Document and Entity Information
Document and Entity Information Document - shares | 6 Months Ended | |
Jun. 30, 2019 | Jul. 30, 2019 | |
Entity Information | ||
Document Transition Report | false | |
Document Quarterly Report | true | |
Entity Incorporation, State or Country Code | X1 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF SAN FRANCISCO | |
Entity Central Index Key | 0001316944 | |
Document Type | 10-Q | |
Entity File Number | 000-51398 | |
Document Period End Date | Jun. 30, 2019 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q2 | |
Current Fiscal Year End Date | --12-31 | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
No Trading Symbol Flag | ||
Entity Common Stock, Shares Outstanding | 30,562,683 | |
Entity Tax Identification Number | 94-6000630 | |
Entity Address, Address Line One | 333 Bush Street, Suite 2700 | |
Entity Address, City or Town | San Francisco, | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 94104 | |
City Area Code | 415 | |
Local Phone Number | 616-1000 | |
Entity Interactive Data Current | Yes | |
Entity Shell Company | false | |
Former Address [Member] | ||
Entity Information | ||
Entity Address, Address Line One | 600 California Street | |
Entity Address, City or Town | San Francisco, | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 94108 |
Statements of Condition
Statements of Condition - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Assets: | |||
Cash and due from banks | $ 23 | $ 13 | |
Interest-bearing deposits | 2,040 | 2,555 | |
Securities purchased under agreements to resell | 8,750 | 7,300 | |
Federal funds sold | 5,089 | 3,845 | |
Trading Securities | [1] | 359 | 661 |
Available-for-sale (AFS) securities | [1] | 9,265 | 6,931 |
Held-to-maturity (HTM) securities (fair values were $9,695 and $11,047, respectively) | [1],[2] | 9,677 | 11,089 |
Advances (includes $4,529 and $5,133 at fair value under the fair value option, respectively) | 67,189 | 73,434 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $0, respectively | 3,327 | 3,066 | |
Loans to Other Federal Home Loan Banks | 400 | 0 | |
Accrued interest receivable | 172 | 133 | |
Derivative assets, net | 247 | 185 | |
Other assets | 224 | 114 | |
Total Assets | 106,762 | 109,326 | |
Liabilities: | |||
Deposits | 310 | 262 | |
Consolidated obligations: | |||
Bonds (includes $943 and $2,019 at fair value under the fair value option, respectively) | 73,915 | 72,276 | |
Discount notes | 24,901 | 29,182 | |
Total consolidated obligations | 98,816 | 101,458 | |
Mandatorily redeemable capital stock | 138 | 227 | |
Borrowings from other FHLBanks | 0 | 250 | |
Accrued interest payable | 191 | 155 | |
Affordable Housing Program (AHP) payable | 167 | 182 | |
Derivative liabilities, net | 0 | 10 | |
Other liabilities | 476 | 252 | |
Total Liabilities | 100,098 | 102,796 | |
Commitments and Contingencies (Note 17) | |||
Capital: | |||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 30 shares and 29 shares, respectively | 2,967 | 2,949 | |
Unrestricted retained earnings | 2,719 | 2,699 | |
Restricted retained earnings | 678 | 647 | |
Total Retained Earnings | 3,397 | 3,346 | |
Accumulated other comprehensive income/(loss) (AOCI) | 300 | 235 | |
Total Capital | 6,664 | 6,530 | |
Total Liabilities and Capital | $ 106,762 | $ 109,326 | |
[1] | At June 30, 2019 , and December 31, 2018 , none of these securities were pledged as collateral that may be repledged. | ||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Debt Securities, Held-to-maturity, Restricted | $ 0 | $ 0 | |
Available-for-sale securities pledged as collateral that may be repledged | 0 | 0 | |
Debt Securities, Trading, Restricted | 0 | 0 | |
Assets: | |||
Fair Value of Held-to-maturity securities | 9,695 | 11,047 | |
Fair Value of Advances Under the Fair Value Option | [1] | 4,529 | 5,133 |
Allowance for credit losses on mortgage loans | $ 0 | $ 0 | |
Capital: | |||
Common stock, par value | $ 100 | ||
Common Class B | |||
Capital: | |||
Common stock, par value | $ 100 | $ 100 | |
Common stock, shares issued | 29 | ||
Common stock, shares outstanding | 30 | 29 | |
Consolidated obligation bonds | |||
Liabilities: | |||
Fair Value of Bonds Under the Fair Value Option | $ 943 | $ 2,019 | |
[1] | At June 30, 2019 , and December 31, 2018 , 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, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | ||
Interest Income: | |||||
Advances | $ 456 | $ 380 | $ 954 | $ 749 | |
Interest-bearing deposits | 12 | 6 | 26 | 10 | |
Securities purchased under agreements to resell | 54 | 23 | 99 | 32 | |
Federal funds sold | 36 | 42 | 77 | 93 | |
Trading securities | 3 | 4 | 7 | 8 | |
AFS securities | 82 | 56 | 161 | 113 | |
HTM securities | 75 | 87 | 154 | 168 | |
Mortgage loans held for portfolio | 11 | 23 | 37 | 44 | |
Total Interest Income | 729 | 621 | 1,515 | 1,217 | |
Interest Expense: | |||||
Bonds | 442 | 339 | 897 | 646 | |
Discount notes | 171 | 122 | 352 | 256 | |
Deposits | 2 | 1 | 4 | 2 | |
Mandatorily redeemable capital stock | [1] | 4 | 5 | 8 | 11 |
Total Interest Expense | 619 | 467 | 1,261 | 915 | |
Net Interest Income | 110 | 154 | 254 | 302 | |
Provision for/(reversal of) credit losses on mortgage loans | 0 | 0 | 0 | 0 | |
Net Interest Income After Mortgage Loan Loss Provision | 110 | 154 | 254 | 302 | |
Other Income/(Loss): | |||||
Total other-than-temporary impairment (OTTI) loss | (4) | (13) | (5) | (16) | |
Net amount of OTTI loss reclassified to/(from) AOCI | (1) | 8 | (1) | 10 | |
Net OTTI loss, credit-related | (5) | (5) | (6) | (6) | |
Net gain/(loss) on trading securities | 0 | 0 | (1) | (1) | |
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | 52 | (12) | 91 | (53) | |
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (61) | 17 | (89) | 48 | |
Other | 7 | 5 | 13 | 9 | |
Total Other Income/(Loss) | (7) | 5 | 8 | (3) | |
Other Expense: | |||||
Compensation and benefits | 21 | 19 | 41 | 40 | |
Other operating expense | 20 | 16 | 33 | 30 | |
Federal Housing Finance Agency | 1 | 2 | 3 | 3 | |
Office of Finance | 1 | 1 | 3 | 3 | |
Quality Jobs Fund expense | 5 | 5 | 10 | 15 | |
Other, net | 0 | 0 | 1 | 1 | |
Total Other Expense | 48 | 43 | 91 | 92 | |
Income/(Loss) Before Assessment | 55 | 116 | 171 | 207 | |
AHP Assessment | 6 | 12 | 18 | 22 | |
Net Income/(Loss) | $ 49 | $ 104 | $ 153 | $ 185 | |
[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, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income/(Loss) | $ 49 | $ 104 | $ 153 | $ 185 |
Unrealized gain/(loss) on AFS securities | 9 | 0 | 47 | 0 |
Other Comprehensive Income/(Loss): | ||||
Net change in pension and postretirement benefits | 0 | 0 | 0 | 1 |
Net non-credit-related OTTI gain/(loss) on AFS securities: | ||||
Net change in fair value of other-than-temporarily impaired securities | 2 | 3 | 16 | 20 |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | 1 | (8) | 1 | (10) |
Total net non-credit-related OTTI gain/(loss) on AFS securities | 3 | (5) | 17 | 10 |
Net Noncredit Portion Of Other Than Temporary Impairment Losses on HTM Securities [Abstract] | ||||
Accretion of non-credit-related OTTI loss | 1 | 0 | 1 | 1 |
Total net non-credit-related OTTI gain/(loss) on HTM securities | 1 | 0 | 1 | 1 |
Total other comprehensive income/(loss) | 13 | (5) | 65 | 12 |
Total Comprehensive Income/(Loss) | $ 62 | $ 99 | $ 218 | $ 197 |
Statements of Capital Accounts
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions | Total | Total Retained Earnings | Total Restricted Retained Earnings | Unrestricted | Accumulated Other Comprehensive Income/(Loss) | Common Class B - PutableCommon Stock |
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 Mar. 31, 2018 | 31 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 4 | |||||
Repurchase of capital stock, shares | (6) | |||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Balance, Shares at Jun. 30, 2018 | 29 | |||||
Balance at Mar. 31, 2018 | 6,676 | 3,273 | 592 | 2,681 | 335 | $ 3,068 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 99 | 104 | 20 | 84 | (5) | |
Issuance of capital stock, value | 428 | 428 | ||||
Repurchase of capital stock, value | (644) | (644) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (2) | (2) | ||||
Cash dividends on capital stock | (58) | (58) | (58) | |||
Balance at Jun. 30, 2018 | 6,499 | 3,319 | 612 | 2,707 | 330 | $ 2,850 |
Balance, Shares at Dec. 31, 2018 | 29 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 7 | |||||
Repurchase of capital stock, shares | (6) | |||||
Balance, Shares at Jun. 30, 2019 | 30 | |||||
Balance at Dec. 31, 2018 | 6,530 | 3,346 | 647 | 2,699 | 235 | $ 2,949 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 218 | 153 | 31 | 122 | 65 | |
Issuance of capital stock, value | 696 | 696 | ||||
Repurchase of capital stock, value | (678) | (678) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | 0 | |||||
Cash dividends on capital stock | (102) | (102) | (102) | |||
Balance at Jun. 30, 2019 | 6,664 | 3,397 | 678 | 2,719 | 300 | $ 2,967 |
Balance, Shares at Mar. 31, 2019 | 30 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 3 | |||||
Repurchase of capital stock, shares | (3) | |||||
Balance, Shares at Jun. 30, 2019 | 30 | |||||
Balance at Mar. 31, 2019 | 6,646 | 3,400 | 668 | 2,732 | 287 | $ 2,959 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 62 | 49 | 10 | 39 | 13 | |
Issuance of capital stock, value | 342 | 342 | ||||
Repurchase of capital stock, value | (334) | (334) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | 0 | |||||
Cash dividends on capital stock | (52) | (52) | (52) | |||
Balance at Jun. 30, 2019 | $ 6,664 | $ 3,397 | $ 678 | $ 2,719 | $ 300 | $ 2,967 |
Statements of Capital Accounts
Statements of Capital Accounts (Parenthetical) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | |
Statement of Stockholders' Equity [Abstract] | ||||
Annualized Dividend Rate on Capital Stock | 7.00% | 7.00% | 7.00% | 7.00% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2019 | Jun. 30, 2018 | |
Net Cash Provided by (Used in) Operating Activities | ||
Net Income/(Loss) | $ 153 | $ 185 |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: | ||
Depreciation and amortization | (27) | (24) |
Change in net fair value of Trading Securities | 1 | 1 |
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | (91) | 53 |
Change in net derivatives and hedging activities | (327) | 140 |
Net OTTI loss, credit-related | 6 | 6 |
Other Adjustments | 9 | 0 |
Net change in: | ||
Accrued interest receivable | (39) | (44) |
Other assets | (18) | (3) |
Accrued interest payable | 31 | 19 |
Other liabilities | (16) | (16) |
Total adjustments | (471) | 132 |
Net cash provided by/(used in) operating activities | (318) | 317 |
Net Cash Provided by (Used in) Investing Activities | ||
Interest-bearing deposits | 201 | (1,105) |
Securities purchased under agreements to resell | (1,450) | 7,750 |
Federal funds sold | (1,244) | 2,301 |
Increase (Decrease) in Loans to Federal Home Loan Banks | (400) | 0 |
Trading securities: | ||
Proceeds | 301 | 501 |
AFS securities: | ||
Proceeds | 279 | 381 |
Purchases | (2,027) | 0 |
HTM securities: | ||
Proceeds | 1,416 | 2,082 |
Purchases | 0 | (1,179) |
Advances: | ||
Repaid | 773,523 | 999,983 |
Originated | (766,887) | (993,050) |
Mortgage loans held for portfolio: | ||
Principal collected | 259 | 132 |
Purchases | (544) | (777) |
Other Investing Activities | (32) | 0 |
Net cash provided by/(used in) investing activities | 3,395 | 17,019 |
Net Cash Provided by (Used in) Financing Activities | ||
Net change in deposits and other financing activities | 33 | 111 |
Net change in borrowings from other FHLBanks | (250) | 0 |
Proceeds from derivative contracts with financing elements | 11 | 0 |
Net proceeds from issuance of consolidated obligations: | ||
Bonds | 38,245 | 41,662 |
Discount notes | 69,648 | 72,788 |
Payments for matured and retired consolidated obligations: | ||
Bonds | (36,673) | (52,606) |
Discount notes | (73,908) | (78,720) |
Proceeds from issuance of capital stock | 696 | 681 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (89) | (56) |
Payments for repurchase of capital stock | (678) | (1,072) |
Cash dividends paid | (102) | (111) |
Net cash provided by/(used in) financing activities | (3,067) | (17,323) |
Net increase/(decrease) in cash and due from banks | 10 | 13 |
Cash and due from banks beginning of period | 13 | 31 |
Cash and due from banks end of period | 23 | 44 |
Supplemental Disclosures: | ||
Interest paid | 1,253 | 888 |
AHP payments | 34 | 29 |
Supplemental Disclosures of Noncash Investing and Financing Activities: | ||
Transfers of other-than-temporarily impaired HTM securities to AFS securities | 0 | 12 |
Transfers of capital stock to mandatorily redeemable capital stock | $ 0 | $ 2 |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 6 Months Ended |
Jun. 30, 2019 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued and Adopted Accounting Guidance | Recently Issued and Adopted Accounting Guidance The following table provides a summary of recently issued accounting standards which may have an effect on the financial statements. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract (ASU 2018-15) This guidance aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance is not expected to have any effect on the Bank’s financial condition, results of operations, cash flows, or financial statement disclosures. Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14) This guidance modifies the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness. This guidance becomes effective for the Bank for the annual period ended December 31, 2020, and the annual periods thereafter. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows. Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13) This guidance modifies the disclosure requirements for fair value measurements to improve disclosure effectiveness. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Measurement of Credit Losses on Financial Instruments (ASU 2016-13) The guidance replaces the current incurred loss model and requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. This guidance is effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. The ultimate 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. Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12) This guidance amends the accounting for derivatives and hedging activities to better portray the economic results of an entity’s risk management activities in its financial statements. In October 2018, the Financial Accounting Standards Board (FASB) issued amendments to the guidance that permit the use of the overnight index swap rate based on the Secured Overnight Financing Rate (SOFR) as an eligible U.S. benchmark interest rate for hedge accounting purposes to facilitate the London Interbank Offered Rate (LIBOR) to SOFR transition. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. The guidance was applied as of January 1, 2019. Upon adoption, the Bank modified the presentation of fair value hedge results on the Bank’s Statements of Income, as well as relevant disclosures, prospectively. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08) This guidance shortens the amortization period for certain purchased callable debt securities held at a premium to be amortized to the earliest call date rather than contractual maturity. This guidance does not require an accounting change for securities held at a discount, which continue to be amortized to their contractual maturity. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. This guidance was adopted using a modified retrospective basis as of January 1, 2019. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Leases, as amended (ASU 2016-02) This guidance amends the accounting for lease arrangements. In particular, it requires a lessee of operating and financing leases to recognize a right-of-use asset and a lease liability for leases on the Statements of Condition. In July 2018, the FASB issued amendments that, among other things, provide entities with an additional transition method to adopt this guidance. The Bank elected to adopt these amendments. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. The guidance was adopted using a modified retrospective basis as of January 1, 2019. Upon adoption, the Bank recognized right-of-use assets and lease liabilities on its existing leases on the Statements of Condition. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
Trading Securities
Trading Securities | 6 Months Ended |
Jun. 30, 2019 | |
Debt Securities, Trading and Available-for-sale [Abstract] | |
Trading Securities | Trading Securities The estimated fair value of trading securities as of June 30, 2019 , and December 31, 2018 , was as follows: June 30, 2019 December 31, 2018 GSEs – Federal Farm Credit Bank (FFCB) bonds $ 355 $ 656 MBS – Other U.S. obligations – Ginnie Mae 4 5 Total $ 359 $ 661 The net unrealized gain/(loss) on trading securities was de minimis for the three months ended June 30, 2019 and 2018 . The net unrealized gain/(loss) on trading securities was $(1) for the six months ended June 30, 2019 and 2018 . These amounts represent the changes in the fair value of the securities during the reported periods. |
Available-for-Sale Securities
Available-for-Sale Securities | 6 Months Ended |
Jun. 30, 2019 | |
Debt Securities, Available-for-sale [Abstract] | |
Available-for-Sale Securities | Available-for-Sale Securities AFS securities by major security type as of June 30, 2019 , and December 31, 2018 , were as follows: June 30, 2019 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value MBS – GSEs – multifamily: Freddie Mac $ 689 $ — $ 5 $ — $ 694 Fannie Mae 5,632 — 18 (8 ) 5,642 Subtotal MBS – GSEs – multifamily 6,321 — 23 (8 ) 6,336 PLRMBS: Prime 240 — 22 — 262 Alt-A 2,385 (15 ) 297 — 2,667 Subtotal PLRMBS 2,625 (15 ) 319 — 2,929 Total $ 8,946 $ (15 ) $ 342 $ (8 ) $ 9,265 December 31, 2018 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value MBS – GSEs – multifamily: Freddie Mac $ 409 $ — $ — $ (2 ) $ 407 Fannie Mae 3,397 — — (30 ) 3,367 Subtotal MBS – GSEs – multifamily 3,806 — — (32 ) 3,774 PLRMBS: Prime 267 — 21 — 288 Alt-A 2,603 (20 ) 288 (2 ) 2,869 Subtotal PLRMBS 2,870 (20 ) 309 (2 ) 3,157 Total $ 6,676 $ (20 ) $ 309 $ (34 ) $ 6,931 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts , previous OTTI recognized in earnings, and valuation adjustments for hedging activities. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. At June 30, 2019 , the amortized cost of the Bank’s MBS classified as AFS included premiums of $52 , discounts of $52 , and credit-related OTTI of $631 . At December 31, 2018 , the amortized cost of the Bank’s MBS classified as AFS included premiums of $19 , discounts of $53 , and credit-related OTTI of $690 . The following table summarizes the AFS securities with unrealized losses as of June 30, 2019 , and December 31, 2018 . 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 and for information on AFS securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2019 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses MBS – GSEs – multifamily: Freddie Mac $ 42 $ — $ — $ — $ 42 $ — Fannie Mae 1,814 7 174 1 1,988 8 Subtotal MBS – GSEs – multifamily 1,856 7 174 1 2,030 8 PLRMBS: Prime — — 8 — 8 — Alt-A 90 2 214 13 304 15 Subtotal PLRMBS 90 2 222 13 312 15 Total $ 1,946 $ 9 $ 396 $ 14 $ 2,342 $ 23 December 31, 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 MBS – GSEs – multifamily: Freddie Mac $ 382 $ 2 $ — $ — $ 382 $ 2 Fannie Mae 3,211 30 — — 3,211 30 Subtotal MBS – GSEs – multifamily 3,593 32 — — 3,593 32 PLRMBS: Prime 6 — 8 — 14 — Alt-A 204 3 343 19 547 22 Subtotal PLRMBS 210 3 351 19 561 22 Total $ 3,803 $ 35 $ 351 $ 19 $ 4,154 $ 54 See Note 6 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the held-to-maturity (HTM) portfolio. |
Held-to-Maturity Securities
Held-to-Maturity Securities | 6 Months Ended |
Jun. 30, 2019 | |
Debt Securities, Held-to-maturity [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, 2019 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 51 $ — $ 51 $ — $ (1 ) $ 50 MBS: Other U.S. obligations – single-family: Ginnie Mae 546 — 546 5 — 551 GSEs – single-family: Freddie Mac 1,309 — 1,309 9 (3 ) 1,315 Fannie Mae 2,230 — 2,230 22 (5 ) 2,247 Subtotal GSEs – single-family 3,539 — 3,539 31 (8 ) 3,562 GSEs – multifamily: Freddie Mac 3,408 — 3,408 — (10 ) 3,398 Fannie Mae 1,631 — 1,631 — (1 ) 1,630 Subtotal GSEs – multifamily 5,039 — 5,039 — (11 ) 5,028 Subtotal GSEs 8,578 — 8,578 31 (19 ) 8,590 PLRMBS: Prime 321 — 321 2 (4 ) 319 Alt-A 183 (2 ) 181 7 (3 ) 185 Subtotal PLRMBS 504 (2 ) 502 9 (7 ) 504 Total MBS 9,628 (2 ) 9,626 45 (26 ) 9,645 Total $ 9,679 $ (2 ) $ 9,677 $ 45 $ (27 ) $ 9,695 December 31, 2018 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 100 $ — $ 100 $ — $ (3 ) $ 97 MBS: Other U.S. obligations – single-family: Ginnie Mae 609 — 609 — (6 ) 603 GSEs – single-family: Freddie Mac 1,506 — 1,506 6 (21 ) 1,491 Fannie Mae 2,598 — 2,598 17 (16 ) 2,599 Subtotal GSEs – single-family 4,104 — 4,104 23 (37 ) 4,090 GSEs – multifamily: Freddie Mac 3,944 — 3,944 — (17 ) 3,927 Fannie Mae 1,743 — 1,743 — (1 ) 1,742 Subtotal GSEs – multifamily 5,687 — 5,687 — (18 ) 5,669 Subtotal GSEs 9,791 — 9,791 23 (55 ) 9,759 PLRMBS: Prime 383 — 383 1 (6 ) 378 Alt-A 209 (3 ) 206 7 (3 ) 210 Subtotal PLRMBS 592 (3 ) 589 8 (9 ) 588 Total MBS 10,992 (3 ) 10,989 31 (70 ) 10,950 Total $ 11,092 $ (3 ) $ 11,089 $ 31 $ (73 ) $ 11,047 (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, 2019 , the amortized cost of the Bank’s MBS classified as HTM included premiums of $10 , discounts of $14 , and credit-related OTTI of $7 . At December 31, 2018 , the amortized cost of the Bank’s MBS classified as HTM included premiums of $14 , discounts of $19 , and credit-related OTTI of $7 . The following tables summarize the HTM securities with unrealized losses as of June 30, 2019 , and December 31, 2018 . 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 tables will not agree to the total gross unrecognized holding losses in the tables above. The unrealized losses in the following tables also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities and for information on HTM securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2019 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 $ — $ — $ 50 $ 1 $ 50 $ 1 MBS: Other U.S. obligations – single-family: Ginnie Mae 33 — 22 — 55 — GSEs – single-family: Freddie Mac 9 — 723 3 732 3 Fannie Mae 718 3 443 2 1,161 5 Subtotal GSEs – single-family 727 3 1,166 5 1,893 8 GSEs – multifamily: Freddie Mac 2,782 9 308 1 3,090 10 Fannie Mae 159 — 854 1 1,013 1 Subtotal GSEs – multifamily 2,941 9 1,162 2 4,103 11 Subtotal GSEs 3,668 12 2,328 7 5,996 19 PLRMBS: Prime 60 — 122 4 182 4 Alt-A 74 1 104 4 178 5 Subtotal PLRMBS 134 1 226 8 360 9 Total MBS 3,835 13 2,576 15 6,411 28 Total $ 3,835 $ 13 $ 2,626 $ 16 $ 6,461 $ 29 December 31, 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 $ — $ — $ 80 $ 3 $ 80 $ 3 MBS: Other U.S. obligations – single-family: Ginnie Mae 33 — 529 6 562 6 GSEs – single-family: Freddie Mac 79 — 1,085 21 1,164 21 Fannie Mae 923 3 693 13 1,616 16 Subtotal GSEs – single-family 1,002 3 1,778 34 2,780 37 GSEs – multifamily: Freddie Mac 3,826 16 67 1 3,893 17 Fannie Mae 757 1 360 — 1,117 1 Subtotal GSEs – multifamily 4,583 17 427 1 5,010 18 Subtotal GSEs 5,585 20 2,205 35 7,790 55 PLRMBS: Prime 153 1 128 5 281 6 Alt-A 84 — 119 6 203 6 Subtotal PLRMBS 237 1 247 11 484 12 Total MBS 5,855 21 2,981 52 8,836 73 Total $ 5,855 $ 21 $ 3,061 $ 55 $ 8,916 $ 76 Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of June 30, 2019 , and December 31, 2018 , are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. June 30, 2019 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 10 years $ 51 $ 51 $ 50 Subtotal 51 51 50 MBS 9,628 9,626 9,645 Total $ 9,679 $ 9,677 $ 9,695 December 31, 2018 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 10 years $ 100 $ 100 $ 97 Subtotal 100 100 97 MBS 10,992 10,989 10,950 Total $ 11,092 $ 11,089 $ 11,047 (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 for information on the transfers of securities between the AFS portfolio and the HTM portfolio. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment Analysis | 6 Months Ended |
Jun. 30, 2019 | |
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. Private-Label Residential Mortgage-Backed Securities (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 12.0% over the 12-month period beginning April 1, 2019 . For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 6.0% . 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, 2019 (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 2019 , and the related current credit enhancement for the Bank. June 30, 2019 Significant Inputs for Other-Than-Temporarily Impaired PLRMBS Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Collateral Type at Origination Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Prime 16.8 8.4 19.7 15.8 Alt-A 14.5 16.5 39.2 9.1 (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, 2019 and 2018 . Three Months Ended June 30, Six Months Ended June 30, 2019 2018 2019 2018 Balance, beginning of the period $ 1,063 $ 1,113 $ 1,077 $ 1,129 Additional charges on securities for which OTTI was previously recognized (1) 5 5 6 6 Securities matured during the period (2) (2 ) — (2 ) — Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities (3) (16 ) (15 ) (31 ) (32 ) Balance, end of the period $ 1,050 $ 1,103 $ 1,050 $ 1,103 (1) For the three months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2019 and 2018 , respectively. For the six months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018 , respectively. (2) Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period. (3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $19 and $20 for the three months ended June 30, 2019 and 2018 , respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $37 and $42 for the six months ended June 30, 2019 and 2018 , respectively. In general, the Bank elects to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized an OTTI credit loss on these HTM 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 AFS 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, 2019 . 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 $ 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, 2019 , and December 31, 2018 , by loan collateral type: June 30, 2019 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 $ 291 $ 240 $ 262 $ — $ — $ — $ — Alt-A 2,954 2,385 2,667 45 40 38 44 Total $ 3,245 $ 2,625 $ 2,929 $ 45 $ 40 $ 38 $ 44 December 31, 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 $ 323 $ 267 $ 288 $ — $ — $ — $ — Alt-A 3,225 2,603 2,869 52 47 44 51 Total $ 3,548 $ 2,870 $ 3,157 $ 52 $ 47 $ 44 $ 51 For the Bank’s PLRMBS that were not other-than-temporarily impaired as of June 30, 2019 , 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, 2019 , 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, 2019 , 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, 2019 , all of the gross unrealized losses on its agency MBS are temporary. For more information related to the Bank’s accounting policies for OTTI, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. |
Advances
Advances | 6 Months Ended |
Jun. 30, 2019 | |
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 a specified index. Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 1.06% to 8.57% at June 30, 2019 , and 1.02% to 8.57% at December 31, 2018 , as summarized below. June 30, 2019 December 31, 2018 Redemption Term Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 33,420 2.43 % $ 42,285 2.40 % After 1 year through 2 years 17,354 2.47 13,662 2.57 After 2 years through 3 years 9,989 2.63 11,238 2.70 After 3 years through 4 years 2,183 2.62 2,409 2.45 After 4 years through 5 years 2,942 2.90 2,815 2.99 After 5 years 971 3.24 1,086 3.23 Total par value 66,859 2.51 % 73,495 2.51 % Valuation adjustments for hedging activities 256 (32 ) Valuation adjustments under fair value option 74 (29 ) Total $ 67,189 $ 73,434 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 full or 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 full prepayment symmetry outstanding totaling $8,397 at June 30, 2019 , and $3,405 at December 31, 2018 . The Bank had advances with partial prepayment symmetry outstanding totaling $4,127 at June 30, 2019 , and $4,410 at December 31, 2018 . Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $11,529 at June 30, 2019 , and $13,255 at December 31, 2018 . The Bank had putable advances totaling $20 at June 30, 2019 , and $20 at December 31, 2018 . 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, 2019 , and December 31, 2018 , by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances. Earlier of Redemption Term or Next Call Date Earlier of Redemption Term or Next Put Date June 30, 2019 December 31, 2018 June 30, 2019 December 31, 2018 Within 1 year $ 37,000 $ 46,740 $ 33,435 $ 42,295 After 1 year through 2 years 17,249 14,762 17,359 13,672 After 2 years through 3 years 6,542 5,688 9,989 11,238 After 3 years through 4 years 2,169 2,409 2,183 2,409 After 4 years through 5 years 2,928 2,812 2,942 2,815 After 5 years 971 1,084 951 1,066 Total par value $ 66,859 $ 73,495 $ 66,859 $ 73,495 Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 2019 and 2018 . 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, 2019 and 2018 . June 30, 2019 Three Months Ended Six Months Ended Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of MUFG Union Bank, National Association $ 13,650 20 % $ 92 21 % $ 195 21 % First Republic Bank 9,800 15 64 14 113 13 Wells Fargo & Company Wells Fargo Financial National Bank West (2) 8,000 12 53 12 101 11 Wells Fargo Bank, National Association (3) 43 — 1 — 1 — Subtotal Wells Fargo & Company 8,043 12 54 12 102 11 Bank of the West 6,607 10 41 9 84 9 JPMorgan Chase Bank, National Association (3) 5,057 8 51 12 111 12 Subtotal 43,157 65 302 68 605 66 Others 23,702 35 142 32 317 34 Total par value $ 66,859 100 % $ 444 100 % $ 922 100 % June 30, 2018 Three Months Ended Six Months Ended Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest (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 (3) 9,361 13 54 15 104 14 Bank of the West 7,508 11 35 10 64 9 Wells Fargo Financial National Bank (2) 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 % (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) Effective April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West. (3) 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, 2019 , and December 31, 2018 , are detailed below: June 30, 2019 December 31, 2018 Par value of advances: Fixed rate: Due within 1 year $ 19,867 $ 20,437 Due after 1 year 19,109 19,727 Total fixed rate 38,976 40,164 Adjustable rate: Due within 1 year 13,553 21,848 Due after 1 year 14,330 11,483 Total adjustable rate 27,883 33,331 Total par value $ 66,859 $ 73,495 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, 2019 , or December 31, 2018 . 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 15 – Derivatives and Hedging Activities and Note 16 – Fair Value . |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2019 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio The following table presents information as of June 30, 2019 , and December 31, 2018 , on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. June 30, 2019 December 31, 2018 Fixed rate medium-term mortgage loans $ 15 $ 16 Fixed rate long-term mortgage loans 3,226 2,951 Subtotal 3,241 2,967 Unamortized premiums 90 104 Unamortized discounts (4 ) (5 ) Mortgage loans held for portfolio 3,327 3,066 Less: Allowance for credit losses — — Total mortgage loans held for portfolio, net $ 3,327 $ 3,066 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 more information related to the Bank’s accounting policies for the Mortgage Partnership Finance® (MPF®) Program, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. 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, 2019 | |
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 2018 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, 2019 , and December 31, 2018 , 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, 2019 , or during 2018 . 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, 2019 , 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, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 Recorded Investment (1) Recorded Investment (1) 30 – 59 days delinquent $ 14 $ 15 60 – 89 days delinquent 1 2 90 days or more delinquent 8 9 Total past due 23 26 Total current loans 3,323 3,058 Total mortgage loans $ 3,346 $ 3,084 In process of foreclosure, included above (2) $ 2 $ 3 Nonaccrual loans $ 8 $ 9 Serious delinquencies as a percentage of total mortgage loans outstanding (3) 0.23 % 0.31 % (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, 2019 and 2018 . The recorded investment by impairment methodology for individually and collectively evaluated impaired loans is as follows: June 30, 2019 December 31, 2018 Recorded investment, end of the period: Individually evaluated for impairment $ 6 $ 7 Collectively evaluated for impairment 3,340 3,077 Total recorded investment $ 3,346 $ 3,084 The allowance for credit losses for loans collectively evaluated for impairment totaled de minimis amounts as of June 30, 2019 , and December 31, 2018 . The Bank had no allowance for credit losses for loans individually evaluated for impairment as of June 30, 2019 , and December 31, 2018 . The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $6 and $6 , respectively, at June 30, 2019 . The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $7 and $7 , respectively, at December 31, 2018 . The Finance Agency’s acquired member asset (AMA) regulation permits the Bank to purchase and hold specified mortgage loans from its members. 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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions. 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, 2019 , and $2 as of December 31, 2018 . For more information related to the Bank’s accounting policies for collateral-dependent loans, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. For more information related to the Bank’s allowance for credit losses methodology on MPF loans and credit risk of MPF loans, see “Item 8. Financial Statements and Supplementary Data – Note 10 – Allowance for Credit Losses” in the Bank’s 2018 Form 10-K. 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, 2019 , and December 31, 2018 , were repaid or are expected to be repaid according to the contractual terms. |
Deposits
Deposits | 6 Months Ended |
Jun. 30, 2019 | |
Deposits [Abstract] | |
Deposits | Deposits The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits as of June 30, 2019 , and December 31, 2018 , were as follows: June 30, 2019 December 31, 2018 Interest-bearing deposits – Demand and overnight $ 241 $ 240 Non-interest-bearing deposits 69 22 Total $ 310 $ 262 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, 2019 , and December 31, 2018 , are detailed in the following table: June 30, 2019 December 31, 2018 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Interest-bearing deposits – Adjustable rate $ 241 2.10 % $ 240 2.10 % Non-interest-bearing deposits 69 22 Total $ 310 $ 262 |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2019 | |
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 2018 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, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 55,852 2.34 % $ 56,968 2.29 % After 1 year through 2 years 12,115 2.31 7,741 2.20 After 2 years through 3 years 1,774 2.18 2,842 2.08 After 3 years through 4 years 1,854 2.21 2,094 2.12 After 4 years through 5 years 135 2.43 600 2.56 After 5 years 2,181 3.07 2,091 3.03 Total par value 73,911 2.35 % 72,336 2.29 % Unamortized premiums 1 3 Unamortized discounts (9 ) (10 ) Valuation adjustments for hedging activities 9 (48 ) Fair value option valuation adjustments 3 (5 ) Total $ 73,915 $ 72,276 The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $10,529 at June 30, 2019 , and $11,285 at December 31, 2018 . 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 $6,739 at June 30, 2019 , and $7,660 at December 31, 2018 . 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, 2019 , and December 31, 2018 , was as follows: June 30, 2019 December 31, 2018 Par value of consolidated obligation bonds: Non-callable $ 63,382 $ 61,051 Callable 10,529 11,285 Total par value $ 73,911 $ 72,336 The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 2019 , and December 31, 2018 , by the earlier of the year of contractual maturity or next call date. Earlier of Contractual Maturity or Next Call Date June 30, 2019 December 31, 2018 Within 1 year $ 64,081 $ 65,878 After 1 year through 2 years 9,025 5,626 After 2 years through 3 years 589 616 After 3 years through 4 years 125 85 After 4 years through 5 years 40 70 After 5 years 51 61 Total par value $ 73,911 $ 72,336 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, 2019 December 31, 2018 Amount Outstanding Weighted Average Interest Rate (1) Amount Outstanding Weighted Average Interest Rate (1) Par value $ 24,969 2.32 % $ 29,273 2.32 % Unamortized discounts (68 ) (91 ) Total $ 24,901 $ 29,182 (1) Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at June 30, 2019 , and December 31, 2018 , 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 2018 Form 10K. June 30, 2019 December 31, 2018 Par value of consolidated obligations: Bonds: Fixed rate $ 15,622 $ 16,735 Adjustable rate 57,424 53,668 Step-up 590 1,558 Step-down 175 275 Range bonds 100 100 Total bonds, par value 73,911 72,336 Discount notes, par value 24,969 29,273 Total consolidated obligations, par value $ 98,880 $ 101,609 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, 2019 , or December 31, 2018 . 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 15 – Derivatives and Hedging Activities and Note 16 – Fair Value . |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 and 2018 : Net Unrealized Gain/(Loss) on AFS Securities 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, 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 Balance, March 31, 2019 $ 6 $ 301 $ (3 ) $ (17 ) $ 287 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (2 ) — (2 ) Net change in fair value 9 2 11 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 3 — 3 Net current period other comprehensive income/(loss) 9 3 1 — 13 Balance, June 30, 2019 $ 15 $ 304 $ (2 ) $ (17 ) $ 300 The following table summarizes the changes in AOCI for the six months ended June 30, 2019 and 2018 : Net Unrealized Gain/(Loss) on AFS Securities 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, 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 Balance, December 31, 2018 $ (32 ) $ 287 $ (3 ) $ (17 ) $ 235 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (2 ) — (2 ) Net change in fair value 47 16 63 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 3 — 3 Net current period other comprehensive income/(loss) 47 17 1 — 65 Balance, June 30, 2019 $ 15 $ 304 $ (2 ) $ (17 ) $ 300 |
Capital
Capital | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 , and December 31, 2018 , the Bank was in compliance with these capital rules and requirements as shown in the following table. June 30, 2019 December 31, 2018 Required Actual Required Actual Risk-based capital $ 1,729 $ 6,502 $ 1,899 $ 6,522 Total regulatory capital $ 4,270 $ 6,502 $ 4,373 $ 6,522 Total regulatory capital ratio 4.00 % 6.09 % 4.00 % 5.97 % Leverage capital $ 5,338 $ 9,753 $ 5,466 $ 9,783 Leverage ratio 5.00 % 9.13 % 5.00 % 8.95 % Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $138 outstanding to three institutions at June 30, 2019 , and $227 outstanding to three institutions at December 31, 2018 . The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2019 and 2018 , was as follows: Three Months Ended Six Months Ended June 30, 2019 June 30, 2018 June 30, 2019 June 30, 2018 Balance at the beginning of the period $ 227 $ 309 $ 227 $ 309 Reclassified from/(to) capital during the period — 2 — 2 Repurchase of excess mandatorily redeemable capital stock (89 ) (56 ) (89 ) (56 ) Balance at the end of the period $ 138 $ 255 $ 138 $ 255 Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $4 and $5 for the three months ended June 30, 2019 and 2018 , respectively, and in the amount of $8 and $11 for the six months ended June 30, 2019 and 2018 , 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 2018 Form 10-K. The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at June 30, 2019 , and December 31, 2018 . Contractual Redemption Period June 30, 2019 December 31, 2018 After 1 year through 2 years $ 135 $ 224 Past contractual redemption date because of remaining activity (1) 3 3 Total $ 138 $ 227 (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. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%. 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 Federal funds effective rate 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 223% as of June 30, 2019 . 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 in future quarters. Retained Earnings – 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. As determined using the Bank’s methodology, the required level of total retained earnings was $2,500 as of June 30, 2019 , and December 31, 2018 . In July 2019, the methodology was further revised to provide a required level of retained earnings of $2,400 . The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement Agreement) and unrestricted retained earnings. The Bank’s retained earnings requirement may be changed at any time. The Board of Directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate. The Bank’s restricted retained earnings totaled $678 and $647 at June 30, 2019 , and December 31, 2018 , respectively. The Bank’s unrestricted retained earnings totaled $2,719 and $2,699 at June 30, 2019 , and December 31, 2018 , respectively. 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, 2019 , the Bank’s excess capital stock totaled $184 , or 0.17% of total assets. In the second quarter of 2019 , the Bank paid dividends at an annualized rate of 7.00% , totaling $56 , including $52 in dividends on capital stock and $4 in dividends on mandatorily redeemable capital stock. 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 first six months of 2019 , the Bank paid dividends at an annualized rate of 7.00% , totaling $110 , including $102 in dividends on capital stock and $8 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. 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 25, 2019 , the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the second quarter of 2019 at an annualized rate of 7.00% , totaling $56 , including $53 in dividends on capital stock and $3 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on July 25, 2019 . The Bank expects to pay the dividend on August 13, 2019 . Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the third quarter of 2019 . Excess Capital Stock – The Bank’s capital plan provides that 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 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’s practice is to repurchase the surplus capital stock of all members and the excess capital stock of all former members on a daily schedule. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. The Bank calculates 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 would continue to meet its minimum capital stock requirement after the repurchase. The Bank may change this practice at any time. The Bank repurchased $423 and $700 in excess capital stock during the second quarter of 2019 and 2018 , respectively, and $767 and $1,128 in excess capital stock during the first six months of 2019 and 2018 , 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 2019 and 2018 , the Bank redeemed a de minimis amount 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. Excess capital stock totaled $184 and $166 as of June 30, 2019 , and December 31, 2018 , respectively. 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 2018 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, 2019 , or December 31, 2018 . June 30, 2019 December 31, 2018 Name of Institution Capital Stock Percentage Capital Stock Percentage MUFG Union Bank, National Association $ 402 13 % $ 456 14 % Others 2,703 87 2,720 86 Total $ 3,105 100 % $ 3,176 100 % |
Segment Information
Segment Information | 6 Months Ended |
Jun. 30, 2019 | |
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 2018 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 Affordable Housing Program (AHP) assessment for the three and six months ended June 30, 2019 and 2018 . Advances- Related Business Mortgage- Related Business (1) Adjusted Net Interest Income Amortization of Basis Adjustments and Gain/(Loss) on Fair Value Hedging Relationships (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, 2019 $ 79 $ 58 $ 137 $ 23 $ — $ 4 $ 110 $ (7 ) $ 48 $ 55 June 30, 2018 79 73 152 — (7 ) 5 154 5 43 116 Six months ended: June 30, 2019 $ 165 $ 126 $ 291 $ 34 $ (5 ) $ 8 $ 254 $ 8 $ 91 $ 171 June 30, 2018 157 148 305 (1 ) (7 ) 11 302 (3 ) 92 207 (1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $19 and $20 for the three months ended June 30, 2019 and 2018 , respectively; and totaled $37 and $42 for the six months ended June 30, 2019 and 2018 , respectively. The mortgage-related business does not include credit-related OTTI losses of $5 and $5 for the three months ended June 30, 2019 and 2018 , and $6 and $6 for the six months ended June 30, 2019 and 2018 , respectively. (2) Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income . (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, 2019 , and December 31, 2018 . Advances- Related Business Mortgage- Related Business Total Assets June 30, 2019 $ 84,476 $ 22,286 $ 106,762 December 31, 2018 88,272 21,054 109,326 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2019 | |
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 obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. 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 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 or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.” Prior to January 1, 2019, for AFS securities that were hedged and qualified as a fair value hedge, the Bank recorded the portion of the change in the fair value of the investment related to the risk being hedged in non-interest income as “Net gain/(loss) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and recorded the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.” 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. 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. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2018 Form 10-K. 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, 2019 , and December 31, 2018 . For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2019 December 31, 2018 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 38,320 $ 17 $ 340 $ 40,504 $ 20 $ 93 Total 38,320 17 340 40,504 20 93 Derivatives not designated as hedging instruments: Interest rate swaps 49,747 28 23 59,398 65 54 Interest rate caps and floors 1,060 1 1 1,563 1 — Mortgage delivery commitments 68 — — 12 — — Total 50,875 29 24 60,973 66 54 Total derivatives before netting and collateral adjustments $ 89,195 46 364 $ 101,477 86 147 Netting adjustments and cash collateral (1) 201 (364 ) 99 (137 ) Total derivative assets and total derivative liabilities $ 247 $ — $ 185 $ 10 (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 $572 and $257 at June 30, 2019 , and December 31, 2018 , respectively. Cash collateral received and related accrued interest was $7 and $22 at June 30, 2019 , and December 31, 2018 , respectively. Beginning on January 1, 2019, changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, for fair value hedges, any hedge ineffectiveness (which represented the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedged item) was recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and six months ended June 30, 2019 and 2018 . Beginning on January 1, 2019, the gains and losses on derivatives include unrealized changes in fair value as well as net interest settlements. Three Months Ended June 30, 2019 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 456 $ 82 $ (442 ) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (174 ) $ (242 ) $ 22 Hedged items 185 226 (29 ) Net gain/(loss) on fair value hedging relationships $ 11 $ (16 ) $ (7 ) Three Months Ended June 30, 2018 (1) Interest Income/(Expense) Other Income/(Loss) Advances Consolidated Obligation Bonds Net Gain/(Loss) on Derivatives and Hedging Activities Total income/(expense) presented in the Statements of Income $ 380 $ (339 ) $ 17 Gain/(loss) on fair value hedging relationships Derivatives (2) $ 17 $ (8 ) $ 4 Hedged items (2 ) Net gain/(loss) on fair value hedging relationships $ 17 $ (8 ) $ 2 Six Months Ended June 30, 2019 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 954 $ 161 $ (897 ) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (256 ) $ (370 ) $ 41 Hedged items 288 343 (57 ) Net gain/(loss) on fair value hedging relationships $ 32 $ (27 ) $ (16 ) Six Months Ended June 30, 2018 (1) Interest Income/(Expense) Other Income/(Loss) Advances Consolidated Obligation Bonds Net Gain/(Loss) on Derivatives and Hedging Activities Total income/(expense) presented in the Statements of Income $ 749 $ (646 ) $ 48 Gain/(loss) on fair value hedging relationships Derivatives (2) $ 20 $ (7 ) $ 30 Hedged items (26 ) Net gain/(loss) on fair value hedging relationships $ 20 $ (7 ) $ 4 (1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. Other income amounts reported for 2018 include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. (2) Includes net interest settlements. The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of June 30, 2019 . June 30, 2019 Hedged Item Type Amortized Cost of Hedged Asset/(Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Advances $ 26,251 $ 256 AFS securities 6,321 433 Consolidated obligation bonds (6,610 ) (9 ) (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. 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, 2019 and 2018 . For fair value hedging relationships, the portion of net gain/(loss) representing hedge ineffectiveness is recorded in other income for periods prior to January 1, 2019. Three Months Ended Six Months Ended June 30, 2019 June 30, 2018 June 30, 2019 June 30, 2018 Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives designated as hedging instruments: Interest rate swaps $ 2 $ 4 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (62 ) 18 $ (85 ) 42 Interest rate caps and floors — (1 ) (1 ) 1 Net settlements — (7 ) (5 ) (7 ) Mortgage delivery commitments 1 5 2 9 Total net gain/(loss) related to derivatives not designated as hedging instruments (61 ) 15 (89 ) 45 Price alignment amount (1) — — — (1 ) Net gain/(loss) on derivatives and hedging activities $ (61 ) $ 17 $ (89 ) $ 48 (1) This amount is for derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract. 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, 2019 , was $335 , for which the Bank had posted cash collateral of $344 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, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 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 $ 34 $ (24 ) $ 10 $ 83 $ (82 ) $ 1 Cleared 12 225 237 3 181 184 Total $ 247 $ 185 Derivative Liabilities Uncleared $ 362 $ (362 ) $ — $ 129 $ (119 ) $ 10 Cleared 2 (2 ) — 18 (18 ) — Total $ — $ 10 |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 , and December 31, 2018 . 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, 2019 , and December 31, 2018 . 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, 2019 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 23 $ 23 $ 23 $ — $ — $ — Interest-bearing deposits 2,040 2,040 2,040 — — — Securities purchased under agreements to resell 8,750 8,750 — 8,750 — — Federal funds sold 5,089 5,090 — 5,090 — — Trading securities 359 359 — 359 — — AFS securities 9,265 9,265 — 6,336 2,929 — HTM securities 9,677 9,695 — 9,141 554 — Advances 67,189 67,256 — 67,256 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 3,327 3,307 — 3,307 — — Loans to other FHLBanks 400 400 — 400 — — Accrued interest receivable 172 172 — 172 — — Derivative assets, net (1) 247 247 — 46 — 201 Other assets (2) 18 18 18 — — — Liabilities Deposits 310 310 — 310 — — Consolidated obligations: Bonds 73,915 73,874 — 73,874 — — Discount notes 24,901 24,904 — 24,904 — — Total consolidated obligations 98,816 98,778 — 98,778 — — Mandatorily redeemable capital stock 138 138 138 — — — Accrued interest payable 191 191 — 191 — — Derivative liabilities, net (1) — — — 364 — (364 ) Other Standby letters of credit 33 33 — 33 — — December 31, 2018 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 13 $ 13 $ 13 $ — $ — $ — Interest-bearing deposits 2,555 2,555 2,555 — — — Securities purchased under agreements to resell 7,300 7,299 — 7,299 — — Federal funds sold 3,845 3,846 — 3,846 — — Trading securities 661 661 — 661 — — AFS securities 6,931 6,931 — 3,774 3,157 — HTM securities 11,089 11,047 — 10,362 685 — Advances 73,434 73,462 — 73,462 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 3,066 2,975 — 2,975 — — Accrued interest receivable 133 133 — 133 — — Derivative assets, net (1) 185 185 — 86 — 99 Other assets (2) 16 16 16 — — — Liabilities Deposits 262 262 — 262 — — Consolidated obligations: Bonds 72,276 72,079 — 72,079 — — Discount notes 29,182 29,178 — 29,178 — — Total consolidated obligations 101,458 101,257 — 101,257 — — Mandatorily redeemable capital stock 227 227 227 — — — Borrowings from other FHLBanks 250 250 — 250 — — Accrued interest payable 155 155 — 155 — — Derivative liabilities, net (1) 10 10 — 147 — (137 ) Other Standby letters of credit 27 27 — 27 — — (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, 2019 : • 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, 2019 , 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 swap rates 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 dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral 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 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, 2019 , and December 31, 2018 , by level within the fair value hierarchy. June 30, 2019 Fair Value Measurement Using: Netting Adjustments and Cash Level 1 Level 2 Level 3 Collateral (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 355 $ — $ — $ 355 MBS: Other U.S. obligations – Ginnie Mae — 4 — — 4 Total trading securities — 359 — — 359 AFS securities: GSEs - multifamily — 6,336 — — 6,336 PLRMBS — — 2,929 — 2,929 Total AFS securities — 6,336 2,929 — 9,265 Advances (2) — 4,529 — — 4,529 Derivative assets, net: interest rate-related — 46 — 201 247 Other assets 18 — — — 18 Total recurring fair value measurements – Assets $ 18 $ 11,270 $ 2,929 $ 201 $ 14,418 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 943 $ — $ — $ 943 Derivative liabilities, net: interest rate-related — 364 — (364 ) — Total recurring fair value measurements – Liabilities $ — $ 1,307 $ — $ (364 ) $ 943 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 1 $ — $ 1 Total nonrecurring fair value measurements – Assets $ — $ — $ 1 $ — $ 1 December 31, 2018 Fair Value Measurement Using: Netting Adjustments and Cash Level 1 Level 2 Level 3 Collateral (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 656 $ — $ — $ 656 MBS: Other U.S. obligations – Ginnie Mae — 5 — — 5 Total trading securities — 661 — — 661 AFS securities: GSEs - multifamily — 3,774 — — 3,774 PLRMBS — — 3,157 — 3,157 Total AFS securities — 3,774 3,157 — 6,931 Advances (2) — 5,133 — — 5,133 Derivative assets, net: interest rate-related — 86 — 99 185 Other assets 16 — — — 16 Total recurring fair value measurements – Assets $ 16 $ 9,654 $ 3,157 $ 99 $ 12,926 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 2,019 $ — $ — $ 2,019 Derivative liabilities, net: interest rate-related — 147 — (137 ) 10 Total recurring fair value measurements – Liabilities $ — $ 2,166 $ — $ (137 ) $ 2,029 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 2 $ — $ 2 Total nonrecurring fair value measurements – Assets $ — $ — $ 2 $ — $ 2 (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, 2019 , and December 31, 2018 . (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2019 , and December 31, 2018 . (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2019 , and the year ended December 31, 2018 . 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, 2019 and 2018 . Three Months Ended June 30, 2019 June 30, 2018 Balance, beginning of the period $ 3,055 $ 3,686 Total gain/(loss) realized and unrealized included in: Interest income 19 20 Net OTTI loss, credit-related (5 ) (5 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 2 3 Net amount of OTTI loss reclassified to/(from) other income/(loss) 1 (8 ) Settlements (143 ) (198 ) Transfers of HTM securities to AFS securities — 12 Balance, end of the period $ 2,929 $ 3,510 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 $ 13 $ 15 Six Months Ended June 30, 2019 June 30, 2018 Balance, beginning of the period $ 3,157 $ 3,833 Total gain/(loss) realized and unrealized included in: Interest income 37 42 Net OTTI loss, credit-related (6 ) (6 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 16 20 Net amount of OTTI loss reclassified to/(from) other income/(loss) 1 (10 ) Settlements (276 ) (381 ) Transfers of HTM securities to AFS securities — 12 Balance, end of the period $ 2,929 $ 3,510 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 $ 30 $ 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 2018 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, 2019 and 2018 : Three Months Ended June 30, 2019 June 30, 2018 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 5,053 $ 1,191 $ 6,637 $ 1,315 New transactions elected for fair value option 74 — 342 89 Maturities and terminations (655 ) (253 ) (882 ) — Net gain/(loss) from changes in fair value recognized in earnings 57 5 (14 ) (2 ) Change in accrued interest — — — 2 Balance, end of the period $ 4,529 $ 943 $ 6,083 $ 1,404 Six Months Ended June 30, 2019 June 30, 2018 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 5,133 $ 2,019 $ 6,431 $ 949 New transactions elected for fair value option 74 — 1,564 463 Maturities and terminations (780 ) (1,083 ) (1,850 ) — Net gain/(loss) from changes in fair value recognized in earnings 103 12 (63 ) (10 ) Change in accrued interest (1 ) (5 ) 1 2 Balance, end of the period $ 4,529 $ 943 $ 6,083 $ 1,404 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, 2019 and 2018 . 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, 2019 , and December 31, 2018 : June 30, 2019 December 31, 2018 Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Advances (1) $ 4,455 $ 4,529 $ 74 $ 5,162 $ 5,133 $ (29 ) Consolidated obligation bonds 940 943 3 2,024 2,019 (5 ) (1) At June 30, 2019 , and December 31, 2018 , 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, 2019 | |
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, 2019 , 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 $1,048,412 at June 30, 2019 , and $1,031,617 at December 31, 2018 . The par value of the Bank’s participation in consolidated obligations was $98,880 at June 30, 2019 , and $101,609 at December 31, 2018 . 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 2018 Form 10-K. Off-balance sheet commitments as of June 30, 2019 , and December 31, 2018 , were as follows: June 30, 2019 December 31, 2018 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit outstanding $ 17,044 $ 2,976 $ 20,020 $ 13,661 $ 4,418 $ 18,079 Commitments to issue consolidated obligation discount notes, par — — — 350 — 350 Commitments to issue consolidated obligation bonds, par 35 — 35 — — — Commitments to purchase mortgage loans 68 — 68 12 — 12 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 $33 at June 30, 2019 , and $27 at December 31, 2018 . 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, 2019 , and December 31, 2018 . There were no commitments to fund advances at June 30, 2019, and December 31, 2018. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 9 – Allowance for Credit Losses). 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 may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations. |
Transactions with Certain Membe
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 December 31, 2018 Assets: Advances $ 3,850 $ 4,192 Mortgage loans held for portfolio 10 11 Accrued interest receivable 9 7 Liabilities: Deposits $ 6 $ 11 Capital: Capital Stock $ 132 $ 149 Three Months Ended Six Months Ended June 30, 2019 June 30, 2018 June 30, 2019 June 30, 2018 Interest Income: Advances $ 22 $ 17 $ 44 $ 31 All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of June 30, 2019 , and December 31, 2018 , 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 2018 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 $1 and $1 at June 30, 2019 , and December 31, 2018 , respectively, 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 interest income and interest expense 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, 2019 and 2018 , the Bank extended overnight loans to other FHLBanks for $1,450 and $280 , respectively. During the six months ended June 30, 2019 and 2018 , the Bank borrowed $1,525 and $1,510 , respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis for all periods 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 months ended June 30, 2019 and 2018 , the Bank recorded de minimis amounts in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago, which were recorded in the Statements of Income as other expense. For the six months ended June 30, 2019 and 2018 , the Bank recorded $1 and $1 , respectively, in MPF membership fee expense and 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, 2019 and 2018 , the Bank recorded de minimis amounts in MPF counterparty fee income from the FHLBank of Chicago, which were 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, 2019 and 2018 , the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks. Transactions with the Office of Finance . The Bank’s proportionate share of the cost of operating the Office of Finance is identified in the Statements of Income. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events There were no material subsequent events identified, subsequent to June 30, 2019 , until the time of the Form 10‑Q filing with the Securities and Exchange Commission. |
Summary of Significant Accounti
Summary of Significant Accounting Policies / Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2019 | |
Accounting Policies [Abstract] | |
Derivatives Credit Policy [Policy Text Block] | 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. |
Loans and Leases Receivable, Allowance for Loan Losses Policy | 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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.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. |
New Accounting Pronouncements, Policy | The following table provides a summary of recently issued accounting standards which may have an effect on the financial statements. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract (ASU 2018-15) This guidance aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance is not expected to have any effect on the Bank’s financial condition, results of operations, cash flows, or financial statement disclosures. Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14) This guidance modifies the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness. This guidance becomes effective for the Bank for the annual period ended December 31, 2020, and the annual periods thereafter. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows. Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13) This guidance modifies the disclosure requirements for fair value measurements to improve disclosure effectiveness. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Measurement of Credit Losses on Financial Instruments (ASU 2016-13) The guidance replaces the current incurred loss model and requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. This guidance is effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. The ultimate 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. Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12) This guidance amends the accounting for derivatives and hedging activities to better portray the economic results of an entity’s risk management activities in its financial statements. In October 2018, the Financial Accounting Standards Board (FASB) issued amendments to the guidance that permit the use of the overnight index swap rate based on the Secured Overnight Financing Rate (SOFR) as an eligible U.S. benchmark interest rate for hedge accounting purposes to facilitate the London Interbank Offered Rate (LIBOR) to SOFR transition. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. The guidance was applied as of January 1, 2019. Upon adoption, the Bank modified the presentation of fair value hedge results on the Bank’s Statements of Income, as well as relevant disclosures, prospectively. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08) This guidance shortens the amortization period for certain purchased callable debt securities held at a premium to be amortized to the earliest call date rather than contractual maturity. This guidance does not require an accounting change for securities held at a discount, which continue to be amortized to their contractual maturity. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. This guidance was adopted using a modified retrospective basis as of January 1, 2019. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Leases, as amended (ASU 2016-02) This guidance amends the accounting for lease arrangements. In particular, it requires a lessee of operating and financing leases to recognize a right-of-use asset and a lease liability for leases on the Statements of Condition. In July 2018, the FASB issued amendments that, among other things, provide entities with an additional transition method to adopt this guidance. The Bank elected to adopt these amendments. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. The guidance was adopted using a modified retrospective basis as of January 1, 2019. Upon adoption, the Bank recognized right-of-use assets and lease liabilities on its existing leases on the Statements of Condition. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
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 obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. 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 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 or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.” Prior to January 1, 2019, for AFS securities that were hedged and qualified as a fair value hedge, the Bank recorded the portion of the change in the fair value of the investment related to the risk being hedged in non-interest income as “Net gain/(loss) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and recorded the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.” 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. 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. |
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 |
Derivatives, Embedded Derivatives | 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, 2019 , or December 31, 2018 |
Stockholders' Equity, Policy | 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 2018 Form 10-K. |
Fair Value of Financial Instruments, Policy | 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 2018 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. 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, 2019 , 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 swap rates 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 dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral 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 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. 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, 2019 : • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets |
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. |
Basis of Presentation (Policies
Basis of Presentation (Policies) | 6 Months Ended |
Jun. 30, 2019 | |
Accounting Policies [Abstract] | |
Investment, Policy | e Bank elects to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized an OTTI credit loss on these HTM 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 AFS 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, 2019 . 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 $ 12 $ — $ — $ 12 $ 12 $ — $ — $ 12 Total $ 12 $ — $ — $ 12 $ 12 $ — $ — $ 12 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. |
Loans and Leases Receivable, Allowance for Loan Losses Policy | 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. The Bank purchased loans under the MPF Program that were credit enhanced to an AMA investment-grade level at the time of purchase, where the Bank has a high degree of confidence that it will be paid principal and interest in all material respects, even under reasonably likely adverse changes to expected economic conditions.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. |
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 |
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, 2019 , and December 31, 2018 , 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, 2019 , or during 2018 . |
Stockholders' Equity, Policy | 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 2018 Form 10-K. |
Derivatives, Embedded Derivatives | 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, 2019 , or December 31, 2018 |
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. 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. |
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 obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. 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 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 or AFS by entering into interest rate exchange agreements that offset the changes in fair value or cash flows of the securities. Hedge relationships that involve trading securities are designated as economic hedges, while hedge relationships that involve AFS securities are designated as fair value hedges. For trading securities that have been designated as an economic hedge, 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. Beginning January 1, 2019, the Bank adopted new hedge accounting guidance, which, among other things, affects the presentation of gains and losses on derivatives and hedging activities for qualifying hedges, including fair value hedges of AFS securities. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.” Prior to January 1, 2019, for AFS securities that were hedged and qualified as a fair value hedge, the Bank recorded the portion of the change in the fair value of the investment related to the risk being hedged in non-interest income as “Net gain/(loss) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and recorded the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gain/(loss) on AFS securities.” 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. 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. |
Fair Value of Financial Instruments, Policy | 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 2018 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. 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, 2019 , 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 swap rates 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 dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral 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 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. 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, 2019 : • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets |
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 | The following table provides a summary of recently issued accounting standards which may have an effect on the financial statements. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract (ASU 2018-15) This guidance aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance is not expected to have any effect on the Bank’s financial condition, results of operations, cash flows, or financial statement disclosures. Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14) This guidance modifies the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness. This guidance becomes effective for the Bank for the annual period ended December 31, 2020, and the annual periods thereafter. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows. Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13) This guidance modifies the disclosure requirements for fair value measurements to improve disclosure effectiveness. This guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. The adoption of this guidance may affect the Bank’s disclosures but will not have any effect on the Bank’s financial condition, results of operations, or cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Measurement of Credit Losses on Financial Instruments (ASU 2016-13) The guidance replaces the current incurred loss model and requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. This guidance is effective for the Bank for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The Bank does not intend to adopt this guidance early. Based on the Bank’s assessments, this guidance is expected to have no effect on advances or U.S. obligations and Government-Sponsored Enterprises (GSEs) investments. The adoption of this guidance is expected to have an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments and on mortgage loans. The ultimate 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. Targeted Improvements to Accounting for Hedging Activities (ASU 2017-12) This guidance amends the accounting for derivatives and hedging activities to better portray the economic results of an entity’s risk management activities in its financial statements. In October 2018, the Financial Accounting Standards Board (FASB) issued amendments to the guidance that permit the use of the overnight index swap rate based on the Secured Overnight Financing Rate (SOFR) as an eligible U.S. benchmark interest rate for hedge accounting purposes to facilitate the London Interbank Offered Rate (LIBOR) to SOFR transition. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. The guidance was applied as of January 1, 2019. Upon adoption, the Bank modified the presentation of fair value hedge results on the Bank’s Statements of Income, as well as relevant disclosures, prospectively. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. Premium Amortization on Purchased Callable Debt Securities (ASU 2017-08) This guidance shortens the amortization period for certain purchased callable debt securities held at a premium to be amortized to the earliest call date rather than contractual maturity. This guidance does not require an accounting change for securities held at a discount, which continue to be amortized to their contractual maturity. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. This guidance was adopted using a modified retrospective basis as of January 1, 2019. The adoption of this guidance did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Leases, as amended (ASU 2016-02) This guidance amends the accounting for lease arrangements. In particular, it requires a lessee of operating and financing leases to recognize a right-of-use asset and a lease liability for leases on the Statements of Condition. In July 2018, the FASB issued amendments that, among other things, provide entities with an additional transition method to adopt this guidance. The Bank elected to adopt these amendments. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2019. The guidance was adopted using a modified retrospective basis as of January 1, 2019. Upon adoption, the Bank recognized right-of-use assets and lease liabilities on its existing leases on the Statements of Condition. However, the adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
Trading Securities (Tables)
Trading Securities (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Debt Securities, Trading and Available-for-sale [Abstract] | |
Trading Securities (and Certain Trading Assets) | The estimated fair value of trading securities as of June 30, 2019 , and December 31, 2018 , was as follows: June 30, 2019 December 31, 2018 GSEs – Federal Farm Credit Bank (FFCB) bonds $ 355 $ 656 MBS – Other U.S. obligations – Ginnie Mae 4 5 Total $ 359 $ 661 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |
Available-for-sale Securities | AFS securities by major security type as of June 30, 2019 , and December 31, 2018 , were as follows: June 30, 2019 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value MBS – GSEs – multifamily: Freddie Mac $ 689 $ — $ 5 $ — $ 694 Fannie Mae 5,632 — 18 (8 ) 5,642 Subtotal MBS – GSEs – multifamily 6,321 — 23 (8 ) 6,336 PLRMBS: Prime 240 — 22 — 262 Alt-A 2,385 (15 ) 297 — 2,667 Subtotal PLRMBS 2,625 (15 ) 319 — 2,929 Total $ 8,946 $ (15 ) $ 342 $ (8 ) $ 9,265 December 31, 2018 Amortized Cost (1) OTTI Recognized in AOCI Gross Unrealized Gains Gross Unrealized Losses Estimated Fair Value MBS – GSEs – multifamily: Freddie Mac $ 409 $ — $ — $ (2 ) $ 407 Fannie Mae 3,397 — — (30 ) 3,367 Subtotal MBS – GSEs – multifamily 3,806 — — (32 ) 3,774 PLRMBS: Prime 267 — 21 — 288 Alt-A 2,603 (20 ) 288 (2 ) 2,869 Subtotal PLRMBS 2,870 (20 ) 309 (2 ) 3,157 Total $ 6,676 $ (20 ) $ 309 $ (34 ) $ 6,931 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts , previous OTTI recognized in earnings, and valuation adjustments for hedging activities. |
Available-for-sale Securities | |
Debt Securities, Available-for-sale [Line Items] | |
Schedule of Unrealized Loss on Investments | The following table summarizes the AFS securities with unrealized losses as of June 30, 2019 , and December 31, 2018 . 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 and for information on AFS securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2019 Less Than 12 Months 12 Months or More Total Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses Estimated Fair Value Unrealized Losses MBS – GSEs – multifamily: Freddie Mac $ 42 $ — $ — $ — $ 42 $ — Fannie Mae 1,814 7 174 1 1,988 8 Subtotal MBS – GSEs – multifamily 1,856 7 174 1 2,030 8 PLRMBS: Prime — — 8 — 8 — Alt-A 90 2 214 13 304 15 Subtotal PLRMBS 90 2 222 13 312 15 Total $ 1,946 $ 9 $ 396 $ 14 $ 2,342 $ 23 December 31, 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 MBS – GSEs – multifamily: Freddie Mac $ 382 $ 2 $ — $ — $ 382 $ 2 Fannie Mae 3,211 30 — — 3,211 30 Subtotal MBS – GSEs – multifamily 3,593 32 — — 3,593 32 PLRMBS: Prime 6 — 8 — 14 — Alt-A 204 3 343 19 547 22 Subtotal PLRMBS 210 3 351 19 561 22 Total $ 3,803 $ 35 $ 351 $ 19 $ 4,154 $ 54 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 51 $ — $ 51 $ — $ (1 ) $ 50 MBS: Other U.S. obligations – single-family: Ginnie Mae 546 — 546 5 — 551 GSEs – single-family: Freddie Mac 1,309 — 1,309 9 (3 ) 1,315 Fannie Mae 2,230 — 2,230 22 (5 ) 2,247 Subtotal GSEs – single-family 3,539 — 3,539 31 (8 ) 3,562 GSEs – multifamily: Freddie Mac 3,408 — 3,408 — (10 ) 3,398 Fannie Mae 1,631 — 1,631 — (1 ) 1,630 Subtotal GSEs – multifamily 5,039 — 5,039 — (11 ) 5,028 Subtotal GSEs 8,578 — 8,578 31 (19 ) 8,590 PLRMBS: Prime 321 — 321 2 (4 ) 319 Alt-A 183 (2 ) 181 7 (3 ) 185 Subtotal PLRMBS 504 (2 ) 502 9 (7 ) 504 Total MBS 9,628 (2 ) 9,626 45 (26 ) 9,645 Total $ 9,679 $ (2 ) $ 9,677 $ 45 $ (27 ) $ 9,695 December 31, 2018 Amortized Cost (1) OTTI Recognized in AOCI (1) Carrying Value (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Estimated Fair Value Housing finance agency bonds: California Housing Finance Agency (CalHFA) bonds $ 100 $ — $ 100 $ — $ (3 ) $ 97 MBS: Other U.S. obligations – single-family: Ginnie Mae 609 — 609 — (6 ) 603 GSEs – single-family: Freddie Mac 1,506 — 1,506 6 (21 ) 1,491 Fannie Mae 2,598 — 2,598 17 (16 ) 2,599 Subtotal GSEs – single-family 4,104 — 4,104 23 (37 ) 4,090 GSEs – multifamily: Freddie Mac 3,944 — 3,944 — (17 ) 3,927 Fannie Mae 1,743 — 1,743 — (1 ) 1,742 Subtotal GSEs – multifamily 5,687 — 5,687 — (18 ) 5,669 Subtotal GSEs 9,791 — 9,791 23 (55 ) 9,759 PLRMBS: Prime 383 — 383 1 (6 ) 378 Alt-A 209 (3 ) 206 7 (3 ) 210 Subtotal PLRMBS 592 (3 ) 589 8 (9 ) 588 Total MBS 10,992 (3 ) 10,989 31 (70 ) 10,950 Total $ 11,092 $ (3 ) $ 11,089 $ 31 $ (73 ) $ 11,047 (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, 2019 , and December 31, 2018 . 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 tables will not agree to the total gross unrecognized holding losses in the tables above. The unrealized losses in the following tables also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities and for information on HTM securities in unrealized loss positions that are not considered to be other-than-temporarily impaired, see Note 6 – Other-Than-Temporary Impairment Analysis . June 30, 2019 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 $ — $ — $ 50 $ 1 $ 50 $ 1 MBS: Other U.S. obligations – single-family: Ginnie Mae 33 — 22 — 55 — GSEs – single-family: Freddie Mac 9 — 723 3 732 3 Fannie Mae 718 3 443 2 1,161 5 Subtotal GSEs – single-family 727 3 1,166 5 1,893 8 GSEs – multifamily: Freddie Mac 2,782 9 308 1 3,090 10 Fannie Mae 159 — 854 1 1,013 1 Subtotal GSEs – multifamily 2,941 9 1,162 2 4,103 11 Subtotal GSEs 3,668 12 2,328 7 5,996 19 PLRMBS: Prime 60 — 122 4 182 4 Alt-A 74 1 104 4 178 5 Subtotal PLRMBS 134 1 226 8 360 9 Total MBS 3,835 13 2,576 15 6,411 28 Total $ 3,835 $ 13 $ 2,626 $ 16 $ 6,461 $ 29 December 31, 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 $ — $ — $ 80 $ 3 $ 80 $ 3 MBS: Other U.S. obligations – single-family: Ginnie Mae 33 — 529 6 562 6 GSEs – single-family: Freddie Mac 79 — 1,085 21 1,164 21 Fannie Mae 923 3 693 13 1,616 16 Subtotal GSEs – single-family 1,002 3 1,778 34 2,780 37 GSEs – multifamily: Freddie Mac 3,826 16 67 1 3,893 17 Fannie Mae 757 1 360 — 1,117 1 Subtotal GSEs – multifamily 4,583 17 427 1 5,010 18 Subtotal GSEs 5,585 20 2,205 35 7,790 55 PLRMBS: Prime 153 1 128 5 281 6 Alt-A 84 — 119 6 203 6 Subtotal PLRMBS 237 1 247 11 484 12 Total MBS 5,855 21 2,981 52 8,836 73 Total $ 5,855 $ 21 $ 3,061 $ 55 $ 8,916 $ 76 |
Investments Classified by Contractual Maturity Date | The amortized cost, carrying value, and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of June 30, 2019 , and December 31, 2018 , are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. June 30, 2019 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 10 years $ 51 $ 51 $ 50 Subtotal 51 51 50 MBS 9,628 9,626 9,645 Total $ 9,679 $ 9,677 $ 9,695 December 31, 2018 Year of Contractual Maturity Amortized Cost (1) Carrying Value (1) Estimated Fair Value HTM securities other than MBS: Due after 10 years $ 100 $ 100 $ 97 Subtotal 100 100 97 MBS 10,992 10,989 10,950 Total $ 11,092 $ 11,089 $ 11,047 (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. |
Other-Than-Temporary Impairme_2
Other-Than-Temporary Impairment Analysis (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 . 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 $ 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, 2019 (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 2019 , and the related current credit enhancement for the Bank. June 30, 2019 Significant Inputs for Other-Than-Temporarily Impaired PLRMBS Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Collateral Type at Origination Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Prime 16.8 8.4 19.7 15.8 Alt-A 14.5 16.5 39.2 9.1 (1) Weighted average percentage is based on unpaid principal balance. |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | following table presents the credit-related OTTI, which is recognized in earnings, for the three and six months ended June 30, 2019 and 2018 . Three Months Ended June 30, Six Months Ended June 30, 2019 2018 2019 2018 Balance, beginning of the period $ 1,063 $ 1,113 $ 1,077 $ 1,129 Additional charges on securities for which OTTI was previously recognized (1) 5 5 6 6 Securities matured during the period (2) (2 ) — (2 ) — Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities (3) (16 ) (15 ) (31 ) (32 ) Balance, end of the period $ 1,050 $ 1,103 $ 1,050 $ 1,103 (1) For the three months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2019 and 2018 , respectively. For the six months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018 , respectively. (2) Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period. (3) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $19 and $20 for the three months ended June 30, 2019 and 2018 , respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $37 and $42 for the six months ended June 30, 2019 and 2018 , 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, 2019 , and December 31, 2018 , by loan collateral type: June 30, 2019 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 $ 291 $ 240 $ 262 $ — $ — $ — $ — Alt-A 2,954 2,385 2,667 45 40 38 44 Total $ 3,245 $ 2,625 $ 2,929 $ 45 $ 40 $ 38 $ 44 December 31, 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 $ 323 $ 267 $ 288 $ — $ — $ — $ — Alt-A 3,225 2,603 2,869 52 47 44 51 Total $ 3,548 $ 2,870 $ 3,157 $ 52 $ 47 $ 44 $ 51 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances | The following tables present the concentration in advances to the top five borrowers and their affiliates at June 30, 2019 and 2018 . 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, 2019 and 2018 . June 30, 2019 Three Months Ended Six Months Ended Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of MUFG Union Bank, National Association $ 13,650 20 % $ 92 21 % $ 195 21 % First Republic Bank 9,800 15 64 14 113 13 Wells Fargo & Company Wells Fargo Financial National Bank West (2) 8,000 12 53 12 101 11 Wells Fargo Bank, National Association (3) 43 — 1 — 1 — Subtotal Wells Fargo & Company 8,043 12 54 12 102 11 Bank of the West 6,607 10 41 9 84 9 JPMorgan Chase Bank, National Association (3) 5,057 8 51 12 111 12 Subtotal 43,157 65 302 68 605 66 Others 23,702 35 142 32 317 34 Total par value $ 66,859 100 % $ 444 100 % $ 922 100 % June 30, 2018 Three Months Ended Six Months Ended Name of Borrower Advances Outstanding Percentage of Total Advances Outstanding Interest (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 (3) 9,361 13 54 15 104 14 Bank of the West 7,508 11 35 10 64 9 Wells Fargo Financial National Bank (2) 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 % (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) Effective April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West. (3) Nonmember institution. Interest rate payment terms for advances at June 30, 2019 , and December 31, 2018 , are detailed below: June 30, 2019 December 31, 2018 Par value of advances: Fixed rate: Due within 1 year $ 19,867 $ 20,437 Due after 1 year 19,109 19,727 Total fixed rate 38,976 40,164 Adjustable rate: Due within 1 year 13,553 21,848 Due after 1 year 14,330 11,483 Total adjustable rate 27,883 33,331 Total par value $ 66,859 $ 73,495 The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 1.06% to 8.57% at June 30, 2019 , and 1.02% to 8.57% at December 31, 2018 , as summarized below. June 30, 2019 December 31, 2018 Redemption Term Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 33,420 2.43 % $ 42,285 2.40 % After 1 year through 2 years 17,354 2.47 13,662 2.57 After 2 years through 3 years 9,989 2.63 11,238 2.70 After 3 years through 4 years 2,183 2.62 2,409 2.45 After 4 years through 5 years 2,942 2.90 2,815 2.99 After 5 years 971 3.24 1,086 3.23 Total par value 66,859 2.51 % 73,495 2.51 % Valuation adjustments for hedging activities 256 (32 ) Valuation adjustments under fair value option 74 (29 ) Total $ 67,189 $ 73,434 The following table summarizes advances at June 30, 2019 , and December 31, 2018 , by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances. Earlier of Redemption Term or Next Call Date Earlier of Redemption Term or Next Put Date June 30, 2019 December 31, 2018 June 30, 2019 December 31, 2018 Within 1 year $ 37,000 $ 46,740 $ 33,435 $ 42,295 After 1 year through 2 years 17,249 14,762 17,359 13,672 After 2 years through 3 years 6,542 5,688 9,989 11,238 After 3 years through 4 years 2,169 2,409 2,183 2,409 After 4 years through 5 years 2,928 2,812 2,942 2,815 After 5 years 971 1,084 951 1,066 Total par value $ 66,859 $ 73,495 $ 66,859 $ 73,495 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans | The following table presents information as of June 30, 2019 , and December 31, 2018 , on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. June 30, 2019 December 31, 2018 Fixed rate medium-term mortgage loans $ 15 $ 16 Fixed rate long-term mortgage loans 3,226 2,951 Subtotal 3,241 2,967 Unamortized premiums 90 104 Unamortized discounts (4 ) (5 ) Mortgage loans held for portfolio 3,327 3,066 Less: Allowance for credit losses — — Total mortgage loans held for portfolio, net $ 3,327 $ 3,066 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Loans and Leases Receivable Disclosure [Abstract] | |
Past Due Financing Receivables | The following table presents information on delinquent mortgage loans as of June 30, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 Recorded Investment (1) Recorded Investment (1) 30 – 59 days delinquent $ 14 $ 15 60 – 89 days delinquent 1 2 90 days or more delinquent 8 9 Total past due 23 26 Total current loans 3,323 3,058 Total mortgage loans $ 3,346 $ 3,084 In process of foreclosure, included above (2) $ 2 $ 3 Nonaccrual loans $ 8 $ 9 Serious delinquencies as a percentage of total mortgage loans outstanding (3) 0.23 % 0.31 % (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. |
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: June 30, 2019 December 31, 2018 Recorded investment, end of the period: Individually evaluated for impairment $ 6 $ 7 Collectively evaluated for impairment 3,340 3,077 Total recorded investment $ 3,346 $ 3,084 |
Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans | The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $6 and $6 , respectively, at June 30, 2019 . The recorded investment and unpaid principal balance of impaired loans individually evaluated for impairment totaled $7 and $7 , respectively, at December 31, 2018 . |
Deposits (Tables)
Deposits (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component | Deposits as of June 30, 2019 , and December 31, 2018 , were as follows: June 30, 2019 December 31, 2018 Interest-bearing deposits – Demand and overnight $ 241 $ 240 Non-interest-bearing deposits 69 22 Total $ 310 $ 262 |
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, 2019 , and December 31, 2018 , are detailed in the following table: June 30, 2019 December 31, 2018 Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Interest-bearing deposits – Adjustable rate $ 241 2.10 % $ 240 2.10 % Non-interest-bearing deposits 69 22 Total $ 310 $ 262 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 Contractual Maturity Amount Outstanding Weighted Average Interest Rate Amount Outstanding Weighted Average Interest Rate Within 1 year $ 55,852 2.34 % $ 56,968 2.29 % After 1 year through 2 years 12,115 2.31 7,741 2.20 After 2 years through 3 years 1,774 2.18 2,842 2.08 After 3 years through 4 years 1,854 2.21 2,094 2.12 After 4 years through 5 years 135 2.43 600 2.56 After 5 years 2,181 3.07 2,091 3.03 Total par value 73,911 2.35 % 72,336 2.29 % Unamortized premiums 1 3 Unamortized discounts (9 ) (10 ) Valuation adjustments for hedging activities 9 (48 ) Fair value option valuation adjustments 3 (5 ) Total $ 73,915 $ 72,276 |
Schedule of Long-term Debt by Call Feature | The Bank’s participation in consolidated obligation bonds at June 30, 2019 , and December 31, 2018 , was as follows: June 30, 2019 December 31, 2018 Par value of consolidated obligation bonds: Non-callable $ 63,382 $ 61,051 Callable 10,529 11,285 Total par value $ 73,911 $ 72,336 |
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, 2019 , and December 31, 2018 , by the earlier of the year of contractual maturity or next call date. Earlier of Contractual Maturity or Next Call Date June 30, 2019 December 31, 2018 Within 1 year $ 64,081 $ 65,878 After 1 year through 2 years 9,025 5,626 After 2 years through 3 years 589 616 After 3 years through 4 years 125 85 After 4 years through 5 years 40 70 After 5 years 51 61 Total par value $ 73,911 $ 72,336 |
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, 2019 December 31, 2018 Amount Outstanding Weighted Average Interest Rate (1) Amount Outstanding Weighted Average Interest Rate (1) Par value $ 24,969 2.32 % $ 29,273 2.32 % Unamortized discounts (68 ) (91 ) Total $ 24,901 $ 29,182 |
Schedule of Interest Rate Payment Terms for Debt | Interest rate payment terms for consolidated obligations at June 30, 2019 , and December 31, 2018 , 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 2018 Form 10K. June 30, 2019 December 31, 2018 Par value of consolidated obligations: Bonds: Fixed rate $ 15,622 $ 16,735 Adjustable rate 57,424 53,668 Step-up 590 1,558 Step-down 175 275 Range bonds 100 100 Total bonds, par value 73,911 72,336 Discount notes, par value 24,969 29,273 Total consolidated obligations, par value $ 98,880 $ 101,609 |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 and 2018 : Net Unrealized Gain/(Loss) on AFS Securities 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, 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 Balance, December 31, 2018 $ (32 ) $ 287 $ (3 ) $ (17 ) $ 235 Other comprehensive income/(loss) before reclassifications: Non-credit-related OTTI loss (2 ) — (2 ) Net change in fair value 47 16 63 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 3 — 3 Net current period other comprehensive income/(loss) 47 17 1 — 65 Balance, June 30, 2019 $ 15 $ 304 $ (2 ) $ (17 ) $ 300 |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As of June 30, 2019 , and December 31, 2018 , the Bank was in compliance with these capital rules and requirements as shown in the following table. June 30, 2019 December 31, 2018 Required Actual Required Actual Risk-based capital $ 1,729 $ 6,502 $ 1,899 $ 6,522 Total regulatory capital $ 4,270 $ 6,502 $ 4,373 $ 6,522 Total regulatory capital ratio 4.00 % 6.09 % 4.00 % 5.97 % Leverage capital $ 5,338 $ 9,753 $ 5,466 $ 9,783 Leverage ratio 5.00 % 9.13 % 5.00 % 8.95 % |
Schedule of Mandatorily Redeemable Capital Stock | The Bank had mandatorily redeemable capital stock totaling $138 outstanding to three institutions at June 30, 2019 , and $227 outstanding to three institutions at December 31, 2018 . The change in mandatorily redeemable capital stock for the three and six months ended June 30, 2019 and 2018 , was as follows: Three Months Ended Six Months Ended June 30, 2019 June 30, 2018 June 30, 2019 June 30, 2018 Balance at the beginning of the period $ 227 $ 309 $ 227 $ 309 Reclassified from/(to) capital during the period — 2 — 2 Repurchase of excess mandatorily redeemable capital stock (89 ) (56 ) (89 ) (56 ) Balance at the end of the period $ 138 $ 255 $ 138 $ 255 |
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, 2019 , and December 31, 2018 . Contractual Redemption Period June 30, 2019 December 31, 2018 After 1 year through 2 years $ 135 $ 224 Past contractual redemption date because of remaining activity (1) 3 3 Total $ 138 $ 227 (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 |
Segment Information (Tables)
Segment Information (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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 Affordable Housing Program (AHP) assessment for the three and six months ended June 30, 2019 and 2018 . Advances- Related Business Mortgage- Related Business (1) Adjusted Net Interest Income Amortization of Basis Adjustments and Gain/(Loss) on Fair Value Hedging Relationships (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, 2019 $ 79 $ 58 $ 137 $ 23 $ — $ 4 $ 110 $ (7 ) $ 48 $ 55 June 30, 2018 79 73 152 — (7 ) 5 154 5 43 116 Six months ended: June 30, 2019 $ 165 $ 126 $ 291 $ 34 $ (5 ) $ 8 $ 254 $ 8 $ 91 $ 171 June 30, 2018 157 148 305 (1 ) (7 ) 11 302 (3 ) 92 207 (1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $19 and $20 for the three months ended June 30, 2019 and 2018 , respectively; and totaled $37 and $42 for the six months ended June 30, 2019 and 2018 , respectively. The mortgage-related business does not include credit-related OTTI losses of $5 and $5 for the three months ended June 30, 2019 and 2018 , and $6 and $6 for the six months ended June 30, 2019 and 2018 , respectively. (2) Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income . (3) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “ Net gain/(loss) on derivatives and hedging activities.” (4) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments. |
Schedule of Segment Assets by Segment | The following table presents total assets by operating segment at June 30, 2019 , and December 31, 2018 . Advances- Related Business Mortgage- Related Business Total Assets June 30, 2019 $ 84,476 $ 22,286 $ 106,762 December 31, 2018 88,272 21,054 109,326 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 , and December 31, 2018 . For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2019 December 31, 2018 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 38,320 $ 17 $ 340 $ 40,504 $ 20 $ 93 Total 38,320 17 340 40,504 20 93 Derivatives not designated as hedging instruments: Interest rate swaps 49,747 28 23 59,398 65 54 Interest rate caps and floors 1,060 1 1 1,563 1 — Mortgage delivery commitments 68 — — 12 — — Total 50,875 29 24 60,973 66 54 Total derivatives before netting and collateral adjustments $ 89,195 46 364 $ 101,477 86 147 Netting adjustments and cash collateral (1) 201 (364 ) 99 (137 ) Total derivative assets and total derivative liabilities $ 247 $ — $ 185 $ 10 (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 $572 and $257 at June 30, 2019 , and December 31, 2018 , respectively. Cash collateral received and related accrued interest was $7 and $22 at June 30, 2019 , and December 31, 2018 , 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, 2019 and 2018 . For fair value hedging relationships, the portion of net gain/(loss) representing hedge ineffectiveness is recorded in other income for periods prior to January 1, 2019. Three Months Ended Six Months Ended June 30, 2019 June 30, 2018 June 30, 2019 June 30, 2018 Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives designated as hedging instruments: Interest rate swaps $ 2 $ 4 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (62 ) 18 $ (85 ) 42 Interest rate caps and floors — (1 ) (1 ) 1 Net settlements — (7 ) (5 ) (7 ) Mortgage delivery commitments 1 5 2 9 Total net gain/(loss) related to derivatives not designated as hedging instruments (61 ) 15 (89 ) 45 Price alignment amount (1) — — — (1 ) Net gain/(loss) on derivatives and hedging activities $ (61 ) $ 17 $ (89 ) $ 48 (1) This amount is for derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract. |
Derivative Instruments, Gain (Loss) [Table Text Block] | The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and six months ended June 30, 2019 and 2018 . Beginning on January 1, 2019, the gains and losses on derivatives include unrealized changes in fair value as well as net interest settlements. Three Months Ended June 30, 2019 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 456 $ 82 $ (442 ) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (174 ) $ (242 ) $ 22 Hedged items 185 226 (29 ) Net gain/(loss) on fair value hedging relationships $ 11 $ (16 ) $ (7 ) Three Months Ended June 30, 2018 (1) Interest Income/(Expense) Other Income/(Loss) Advances Consolidated Obligation Bonds Net Gain/(Loss) on Derivatives and Hedging Activities Total income/(expense) presented in the Statements of Income $ 380 $ (339 ) $ 17 Gain/(loss) on fair value hedging relationships Derivatives (2) $ 17 $ (8 ) $ 4 Hedged items (2 ) Net gain/(loss) on fair value hedging relationships $ 17 $ (8 ) $ 2 Six Months Ended June 30, 2019 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 954 $ 161 $ (897 ) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (256 ) $ (370 ) $ 41 Hedged items 288 343 (57 ) Net gain/(loss) on fair value hedging relationships $ 32 $ (27 ) $ (16 ) Six Months Ended June 30, 2018 (1) Interest Income/(Expense) Other Income/(Loss) Advances Consolidated Obligation Bonds Net Gain/(Loss) on Derivatives and Hedging Activities Total income/(expense) presented in the Statements of Income $ 749 $ (646 ) $ 48 Gain/(loss) on fair value hedging relationships Derivatives (2) $ 20 $ (7 ) $ 30 Hedged items (26 ) Net gain/(loss) on fair value hedging relationships $ 20 $ (7 ) $ 4 (1) Upon adoption of new hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2019 for advances, investment securities, and consolidated obligation bonds include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. Other income amounts reported for 2018 include the realized and unrealized gain/(loss) on hedged items and derivatives in qualifying hedge relationships. (2) Includes net interest settlements. |
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance | The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of June 30, 2019 . June 30, 2019 Hedged Item Type Amortized Cost of Hedged Asset/(Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Advances $ 26,251 $ 256 AFS securities 6,321 433 Consolidated obligation bonds (6,610 ) (9 ) |
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, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 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 $ 34 $ (24 ) $ 10 $ 83 $ (82 ) $ 1 Cleared 12 225 237 3 181 184 Total $ 247 $ 185 Derivative Liabilities Uncleared $ 362 $ (362 ) $ — $ 129 $ (119 ) $ 10 Cleared 2 (2 ) — 18 (18 ) — Total $ — $ 10 |
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, 2019 , and December 31, 2018 . June 30, 2019 December 31, 2018 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 $ 34 $ (24 ) $ 10 $ 83 $ (82 ) $ 1 Cleared 12 225 237 3 181 184 Total $ 247 $ 185 Derivative Liabilities Uncleared $ 362 $ (362 ) $ — $ 129 $ (119 ) $ 10 Cleared 2 (2 ) — 18 (18 ) — Total $ — $ 10 |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 , and December 31, 2018 . 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, 2019 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 23 $ 23 $ 23 $ — $ — $ — Interest-bearing deposits 2,040 2,040 2,040 — — — Securities purchased under agreements to resell 8,750 8,750 — 8,750 — — Federal funds sold 5,089 5,090 — 5,090 — — Trading securities 359 359 — 359 — — AFS securities 9,265 9,265 — 6,336 2,929 — HTM securities 9,677 9,695 — 9,141 554 — Advances 67,189 67,256 — 67,256 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 3,327 3,307 — 3,307 — — Loans to other FHLBanks 400 400 — 400 — — Accrued interest receivable 172 172 — 172 — — Derivative assets, net (1) 247 247 — 46 — 201 Other assets (2) 18 18 18 — — — Liabilities Deposits 310 310 — 310 — — Consolidated obligations: Bonds 73,915 73,874 — 73,874 — — Discount notes 24,901 24,904 — 24,904 — — Total consolidated obligations 98,816 98,778 — 98,778 — — Mandatorily redeemable capital stock 138 138 138 — — — Accrued interest payable 191 191 — 191 — — Derivative liabilities, net (1) — — — 364 — (364 ) Other Standby letters of credit 33 33 — 33 — — December 31, 2018 Carrying Value Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 13 $ 13 $ 13 $ — $ — $ — Interest-bearing deposits 2,555 2,555 2,555 — — — Securities purchased under agreements to resell 7,300 7,299 — 7,299 — — Federal funds sold 3,845 3,846 — 3,846 — — Trading securities 661 661 — 661 — — AFS securities 6,931 6,931 — 3,774 3,157 — HTM securities 11,089 11,047 — 10,362 685 — Advances 73,434 73,462 — 73,462 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 3,066 2,975 — 2,975 — — Accrued interest receivable 133 133 — 133 — — Derivative assets, net (1) 185 185 — 86 — 99 Other assets (2) 16 16 16 — — — Liabilities Deposits 262 262 — 262 — — Consolidated obligations: Bonds 72,276 72,079 — 72,079 — — Discount notes 29,182 29,178 — 29,178 — — Total consolidated obligations 101,458 101,257 — 101,257 — — Mandatorily redeemable capital stock 227 227 227 — — — Borrowings from other FHLBanks 250 250 — 250 — — Accrued interest payable 155 155 — 155 — — Derivative liabilities, net (1) 10 10 — 147 — (137 ) Other Standby letters of credit 27 27 — 27 — — (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, 2019 , and December 31, 2018 , by level within the fair value hierarchy. June 30, 2019 Fair Value Measurement Using: Netting Adjustments and Cash Level 1 Level 2 Level 3 Collateral (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 355 $ — $ — $ 355 MBS: Other U.S. obligations – Ginnie Mae — 4 — — 4 Total trading securities — 359 — — 359 AFS securities: GSEs - multifamily — 6,336 — — 6,336 PLRMBS — — 2,929 — 2,929 Total AFS securities — 6,336 2,929 — 9,265 Advances (2) — 4,529 — — 4,529 Derivative assets, net: interest rate-related — 46 — 201 247 Other assets 18 — — — 18 Total recurring fair value measurements – Assets $ 18 $ 11,270 $ 2,929 $ 201 $ 14,418 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 943 $ — $ — $ 943 Derivative liabilities, net: interest rate-related — 364 — (364 ) — Total recurring fair value measurements – Liabilities $ — $ 1,307 $ — $ (364 ) $ 943 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 1 $ — $ 1 Total nonrecurring fair value measurements – Assets $ — $ — $ 1 $ — $ 1 December 31, 2018 Fair Value Measurement Using: Netting Adjustments and Cash Level 1 Level 2 Level 3 Collateral (1) Total Recurring fair value measurements – Assets: Trading securities: GSEs – FFCB bonds $ — $ 656 $ — $ — $ 656 MBS: Other U.S. obligations – Ginnie Mae — 5 — — 5 Total trading securities — 661 — — 661 AFS securities: GSEs - multifamily — 3,774 — — 3,774 PLRMBS — — 3,157 — 3,157 Total AFS securities — 3,774 3,157 — 6,931 Advances (2) — 5,133 — — 5,133 Derivative assets, net: interest rate-related — 86 — 99 185 Other assets 16 — — — 16 Total recurring fair value measurements – Assets $ 16 $ 9,654 $ 3,157 $ 99 $ 12,926 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 2,019 $ — $ — $ 2,019 Derivative liabilities, net: interest rate-related — 147 — (137 ) 10 Total recurring fair value measurements – Liabilities $ — $ 2,166 $ — $ (137 ) $ 2,029 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 2 $ — $ 2 Total nonrecurring fair value measurements – Assets $ — $ — $ 2 $ — $ 2 (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, 2019 , and December 31, 2018 . (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2019 , and December 31, 2018 . (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2019 , and the year ended December 31, 2018 . |
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, 2019 and 2018 . Three Months Ended June 30, 2019 June 30, 2018 Balance, beginning of the period $ 3,055 $ 3,686 Total gain/(loss) realized and unrealized included in: Interest income 19 20 Net OTTI loss, credit-related (5 ) (5 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 2 3 Net amount of OTTI loss reclassified to/(from) other income/(loss) 1 (8 ) Settlements (143 ) (198 ) Transfers of HTM securities to AFS securities — 12 Balance, end of the period $ 2,929 $ 3,510 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 $ 13 $ 15 Six Months Ended June 30, 2019 June 30, 2018 Balance, beginning of the period $ 3,157 $ 3,833 Total gain/(loss) realized and unrealized included in: Interest income 37 42 Net OTTI loss, credit-related (6 ) (6 ) Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI 16 20 Net amount of OTTI loss reclassified to/(from) other income/(loss) 1 (10 ) Settlements (276 ) (381 ) Transfers of HTM securities to AFS securities — 12 Balance, end of the period $ 2,929 $ 3,510 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 $ 30 $ 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, 2019 , and December 31, 2018 : June 30, 2019 December 31, 2018 Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Principal Balance Fair Value Fair Value Over/(Under) Principal Balance Advances (1) $ 4,455 $ 4,529 $ 74 $ 5,162 $ 5,133 $ (29 ) Consolidated obligation bonds 940 943 3 2,024 2,019 (5 ) (1) At June 30, 2019 , and December 31, 2018 , none of these advances were 90 days or more past due or had been placed on nonaccrual status. 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, 2019 and 2018 : Three Months Ended June 30, 2019 June 30, 2018 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 5,053 $ 1,191 $ 6,637 $ 1,315 New transactions elected for fair value option 74 — 342 89 Maturities and terminations (655 ) (253 ) (882 ) — Net gain/(loss) from changes in fair value recognized in earnings 57 5 (14 ) (2 ) Change in accrued interest — — — 2 Balance, end of the period $ 4,529 $ 943 $ 6,083 $ 1,404 Six Months Ended June 30, 2019 June 30, 2018 Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Balance, beginning of the period $ 5,133 $ 2,019 $ 6,431 $ 949 New transactions elected for fair value option 74 — 1,564 463 Maturities and terminations (780 ) (1,083 ) (1,850 ) — Net gain/(loss) from changes in fair value recognized in earnings 103 12 (63 ) (10 ) Change in accrued interest (1 ) (5 ) 1 2 Balance, end of the period $ 4,529 $ 943 $ 6,083 $ 1,404 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | Off-balance sheet commitments as of June 30, 2019 , and December 31, 2018 , were as follows: June 30, 2019 December 31, 2018 Expire Within One Year Expire After One Year Total Expire Within One Year Expire After One Year Total Standby letters of credit outstanding $ 17,044 $ 2,976 $ 20,020 $ 13,661 $ 4,418 $ 18,079 Commitments to issue consolidated obligation discount notes, par — — — 350 — 350 Commitments to issue consolidated obligation bonds, par 35 — 35 — — — Commitments to purchase mortgage loans 68 — 68 12 — 12 |
Transactions with Certain Mem_2
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) | 6 Months Ended |
Jun. 30, 2019 | |
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, 2019 December 31, 2018 Assets: Advances $ 3,850 $ 4,192 Mortgage loans held for portfolio 10 11 Accrued interest receivable 9 7 Liabilities: Deposits $ 6 $ 11 Capital: Capital Stock $ 132 $ 149 Three Months Ended Six Months Ended June 30, 2019 June 30, 2018 June 30, 2019 June 30, 2018 Interest Income: Advances $ 22 $ 17 $ 44 $ 31 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Dec. 31, 2018 | |
Trading Securities | |||||
Trading securities | $ 359 | $ 359 | $ 661 | ||
Net unrealized gain/(loss) on trading securities | 0 | $ 0 | (1) | $ (1) | |
GSEs – Federal Farm Credit Bank (FFCB) bonds | |||||
Trading Securities | |||||
Trading securities | 355 | 355 | 656 | ||
GSEs – single-family: | MBS – Other U.S. obligations – Ginnie Mae | |||||
Trading Securities | |||||
Trading securities | $ 4 | $ 4 | $ 5 |
Available-for-Sale Securities_2
Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||||||
Available-for-sale Securities, Premiums | $ 52 | $ 19 | ||||
Available for sale Securities Discounts | (52) | (53) | ||||
Credit-related OTTI | 1,050 | $ 1,063 | 1,077 | $ 1,103 | $ 1,113 | $ 1,129 |
Available-for-sale Securities | Total MBS | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Credit-related OTTI | $ 631 | $ 690 |
Available-for-Sale Securities_3
Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 8,946 | $ 6,676 |
OTTI Recognized in AOCI | (15) | (20) | |
Gross Unrealized Gains | 342 | 309 | |
Gross Unrealized Losses | (8) | (34) | |
Estimated Fair Value | [2] | 9,265 | 6,931 |
GSEs – multifamily: | MBS - GSEs | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 6,321 | 3,806 |
OTTI Recognized in AOCI | 0 | 0 | |
Gross Unrealized Gains | 23 | 0 | |
Gross Unrealized Losses | (8) | (32) | |
Estimated Fair Value | 6,336 | 3,774 | |
GSEs – multifamily: | Freddie Mac | MBS - GSEs | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 689 | 409 | |
OTTI Recognized in AOCI | 0 | 0 | |
Gross Unrealized Gains | 5 | 0 | |
Gross Unrealized Losses | 0 | (2) | |
Estimated Fair Value | 694 | 407 | |
GSEs – multifamily: | Fannie Mae | MBS - GSEs | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 5,632 | 3,397 | |
OTTI Recognized in AOCI | 0 | 0 | |
Gross Unrealized Gains | 18 | 0 | |
Gross Unrealized Losses | (8) | (30) | |
Estimated Fair Value | 5,642 | 3,367 | |
Residential Mortgage Backed Securities | PLRMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 2,625 | 2,870 |
OTTI Recognized in AOCI | (15) | (20) | |
Gross Unrealized Gains | 319 | 309 | |
Gross Unrealized Losses | 0 | (2) | |
Estimated Fair Value | 2,929 | 3,157 | |
Residential Mortgage Backed Securities | PLRMBS | Prime | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 240 | 267 | |
OTTI Recognized in AOCI | 0 | 0 | |
Gross Unrealized Gains | 22 | 21 | |
Gross Unrealized Losses | 0 | 0 | |
Estimated Fair Value | 262 | 288 | |
Residential Mortgage Backed Securities | PLRMBS | Alt-A | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 2,385 | 2,603 | |
OTTI Recognized in AOCI | (15) | (20) | |
Gross Unrealized Gains | 297 | 288 | |
Gross Unrealized Losses | 0 | (2) | |
Estimated Fair Value | $ 2,667 | $ 2,869 | |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts , previous OTTI recognized in earnings, and valuation adjustments for hedging activities. | ||
[2] | At June 30, 2019 , and December 31, 2018 , none of these securities were pledged as collateral that may be repledged. |
Available-for-Sale Securities_4
Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 1,946 | $ 3,803 |
Less Than 12 Months: Unrealized Losses | 9 | 35 |
12 Months or More: Estimated Fair Value | 396 | 351 |
12 Months or More: Unrealized Losses | 14 | 19 |
Estimated Fair Value | 2,342 | 4,154 |
Unrealized Losses | 23 | 54 |
GSEs – multifamily: | MBS - GSEs | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 1,856 | 3,593 |
Less Than 12 Months: Unrealized Losses | 7 | 32 |
12 Months or More: Estimated Fair Value | 174 | 0 |
12 Months or More: Unrealized Losses | 1 | 0 |
Estimated Fair Value | 2,030 | 3,593 |
Unrealized Losses | 8 | 32 |
GSEs – multifamily: | Freddie Mac | MBS - GSEs | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 42 | 382 |
Less Than 12 Months: Unrealized Losses | 0 | 2 |
12 Months or More: Estimated Fair Value | 0 | 0 |
12 Months or More: Unrealized Losses | 0 | 0 |
Estimated Fair Value | 42 | 382 |
Unrealized Losses | 0 | 2 |
GSEs – multifamily: | Fannie Mae | MBS - GSEs | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 1,814 | 3,211 |
Less Than 12 Months: Unrealized Losses | 7 | 30 |
12 Months or More: Estimated Fair Value | 174 | 0 |
12 Months or More: Unrealized Losses | 1 | 0 |
Estimated Fair Value | 1,988 | 3,211 |
Unrealized Losses | 8 | 30 |
PLRMBS | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 90 | 210 |
Less Than 12 Months: Unrealized Losses | 2 | 3 |
12 Months or More: Estimated Fair Value | 222 | 351 |
12 Months or More: Unrealized Losses | 13 | 19 |
Estimated Fair Value | 312 | 561 |
Unrealized Losses | 15 | 22 |
PLRMBS | Prime | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 6 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 8 | 8 |
12 Months or More: Unrealized Losses | 0 | 0 |
Estimated Fair Value | 8 | 14 |
Unrealized Losses | 0 | 0 |
PLRMBS | Alt-A | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 90 | 204 |
Less Than 12 Months: Unrealized Losses | 2 | 3 |
12 Months or More: Estimated Fair Value | 214 | 343 |
12 Months or More: Unrealized Losses | 13 | 19 |
Estimated Fair Value | 304 | 547 |
Unrealized Losses | $ 15 | $ 22 |
Held-to-Maturity Securities (Cl
Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | $ 9,679 | $ 11,092 | ||||||
OTTI Recognized in AOCI | [1] | (2) | (3) | ||||||
HTM securities, Carrying Value | [1],[2] | 9,677 | 11,089 | ||||||
Gross Unrecognized Holding Gain | 45 | 31 | |||||||
Gross Unrecognized Holding Loss | (27) | (73) | |||||||
HTM Securities, Fair Value | 9,695 | 11,047 | |||||||
Credit-related OTTI | 1,050 | $ 1,063 | 1,077 | $ 1,103 | $ 1,113 | $ 1,129 | |||
California Housing Finance Agency (CalHFA) bonds | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 51 | 100 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 51 | 100 | ||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||
Gross Unrecognized Holding Loss | (1) | (3) | |||||||
HTM Securities, Fair Value | 50 | 97 | |||||||
Ginnie Mae | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 546 | 609 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | 546 | [3] | 609 | [1] | |||||
Gross Unrecognized Holding Gain | 5 | 0 | |||||||
Gross Unrecognized Holding Loss | 0 | (6) | |||||||
HTM Securities, Fair Value | 551 | 603 | |||||||
MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 8,578 | 9,791 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 8,578 | 9,791 | ||||||
Gross Unrecognized Holding Gain | 31 | 23 | |||||||
Gross Unrecognized Holding Loss | (19) | (55) | |||||||
HTM Securities, Fair Value | 8,590 | 9,759 | |||||||
Total MBS | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 9,628 | 10,992 | ||||||
OTTI Recognized in AOCI | [1] | (2) | (3) | ||||||
HTM securities, Carrying Value | [1] | 9,626 | 10,989 | ||||||
Gross Unrecognized Holding Gain | 45 | 31 | |||||||
Gross Unrecognized Holding Loss | (26) | (70) | |||||||
HTM Securities, Fair Value | 9,645 | 10,950 | |||||||
Held-to-maturity Securities, Premiums | 10 | 14 | |||||||
Held-to-maturity Securities, Discounts | (14) | (19) | |||||||
Total MBS | Held-to-maturity Securities | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Credit-related OTTI | 7 | 7 | |||||||
GSEs – single-family: | MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 3,539 | 4,104 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 3,539 | 4,104 | ||||||
Gross Unrecognized Holding Gain | 31 | 23 | |||||||
Gross Unrecognized Holding Loss | (8) | (37) | |||||||
HTM Securities, Fair Value | 3,562 | 4,090 | |||||||
GSEs – single-family: | Freddie Mac | MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 1,309 | 1,506 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 1,309 | 1,506 | ||||||
Gross Unrecognized Holding Gain | 9 | 6 | |||||||
Gross Unrecognized Holding Loss | (3) | (21) | |||||||
HTM Securities, Fair Value | 1,315 | 1,491 | |||||||
GSEs – single-family: | Fannie Mae | MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 2,230 | 2,598 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 2,230 | 2,598 | ||||||
Gross Unrecognized Holding Gain | 22 | 17 | |||||||
Gross Unrecognized Holding Loss | (5) | (16) | |||||||
HTM Securities, Fair Value | 2,247 | 2,599 | |||||||
GSEs – multifamily: | MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 5,039 | 5,687 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 5,039 | 5,687 | ||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||
Gross Unrecognized Holding Loss | (11) | (18) | |||||||
HTM Securities, Fair Value | 5,028 | 5,669 | |||||||
GSEs – multifamily: | Freddie Mac | MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 3,408 | 3,944 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | 3,408 | [1] | 3,944 | ||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||
Gross Unrecognized Holding Loss | (10) | (17) | |||||||
HTM Securities, Fair Value | 3,398 | 3,927 | |||||||
GSEs – multifamily: | Fannie Mae | MBS - GSEs | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 1,631 | 1,743 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | 1,631 | [1] | 1,743 | ||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||
Gross Unrecognized Holding Loss | (1) | (1) | |||||||
HTM Securities, Fair Value | 1,630 | 1,742 | |||||||
Residential Mortgage Backed Securities | PLRMBS | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 504 | 592 | ||||||
OTTI Recognized in AOCI | [1] | (2) | (3) | ||||||
HTM securities, Carrying Value | [1] | 502 | 589 | ||||||
Gross Unrecognized Holding Gain | 9 | 8 | |||||||
Gross Unrecognized Holding Loss | (7) | (9) | |||||||
HTM Securities, Fair Value | 504 | 588 | |||||||
Residential Mortgage Backed Securities | Prime | PLRMBS | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 321 | 383 | ||||||
OTTI Recognized in AOCI | [1] | 0 | 0 | ||||||
HTM securities, Carrying Value | [1] | 321 | 383 | ||||||
Gross Unrecognized Holding Gain | 2 | 1 | |||||||
Gross Unrecognized Holding Loss | (4) | (6) | |||||||
HTM Securities, Fair Value | 319 | 378 | |||||||
Residential Mortgage Backed Securities | Alt-A | PLRMBS | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1] | 183 | 209 | ||||||
OTTI Recognized in AOCI | [1] | (2) | (3) | ||||||
HTM securities, Carrying Value | [1] | 181 | 206 | ||||||
Gross Unrecognized Holding Gain | 7 | 7 | |||||||
Gross Unrecognized Holding Loss | (3) | (3) | |||||||
HTM Securities, Fair Value | $ 185 | $ 210 | |||||||
[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, 2019 , and December 31, 2018 , none of these securities were pledged as collateral that may be repledged. | ||||||||
[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, 2019 | Dec. 31, 2018 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | $ 3,835 | $ 5,855 |
Less Than 12 Months, Unrealized losses | 13 | 21 |
12 Months or More, Estimated Fair Value | 2,626 | 3,061 |
12 Months Or More, Unrealized losses | 16 | 55 |
Total, Estimated Fair Value | 6,461 | 8,916 |
Total, Unrealized Losses | 29 | 76 |
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 | 50 | 80 |
12 Months Or More, Unrealized losses | 1 | 3 |
Total, Estimated Fair Value | 50 | 80 |
Total, Unrealized Losses | 1 | 3 |
Ginnie Mae | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 33 | 33 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 22 | 529 |
12 Months Or More, Unrealized losses | 0 | 6 |
Total, Estimated Fair Value | 55 | 562 |
Total, Unrealized Losses | 0 | 6 |
MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 3,668 | 5,585 |
Less Than 12 Months, Unrealized losses | 12 | 20 |
12 Months or More, Estimated Fair Value | 2,328 | 2,205 |
12 Months Or More, Unrealized losses | 7 | 35 |
Total, Estimated Fair Value | 5,996 | 7,790 |
Total, Unrealized Losses | 19 | 55 |
Total MBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 3,835 | 5,855 |
Less Than 12 Months, Unrealized losses | 13 | 21 |
12 Months or More, Estimated Fair Value | 2,576 | 2,981 |
12 Months Or More, Unrealized losses | 15 | 52 |
Total, Estimated Fair Value | 6,411 | 8,836 |
Total, Unrealized Losses | 28 | 73 |
GSEs – single-family: | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 727 | 1,002 |
Less Than 12 Months, Unrealized losses | 3 | 3 |
12 Months or More, Estimated Fair Value | 1,166 | 1,778 |
12 Months Or More, Unrealized losses | 5 | 34 |
Total, Estimated Fair Value | 1,893 | 2,780 |
Total, Unrealized Losses | 8 | 37 |
GSEs – single-family: | Freddie Mac | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 9 | 79 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 723 | 1,085 |
12 Months Or More, Unrealized losses | 3 | 21 |
Total, Estimated Fair Value | 732 | 1,164 |
Total, Unrealized Losses | 3 | 21 |
GSEs – single-family: | Fannie Mae | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 718 | 923 |
Less Than 12 Months, Unrealized losses | 3 | 3 |
12 Months or More, Estimated Fair Value | 443 | 693 |
12 Months Or More, Unrealized losses | 2 | 13 |
Total, Estimated Fair Value | 1,161 | 1,616 |
Total, Unrealized Losses | 5 | 16 |
GSEs – multifamily: | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 2,941 | 4,583 |
Less Than 12 Months, Unrealized losses | 9 | 17 |
12 Months or More, Estimated Fair Value | 1,162 | 427 |
12 Months Or More, Unrealized losses | 2 | 1 |
Total, Estimated Fair Value | 4,103 | 5,010 |
Total, Unrealized Losses | 11 | 18 |
GSEs – multifamily: | Freddie Mac | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 2,782 | 3,826 |
Less Than 12 Months, Unrealized losses | 9 | 16 |
12 Months or More, Estimated Fair Value | 308 | 67 |
12 Months Or More, Unrealized losses | 1 | 1 |
Total, Estimated Fair Value | 3,090 | 3,893 |
Total, Unrealized Losses | 10 | 17 |
GSEs – multifamily: | Fannie Mae | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 159 | 757 |
Less Than 12 Months, Unrealized losses | 0 | 1 |
12 Months or More, Estimated Fair Value | 854 | 360 |
12 Months Or More, Unrealized losses | 1 | 0 |
Total, Estimated Fair Value | 1,013 | 1,117 |
Total, Unrealized Losses | 1 | 1 |
PLRMBS | Residential Mortgage Backed Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 134 | 237 |
Less Than 12 Months, Unrealized losses | 1 | 1 |
12 Months or More, Estimated Fair Value | 226 | 247 |
12 Months Or More, Unrealized losses | 8 | 11 |
Total, Estimated Fair Value | 360 | 484 |
Total, Unrealized Losses | 9 | 12 |
PLRMBS | Prime | Residential Mortgage Backed Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 60 | 153 |
Less Than 12 Months, Unrealized losses | 0 | 1 |
12 Months or More, Estimated Fair Value | 122 | 128 |
12 Months Or More, Unrealized losses | 4 | 5 |
Total, Estimated Fair Value | 182 | 281 |
Total, Unrealized Losses | 4 | 6 |
PLRMBS | Alt-A | Residential Mortgage Backed Securities | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 74 | 84 |
Less Than 12 Months, Unrealized losses | 1 | 0 |
12 Months or More, Estimated Fair Value | 104 | 119 |
12 Months Or More, Unrealized losses | 4 | 6 |
Total, Estimated Fair Value | 178 | 203 |
Total, Unrealized Losses | $ 5 | $ 6 |
Held-to-Maturity Securities (Re
Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 9,679 | $ 11,092 |
HTM securities, Carrying Value | [1],[2] | 9,677 | 11,089 |
HTM Securities, Fair Value | 9,695 | 11,047 | |
Other Than Mortgage Backed Securities | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Due after 10 years, Amortized Cost | [3] | 51 | 100 |
Due after 10 years, Carrying Value | [3] | 51 | 100 |
Due after 10 years, Estimated Fair Value | 50 | 97 | |
Amortized Cost | 51 | 100 | |
HTM securities, Carrying Value | 51 | 100 | |
HTM Securities, Fair Value | 50 | 97 | |
Total MBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Premiums | 10 | 14 | |
Amortized Cost | [1] | 9,628 | 10,992 |
HTM securities, Carrying Value | [1] | 9,626 | 10,989 |
HTM Securities, Fair Value | 9,645 | 10,950 | |
Held-to-maturity Securities, Discounts | $ (14) | $ (19) | |
[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, 2019 , and December 31, 2018 , none of these securities were pledged as collateral that may be repledged. | ||
[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 Impairme_3
Other-Than-Temporary Impairment Analysis (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2019 | Jun. 30, 2018 | |
Other than Temporary Impairment Losses, Investments [Abstract] | ||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Amortized Cost Basis | $ 0 | $ 0 |
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 | 12.00% | |
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 | 6.00% |
Other-Than-Temporary Impairme_4
Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Residential Mortgage Backed Securities | 6 Months Ended | |
Jun. 30, 2019 | [1] | |
Prime | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 16.80% | |
Default Rate Weighted Average | 8.40% | |
Loss Severity Weighted Average | 19.70% | |
Credit Enhancements Weighted Average | 15.80% | |
Alt-A | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Prepayment Weighted Average | 14.50% | |
Default Rate Weighted Average | 16.50% | |
Loss Severity Weighted Average | 39.20% | |
Credit Enhancements Weighted Average | 9.10% | |
[1] | Weighted average percentage is based on unpaid principal balance. |
Other-Than-Temporary Impairme_5
Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | ||
Other than Temporary Impairment Losses, Investments [Abstract] | |||||
OTTI PLRMBS, Total accretion or amortization recognized in interest income | $ 19 | $ 20 | $ 37 | $ 42 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||||
Balance, beginning of the period | 1,063 | 1,113 | 1,077 | 1,129 | |
Additional charges on securities for which OTTI was previously recognized | [1] | 5 | 5 | 6 | 6 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Securities Sold and Matured | [2] | (2) | 0 | (2) | 0 |
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | [3] | (16) | (15) | (31) | (32) |
Balance, end of the period | $ 1,050 | $ 1,103 | $ 1,050 | $ 1,103 | |
[1] | For the three months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2019 and 2018 , respectively. For the six months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018 , respectively. | ||||
[2] | Represents reductions related to securities having reached final maturity during the period, which therefore are no longer held by the Bank at the end of the period. | ||||
[3] | The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $19 and $20 for the three months ended June 30, 2019 and 2018 , respectively. The total net accretion/(amortization) associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $37 and $42 for the six months ended June 30, 2019 and 2018 , respectively. |
Other-Than-Temporary Impairme_6
Other-Than-Temporary Impairment Analysis Transfers (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | |
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 | $ 0 | $ 12 | |
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 | |
Debt Securities, Held-to-maturity, Transfer, Unrealized Gain (Loss) | 0 | 0 | |
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | 12 | 12 | |
Residential Mortgage Backed Securities [Member] | Subtotal PLRMBS | Alt-A | |||
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 | |
Debt Securities, Held-to-maturity, Transfer, Unrealized Gain (Loss) | 0 | 0 | |
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | $ 12 | $ 12 |
Other-Than-Temporary Impairme_7
Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - Subtotal PLRMBS - Residential Mortgage Backed Securities - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | $ 3,245 | $ 3,548 |
Amortized Cost | 2,625 | 2,870 |
Estimated Fair Value | 2,929 | 3,157 |
Held-to-maturity Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 45 | 52 |
Amortized Cost | 40 | 47 |
Estimated Fair Value | 44 | 51 |
Carrying Value | 38 | 44 |
Prime | Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 291 | 323 |
Amortized Cost | 240 | 267 |
Estimated Fair Value | 262 | 288 |
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 | Available-for-sale Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 2,954 | 3,225 |
Amortized Cost | 2,385 | 2,603 |
Estimated Fair Value | 2,667 | 2,869 |
Alt-A | Held-to-maturity Securities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Unpaid Principal Balance | 45 | 52 |
Amortized Cost | 40 | 47 |
Estimated Fair Value | 44 | 51 |
Carrying Value | $ 38 | $ 44 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | ||
Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | |
Advances [Line Items] | |||
Advances, Par Value | $ 66,859 | $ 73,495 | $ 70,553 |
Federal Home Loan Bank Advances with Full prepayment Symmetry Outstanding | 8,397 | 3,405 | |
Advances With Partial Prepayment Symmetry Outstanding | $ 4,127 | $ 4,410 | |
Minimum | |||
Advances [Line Items] | |||
Advances, Maturity Period, Fixed Rate | 1 day | ||
Advances, Maturity Period, Variable Rate | 30 days | ||
Advances, Interest Rate | 1.06% | 1.02% | |
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 | $ 11,529 | $ 13,255 | |
Advances, Putable Option | |||
Advances [Line Items] | |||
Advances, Par Value | $ 20 | $ 20 |
Advances (Redemption Terms) (De
Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | |
Federal Home Loan Bank Advances, Maturities [Abstract] | ||||
Within 1 year | $ 33,420 | $ 42,285 | ||
After 1 year through 2 years | 17,354 | 13,662 | ||
After 2 years through 3 years | 9,989 | 11,238 | ||
After 3 years through 4 years | 2,183 | 2,409 | ||
After 4 years through 5 years | 2,942 | 2,815 | ||
After 5 years | 971 | 1,086 | ||
Total par value | 66,859 | 73,495 | $ 70,553 | |
Valuation adjustments for hedging activities | 256 | (32) | ||
Valuation adjustments under fair value option | [1] | 74 | (29) | |
Total | $ 67,189 | $ 73,434 | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | ||||
Within 1 year | 2.43% | 2.40% | ||
After 1 year through 2 years | 2.47% | 2.57% | ||
After 2 years through 3 years | 2.63% | 2.70% | ||
After 3 years through 4 years | 2.62% | 2.45% | ||
After 4 years through 5 years | 2.90% | 2.99% | ||
After 5 years | 3.24% | 3.23% | ||
Total par value | 2.51% | 2.51% | ||
[1] | At June 30, 2019 , and December 31, 2018 , 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, 2019 | Dec. 31, 2018 | Jun. 30, 2018 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Within 1 year | $ 37,000 | $ 46,740 | |
After 1 year through 2 years | 17,249 | 14,762 | |
After 2 years through 3 years | 6,542 | 5,688 | |
After 3 years through 4 years | 2,169 | 2,409 | |
After 4 years through 5 years | 2,928 | 2,812 | |
After 5 years | 971 | 1,084 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | |||
Within 1 year | 33,435 | 42,295 | |
After 1 year through 2 years | 17,359 | 13,672 | |
After 2 years through 3 years | 9,989 | 11,238 | |
After 3 years through 4 years | 2,183 | 2,409 | |
After 4 years through 5 years | 2,942 | 2,815 | |
After 5 years | 951 | 1,066 | |
Total par value | $ 66,859 | $ 73,495 | $ 70,553 |
Advances (Credit and Concentrat
Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Dec. 31, 2018 | |||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 66,859 | $ 70,553 | $ 66,859 | $ 70,553 | $ 73,495 | ||||
Interest Income from Advances | [1] | $ 444 | $ 361 | $ 922 | $ 727 | ||||
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 | $ 13,650 | $ 13,400 | $ 13,650 | $ 13,400 | |||||
Interest Income from Advances | 92 | 60 | [1] | 195 | [1] | 104 | [1] | ||
First Republic Bank [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | 9,800 | 10,250 | 9,800 | 10,250 | |||||
Interest Income from Advances | 64 | 46 | [1] | 113 | [1] | 81 | [1] | ||
JPMorgan Chase Bank, National Association | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | [2] | 5,057 | 9,361 | 5,057 | 9,361 | ||||
Interest Income from Advances | [2] | 51 | 54 | [1] | 111 | 104 | [1] | ||
Wells Fargo Financial National Bank West [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | [3] | 8,000 | 8,000 | ||||||
Interest Income from Advances | [3] | 53 | 101 | [1] | |||||
Wells Fargo Financial National Bank | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | [3] | 4,000 | 4,000 | ||||||
Interest Income from Advances | [1],[3] | 21 | 38 | ||||||
Wells Fargo Bank NA [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | [2] | 43 | 43 | ||||||
Interest Income from Advances | [2] | 1 | 1 | [1] | |||||
Wells Fargo and Company [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | 8,043 | 8,043 | |||||||
Interest Income from Advances | 54 | 102 | |||||||
Bank of the West [Member] | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | 6,607 | 7,508 | 6,607 | 7,508 | |||||
Interest Income from Advances | 41 | 35 | [1] | 84 | [1],[3] | 64 | [1] | ||
Top five borrowers | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | 43,157 | 44,519 | 43,157 | 44,519 | |||||
Interest Income from Advances | $ 302 | $ 216 | [1] | $ 605 | [1] | $ 391 | [1] | ||
Top five borrowers | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 65.00% | 63.00% | |||||||
Top five borrowers | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 68.00% | 60.00% | 66.00% | 54.00% | |||||
Top five borrowers | MUFG Union Bank, NA | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 20.00% | 19.00% | |||||||
Top five borrowers | MUFG Union Bank, NA | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 21.00% | 16.00% | 21.00% | 14.00% | |||||
Top five borrowers | First Republic Bank [Member] | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 15.00% | 14.00% | |||||||
Top five borrowers | First Republic Bank [Member] | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 14.00% | 13.00% | 13.00% | 11.00% | |||||
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [2] | 8.00% | 13.00% | ||||||
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [2] | 12.00% | 15.00% | 12.00% | 14.00% | ||||
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [3] | 12.00% | |||||||
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [3] | 12.00% | 11.00% | ||||||
Top five borrowers | Wells Fargo Financial National Bank | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [3] | 6.00% | |||||||
Top five borrowers | Wells Fargo Financial National Bank | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [3] | 6.00% | 6.00% | ||||||
Top five borrowers | Wells Fargo Bank NA [Member] | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [2] | 0.00% | |||||||
Top five borrowers | Wells Fargo Bank NA [Member] | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | [2] | 0.00% | 0.00% | ||||||
Top five borrowers | Wells Fargo and Company [Member] | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 12.00% | ||||||||
Top five borrowers | Wells Fargo and Company [Member] | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 12.00% | 11.00% | |||||||
Top five borrowers | Bank of the West [Member] | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 10.00% | 11.00% | |||||||
Top five borrowers | Bank of the West [Member] | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 9.00% | 10.00% | 9.00% | 9.00% | |||||
Other Borrowers | |||||||||
Advances [Line Items] | |||||||||
Advances Outstanding | $ 23,702 | $ 26,034 | $ 23,702 | $ 26,034 | |||||
Interest Income from Advances | $ 142 | $ 145 | [1] | $ 317 | [1] | $ 336 | [1] | ||
Other Borrowers | Percentage of Total Advances Outstanding | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 35.00% | 37.00% | |||||||
Other Borrowers | Percentage of Total Interest Income from Advances | |||||||||
Advances [Line Items] | |||||||||
Concentration Risk, Percentage | 32.00% | 40.00% | 34.00% | 46.00% | |||||
[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. | ||||||||
[3] | Effective April 15, 2019, Wells Fargo Financial National Bank was renamed Wells Fargo Financial National Bank West. |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | Jun. 30, 2018 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||
Fixed Rate, due within 1 year | $ 19,867 | $ 20,437 | |
Fixed Rate, due after 1 year | 19,109 | 19,727 | |
Advances, Total Fixed Rate | 38,976 | 40,164 | |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||
Adjustable Rate, due within 1 year | 13,553 | 21,848 | |
Adjustable Rate, due after 1 year | 14,330 | 11,483 | |
Advances, Total Adjustable Rate | 27,883 | 33,331 | |
Total par value | $ 66,859 | $ 73,495 | $ 70,553 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2019 | Dec. 31, 2018 | |
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | $ 3,241 | $ 2,967 |
Unamortized premiums | 90 | 104 |
Unamortized discounts | (4) | (5) |
Mortgage loans held for portfolio | 3,327 | 3,066 |
Less: Allowance for credit losses | 0 | 0 |
Total mortgage loans held for portfolio, net | 3,327 | 3,066 |
Fixed rate medium-term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | 15 | 16 |
Fixed Rate Long Term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | $ 3,226 | $ 2,951 |
Fixed Rate Long Term mortgage loans | Minimum | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | |
Fixed rate medium-term mortgage loans | Maximum | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2019 | Dec. 31, 2018 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Period Loan Receivable Becomes Nonaccrual Status | 90 days | |
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 | $ 2 |
Allowance for Credit Losses (De
Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | $ 23 | $ 26 |
Total current loans | [1] | 3,323 | 3,058 |
Total mortgage loans | [1] | 3,346 | 3,084 |
In process of foreclosure, included above | [1],[2] | 2 | 3 |
Nonaccrual loans | [1] | $ 8 | $ 9 |
Serious delinquencies as a percentage of total mortgage loans outstanding | [1],[3] | 0.23% | 0.31% |
30 – 59 days delinquent | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | $ 14 | $ 15 |
60 – 89 days delinquent | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | 1 | 2 |
90 days or more delinquent | |||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Total past due | [1] | $ 8 | $ 9 |
[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, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Dec. 31, 2018 | |
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, 2019 | Dec. 31, 2018 | |
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 | 6 | 7 | |
Collectively evaluated for impairment, Recorded investment | 3,340 | 3,077 | |
Total mortgage loans | [1] | $ 3,346 | $ 3,084 |
[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, 2019 | Dec. 31, 2018 | |
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, 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 | 6 | 7 | |
Financing Receivable, Collectively Evaluated for Impairment | 3,340 | 3,077 | |
Financing Receivable, Gross | [1] | $ 3,346 | $ 3,084 |
[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, 2019 | Dec. 31, 2018 |
Demand Deposits [Line Items] | ||
Noninterest-bearing Domestic Deposit, Other | $ 69 | $ 22 |
Noninterest-bearing Deposit Liabilities, Domestic | 69 | 22 |
Deposits | 310 | 262 |
Adjustable rate | ||
Demand Deposits [Line Items] | ||
Interest-bearing Deposit, Demand and Overnight | 241 | 240 |
Interest-bearing Deposit Liabilities, Domestic | $ 241 | $ 240 |
Weighted Average Rate, Interest-bearing Domestic Deposits, Point in Time | 2.10% | 2.10% |
Consolidated Obligations Narrat
Consolidated Obligations Narrative (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Debt Disclosure [Abstract] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 1,048,412 | $ 1,031,617 |
Federal Home Loan Bank, Consolidated Obligations | $ 98,816 | $ 101,458 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Total par value | $ 73,911 | $ 72,336 |
Total | $ 73,915 | $ 72,276 |
Weighted Average Interest Rate [Abstract] | ||
Within 1 year | 2.34% | 2.29% |
After 1 year through 2 years | 2.31% | 2.20% |
After 2 years through 3 years | 2.18% | 2.08% |
After 3 years through 4 years | 2.21% | 2.12% |
After 4 years through 5 years | 2.43% | 2.56% |
After 5 years | 3.07% | 3.03% |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Within 1 year | $ 55,852 | $ 56,968 |
After 1 year through 2 years | 12,115 | 7,741 |
After 2 years through 3 years | 1,774 | 2,842 |
After 3 years through 4 years | 1,854 | 2,094 |
After 4 years through 5 years | 135 | 600 |
After 5 years | 2,181 | 2,091 |
Unamortized premiums | 1 | 3 |
Unamortized discounts | (9) | (10) |
Valuation adjustments for hedging activities | 9 | (48) |
Fair value option valuation adjustments | $ 3 | $ (5) |
Weighted Average Interest Rate [Abstract] | ||
Total par amount | 2.35% | 2.29% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 73,911 | $ 72,336 |
Notional Amount of Derivatives | 89,195 | 101,477 |
Non-callable | ||
Debt Instrument [Line Items] | ||
Total bonds, par value | 63,382 | 61,051 |
Callable | ||
Debt Instrument [Line Items] | ||
Total bonds, par value | 10,529 | 11,285 |
Consolidated obligation bonds | Callable | ||
Debt Instrument [Line Items] | ||
Notional Amount of Derivatives | $ 6,739 | $ 7,660 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 73,911 | $ 72,336 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Within 1 year | 64,081 | 65,878 |
After 1 year through 2 years | 9,025 | 5,626 |
After 2 years through 3 years | 589 | 616 |
After 3 years through 4 years | 125 | 85 |
After 4 years through 5 years | 40 | 70 |
After 5 years | $ 51 | $ 61 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Short-term Debt [Line Items] | |||
Discount notes, par value | $ 24,969 | $ 29,273 | |
Total | $ 24,901 | $ 29,182 | |
Par amount, Weighted Average Interest Rate | [1] | 2.32% | 2.32% |
Discount notes | |||
Short-term Debt [Line Items] | |||
Unamortized discounts | $ (68) | $ (91) | |
[1] | Represents yield to maturity excluding concession fees. |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Debt Disclosure [Abstract] | ||
Fixed rate | $ 15,622 | $ 16,735 |
Adjustable rate | 57,424 | 53,668 |
Step-up | 590 | 1,558 |
Step-down | 175 | 275 |
Range bonds | 100 | 100 |
Total bonds, par value | 73,911 | 72,336 |
Discount notes, par value | 24,969 | 29,273 |
Total consolidated obligations, par value | $ 98,880 | $ 101,609 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 6,664 | $ 6,499 | $ 6,664 | $ 6,499 | $ 6,646 | $ 6,530 | $ 6,676 | $ 6,806 |
Net change in pension and postretirement benefits | 0 | 0 | 0 | 1 | ||||
Accumulated Other-than-Temporary Impairment | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 304 | 347 | 304 | 347 | 301 | 287 | 352 | 337 |
Non-credit-related OTTI loss, Available-for-sale Securities | (2) | (9) | (2) | (11) | ||||
Net change in fair value | 2 | 3 | 16 | 20 | ||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Non-credit-related OTTI to credit-related OTTI, AFS | 3 | 1 | 3 | 1 | ||||
Net current period other comprehensive income/(loss) | 3 | (5) | 17 | 10 | ||||
Accumulated Other-than-Temporary Impairment | Held-to-maturity Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (2) | (5) | (2) | (5) | (3) | (3) | (5) | (6) |
Non-credit-related OTTI loss, Held-to-maturity Securities | 0 | 0 | 0 | 0 | ||||
Accretion of Noncredit Related OTTI Loss | 1 | 1 | 1 | |||||
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) | 1 | 0 | 1 | 1 | ||||
Accumulated Defined Benefit Plans Adjustment | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (17) | (12) | (17) | (12) | (17) | (17) | (12) | (13) |
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 | 0 | 1 | ||||
Accumulated Other Comprehensive Income/(Loss) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 300 | 330 | 300 | 330 | 287 | 235 | 335 | 318 |
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 | (2) | (9) | (2) | (11) | ||||
Net change in fair value | 11 | 3 | 63 | 20 | ||||
Accretion of Noncredit Related OTTI Loss | 1 | 1 | 1 | |||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Non-credit-related OTTI to credit-related OTTI, AFS | 3 | 1 | 3 | 1 | ||||
Net current period other comprehensive income/(loss) | 13 | (5) | 65 | 12 | ||||
Available-for-sale Securities | Accumulated Net Investment Gain (Loss) Attributable to Parent [Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 15 | 0 | 15 | 0 | $ 6 | $ (32) | $ 0 | $ 0 |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | $ 9 | $ 0 | $ 47 | 0 | ||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Net current period other comprehensive income/(loss) | $ 0 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Risk-Based Capital, Required | $ 1,729 | $ 1,899 |
Risk-Based Capital, Actual | 6,502 | 6,522 |
Regulatory Capital, Required | 4,270 | 4,373 |
Regulatory Capital, Actual | $ 6,502 | $ 6,522 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Regulatory Capital Ratio, Actual | 6.09% | 5.97% |
Leverage Capital, Required | $ 5,338 | $ 5,466 |
Leverage Capital, Actual | $ 9,753 | $ 9,783 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage Ratio, Actual | 9.13% | 8.95% |
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, 2019USD ($)Institutions | Jun. 30, 2018USD ($) | Jun. 30, 2019USD ($)Institutions | Jun. 30, 2018USD ($) | Dec. 31, 2018Institutions | ||
Capital [Line Items] | ||||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 3 | 3 | 3 | |||
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | $ 4 | $ 5 | $ 8 | $ 11 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | ||||||
Balance at the beginning of the period | 227 | 309 | 227 | 309 | ||
Reclassified from/(to) capital during the period | 0 | 2 | 0 | 2 | ||
Repurchase of excess mandatorily redeemable capital stock | (89) | (56) | (89) | (56) | ||
Balance at the end of the period | $ 138 | $ 255 | $ 138 | $ 255 | ||
[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, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||||
After 1 year through 2 years | $ 135 | $ 224 | |||||
Past contractual redemption date because of remaining activity | [1] | 3 | 3 | ||||
Total | $ 138 | $ 227 | $ 227 | $ 255 | $ 309 | $ 309 | |
[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, 2019 | Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Jul. 25, 2019 | Jul. 01, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Jan. 01, 2018 | Dec. 31, 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 | 223.00% | 223.00% | |||||||||||
Retained Earnings, Set by the Board inc JCEA | $ 2,500 | ||||||||||||
Excess Capital | $ 184 | $ 184 | $ 166 | ||||||||||
Excess Capital to Assets | 0.17% | 0.17% | |||||||||||
Dividends [Abstract] | |||||||||||||
Dividends, Cash, Annualized Rate | 7.00% | 7.00% | 7.00% | 7.00% | |||||||||
Total dividends | $ 56 | $ 63 | $ 110 | $ 122 | |||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | 4 | 5 | 8 | 11 | ||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||||
Total Capital | 6,664 | 6,499 | 6,664 | 6,499 | $ 6,646 | 6,530 | $ 6,676 | $ 6,806 | |||||
Net Income/(Loss) | 49 | 104 | 153 | 185 | |||||||||
Cash dividends on capital stock | (52) | (58) | (102) | (111) | |||||||||
Balance at end of the period | 678 | 678 | |||||||||||
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period | $ 423 | 700 | $ 767 | 1,128 | |||||||||
Subsequent Event | |||||||||||||
Capital [Line Items] | |||||||||||||
Retained Earnings, Set by the Board inc JCEA | $ 2,400 | ||||||||||||
Subsequent Events [Abstract] | |||||||||||||
Dividends, Cash Declared, Annualized Rate | 7.00% | ||||||||||||
Interest and Dividends Payable, Current | $ 56 | ||||||||||||
Dividends Payable | 53 | ||||||||||||
Interest Payable, Current | $ 3 | ||||||||||||
Dividends Payable, Date to be Paid | Aug. 13, 2019 | ||||||||||||
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] | |||||||||||||
Total Capital | $ 2,719 | 2,707 | $ 2,719 | 2,707 | 2,732 | 2,699 | 2,681 | 2,670 | |||||
Cash dividends on capital stock | (52) | (58) | (102) | (111) | |||||||||
Total Restricted Retained Earnings | |||||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||||
Total Capital | 678 | 612 | 678 | 612 | 668 | 647 | 592 | 575 | |||||
Total Retained Earnings | |||||||||||||
Retained Earnings Activity [Roll Forward] | |||||||||||||
Total Capital | 3,397 | 3,319 | 3,397 | 3,319 | $ 3,400 | $ 3,346 | $ 3,273 | $ 3,245 | |||||
Cash dividends on capital stock | $ (52) | $ (58) | $ (102) | $ (111) | |||||||||
[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 | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Mar. 31, 2019 | Dec. 31, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | ||
Capital [Line Items] | |||||||||
Mandatorily redeemable capital stock | $ 138 | $ 255 | $ 138 | $ 255 | $ 227 | $ 227 | $ 309 | $ 309 | |
Amount of Excess Stock Repurchased During Period | $ 423 | 700 | $ 767 | 1,128 | |||||
Common stock, par value | $ 100 | $ 100 | |||||||
Excess Capital | $ 184 | $ 184 | $ 166 | ||||||
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice | 15 days | ||||||||
Mandatorily Redeemable Capital Stock, Redemption Period | 5 years | ||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | $ 4 | $ 5 | $ 8 | $ 11 | ||||
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% | |||||||
[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 (Concentration) (Detail
Capital (Concentration) (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2019 | Dec. 31, 2018 | |
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 3,105 | $ 3,176 |
Total Capital Stock, 10% or more | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 100.00% | 100.00% |
Other Borrowers | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 2,703 | $ 2,720 |
Percentage of Total Capital Stock Outstanding | 87.00% | 86.00% |
MUFG Union Bank, NA [Member] | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 402 | $ 456 |
MUFG Union Bank, NA [Member] | Total Capital Stock, 10% or more | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 13.00% | 14.00% |
Segment Information (Details)
Segment Information (Details) $ in Millions | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2019USD ($) | Jun. 30, 2018USD ($) | Jun. 30, 2019USD ($)segment | Jun. 30, 2018USD ($) | Dec. 31, 2018USD ($) | ||
Segment Reporting Information [Line Items] | ||||||
Number of Operating Segments | segment | 2 | |||||
Adjusted Net Interest Income | $ 137 | $ 152 | $ 291 | $ 305 | ||
Amortization of Basis Adjustments | [1] | 23 | 0 | 34 | (1) | |
Income/(Expense) on Economic Hedges | [2] | 0 | (7) | (5) | (7) | |
Interest Expense on Mandatorily Redeemable Capital Stock | [3] | 4 | 5 | 8 | 11 | |
Net Interest Income After Mortgage Loan Loss Provision | 110 | 154 | 254 | 302 | ||
Other Income/ (Loss) | (7) | 5 | 8 | (3) | ||
Other Expense | 48 | 43 | 91 | 92 | ||
Income Before AHP Assessment | 55 | 116 | 171 | 207 | ||
OTTI PLRMBS, Total accretion or amortization recognized in interest income | 19 | 20 | 37 | 42 | ||
Net OTTI loss, credit-related | (5) | (5) | (6) | (6) | ||
Assets | 106,762 | 106,762 | $ 109,326 | |||
Advances- Related Business | ||||||
Segment Reporting Information [Line Items] | ||||||
Adjusted Net Interest Income | 79 | 79 | 165 | 157 | ||
Assets | 84,476 | 84,476 | 88,272 | |||
Mortgage- Related Business | ||||||
Segment Reporting Information [Line Items] | ||||||
Adjusted Net Interest Income | [4] | 58 | $ 73 | 126 | $ 148 | |
Assets | $ 22,286 | $ 22,286 | $ 21,054 | |||
[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) on derivatives and hedging activities.” | |||||
[3] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two | |||||
[4] | The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $19 and $20 for the three months ended June 30, 2019 and 2018 , respectively; and totaled $37 and $42 for the six months ended June 30, 2019 and 2018 , respectively. The mortgage-related business does not include credit-related OTTI losses of $5 and $5 for the three months ended June 30, 2019 and 2018 , and $6 and $6 for the six months ended June 30, 2019 and 2018 , respectively. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||
Notional Amount of Derivatives | $ 89,195 | $ 101,477 |
Derivative, Net Liability Position, Aggregate Fair Value | 335 | |
Collateral Already Posted, Aggregate Fair Value | $ 344 | |
Maximum | ||
Derivative [Line Items] | ||
Advances, Maturity Term | 30 years |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 89,195 | $ 101,477 | |
Derivative Assets | 46 | 86 | |
Netting adjustments and cash collateral | [1] | 201 | 99 |
Total Derivative Assets and Derivative Liabilities | 247 | 185 | |
Derivative Liabilities | 364 | 147 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (364) | (137) |
Derivative Assets and Derivative Liabilities | 0 | 10 | |
Cash collateral posted and related accrued interest | 572 | 257 | |
Cash collateral received and related accrued interest | 7 | 22 | |
Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 38,320 | 40,504 | |
Derivative Assets | 17 | 20 | |
Derivative Liabilities | 340 | 93 | |
Designated as Hedging Instrument | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 38,320 | 40,504 | |
Derivative Assets | 17 | 20 | |
Derivative Liabilities | 340 | 93 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 49,747 | 59,398 | |
Derivative Assets | 28 | 65 | |
Derivative Liabilities | 23 | 54 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate caps and floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 1,060 | 1,563 | |
Derivative Assets | 1 | 1 | |
Derivative Liabilities | 1 | 0 | |
Not Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 50,875 | 60,973 | |
Derivative Assets | 29 | 66 | |
Derivative Liabilities | 24 | 54 | |
Mortgages | Not Designated as Hedging Instrument | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 68 | 12 | |
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 $572 and $257 at June 30, 2019 , and December 31, 2018 , respectively. Cash collateral received and related accrued interest was $7 and $22 at June 30, 2019 , and December 31, 2018 , respectively. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Advances | $ 456 | $ 380 | $ 954 | $ 749 |
AFS securities | 82 | 56 | 161 | 113 |
Bonds | (442) | (339) | (897) | (646) |
Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Total net gain (loss) related to fair value hedge ineffectiveness | 2 | 4 | ||
Gain (Loss) on Derivative and Hedging Activities | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 4 | 30 | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (2) | (26) | ||
Advances | Interest Income [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (174) | (256) | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 185 | 288 | ||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | 11 | 17 | 32 | 20 |
Available-for-sale Securities | Interest Income [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (242) | (370) | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 226 | 343 | ||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | (16) | (27) | ||
Consolidated Obligations, Bonds [Member] | Interest Expense [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 22 | 41 | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (29) | (57) | ||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | $ (7) | $ (8) | $ (16) | $ (7) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Cumulative adjustments table (Details) $ in Millions | Jun. 30, 2019USD ($) |
Advances | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
Hedged Asset, Fair Value Hedge | $ 26,251 |
Hedged Asset Active Fair Value Hedge Cumulative Increase Decrease | 256 |
Available-for-sale Securities | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
Hedged Asset, Fair Value Hedge | 6,321 |
Hedged Asset Active Fair Value Hedge Cumulative Increase Decrease | 433 |
Consolidated Obligations, Bonds [Member] | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
Hedged Liability, Fair Value Hedge | (6,610) |
Hedged Liability Active Fair Value Hedge Cumulative Increase Decrease | $ (9) |
Derivatives and Hedging Activ_7
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, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (61) | $ 17 | $ (89) | $ 48 |
Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Fair Value Hedge Ineffectiveness | 2 | 4 | ||
Gain (Loss) on Derivative and Hedging Activities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Derivative Instruments, Net, Pretax | (61) | 17 | (89) | 48 |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Other Gain (Loss) | 0 | 0 | 0 | (1) |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (62) | 18 | (85) | 42 |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps and Floors [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 0 | (1) | (1) | 1 |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 0 | (7) | (5) | (7) |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (61) | 15 | (89) | 45 |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments | Mortgages | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 1 | $ 5 | $ 2 | $ 9 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | |||
Total Derivative Assets and Derivative Liabilities | $ 247 | $ 185 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (364) | (137) |
Derivative Assets and Derivative Liabilities | 0 | 10 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 34 | 83 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (24) | (82) | |
Total Derivative Assets and Derivative Liabilities | 10 | 1 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 362 | 129 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (362) | (119) | |
Derivative Assets and Derivative Liabilities | 0 | 10 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 12 | 3 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | 225 | 181 | |
Total Derivative Assets and Derivative Liabilities | 237 | 184 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 2 | 18 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (2) | (18) | |
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 $572 and $257 at June 30, 2019 , and December 31, 2018 , respectively. Cash collateral received and related accrued interest was $7 and $22 at June 30, 2019 , and December 31, 2018 , respectively. |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | ||
Assets | ||||||||
Cash and due from banks | $ 23 | $ 13 | ||||||
Trading securities | 359 | 661 | ||||||
Available-for-sale (AFS) securities | [1] | 9,265 | 6,931 | |||||
HTM securities, Carrying Value | [1],[2] | 9,677 | 11,089 | |||||
HTM Securities, Fair Value | 9,695 | 11,047 | ||||||
Loans to Other Federal Home Loan Banks | 400 | 0 | ||||||
Accrued interest receivable | 172 | 133 | ||||||
Derivative assets, net | 247 | 185 | ||||||
Derivative Assets | 46 | 86 | ||||||
Derivative Asset, Netting adjustments | [3] | (201) | (99) | |||||
Liabilities | ||||||||
Mandatorily redeemable capital stock | 138 | $ 227 | 227 | $ 255 | $ 309 | $ 309 | ||
Borrowings from other FHLBanks | 0 | 250 | ||||||
Accrued interest payable | 191 | 155 | ||||||
Derivative liabilities, net | 0 | 10 | ||||||
Derivative Liabilities | 364 | 147 | ||||||
Derivative Liability, Netting adjustments | [3] | (364) | (137) | |||||
Carrying Value | ||||||||
Assets | ||||||||
Cash and due from banks | 23 | 13 | ||||||
Interest-bearing deposits | 2,040 | 2,555 | ||||||
Securities purchased under agreements to resell | 8,750 | 7,300 | ||||||
Federal funds sold | 5,089 | 3,845 | ||||||
Trading securities | 359 | 661 | ||||||
Available-for-sale (AFS) securities | 9,265 | 6,931 | ||||||
HTM securities, Carrying Value | 9,677 | 11,089 | ||||||
Advances | 67,189 | 73,434 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 3,327 | 3,066 | ||||||
Loans to Other Federal Home Loan Banks | 400 | |||||||
Accrued interest receivable | 172 | 133 | ||||||
Derivative assets, net | [4] | 247 | 185 | |||||
Other assets | [5] | 18 | 16 | |||||
Liabilities | ||||||||
Deposits | 310 | 262 | ||||||
Total consolidated obligations | 98,816 | 101,458 | ||||||
Mandatorily redeemable capital stock | 138 | 227 | ||||||
Borrowings from other FHLBanks | 250 | |||||||
Accrued interest payable | 191 | 155 | ||||||
Derivative liabilities, net | [4] | 0 | 10 | |||||
Estimated Fair Value | ||||||||
Assets | ||||||||
Cash and due from banks | 23 | 13 | ||||||
Interest-bearing deposits | 2,040 | 2,555 | ||||||
Securities purchased under agreements to resell | 8,750 | 7,299 | ||||||
Federal funds sold | 5,090 | 3,846 | ||||||
Trading securities | 359 | 661 | ||||||
Available-for-sale (AFS) securities | 9,265 | 6,931 | ||||||
HTM Securities, Fair Value | 9,695 | 11,047 | ||||||
Advances | 67,256 | 73,462 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 3,307 | 2,975 | ||||||
Loans to Other Federal Home Loan Banks | 400 | |||||||
Accrued interest receivable | 172 | 133 | ||||||
Derivative assets, net | [4] | 247 | 185 | |||||
Other assets | [5] | 18 | 16 | |||||
Liabilities | ||||||||
Deposits | 310 | 262 | ||||||
Total consolidated obligations | 98,778 | 101,257 | ||||||
Mandatorily redeemable capital stock | 138 | 227 | ||||||
Borrowings from other FHLBanks | 250 | |||||||
Accrued interest payable | 191 | 155 | ||||||
Derivative liabilities, net | [4] | 0 | 10 | |||||
Level 1 | ||||||||
Assets | ||||||||
Cash and due from banks | 23 | 13 | ||||||
Interest-bearing deposits | 2,040 | 2,555 | ||||||
Securities purchased under agreements to resell | 0 | 0 | ||||||
Federal funds sold | 0 | 0 | ||||||
Trading securities | 0 | 0 | ||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||
HTM Securities, Fair Value | 0 | 0 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||||
Loans to Other Federal Home Loan Banks | 0 | |||||||
Accrued interest receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 18 | 16 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 138 | 227 | ||||||
Borrowings from other FHLBanks | 0 | |||||||
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 | 8,750 | 7,299 | ||||||
Federal funds sold | 5,090 | 3,846 | ||||||
Trading securities | 359 | 661 | ||||||
Available-for-sale (AFS) securities | 6,336 | 3,774 | ||||||
HTM Securities, Fair Value | 9,141 | 10,362 | ||||||
Advances | 67,256 | 73,462 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 3,307 | 2,975 | ||||||
Loans to Other Federal Home Loan Banks | 400 | |||||||
Accrued interest receivable | 172 | 133 | ||||||
Derivative Assets | [4] | 46 | 86 | |||||
Derivative Asset, Netting adjustments | [4] | 201 | 99 | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 310 | 262 | ||||||
Total consolidated obligations | 98,778 | 101,257 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Borrowings from other FHLBanks | 250 | |||||||
Accrued interest payable | 191 | 155 | ||||||
Derivative Liabilities | [4] | 364 | 147 | |||||
Derivative Liability, Netting adjustments | [4] | (364) | (137) | |||||
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 | 2,929 | 3,157 | ||||||
HTM Securities, Fair Value | 554 | 685 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||||
Loans to Other Federal Home Loan Banks | 0 | |||||||
Accrued interest receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Borrowings from other FHLBanks | 0 | |||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative Liabilities | 0 | 0 | [4] | |||||
Standby letters of credit | Carrying Value | ||||||||
Other | ||||||||
Other commitments | 33 | 27 | ||||||
Standby letters of credit | Estimated Fair Value | ||||||||
Other | ||||||||
Other commitments | 33 | 27 | ||||||
Standby letters of credit | Level 1 | ||||||||
Other | ||||||||
Other commitments | 0 | 0 | ||||||
Standby letters of credit | Level 2 | ||||||||
Other | ||||||||
Other commitments | 33 | 27 | ||||||
Standby letters of credit | Level 3 | ||||||||
Other | ||||||||
Other commitments | 0 | 0 | ||||||
Discount notes | Carrying Value | ||||||||
Liabilities | ||||||||
Discount notes | 24,901 | 29,182 | ||||||
Discount notes | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Discount notes | 24,904 | 29,178 | ||||||
Discount notes | Level 1 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Discount notes | Level 2 | ||||||||
Liabilities | ||||||||
Discount notes | 24,904 | 29,178 | ||||||
Discount notes | Level 3 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Bonds | ||||||||
Liabilities | ||||||||
Bonds | 943 | 2,019 | ||||||
Bonds | Carrying Value | ||||||||
Liabilities | ||||||||
Bonds | 73,915 | 72,276 | ||||||
Bonds | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Bonds | 73,874 | 72,079 | ||||||
Bonds | Level 1 | ||||||||
Liabilities | ||||||||
Bonds | 0 | 0 | ||||||
Bonds | Level 2 | ||||||||
Liabilities | ||||||||
Bonds | 73,874 | 72,079 | ||||||
Bonds | Level 3 | ||||||||
Liabilities | ||||||||
Bonds | $ 0 | $ 0 | ||||||
[1] | At June 30, 2019 , and December 31, 2018 , none of these securities were pledged as collateral that may be repledged. | |||||||
[2] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. | |||||||
[3] | 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 $572 and $257 at June 30, 2019 , and December 31, 2018 , respectively. Cash collateral received and related accrued interest was $7 and $22 at June 30, 2019 , and December 31, 2018 , respectively. | |||||||
[4] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. | |||||||
[5] | Represents publicly traded mutual funds held in a grantor trust. |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions | Jun. 30, 2019 | Dec. 31, 2018 | ||
GSEs – FFCB bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 355 | $ 656 | ||
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 | 355 | 656 | ||
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 | ||
GSEs – FFCB bonds | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 355 | 656 | ||
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 | 4 | 5 | ||
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 | ||
Other U.S. obligations – Ginnie Mae | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 4 | 5 | ||
Trading securities | 359 | 661 | ||
Available-for-sale (AFS) securities | [1] | 9,265 | 6,931 | |
Advances | [2] | 4,529 | 5,133 | |
Derivative Asset, Netting adjustments | [3] | (201) | (99) | |
Derivative assets, net | 247 | 185 | ||
Derivative Liability, Netting adjustments | [3] | (364) | (137) | |
Derivative liabilities, net | 0 | 10 | ||
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] | 18 | 16 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 359 | 661 | ||
Available-for-sale (AFS) securities | 6,336 | 3,774 | ||
Derivative Asset, Netting adjustments | [5] | 201 | 99 | |
Other assets | [4] | 0 | 0 | |
Derivative Liability, Netting adjustments | [5] | (364) | (137) | |
Mortgage loans held for portfolio | 3,307 | 2,975 | ||
Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Available-for-sale (AFS) securities | 2,929 | 3,157 | ||
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] | 4,529 | 5,133 | |
Derivative Asset, Netting adjustments | [7] | 201 | 99 | |
Derivative Liability, Netting adjustments | [7] | (364) | (137) | |
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 | 18 | 16 | ||
Total fair value measurements – Assets | 18 | 16 | ||
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 | 359 | 661 | ||
Available-for-sale (AFS) securities | 6,336 | 3,774 | ||
Advances | [6] | 4,529 | 5,133 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 11,270 | 9,654 | ||
Total recurring fair value measurements – Liabilities | 1,307 | 2,166 | ||
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 | 2,929 | 3,157 | ||
Advances | [6] | 0 | 0 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 2,929 | 3,157 | ||
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] | 1 | 2 | |
Mortgage loans held for portfolio | [8] | 1 | 2 | |
Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 943 | 2,019 | ||
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 | 73,874 | 72,079 | ||
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] | 943 | 2,019 | |
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] | 943 | 2,019 | |
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 | 359 | 661 | ||
Available-for-sale (AFS) securities | 9,265 | 6,931 | ||
Derivative assets, net | [5] | 247 | 185 | |
Other assets | [4] | 18 | 16 | |
Derivative liabilities, net | [5] | 0 | 10 | |
Mortgage loans held for portfolio | 3,307 | 2,975 | ||
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 359 | 661 | ||
Available-for-sale (AFS) securities | 9,265 | 6,931 | ||
Other assets | 18 | 16 | ||
Total fair value measurements – Assets | 14,418 | 12,926 | ||
Total recurring fair value measurements – Liabilities | 943 | 2,029 | ||
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] | 1 | 2 | |
Mortgage loans held for portfolio | [8] | 1 | 2 | |
Estimate of Fair Value Measurement | Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 73,874 | 72,079 | ||
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] | 201 | 99 | |
Derivative Liability, Netting adjustments | [7] | (364) | (137) | |
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 | 46 | 86 | ||
Derivative liabilities, net | 364 | 147 | ||
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 | 247 | 185 | ||
Derivative liabilities, net | 0 | 10 | ||
GSEs – multifamily: | MBS - GSEs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 6,336 | 3,774 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 2,929 | 3,157 | ||
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 | 2,929 | 3,157 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 2,929 | 3,157 | ||
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | 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 | GSEs – multifamily: | MBS - GSEs | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 6,336 | 3,774 | ||
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | 0 | 0 | ||
Residential Mortgage Backed Securities | GSEs – multifamily: | MBS - GSEs | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale (AFS) securities | $ 6,336 | $ 3,774 | ||
[1] | At June 30, 2019 , and December 31, 2018 , none of these securities were pledged as collateral that may be repledged. | |||
[2] | At June 30, 2019 , and December 31, 2018 , 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 $572 and $257 at June 30, 2019 , and December 31, 2018 , respectively. Cash collateral received and related accrued interest was $7 and $22 at June 30, 2019 , and December 31, 2018 , respectively. | |||
[4] | Represents publicly traded mutual funds held in a grantor trust. | |||
[5] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. | |||
[6] | Represents advances recorded under the fair value option at June 30, 2019 , and December 31, 2018 . | |||
[7] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty | |||
[8] | The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2019 | |||
[9] | Represents consolidated obligation bonds recorded under the fair value option at June 30, 2019 , and December 31, 2018 |
Fair Value (Level 3) (Details)
Fair Value (Level 3) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Net OTTI loss, credit-related | [1] | $ (5) | $ (5) | $ (6) | $ (6) |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | 1 | (8) | 1 | (10) | |
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 | 3,055 | 3,686 | 3,157 | 3,833 | |
Interest income | 19 | 20 | 37 | 42 | |
Net OTTI loss, credit-related | (5) | (5) | (6) | (6) | |
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI | 2 | 3 | 16 | 20 | |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | 1 | (8) | 1 | (10) | |
Settlements | (143) | (198) | (276) | (381) | |
Balance, end of the period | 2,929 | 3,510 | 2,929 | 3,510 | |
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 | 13 | 15 | 30 | 36 | |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Transfers from held-to-maturity into available-for-sale securities | $ 0 | $ 12 | $ 0 | $ 12 | |
[1] | For the three months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to April 1, 2019 and 2018 , respectively. For the six months ended June 30, 2019 and 2018 , “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2019 and 2018 , respectively. |
Fair Value (Fair Value Option)
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | [1] | $ 5,133 | |||
Net gain/(loss) from changes in fair value recognized in earnings | $ 52 | $ (12) | 91 | $ (53) | |
Balance, end of the period | [1] | 4,529 | 4,529 | ||
Advances | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | 5,053 | 6,637 | 5,133 | 6,431 | |
New transactions elected for fair value option | 74 | 342 | 74 | 1,564 | |
Maturities and terminations | (655) | (882) | (780) | (1,850) | |
Net gain/(loss) from changes in fair value recognized in earnings | 57 | (14) | 103 | (63) | |
Change in accrued interest | 0 | 0 | (1) | 1 | |
Balance, end of the period | 4,529 | 6,083 | 4,529 | 6,083 | |
Consolidated obligation bonds | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Net gain/(loss) from changes in fair value recognized in earnings | 5 | (2) | 12 | (10) | |
Balance, beginning of the period | 1,191 | 1,315 | 2,019 | 949 | |
New transactions elected for fair value option | 0 | 89 | 0 | 463 | |
Maturities and terminations | (253) | 0 | (1,083) | 0 | |
Change in accrued interest | 0 | 2 | (5) | 2 | |
Balance, end of the period | $ 943 | $ 1,404 | $ 943 | $ 1,404 | |
[1] | At June 30, 2019 , and December 31, 2018 , 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, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value Option, Principal Balance, Advances | [1] | $ 4,455 | $ 5,162 | ||||
Fair Value of Advances Under the Fair Value Option | [1] | 4,529 | 5,133 | ||||
Fair Value Over/(Under) Principal Balance, Advances | [1] | 74 | (29) | ||||
Consolidated obligation bonds | |||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value Option, Principal Balance, CO Bonds | 940 | 2,024 | |||||
Fair Value of Bonds Under the Fair Value Option | 943 | 2,019 | |||||
Fair Value Over/(Under) Principal Balance, CO Bonds | 3 | (5) | |||||
Advances | |||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value of Advances Under the Fair Value Option | 4,529 | $ 5,053 | 5,133 | $ 6,083 | $ 6,637 | $ 6,431 | |
Consolidated obligation bonds | |||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value of Bonds Under the Fair Value Option | $ 943 | $ 1,191 | $ 2,019 | $ 1,404 | $ 1,315 | $ 949 | |
[1] | At June 30, 2019 , and December 31, 2018 , 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, 2019 | Dec. 31, 2018 | |
Loss Contingencies [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 1,048,412 | $ 1,031,617 |
Standby Letters Of Credit, Final Expiration | 2033 | |
Other Liabilities | $ 476 | 252 |
Commitments to purchase mortgage loans, maximum term | 60 days | |
Total consolidated obligations, par value | $ 98,880 | 101,609 |
Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 17,044 | 13,661 |
Expire After One Year | 2,976 | 4,418 |
Total | 20,020 | 18,079 |
Other Liabilities | 33 | 27 |
Commitments to issue consolidated obligation discount notes, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 0 | 350 |
Expire After One Year | 0 | 0 |
Total | 0 | 350 |
Commitments to issue consolidated obligation bonds, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 35 | 0 |
Expire After One Year | 0 | 0 |
Total | $ 35 | 0 |
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 | $ 98,880 | 101,609 |
Mortgages | Commitments to purchase mortgage loans | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 68 | 12 |
Expire After One Year | 0 | 0 |
Total | $ 68 | $ 12 |
Transactions with Certain Mem_3
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2019 | Jun. 30, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||||
Proceeds from Other FHLBank Borrowings | $ 1,525 | $ 1,510 | |||
Assets: | |||||
Advances | $ 67,189 | 67,189 | $ 73,434 | ||
Mortgage loans held for portfolio | 3,327 | 3,327 | 3,066 | ||
Accrued interest receivable | 172 | 172 | 133 | ||
Liabilities: | |||||
Deposits | 310 | 310 | 262 | ||
Capital [Abstract] | |||||
Capital Stock | 2,967 | 2,967 | 2,949 | ||
Interest Income: | |||||
Advances | 456 | $ 380 | 954 | 749 | |
Mortgage loans held for portfolio | 11 | 23 | 37 | 44 | |
MPF Service Fee Expense to FHLB Chicago | 0 | 0 | 1 | 1 | |
FHLBanks [Member] | |||||
Related Party Transaction [Line Items] | |||||
Deposits with other FHLB | 1 | 1 | 1 | ||
Payments to Extend Overnight Loans to Other FHLBanks | (1,450) | (280) | |||
MPF Counterparty fee Income | 0 | 0 | |||
Transaction with Member Officer or Director | |||||
Assets: | |||||
Advances | 3,850 | 3,850 | 4,192 | ||
Mortgage loans held for portfolio | 10 | 10 | 11 | ||
Accrued interest receivable | 9 | 9 | 7 | ||
Liabilities: | |||||
Deposits | 6 | 6 | 11 | ||
Capital [Abstract] | |||||
Capital Stock | 132 | 132 | $ 149 | ||
Interest Income: | |||||
Advances | $ 22 | $ 17 | $ 44 | $ 31 |