 | 0 |
12 Months Or More, Unrealized losses | 0 | 0 |
Total, Estimated Fair Value | 444 | 1,058 |
Total, Unrealized Losses | 0 | 6 |
GSEs – multifamily: | Fannie Mae | Subtotal GSEs – single-family | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 950 | 456 |
Less Than 12 Months, Unrealized losses | 1 | 0 |
12 Months or More, Estimated Fair Value | 133 | 0 |
12 Months Or More, Unrealized losses | 0 | 0 |
Total, Estimated Fair Value | 1,083 | 456 |
Total, Unrealized Losses | 1 | 0 |
Prime | Subtotal PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 23 | 2 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 148 | 202 |
12 Months Or More, Unrealized losses | 4 | 6 |
Total, Estimated Fair Value | 171 | 204 |
Total, Unrealized Losses | 4 | 6 |
Alt-A, other | Subtotal PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 44 | 15 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 139 | 191 |
12 Months Or More, Unrealized losses | 7 | 8 |
Total, Estimated Fair Value | 183 | 206 |
Total, Unrealized Losses | $ 7 | $ 8 |
Held-to-Maturity Securities (Re
Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1] | $ 13,774 | $ 14,686 | |
HTM securities, Carrying Value | [1],[2] | 13,769 | 14,680 | |
HTM Securities, Fair Value | 13,739 | 14,704 | ||
Other Than Mortgage Backed Securities | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Due in 1 year or less, Amortized Cost | 550 | [3] | 500 | |
Due in 1 year or less, Carrying Value | 550 | [3] | 500 | |
Due in 1 year or less, Fair Value | 550 | 500 | ||
Due after 5 years through 10 years, Amortized Cost | 12 | |||
Due after 5 years through 10 years, Carrying Value | 12 | |||
Due after 5 years through 10 years, Estimated Fair Value | 12 | |||
Due after 10 years, Amortized Cost | 155 | [3] | 175 | |
Due after 10 years, Carrying Value | 155 | [3] | 175 | |
Due after 10 years, Estimated Fair Value | 147 | 166 | ||
Amortized Cost | 705 | 687 | ||
HTM securities, Carrying Value | 705 | 687 | ||
HTM Securities, Fair Value | 697 | 678 | ||
Collateralized Mortgage Backed Securities | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1] | 13,069 | 13,999 | |
HTM securities, Carrying Value | [1] | 13,064 | 13,993 | |
HTM Securities, Fair Value | $ 13,042 | $ 14,026 | ||
[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] | At June 30, 2018 , and December 31, 2017 , none | |||
[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. |
Other-Than-Temporary Impairme52
Other-Than-Temporary Impairment Analysis (Narrative) (Details) | 6 Months Ended |
Jun. 30, 2018 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Period Assumed For Housing Markets That Have Reached Trough | 12 months |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Decrease | 8.00% |
Projected Change In The Twelve Month Housing Price Percentage Rate, Maximum Increase | 13.00% |
Projected Change In The Short-term Housing Price Percentage Rate, Minimum Increase In Vast Majority Of Markets | 2.00% |
Projected Change In The Short-term Housing Price Percentage Rate, Maximum Increase In Vast Majority Of Markets | 7.00% |
Other-Than-Temporary Impairme53
Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Residential Mortgage Backed Securities - Subtotal PLRMBS | 6 Months Ended | |
Jun. 30, 2018 | [1] | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 10.40% | |
Default Rate Weighted Average | 27.80% | |
Loss Severity Weighted Average | 38.90% | |
Credit Enhancements Weighted Average | 7.40% | |
Alt-A, option ARM | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 7.70% | |
Default Rate Weighted Average | 40.90% | |
Loss Severity Weighted Average | 34.80% | |
Credit Enhancements Weighted Average | 0.00% | |
Alt-A, other | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 10.80% | |
Default Rate Weighted Average | 25.90% | |
Loss Severity Weighted Average | 39.50% | |
Credit Enhancements Weighted Average | 8.40% | |
2007 | Alt-A, other | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 10.00% | |
Default Rate Weighted Average | 28.40% | |
Loss Severity Weighted Average | 40.60% | |
Credit Enhancements Weighted Average | 0.30% | |
Securitization in 2006 [Member] | Alt-A, option ARM | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 7.70% | |
Default Rate Weighted Average | 40.90% | |
Loss Severity Weighted Average | 34.80% | |
Credit Enhancements Weighted Average | 0.00% | |
Securitization in 2006 [Member] | Alt-A, other | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 10.60% | |
Default Rate Weighted Average | 25.40% | |
Loss Severity Weighted Average | 39.40% | |
Credit Enhancements Weighted Average | 20.60% | |
2005 | Alt-A, other | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 14.40% | |
Default Rate Weighted Average | 13.80% | |
Loss Severity Weighted Average | 34.40% | |
Credit Enhancements Weighted Average | 0.10% | |
2004 and Earlier | Alt-A, other | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 17.70% | |
Default Rate Weighted Average | 12.60% | |
Loss Severity Weighted Average | 32.30% | |
Credit Enhancements Weighted Average | 14.00% | |
[1] | Weighted average percentage is based on unpaid principal balance. |
Other-Than-Temporary Impairme54
Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Other than Temporary Impairment Losses, Investments [Abstract] | |||||
OTTI PLRMBS, Total accretion or amortization recognized in interest income | $ 20 | $ 23 | $ 42 | $ 46 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance, beginning of the period | 1,113 | 1,169 | 1,129 | 1,183 | |
Additional charges on securities for which OTTI was previously recognized | [1] | 5 | 6 | 6 | 9 |
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | [2] | (15) | (17) | (32) | (34) |
Balance, end of the period | $ 1,103 | $ 1,158 | $ 1,103 | $ 1,158 | |
[1] | For the six months ended June 30, 2018 and 2017 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2018 and 2017 | ||||
[2] | The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $42 and $46 for the six months ended June 30, 2018 and 2017 , respectively. |
Other-Than-Temporary Impairme55
Other-Than-Temporary Impairment Analysis (Transfers) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2018 | Jun. 30, 2017 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |||
Transfers of other-than-temporarily impaired held to maturity securities to available for sale securities | $ 12 | $ 12 | $ 0 |
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income | 0 | 0 | |
Held-to-maturity Securities, Transferred Security, Unrealized Gain (Loss) | 0 | 0 | |
HTM Transferred to AFS, Amortized Cost | $ 0 | ||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | 12 | 12 | |
Residential Mortgage Backed Securities | Alt-A, other | Subtotal PLRMBS | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |||
Transfers of other-than-temporarily impaired held to maturity securities to available for sale securities | 12 | 12 | |
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income | 0 | 0 | |
Held-to-maturity Securities, Transferred Security, Unrealized Gain (Loss) | 0 | 0 | |
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | $ 12 | $ 12 |
Other-Than-Temporary Impairme56
Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - Subtotal PLRMBS - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | $ 3,894 | $ 4,285 |
Amortized Cost | 3,163 | 3,496 |
Estimated Fair Value | 3,510 | 3,833 |
Held-to-maturity Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 58 | 64 |
Amortized Cost | 53 | 59 |
Estimated Fair Value | 58 | 63 |
Carrying Value | 49 | 53 |
Prime | Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 356 | 405 |
Amortized Cost | 294 | 335 |
Estimated Fair Value | 323 | 364 |
Prime | Held-to-maturity Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Amortized Cost | 0 | 0 |
Estimated Fair Value | 0 | 0 |
Carrying Value | 0 | 0 |
Alt-A, option ARM | Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 859 | 953 |
Amortized Cost | 639 | 714 |
Estimated Fair Value | 769 | 834 |
Alt-A, option ARM | Held-to-maturity Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Amortized Cost | 0 | 0 |
Estimated Fair Value | 0 | 0 |
Carrying Value | 0 | 0 |
Alt-A, other | Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 2,679 | 2,927 |
Amortized Cost | 2,230 | 2,447 |
Estimated Fair Value | 2,418 | 2,635 |
Alt-A, other | Held-to-maturity Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 58 | 64 |
Amortized Cost | 53 | 59 |
Estimated Fair Value | 58 | 63 |
Carrying Value | $ 49 | $ 53 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | |
Advances [Line Items] | |||
Advances, Par Value | $ 70,553 | $ 77,486 | $ 55,187 |
Advances With Partial Prepayment Symmetry Outstanding | $ 5,109 | $ 4,619 | |
Minimum | |||
Advances [Line Items] | |||
Advances, Maturity Period, Fixed Rate | 1 day | ||
Advances, Maturity Period, Variable Rate | 30 days | ||
Advances, Interest Rate | 0.86% | 0.79% | |
Maximum | |||
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 | |||
Advances [Line Items] | |||
Advances, Par Value | $ 12,817 | $ 18,373 | |
Advances, Putable Option | |||
Advances [Line Items] | |||
Advances, Par Value | $ 10 | $ 0 |
Advances (Redemption Terms) (De
Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | |
Federal Home Loan Bank Advances, Maturities [Abstract] | ||||
Within 1 year | $ 41,660 | $ 46,403 | ||
After 1 year through 2 years | 14,131 | 16,287 | ||
After 2 years through 3 years | 7,524 | 5,423 | ||
After 3 years through 4 years | 4,596 | 6,719 | ||
After 4 years through 5 years | 1,550 | 1,741 | ||
After 5 years | 1,092 | 913 | ||
Total par value | 70,553 | 77,486 | $ 55,187 | |
Valuation adjustments for hedging activities | (161) | (88) | ||
Valuation adjustments under fair value option | [1] | (78) | (16) | |
Total | $ 70,314 | $ 77,382 | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | ||||
Within 1 year | 2.03% | 1.46% | ||
After 1 year through 2 years | 2.19% | 1.61% | ||
After 2 years through 3 years | 2.30% | 1.73% | ||
After 3 years through 4 years | 2.42% | 1.69% | ||
After 4 years through 5 years | 2.48% | 2.10% | ||
After 5 years | 3.24% | 3.13% | ||
Total par value | 2.14% | 1.57% | ||
[1] | At June 30, 2018 , and December 31, 2017 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Advances (Earlier of Contractua
Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Within 1 year | $ 45,877 | $ 52,624 | |
After 1 year through 2 years | 13,256 | 12,593 | |
After 2 years through 3 years | 7,224 | 7,973 | |
After 3 years through 4 years | 1,596 | 1,719 | |
After 4 years through 5 years | 1,544 | 1,729 | |
After 5 years | 1,056 | 848 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | |||
Within 1 year | 41,665 | 46,403 | |
After 1 year through 2 years | 14,136 | 16,287 | |
After 2 years through 3 years | 7,524 | 5,423 | |
After 3 years through 4 years | 4,596 | 6,719 | |
After 4 years through 5 years | 1,550 | 1,741 | |
After 5 years | 1,082 | 913 | |
Total par value | $ 70,553 | $ 77,486 | $ 55,187 |
Advances (Credit and Concentrat
Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |||
Advances [Line Items] | |||||||
Advances Outstanding | $ 70,553 | $ 55,187 | $ 70,553 | $ 55,187 | $ 77,486 | ||
Interest Income from Advances | $ 361 | $ 201 | $ 727 | [1] | $ 362 | [1] | |
Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 100.00% | 100.00% | |||||
Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 100.00% | 100.00% | 100.00% | 100.00% | |||
MUFG Union Bank, NA | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | $ 13,400 | $ 4,600 | $ 13,400 | $ 4,600 | |||
Interest Income from Advances | 60 | 6 | 104 | [1],[2] | 8 | [1] | |
First Republic Bank | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 10,250 | 7,700 | 10,250 | 7,700 | |||
Interest Income from Advances | 46 | 28 | 81 | [1] | 48 | [1] | |
JPMorgan Chase Bank, National Association | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 9,361 | 12,805 | 9,361 | 12,805 | |||
Interest Income from Advances | 54 | 45 | 104 | [1] | 86 | [2] | |
Bank of the West | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 7,508 | 9,110 | 7,508 | 9,110 | |||
Interest Income from Advances | 35 | 19 | 64 | [1],[2] | 33 | [1] | |
Wells Fargo National Bank | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 4,000 | 4,000 | |||||
Interest Income from Advances | 21 | 38 | [1],[2] | ||||
CIT Bank N.A. | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 2,396 | 2,396 | |||||
Interest Income from Advances | 8 | 16 | [1],[2] | ||||
Top five borrowers | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 44,519 | 36,611 | 44,519 | 36,611 | |||
Interest Income from Advances | $ 216 | $ 106 | $ 391 | [1] | $ 191 | [1] | |
Top five borrowers | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 63.00% | 66.00% | |||||
Top five borrowers | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 60.00% | 53.00% | 54.00% | 53.00% | |||
Top five borrowers | MUFG Union Bank, NA | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 19.00% | 8.00% | |||||
Top five borrowers | MUFG Union Bank, NA | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 16.00% | 3.00% | 14.00% | [2] | 2.00% | ||
Top five borrowers | First Republic Bank | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 14.00% | 14.00% | |||||
Top five borrowers | First Republic Bank | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 13.00% | 14.00% | 11.00% | 14.00% | |||
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 13.00% | 23.00% | |||||
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 15.00% | 22.00% | 14.00% | 24.00% | [2] | ||
Top five borrowers | Bank of the West | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 11.00% | 17.00% | |||||
Top five borrowers | Bank of the West | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 10.00% | 10.00% | 9.00% | [2] | 9.00% | ||
Top five borrowers | Wells Fargo National Bank | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 6.00% | ||||||
Top five borrowers | Wells Fargo National Bank | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 6.00% | 6.00% | [2] | ||||
Top five borrowers | CIT Bank N.A. | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 4.00% | ||||||
Top five borrowers | CIT Bank N.A. | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 4.00% | 4.00% | [2] | ||||
Other Borrowers | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | $ 26,034 | $ 18,576 | $ 26,034 | $ 18,576 | |||
Interest Income from Advances | $ 145 | $ 95 | $ 336 | [1] | $ 171 | [1] | |
Other Borrowers | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 37.00% | 34.00% | |||||
Other Borrowers | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 40.00% | 47.00% | 46.00% | 47.00% | |||
[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 | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||
Fixed Rate, due within 1 year | $ 23,275 | $ 31,767 | |
Fixed Rate, due after 1 year | 17,185 | 13,022 | |
Advances, Total Fixed Rate | 40,460 | 44,789 | |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||
Adjustable Rate, due within 1 year | 18,385 | 14,636 | |
Adjustable Rate, due after 1 year | 11,708 | 18,061 | |
Advances, Total Adjustable Rate | 30,093 | 32,697 | |
Total par value | $ 70,553 | $ 77,486 | $ 55,187 |
Mortgage Loans Held for Portf62
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 2,638 | $ 2,005 |
Unamortized premiums | 95 | 76 |
Unamortized discounts | (5) | (5) |
Mortgage loans held for portfolio | 2,728 | 2,076 |
Less: Allowance for credit losses | 0 | 0 |
Total mortgage loans held for portfolio, net | $ 2,728 | 2,076 |
Fixed rate medium-term mortgage loans | Maximum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | |
Fixed rate long-term mortgage loans [Member] | Minimum | ||
Mortgage Loans on Real Estate [Line Items] | ||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | |
GSEs – single-family: | Fixed rate medium-term mortgage loans | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 20 | 32 |
GSEs – single-family: | Fixed rate long-term mortgage loans [Member] | ||
Mortgage Loans on Real Estate [Line Items] | ||
Unpaid principal balance | $ 2,618 | $ 1,973 |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Period Loan Receivable Becomes Nonaccrual Status | 90 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 | $ 0 |
Conventional Mortgage Loan | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Allowance for credit losses on mortgage loans | 0 | 0 |
Nonperforming TDR | Conventional Mortgage Loan | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Troubled Debt Restructuring, Modifications, Recorded Investment | $ 2 | $ 3 |
Allowance for Credit Losses (De
Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | $ 20 | $ 22 |
Total current loans | [1] | 2,723 | 2,065 |
Total mortgage loans | [1] | 2,743 | 2,087 |
In process of foreclosure, included above | [1],[2] | 3 | 3 |
Nonaccrual loans | [1] | 11 | 12 |
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] | 0.41% | 0.59% |
30 – 59 days delinquent | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | $ 7 | $ 8 |
60 – 89 days delinquent | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | 2 | 2 |
90 days or more delinquent | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | $ 11 | $ 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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for Loan and Lease Losses Write-offs, Net | $ 0 | $ 0 | $ 0 | $ 0 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of the period | 0 | ||||
Provision for/(reversal of) credit losses on mortgage loans | 0 | $ 0 | 0 | $ 0 | |
Balance, end of the period | 0 | 0 | |||
Conventional Mortgage Loan | |||||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||||
Balance, beginning of the period | 0 | ||||
Balance, end of the period | 0 | 0 | |||
Individually evaluated for impairment, Allowance for credit losses | 0 | 0 | $ 0 | ||
Financing Receivable, Allowance for Credit Losses, Collectively Evaluated for Impairment | $ 0 | $ 0 | $ 0 |
Allowance for Credit Losses (By
Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total Allowance for Credit Losses | $ 0 | $ 0 | |
Conventional Mortgage Loan | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Individually evaluated for impairment, Allowance for credit losses | 0 | 0 | |
Collectively Evaluated for Impairment, Allowance for credit losses | 0 | 0 | |
Total Allowance for Credit Losses | 0 | 0 | |
Individually evaluated for impairment, Recorded investment | 9 | 9 | |
Collectively evaluated for impairment, Recorded investment | 2,734 | 2,078 | |
Total mortgage loans | [1] | $ 2,743 | $ 2,087 |
[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, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Impaired Financing Receivable, Average Recorded Investment [Abstract] | |||
Loans and Leases Receivable, Allowance | $ 0 | $ 0 | |
Conventional Mortgage Loan | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Individually evaluated for impairment, Allowance for credit losses | 0 | 0 | |
Impaired Financing Receivable, Recorded Investment [Abstract] | |||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | 9 | 9 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 0 | 0 | |
Impaired Financing Receivable, Recorded Investment | 9 | 9 | |
Impaired Financing Receivable, Unpaid Principal Balance [Abstract] | |||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 9 | 9 | |
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 0 | 0 | |
Impaired Financing Receivable, Unpaid Principal Balance | 9 | 9 | |
Impaired Financing Receivable, Related Allowance | 0 | 0 | |
Impaired Financing Receivable, Average Recorded Investment [Abstract] | |||
Financing Receivable, Allowance for Credit Losses, Collectively Evaluated for Impairment | 0 | 0 | |
Loans and Leases Receivable, Allowance | 0 | 0 | |
Financing Receivable, Individually Evaluated for Impairment | 9 | 9 | |
Financing Receivable, Collectively Evaluated for Impairment | 2,734 | 2,078 | |
Financing Receivable, Gross | [1] | $ 2,743 | $ 2,087 |
[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. |
Deposits (Details)
Deposits (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Demand Deposits [Line Items] | ||
Interest-bearing Domestic Deposit, Time Deposits | $ 2 | $ 0 |
Interest-bearing Deposit Liabilities, Domestic | 356 | 263 |
Noninterest-bearing Domestic Deposit, Other | 23 | 18 |
Deposits | 379 | 281 |
Adjustable rate | ||
Demand Deposits [Line Items] | ||
Interest-bearing Deposit, Demand and Overnight | 354 | 263 |
Interest-bearing Deposit Liabilities, Domestic | $ 354 | $ 263 |
Weighted Average Rate, Interest-bearing Domestic Deposits, Point in Time | 1.60% | 1.10% |
Interest-bearing Deposits [Member] | ||
Demand Deposits [Line Items] | ||
Weighted Average Rate, Interest-bearing Domestic Deposits, Point in Time | ||
Interest-bearing Deposits [Member] | Fixed Interest Rate | ||
Demand Deposits [Line Items] | ||
Interest-bearing Deposit Liabilities, Domestic | $ 2 | $ 0 |
Weighted Average Rate, Interest-bearing Domestic Deposits, Point in Time | 1.60% | 0.00% |
Consolidated Obligations Narrat
Consolidated Obligations Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Disclosure [Abstract] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 1,059,859 | $ 1,034,260 |
Federal Home Loan Bank, Consolidated Obligations | $ 98,580 | $ 115,503 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Total par value | $ 74,165 | $ 85,108 |
Total | $ 74,061 | $ 85,063 |
Weighted Average Interest Rate [Abstract] | ||
Weighted Average Interest Rate, Maturing In Next Twelve Rolling Months | 1.90% | 1.33% |
Weighted Average Interest Rate, Maturing In Rolling Year Two | 1.88% | 1.42% |
Weighted Average Interest Rate, Maturing In Rolling Year Three | 1.82% | 1.74% |
Weighted Average Interest Rate, Maturing In Rolling Year Four | 1.93% | 1.78% |
Weighted Average Interest Rate, Maturing In Rolling Year Five | 2.41% | 2.15% |
Weighted Average Interest Rate, Maturing After Rolling Year Five | 2.94% | 2.80% |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Within 1 year | $ 58,923 | $ 69,734 |
After 1 year through 2 years | 6,226 | 6,461 |
After 2 years through 3 years | 3,791 | 2,785 |
After 3 years through 4 years | 1,165 | 2,058 |
After 4 years through 5 years | 2,029 | 1,994 |
After 5 years | 2,031 | 2,076 |
Unamortized premiums | 5 | 9 |
Unamortized discounts | (11) | (11) |
Valuation adjustments for hedging activities | (84) | (37) |
Fair value option valuation adjustments | $ (14) | $ (6) |
Weighted Average Interest Rate [Abstract] | ||
Total par amount, Weighted Average Interest Rate | 1.94% | 1.41% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 74,165 | $ 85,108 |
Notional Amount of Derivatives | 75,454 | 99,609 |
Non-callable | ||
Debt Instrument [Line Items] | ||
Total bonds, par value | 63,520 | 75,496 |
Callable | ||
Debt Instrument [Line Items] | ||
Total bonds, par value | 10,645 | 9,612 |
Consolidated obligation bonds | Callable | ||
Debt Instrument [Line Items] | ||
Notional Amount of Derivatives | $ 7,141 | $ 6,406 |
Consolidated Obligations (Con72
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 74,165 | $ 85,108 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Within 1 year | 68,154 | 78,606 |
After 1 year through 2 years | 5,125 | 5,326 |
After 2 years through 3 years | 730 | 935 |
After 3 years through 4 years | 5 | 85 |
After 4 years through 5 years | 90 | 55 |
After 5 years | $ 61 | $ 101 |
Consolidated Obligations (Con73
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Short-term Debt [Line Items] | |||
Discount notes, par value | $ 24,570 | $ 30,494 | |
Total | $ 24,519 | $ 30,440 | |
Par amount, Weighted Average Interest Rate | [1] | 1.86% | 1.24% |
Discount notes | |||
Short-term Debt [Line Items] | |||
Unamortized discounts | $ (51) | $ (54) | |
[1] | Represents yield to maturity excluding concession fees. |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Disclosure [Abstract] | ||
Fixed rate | $ 16,348 | $ 17,967 |
Adjustable rate | 56,489 | 66,276 |
Step-up | 953 | 565 |
Step-down | 275 | 200 |
Range bonds | 100 | 100 |
Total bonds, par value | 74,165 | 85,108 |
Discount notes, par value | 24,570 | 30,494 |
Total consolidated obligations, par value | $ 98,735 | $ 115,602 |
Accumulated Other Comprehensi75
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 6,499 | $ 6,103 | $ 6,499 | $ 6,103 | $ 6,806 | $ 5,537 | ||
Net change in pension and postretirement benefits | 0 | 0 | 1 | 0 | ||||
Accumulated Other-than-Temporary Impairment | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 347 | 250 | 347 | 250 | $ 352 | 337 | $ 167 | 136 |
Non-credit-related OTTI loss, Available-for-sale Securities | (9) | (3) | (11) | (3) | ||||
Net change in fair value | 3 | 84 | 20 | 113 | ||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Non-credit-related OTTI to credit-related OTTI, AFS | 1 | 2 | 1 | 4 | ||||
Net current period other comprehensive income/(loss) | (5) | 83 | 10 | 114 | ||||
Accumulated Other-than-Temporary Impairment | Held-to-maturity Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (5) | (7) | (5) | (7) | (5) | (6) | (8) | (9) |
Non-credit-related OTTI loss, Held-to-maturity Securities | 0 | 0 | 0 | 0 | ||||
Accretion of Noncredit Related OTTI Loss | 1 | 1 | 2 | |||||
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) | 0 | 1 | 1 | 2 | ||||
Accumulated Defined Benefit Plans Adjustment | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (12) | (16) | (12) | (16) | (12) | (13) | (16) | (16) |
Net change in pension and postretirement benefits | 1 | |||||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Net current period other comprehensive income/(loss) | 0 | 0 | 1 | 0 | ||||
Accumulated Other Comprehensive Income/(Loss) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 330 | 227 | 330 | 227 | $ 335 | $ 318 | $ 143 | $ 111 |
Net change in pension and postretirement benefits | 1 | |||||||
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Loss, before Tax, Portion Attributable to Parent | (9) | (3) | (11) | (3) | ||||
Net change in fair value | 3 | 84 | 20 | 113 | ||||
Accretion of Noncredit Related OTTI Loss | 1 | 1 | 2 | |||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Non-credit-related OTTI to credit-related OTTI, AFS | 1 | 2 | 1 | 4 | ||||
Net current period other comprehensive income/(loss) | $ (5) | $ 84 | $ 12 | $ 116 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Risk-Based Capital, Required | $ 2,022 | $ 2,023 |
Risk-Based Capital, Actual | 6,424 | 6,797 |
Regulatory Capital, Required | 4,248 | 4,935 |
Regulatory Capital, Actual | $ 6,424 | $ 6,797 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Regulatory Capital Ratio, Actual | 6.05% | 5.51% |
Leverage Capital, Required | $ 5,310 | $ 6,169 |
Leverage Capital, Actual | $ 9,636 | $ 10,195 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage Ratio, Actual | 9.07% | 8.26% |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2018USD ($)Institutions | Jun. 30, 2017USD ($) | Jun. 30, 2018USD ($)Institutions | Jun. 30, 2017USD ($) | Dec. 31, 2017Institutions | ||
Capital [Line Items] | ||||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 6 | 6 | 7 | |||
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | $ 5 | $ 7 | $ 11 | $ 18 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | ||||||
Balance at the beginning of the period | 309 | 403 | 309 | 457 | ||
Reclassified from/(to) capital during the period | 2 | 2 | 2 | 2 | ||
Redemption of mandatorily redeemable capital stock | 0 | 0 | 0 | (54) | ||
Repurchase of excess mandatorily redeemable capital stock | 56 | 1 | 56 | 1 | ||
Balance at the end of the period | $ 255 | $ 404 | $ 255 | $ 404 | ||
[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 |
Capital (By Redemption Period)
Capital (By Redemption Period) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||||
After 1 year through 2 years | $ 1 | $ 0 | |||||
After 2 years through 3 years | 251 | 306 | |||||
Past contractual redemption date because of remaining activity | [1] | 3 | 3 | ||||
Total | $ 255 | $ 309 | $ 309 | $ 404 | $ 403 | $ 457 | |
[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, 2018 | Apr. 24, 2018 | Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Jul. 26, 2018 | Jan. 01, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | |
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 | 224.00% | 224.00% | |||||||||
Retained Earnings, Set by the Board inc JCEA | $ 2,000 | $ 2,000 | $ 2,500 | $ 2,300 | |||||||
Excess Capital | $ 152 | $ 152 | $ 493 | ||||||||
Excess Capital to Assets | 0.14% | 0.14% | |||||||||
Dividends [Abstract] | |||||||||||
Dividends, Cash, Annualized Rate | 7.00% | 8.04% | |||||||||
Total dividends | $ 122 | $ 113 | |||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | $ 5 | 7 | 11 | 18 | ||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | 6,806 | 5,537 | |||||||||
Balance at beginning of the period | 575 | ||||||||||
Net Income/(Loss) | 104 | 80 | 185 | 228 | |||||||
Cash dividends on capital stock | (111) | (95) | |||||||||
Balance at end of the period | 612 | 612 | |||||||||
Balance | 6,499 | 6,103 | 6,499 | 6,103 | |||||||
Subsequent Events [Abstract] | |||||||||||
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period | $ 363 | 700 | 60 | 1,128 | 233 | ||||||
Financial Instruments Subject to Mandatory Redemption, Redeemed | $ 0 | 0 | $ 0 | 54 | |||||||
Subsequent Event | |||||||||||
Subsequent Events [Abstract] | |||||||||||
Dividends, Cash Declared, Annualized Rate | 7.00% | ||||||||||
Interest and Dividends Payable, Current | $ 56 | ||||||||||
Dividends Payable | 51 | ||||||||||
Interest Payable, Current | $ 5 | ||||||||||
Dividends Payable, Date to be Paid | Aug. 13, 2018 | ||||||||||
Minimum | |||||||||||
Capital [Line Items] | |||||||||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1.00% | 1.00% | |||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 70.00% | 70.00% | |||||||||
Subsequent Events [Abstract] | |||||||||||
Dividends, Cash Declared, Annualized Rate | 5.00% | 5.00% | |||||||||
Maximum | |||||||||||
Capital [Line Items] | |||||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 100.00% | 100.00% | |||||||||
Subsequent Events [Abstract] | |||||||||||
Dividends, Cash Declared, Annualized Rate | 7.00% | 7.00% | |||||||||
Unrestricted Retained Earnings | |||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | $ 2,681 | 850 | $ 2,670 | 888 | |||||||
Net Income/(Loss) | 84 | 63 | 148 | 79 | |||||||
Cash dividends on capital stock | (58) | (41) | (111) | (95) | |||||||
Balance | 2,707 | 872 | 2,707 | 872 | |||||||
Total Restricted Retained Earnings | |||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | 592 | 2,300 | 575 | 2,168 | |||||||
Net Income/(Loss) | 20 | 17 | 37 | 149 | |||||||
Balance | 612 | 2,317 | 612 | 2,317 | |||||||
Valuation Adjustments | |||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | 0 | 20 | 0 | 18 | |||||||
Net Income/(Loss) | 0 | 1 | 0 | 3 | |||||||
Balance | 0 | 21 | 0 | 21 | |||||||
Other | |||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | 0 | 1,750 | 0 | 1,650 | |||||||
Net Income/(Loss) | 0 | 0 | 0 | 100 | |||||||
Balance | 0 | 1,750 | 0 | 1,750 | |||||||
Joint Capital Enhancement Agreement | |||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | 592 | 530 | 575 | 500 | |||||||
Net Income/(Loss) | 20 | 16 | 37 | 46 | |||||||
Balance | 612 | 546 | 612 | 546 | |||||||
Total Retained Earnings | |||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||
Balance | 3,273 | 3,150 | 3,245 | 3,056 | |||||||
Net Income/(Loss) | 104 | 80 | 185 | 228 | |||||||
Cash dividends on capital stock | (58) | (41) | (111) | (95) | |||||||
Balance | $ 3,319 | $ 3,189 | $ 3,319 | $ 3,189 | |||||||
[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 |
Capital (Excess Capital Stock)
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | Apr. 24, 2018 | Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Jul. 26, 2018 | Dec. 31, 2017 |
Capital [Line Items] | |||||||
Amount of Excess Stock Repurchased During Period | $ 363 | $ 700 | $ 60 | $ 1,128 | $ 233 | ||
Financial Instruments Subject to Mandatory Redemption, Redeemed | $ 0 | $ 0 | $ 0 | $ 54 | |||
Common stock, par value | $ 100 | $ 100 | |||||
Excess Capital | $ 152 | $ 152 | $ 493 | ||||
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice | 15 days | ||||||
Mandatorily Redeemable Capital Stock, Redemption Period | 5 years | ||||||
Maximum | |||||||
Capital [Line Items] | |||||||
Dividends, Cash Declared, Annualized Rate | 7.00% | 7.00% | |||||
Minimum | |||||||
Capital [Line Items] | |||||||
Dividends, Cash Declared, Annualized Rate | 5.00% | 5.00% | |||||
Subsequent Event | |||||||
Capital [Line Items] | |||||||
Dividends, Cash Declared, Annualized Rate | 7.00% |
Capital (Concentration) (Detail
Capital (Concentration) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Concentration Risk [Line Items] | |||||
Financial Instruments Subject to Mandatory Redemption, Redemption | $ 0 | $ 0 | $ 0 | $ 54 | |
Capital Stock Outstanding | 3,105 | 3,105 | $ 3,552 | ||
Total Capital Stock, 10% or more | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 384 | $ 384 | 610 | ||
Percentage of Total Capital Stock Outstanding | 100.00% | 100.00% | |||
Other Borrowers | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 2,721 | $ 2,721 | 2,942 | ||
Percentage of Total Capital Stock Outstanding | 87.00% | 83.00% | |||
Certain Members And Certain Nonmembers [Member] | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 13.00% | 17.00% | |||
MUFG Union Bank, NA | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 367 | $ 367 | 205 | ||
MUFG Union Bank, NA | Total Capital Stock, 10% or more | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 12.00% | 6.00% | |||
Charles Schwab Bank [Member] | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | $ 17 | $ 17 | $ 405 | ||
Charles Schwab Bank [Member] | Total Capital Stock, 10% or more | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 1.00% | 11.00% |
Segment Information (Details)
Segment Information (Details) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2018USD ($) | Jun. 30, 2017USD ($) | Jun. 30, 2018USD ($)segment | Jun. 30, 2017USD ($) | Dec. 31, 2017USD ($) | ||
Segment Reporting Information [Line Items] | ||||||
Number of Operating Segments | segment | 2 | |||||
Adjusted Net Interest Income | $ 152 | $ 138 | $ 305 | $ 269 | ||
Amortization of Basis Adjustments | [1] | 0 | 0 | (1) | (2) | |
Income/(Expense) on Economic Hedges | [2] | (7) | (13) | (7) | (25) | |
Interest Expense on Mandatorily Redeemable Capital Stock | [3] | 5 | 7 | 11 | 18 | |
Net Interest Income After Mortgage Loan Loss Provision | 154 | 144 | 302 | 278 | ||
Other Income/ (Loss) | 5 | (16) | (3) | 96 | ||
Other Expense | 43 | 39 | 92 | 119 | ||
Income Before AHP Assessment | 116 | 89 | 207 | 255 | ||
OTTI PLRMBS, Total accretion or amortization recognized in interest income | 20 | 23 | 42 | 46 | ||
Net OTTI loss, credit-related | (5) | (6) | (6) | (9) | ||
Assets | 106,208 | 106,208 | $ 123,385 | |||
Advances- Related Business | ||||||
Segment Reporting Information [Line Items] | ||||||
Adjusted Net Interest Income | 79 | 57 | 157 | 105 | ||
Assets | 86,849 | 86,849 | 103,426 | |||
Mortgage- Related Business | ||||||
Segment Reporting Information [Line Items] | ||||||
Adjusted Net Interest Income | [4] | 73 | $ 81 | 148 | $ 164 | |
Assets | $ 19,359 | $ 19,359 | $ 19,959 | |||
[1] | Represents amortization of amounts deferred for adjusted net interest income purposes only | |||||
[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) | |||||
[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 | |||||
[4] | The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $20 and $23 for the three months ended June 30, 2018 and 2017 ; and totaled $42 and $46 for the six months ended June 30, 2018 and 2017 , respectively. The mortgage-related business does not include credit-related OTTI losses of $5 and $6 for the three months ended June 30, 2018 and 2017 , and $6 and $9 for the six months ended June 30, 2018 and 2017 , respectively. |
Derivatives and Hedging Activ83
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | ||
Notional Amount of Derivatives | $ 75,454 | $ 99,609 |
Derivative, Net Liability Position, Aggregate Fair Value | 58 | |
Collateral Already Posted, Aggregate Fair Value | $ 56 | |
Maximum | ||
Derivative [Line Items] | ||
Advances, Maturity Term | 30 years |
Derivatives and Hedging Activ84
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 75,454 | $ 99,609 | |
Derivative Assets | 93 | 174 | |
Netting adjustments and cash collateral | [1] | 48 | (91) |
Total Derivative Assets and Derivative Liabilities | 141 | 83 | |
Derivative Liabilities | 117 | 85 | |
Netting adjustments and cash collateral | [1] | 115 | 84 |
Derivative Assets and Derivative Liabilities | 2 | 1 | |
Cash collateral posted and related accrued interest | 195 | 10 | |
Cash collateral received and related accrued interest | 32 | 18 | |
Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 34,853 | 24,270 | |
Derivative Assets | 8 | 92 | |
Derivative Liabilities | 43 | 27 | |
Designated as Hedging Instrument | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 34,853 | 24,270 | |
Derivative Assets | 8 | 92 | |
Derivative Liabilities | 43 | 27 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 39,022 | 73,760 | |
Derivative Assets | 83 | 81 | |
Derivative Liabilities | 74 | 57 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate caps and floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,563 | 1,563 | |
Derivative Assets | 2 | 1 | |
Derivative Liabilities | 0 | 1 | |
Not Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 40,601 | 75,339 | |
Derivative Assets | 85 | 82 | |
Derivative Liabilities | 74 | 58 | |
Mortgages | Not Designated as Hedging Instrument | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 16 | 16 | |
Derivative Assets | 0 | 0 | |
Derivative Liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $195 and $10 at June 30, 2018 , and December 31, 2017 , respectively. Cash collateral received and related accrued interest was $32 and $18 at June 30, 2018 , and December 31, 2017 , respectively. |
Derivatives and Hedging Activ85
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair value hedge ineffectiveness | $ 2 | $ (2) | $ 4 | $ (2) |
Total net gain/(loss) related to derivatives not designated as hedging instruments | 15 | (17) | 45 | (26) |
Derivative Instruments, Other Gain (Loss) | 0 | 0 | (1) | 0 |
Net gain/(loss) on derivatives and hedging activities | 17 | (19) | 48 | (28) |
Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair value hedge ineffectiveness | 2 | (2) | 4 | (2) |
Total net gain/(loss) related to derivatives not designated as hedging instruments | 18 | (10) | 42 | (8) |
Interest rate caps and floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | (1) | (3) | 1 | (5) |
Net settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | (7) | (13) | (7) | (25) |
Mortgages | Mortgage delivery commitments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | $ 5 | $ 9 | $ 9 | $ 12 |
Derivatives and Hedging Activ86
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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivatives | $ 4 | $ (9) | $ 30 | $ (6) |
Gain /(Loss) on Hedged Item | (2) | 7 | (26) | 4 |
Net Fair Value Hedge Ineffectiveness | 2 | (2) | 4 | (2) |
Effect of Derivatives on Net Interest Income | 9 | (2) | 13 | (2) |
Percentage of Total Advances Outstanding | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivatives | 10 | (10) | 80 | 4 |
Gain /(Loss) on Hedged Item | (6) | 8 | (73) | (6) |
Net Fair Value Hedge Ineffectiveness | 4 | (2) | 7 | (2) |
Effect of Derivatives on Net Interest Income | 17 | (8) | 20 | (17) |
Consolidated obligation bonds | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain/(Loss) on Derivatives | (6) | 1 | (50) | (10) |
Gain /(Loss) on Hedged Item | 4 | (1) | 47 | 10 |
Net Fair Value Hedge Ineffectiveness | (2) | 0 | (3) | 0 |
Effect of Derivatives on Net Interest Income | $ (8) | $ 6 | $ (7) | $ 15 |
Derivatives and Hedging Activ87
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | |||
Total Derivative Assets and Derivative Liabilities | $ 141 | $ 83 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (115) | (84) |
Derivative Assets and Derivative Liabilities | 2 | 1 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 89 | 35 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (87) | (33) | |
Total Derivative Assets and Derivative Liabilities | 2 | 2 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 113 | 29 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (111) | (28) | |
Derivative Assets and Derivative Liabilities | 2 | 1 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 4 | 139 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | 135 | (58) | |
Total Derivative Assets and Derivative Liabilities | 139 | 81 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 4 | 56 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (4) | (56) | |
Derivative Assets and Derivative Liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $195 and $10 at June 30, 2018 , and December 31, 2017 , respectively. Cash collateral received and related accrued interest was $32 and $18 at June 30, 2018 , and December 31, 2017 , respectively. |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | ||
Assets | ||||||||
Cash and due from banks | $ 44 | $ 31 | ||||||
Trading securities | [1] | 662 | 1,164 | |||||
Available-for-sale (AFS) securities | [1] | 3,510 | 3,833 | |||||
HTM securities, Carrying Value | [1],[2] | 13,769 | 14,680 | |||||
HTM Securities, Fair Value | 13,739 | 14,704 | ||||||
Accrued interest receivable | 161 | 119 | ||||||
Derivative assets, net | 141 | 83 | ||||||
Derivative Assets | 93 | 174 | ||||||
Derivative Asset, Netting adjustments | [3] | 48 | (91) | |||||
Liabilities | ||||||||
Mandatorily redeemable capital stock | 255 | $ 309 | 309 | $ 404 | $ 403 | $ 457 | ||
Accrued interest payable | 131 | 116 | ||||||
Derivative liabilities, net | 2 | 1 | ||||||
Derivative Liabilities | 117 | 85 | ||||||
Derivative Liability, Netting adjustments | [3] | (115) | (84) | |||||
Carrying Value | ||||||||
Assets | ||||||||
Cash and due from banks | 44 | 31 | ||||||
Interest-bearing deposits | 2,035 | 1,115 | ||||||
Securities purchased under agreements to resell | 4,000 | 11,750 | ||||||
Federal funds sold | 8,727 | 11,028 | ||||||
Trading securities | 662 | 1,164 | ||||||
Available-for-sale (AFS) securities | 3,510 | 3,833 | ||||||
HTM securities, Carrying Value | 13,769 | 14,680 | ||||||
Advances | 70,314 | 77,382 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 2,728 | 2,076 | ||||||
Accrued interest receivable | 161 | 119 | ||||||
Derivative assets, net | [4] | 141 | 83 | |||||
Other assets | [5] | 9 | 9 | |||||
Liabilities | ||||||||
Deposits | 379 | 281 | ||||||
Total consolidated obligations | 98,580 | 115,503 | ||||||
Mandatorily redeemable capital stock | 255 | 309 | ||||||
Accrued interest payable | 131 | 116 | ||||||
Derivative liabilities, net | [4] | 2 | 1 | |||||
Estimated Fair Value | ||||||||
Assets | ||||||||
Cash and due from banks | 44 | 31 | ||||||
Interest-bearing deposits | 2,035 | 1,115 | ||||||
Securities purchased under agreements to resell | 4,000 | 11,750 | ||||||
Federal funds sold | 8,729 | 11,029 | ||||||
Trading securities | 662 | 1,164 | ||||||
Available-for-sale (AFS) securities | 3,510 | 3,833 | ||||||
HTM Securities, Fair Value | 13,739 | 14,704 | ||||||
Advances | 70,363 | 77,437 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 2,660 | 2,075 | ||||||
Accrued interest receivable | 161 | 119 | ||||||
Derivative assets, net | [4] | 141 | 83 | |||||
Other assets | [5] | 9 | 9 | |||||
Liabilities | ||||||||
Deposits | 379 | 281 | ||||||
Total consolidated obligations | 98,357 | 115,375 | ||||||
Mandatorily redeemable capital stock | 255 | 309 | ||||||
Accrued interest payable | 131 | 116 | ||||||
Derivative liabilities, net | [4] | 2 | 1 | |||||
Level 1 | ||||||||
Assets | ||||||||
Cash and due from banks | 44 | 31 | ||||||
Interest-bearing deposits | 2,035 | 1,115 | ||||||
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 | ||||||
Accrued interest receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 9 | 9 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 255 | 309 | ||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative Liabilities | 0 | 0 | [4] | |||||
Level 2 | ||||||||
Assets | ||||||||
Cash and due from banks | 0 | 0 | ||||||
Interest-bearing deposits | 0 | 0 | ||||||
Securities purchased under agreements to resell | 4,000 | 11,750 | ||||||
Federal funds sold | 8,729 | 11,029 | ||||||
Trading securities | 662 | 1,164 | ||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||
HTM Securities, Fair Value | 12,904 | 13,697 | ||||||
Advances | 70,363 | 77,437 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 2,660 | 2,075 | ||||||
Accrued interest receivable | 161 | 119 | ||||||
Derivative Assets | [4] | 93 | 174 | |||||
Derivative Asset, Netting adjustments | [4] | 48 | (91) | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 379 | 281 | ||||||
Total consolidated obligations | 98,357 | 115,375 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 131 | 116 | ||||||
Derivative Liabilities | [4] | 117 | 85 | |||||
Derivative Liability, Netting adjustments | [4] | (115) | (84) | |||||
Level 3 | ||||||||
Assets | ||||||||
Cash and due from banks | 0 | 0 | ||||||
Interest-bearing deposits | 0 | 0 | ||||||
Securities purchased under agreements to resell | 0 | 0 | ||||||
Federal funds sold | 0 | 0 | ||||||
Trading securities | 0 | 0 | ||||||
Available-for-sale (AFS) securities | 3,510 | 3,833 | ||||||
HTM Securities, Fair Value | 835 | 1,007 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||||
Accrued interest receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative Liabilities | 0 | 0 | [4] | |||||
Standby letters of credit | Carrying Value | ||||||||
Other | ||||||||
Other commitments | 22 | 19 | ||||||
Standby letters of credit | Estimated Fair Value | ||||||||
Other | ||||||||
Other commitments | 22 | 19 | ||||||
Standby letters of credit | Level 1 | ||||||||
Other | ||||||||
Other commitments | 0 | 0 | ||||||
Standby letters of credit | Level 2 | ||||||||
Other | ||||||||
Other commitments | 22 | 19 | ||||||
Standby letters of credit | Level 3 | ||||||||
Other | ||||||||
Other commitments | 0 | 0 | ||||||
Discount notes | Carrying Value | ||||||||
Liabilities | ||||||||
Discount notes | 24,519 | 30,440 | ||||||
Discount notes | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Discount notes | 24,518 | 30,437 | ||||||
Discount notes | Level 1 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Discount notes | Level 2 | ||||||||
Liabilities | ||||||||
Discount notes | 24,518 | 30,437 | ||||||
Discount notes | Level 3 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Bonds | ||||||||
Liabilities | ||||||||
Bonds | 1,404 | 949 | ||||||
Bonds | Carrying Value | ||||||||
Liabilities | ||||||||
Bonds | 74,061 | 85,063 | ||||||
Bonds | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Bonds | 73,839 | 84,938 | ||||||
Bonds | Level 1 | ||||||||
Liabilities | ||||||||
Bonds | 0 | 0 | ||||||
Bonds | Level 2 | ||||||||
Liabilities | ||||||||
Bonds | 73,839 | 84,938 | ||||||
Bonds | Level 3 | ||||||||
Liabilities | ||||||||
Bonds | $ 0 | $ 0 | ||||||
[1] | At June 30, 2018 , and December 31, 2017 , none | |||||||
[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] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $195 and $10 at June 30, 2018 , and December 31, 2017 , respectively. Cash collateral received and related accrued interest was $32 and $18 at June 30, 2018 , and December 31, 2017 , respectively. | |||||||
[4] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. | |||||||
[5] | Represents publicly traded mutual funds held in a grantor trust. |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | [1] | $ 662 | $ 1,164 | ||
Available-for-sale (AFS) securities | [1] | 3,510 | 3,833 | ||
Advances | 6,083 | [2] | 6,431 | ||
Derivative Asset, Netting adjustments | [3] | 48 | (91) | ||
Derivative assets, net | 141 | 83 | |||
Derivative Liability, Netting adjustments | [3] | (115) | (84) | ||
Derivative liabilities, net | 2 | 1 | |||
Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale (AFS) securities | 0 | 0 | |||
Other assets | [4] | 9 | 9 | ||
Mortgage loans held for portfolio | 0 | 0 | |||
Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 662 | 1,164 | |||
Available-for-sale (AFS) securities | 0 | 0 | |||
Derivative Asset, Netting adjustments | [5] | 48 | (91) | ||
Other assets | [4] | 0 | 0 | ||
Derivative Liability, Netting adjustments | [5] | (115) | (84) | ||
Mortgage loans held for portfolio | 2,660 | 2,075 | |||
Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale (AFS) securities | 3,510 | 3,833 | |||
Other assets | [4] | 0 | 0 | ||
Mortgage loans held for portfolio | 0 | 0 | |||
Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances | [6] | 6,083 | 6,431 | ||
Derivative Asset, Netting adjustments | [7] | 48 | (91) | ||
Derivative Liability, Netting adjustments | [7] | (115) | (84) | ||
Fair Value, Measurements, Recurring | Level 1 | |||||
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 | [6] | 0 | 0 | ||
Other assets | 9 | 9 | |||
Total fair value measurements – Assets | 9 | 9 | |||
Total recurring fair value measurements – Liabilities | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 662 | 1,164 | |||
Available-for-sale (AFS) securities | 0 | 0 | |||
Advances | [6] | 6,083 | 6,431 | ||
Other assets | 0 | 0 | |||
Total fair value measurements – Assets | 6,838 | 7,769 | |||
Total recurring fair value measurements – Liabilities | 1,521 | 1,034 | |||
Fair Value, Measurements, Recurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale (AFS) securities | 3,510 | 3,833 | |||
Advances | [6] | 0 | 0 | ||
Other assets | 0 | 0 | |||
Total fair value measurements – Assets | 3,510 | 3,833 | |||
Total recurring fair value measurements – Liabilities | 0 | 0 | |||
Fair Value, Measurements, Nonrecurring | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total fair value measurements – Assets | [8] | 0 | 0 | ||
Mortgage loans held for portfolio | 0 | 0 | [8] | ||
Fair Value, Measurements, Nonrecurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total fair value measurements – Assets | [8] | 0 | 0 | ||
Mortgage loans held for portfolio | 0 | 0 | [8] | ||
Fair Value, Measurements, Nonrecurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total fair value measurements – Assets | [8] | 2 | 3 | ||
Mortgage loans held for portfolio | [8] | 2 | 3 | ||
GSEs – FFCB bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 657 | 1,158 | |||
GSEs – FFCB bonds | Fair Value, Measurements, Recurring | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
GSEs – FFCB bonds | Fair Value, Measurements, Recurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 657 | 1,158 | |||
GSEs – FFCB bonds | Fair Value, Measurements, Recurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5 | 6 | |||
Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Consolidated obligation bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | 1,404 | 949 | |||
Consolidated obligation bonds | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | 0 | 0 | |||
Consolidated obligation bonds | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | 73,839 | 84,938 | |||
Consolidated obligation bonds | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | 0 | 0 | |||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | [9] | 1,404 | 949 | ||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | [9] | 0 | 0 | ||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | [9] | 1,404 | 949 | ||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | [9] | 0 | 0 | ||
Estimate of Fair Value Measurement | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 662 | 1,164 | |||
Available-for-sale (AFS) securities | 3,510 | 3,833 | |||
Derivative assets, net | [5] | 141 | 83 | ||
Other assets | [4] | 9 | 9 | ||
Derivative liabilities, net | [5] | 2 | 1 | ||
Mortgage loans held for portfolio | 2,660 | 2,075 | |||
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 662 | 1,164 | |||
Available-for-sale (AFS) securities | 3,510 | 3,833 | |||
Other assets | 9 | 9 | |||
Total fair value measurements – Assets | 10,405 | 11,520 | |||
Total recurring fair value measurements – Liabilities | 1,406 | 950 | |||
Estimate of Fair Value Measurement | Fair Value, Measurements, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Total fair value measurements – Assets | [8] | 2 | 3 | ||
Mortgage loans held for portfolio | [8] | 2 | 3 | ||
Estimate of Fair Value Measurement | GSEs – FFCB bonds | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 657 | 1,158 | |||
Estimate of Fair Value Measurement | Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5 | 6 | |||
Estimate of Fair Value Measurement | Consolidated obligation bonds | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Bonds | 73,839 | 84,938 | |||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale (AFS) securities | 0 | 0 | |||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale (AFS) securities | 0 | 0 | |||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale (AFS) securities | 3,510 | 3,833 | |||
Residential Mortgage Backed Securities | Estimate of Fair Value Measurement | Subtotal PLRMBS | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale (AFS) securities | 3,510 | 3,833 | |||
Interest rate swaps | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative Asset, Netting adjustments | [7] | 48 | (91) | ||
Derivative Liability, Netting adjustments | [7] | (115) | (84) | ||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 1 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative liabilities, net | 0 | 0 | |||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 2 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets, net | 93 | 174 | |||
Derivative liabilities, net | 117 | 85 | |||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 3 | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative liabilities, net | 0 | 0 | |||
Interest rate swaps | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets, net | 141 | 83 | |||
Derivative liabilities, net | $ 2 | $ 1 | |||
[1] | At June 30, 2018 , and December 31, 2017 , none | ||||
[2] | At June 30, 2018 , and December 31, 2017 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. | ||||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $195 and $10 at June 30, 2018 , and December 31, 2017 , respectively. Cash collateral received and related accrued interest was $32 and $18 at June 30, 2018 , and December 31, 2017 , respectively. | ||||
[4] | Represents publicly traded mutual funds held in a grantor trust. | ||||
[5] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. | ||||
[6] | Represents advances recorded under the fair value option at June 30, 2018 , and December 31, 2017 | ||||
[7] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty | ||||
[8] | The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2018 | ||||
[9] | Represents consolidated obligation bonds recorded under the fair value option at June 30, 2018 , and December 31, 2017 |
Fair Value (Level 3) (Details)
Fair Value (Level 3) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Net OTTI loss, credit-related | [1] | $ (5) | $ (6) | $ (6) | $ (9) |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (8) | (1) | (10) | 1 | |
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3 | Available-for-sale Securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning of the period | 3,686 | 4,294 | 3,833 | 4,489 | |
Interest income | 20 | 24 | 42 | 46 | |
Net OTTI loss, credit-related | (5) | (6) | (6) | (9) | |
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI | 3 | 84 | 20 | 113 | |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (8) | (1) | (10) | 1 | |
Settlements | (198) | (231) | (381) | (476) | |
Transfers of HTM securities to AFS securities | 12 | 0 | 12 | 0 | |
Balance, end of the period | 3,510 | 4,164 | 3,510 | 4,164 | |
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 | $ 15 | $ 16 | $ 36 | $ 36 | |
[1] | For the six months ended June 30, 2018 and 2017 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2018 and 2017 |
Fair Value (Fair Value Option)
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | $ 6,431 | ||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | $ (12) | $ 5 | (53) | $ 4 | |
Balance, end of the period | [1] | 6,083 | 6,083 | ||
Percentage of Total Advances Outstanding | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | 6,637 | 3,816 | 6,431 | 3,719 | |
New transactions elected for fair value option | 342 | 1,772 | 1,564 | 2,060 | |
Maturities and terminations | (882) | (107) | (1,850) | (299) | |
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (14) | 8 | (63) | 9 | |
Change in accrued interest | 0 | 1 | 1 | 1 | |
Balance, end of the period | 6,083 | 5,490 | 6,083 | 5,490 | |
Consolidated obligation bonds | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (2) | 3 | (10) | 5 | |
Balance, beginning of the period | 1,315 | 2,236 | 949 | 1,507 | |
New transactions elected for fair value option | 89 | 95 | 463 | 835 | |
Maturities and terminations | 0 | (1,215) | 0 | (1,230) | |
Change in accrued interest | 2 | (1) | 2 | 1 | |
Balance, end of the period | $ 1,404 | $ 1,118 | $ 1,404 | $ 1,118 | |
[1] | At June 30, 2018 , and December 31, 2017 , 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, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||||
Fair Value Option, Principal Balance, Advances | $ 6,161 | [1] | $ 6,447 | |||||
Fair Value of Advances Under the Fair Value Option | 6,083 | [1] | 6,431 | |||||
Fair Value Over/(Under) Principal Balance, Advances | [1] | (78) | (16) | |||||
Consolidated obligation bonds | ||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||||
Fair Value Option, Principal Balance, CO Bonds | 1,418 | 955 | ||||||
Fair Value of Bonds Under the Fair Value Option | 1,404 | 949 | ||||||
Fair Value Over/(Under) Principal Balance, CO Bonds | (14) | (6) | ||||||
Percentage of Total Advances Outstanding | ||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||||
Fair Value of Advances Under the Fair Value Option | 6,083 | $ 6,637 | 6,431 | $ 5,490 | $ 3,816 | $ 3,719 | ||
Consolidated obligation bonds | ||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||||
Fair Value of Bonds Under the Fair Value Option | $ 1,404 | $ 1,315 | $ 949 | $ 1,118 | $ 2,236 | $ 1,507 | ||
[1] | At June 30, 2018 , and December 31, 2017 , 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, 2018 | Dec. 31, 2017 | |
Loss Contingencies [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 1,059,859 | $ 1,034,260 |
Standby Letters Of Credit, Final Expiration | 2,033 | |
Other Liabilities | $ 164 | 165 |
Commitments to purchase mortgage loans, maximum term | 60 days | |
Total consolidated obligations, par value | $ 98,735 | 115,602 |
Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 12,737 | 12,910 |
Expire After One Year | 4,083 | 3,240 |
Total | 16,820 | 16,150 |
Other Liabilities | 22 | 19 |
Commitments to fund additional advances | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 0 | 1 |
Expire After One Year | 0 | 0 |
Total | 0 | 1 |
Commitments to issue consolidated obligation discount notes, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 57 | 134 |
Expire After One Year | 0 | 0 |
Total | 57 | 134 |
Commitments to issue consolidated obligation bonds, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 0 | 595 |
Expire After One Year | 0 | 0 |
Total | $ 0 | 595 |
Minimum | Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Guarantor Obligations, Term | 14 days | |
Maximum | Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Guarantor Obligations, Term | 15 years | |
Guarantee of Indebtedness of Others | ||
Loss Contingencies [Line Items] | ||
Total consolidated obligations, par value | $ 98,735 | 115,602 |
Mortgages | Commitments to purchase mortgage loans | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 16 | 16 |
Expire After One Year | 0 | 0 |
Total | $ 16 | $ 16 |
Transactions with Certain Mem94
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Proceeds from Other FHLBank Borrowings | $ 1,510 | $ 15 | |||
Assets: | |||||
Advances | $ 70,314 | 70,314 | $ 77,382 | ||
Mortgage loans held for portfolio | 2,728 | 2,728 | 2,076 | ||
Accrued interest receivable | 161 | 161 | 119 | ||
Liabilities: | |||||
Deposits | 379 | 379 | 281 | ||
Capital [Abstract] | |||||
Capital Stock | 2,850 | 2,850 | 3,243 | ||
Interest Income: | |||||
Advances | 379 | $ 193 | 748 | 346 | |
Mortgage loans held for portfolio | 23 | 11 | 44 | 20 | |
MPF Service Fee Expense to FHLB Chicago | 0 | 1 | 1 | ||
FHLBanks [Member] | |||||
Related Party Transaction [Line Items] | |||||
Deposits with other FHLB | 0 | 0 | 0 | ||
Payments to Extend Overnight Loans to Other FHLBanks | (280) | (1,005) | |||
Proceeds from Collection of Loans to Other FHLBanks | 0 | 0 | |||
Transaction with Member Officer or Director | |||||
Assets: | |||||
Advances | 3,811 | 3,811 | 3,072 | ||
Mortgage loans held for portfolio | 12 | 12 | 13 | ||
Accrued interest receivable | 7 | 7 | 5 | ||
Liabilities: | |||||
Deposits | 26 | 26 | 3 | ||
Capital [Abstract] | |||||
Capital Stock | 142 | 142 | $ 126 | ||
Interest Income: | |||||
Advances | $ 17 | $ 10 | $ 31 | $ 19 |