Document and Entity Information
Document and Entity Information Document - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 28, 2021 | Jun. 30, 2020 | |
Entity Information | |||
Document Transition Report | false | ||
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-K | ||
Entity File Number | 000-51398 | ||
Document Period End Date | Dec. 31, 2020 | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
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 | ||
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 | ||
Document Annual Report | true | ||
Entity Well-known Seasoned Issuer | No | ||
ICFR Auditor Attestation Flag | true | ||
Entity Voluntary Filers | No | ||
Entity Public Float | $ 0 | ||
Par Value, Capital Stock Outstanding | $ 2,751 | ||
Common Stock, Shares, Outstanding | 22,821,081 |
Statements of Condition
Statements of Condition - USD ($) shares in Millions, $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||
Cash and due from banks | $ 174 | $ 118 | |
Interest-bearing deposits | 1,078 | 2,269 | |
Securities purchased under agreements to resell | 7,250 | 7,000 | |
Federal funds sold | 1,880 | 3,562 | |
Trading Securities | [1] | 4,260 | 1,766 |
Available-for-sale (AFS) securities, net of allowance for credit losses of $21 and $0, respectively (amortized cost of $15,456 and $15,206, respectively) | [2],[3] | 15,679 | 15,495 |
Held-to-maturity (HTM) securities (fair values were $5,155 and $7,566, respectively) | [1] | 5,081 | 7,545 |
Advances (includes $2,147 and $4,370 at fair value under the fair value option, respectively) | 30,976 | 65,374 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $4 and $0, respectively | 1,935 | 3,314 | |
Accrued interest receivable | 82 | 139 | |
Derivative assets, net | 3 | 33 | |
Other assets | 236 | 227 | |
Total Assets | 68,634 | 106,842 | |
Liabilities: | |||
Deposits | 887 | 537 | |
Consolidated obligations: | |||
Bonds (includes $111 and $337 at fair value under the fair value option, respectively) | 44,408 | 71,372 | |
Discount notes | 16,213 | 27,376 | |
Total consolidated obligations | 60,621 | 98,748 | |
Mandatorily redeemable capital stock | 2 | 138 | |
Accrued interest payable | 24 | 164 | |
Affordable Housing Program (AHP) payable | 120 | 152 | |
Derivative liabilities, net | 12 | 0 | |
Other liabilities | 774 | 362 | |
Total Liabilities | 62,440 | 100,101 | |
Commitments and Contingencies (Note 16) | |||
Capital: | |||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 23 shares and 30 shares, respectively | 2,284 | 3,000 | |
Unrestricted retained earnings | 2,919 | 2,754 | |
Restricted retained earnings | 761 | 713 | |
Total Retained Earnings | 3,680 | 3,467 | |
Accumulated other comprehensive income/(loss) (AOCI) | 230 | 274 | |
Total Capital | 6,194 | 6,741 | |
Total Liabilities and Capital | 68,634 | 106,842 | |
Amortized Cost of AFS | [4] | 15,456 | 15,206 |
Allowance for Credit Losses on AFS | 21 | 0 | |
HTM Securities, Fair Value | 5,115 | 7,566 | |
Fair Value of Advances Under the Fair Value Option | [5] | 2,147 | 4,370 |
Allowance for credit losses on mortgage loans | $ 4 | 0 | |
Common Stock, Par or Stated Value Per Share | $ 100 | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 379 | 381 | |
Portion at Fair Value Measurement | |||
Fair Value of Advances Under the Fair Value Option | 2,147 | 4,370 | |
Fair Value of Bonds Under the Fair Value Option | $ 111 | $ 337 | |
Common Class B [Member] | |||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | |
Common Stock, Shares, Outstanding | 23 | 30 | |
Common Stock, Shares, Issued | 23 | 30 | |
[1] | At December 31, 2020 and 2019, none of these securities were pledged as collateral that may be repledged. | ||
[2] | At December 31, 2020 and 2019, $379 and $381, respectively, of these securities were pledged as collateral that may be repledged. (c) Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | ||
[3] | Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | ||
[4] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 and $58 at December 31, 2020 and 2019, respectively. | ||
[5] | At December 31, 2020 and 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Statement of Financial Position [Abstract] | ||
HTM securities pledged as collateral that may be repledged | $ 0 | $ 0 |
Trading securities pledged as collateral that may be repledged | $ 0 | $ 0 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest Income: | |||
Advances | $ 598 | $ 1,677 | $ 1,563 |
Interest-bearing deposits | 15 | 51 | 35 |
Securities purchased under agreements to resell | 20 | 174 | 106 |
Federal funds sold | 17 | 114 | 160 |
Trading securities | 83 | 15 | 16 |
AFS securities | 243 | 394 | 247 |
HTM securities | 109 | 270 | 335 |
Mortgage loans held for portfolio | 34 | 87 | 98 |
Total Interest Income | 1,119 | 2,782 | 2,560 |
Interest Expense: | |||
Bonds | 437 | 1,631 | 1,393 |
Discount notes | 169 | 599 | 537 |
Deposits | 3 | 7 | 5 |
Mandatorily redeemable capital stock | 5 | 14 | 24 |
Total Interest Expense | 614 | 2,251 | 1,959 |
Net Interest Income | 505 | 531 | 601 |
Provision for/(reversal of) credit loss | 26 | 0 | 0 |
Net Interest Income After Provision for/(Reversal of) Credit Losses | 479 | 531 | 601 |
Other Income/(Loss): | |||
Net gain/(loss) on trading securities | 15 | (2) | (2) |
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | 85 | 101 | (21) |
Gain (Loss) on Derivative and Hedging Activities | (152) | (92) | 5 |
Gain on disgorgement settlement | 85 | 0 | 0 |
Other, net | 26 | 14 | 7 |
Total Other Income/(Loss) | 59 | 21 | (11) |
Other Expense: | |||
Compensation and benefits | 88 | 84 | 78 |
Other operating expense | 60 | 73 | 67 |
Federal Housing Finance Agency | 7 | 7 | 6 |
Office of Finance | 6 | 6 | 6 |
Quality Jobs Fund expense | 0 | 15 | 25 |
Other, net | 4 | 2 | 5 |
Total Other Expense | 165 | 187 | 187 |
Income/(Loss) Before Assessment | 373 | 365 | 403 |
AHP Assessment | 38 | 38 | 43 |
Net Income/(Loss) | $ 335 | $ 327 | $ 360 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Comprehensive Income [Abstract] | |||
Net Income/(Loss) | $ 335 | $ 327 | $ 360 |
Other Comprehensive Income/(Loss): | |||
Net unrealized gain/(loss) on AFS securities | (45) | 53 | (32) |
Net change in pension and postretirement benefits | 0 | 3 | (4) |
Net non-credit-related gain/(loss) on AFS securities | 0 | (19) | (50) |
Net non-credit-related gain/(loss) on HTM securities | 1 | 2 | 3 |
Total other comprehensive income/(loss) | (44) | 39 | (83) |
Total Comprehensive Income/(Loss) | $ 291 | $ 366 | $ 277 |
Statements of Capital Accounts
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions | Total | Total Retained Earnings | Total Restricted Retained Earnings | Unrestricted Retained Earnings | Accumulated Other Comprehensive Income/(Loss) | Common Class B - PutableCommon Stock | Cumulative Effect, Period of Adoption of ASU 2016-13 | Cumulative Effect, Period of Adoption of ASU 2016-13Total Retained Earnings | Cumulative Effect, Period of Adoption of ASU 2016-13Unrestricted Retained Earnings | Cumulative Effect, Period of Adoption of ASU 2016-13Accumulated Other Comprehensive Income/(Loss) |
Balance, Shares at Dec. 31, 2017 | 32 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Issuance of capital stock, shares | 14 | |||||||||
Repurchase of capital stock, shares | (17) | |||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||||||
Balance, Shares at Dec. 31, 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) | 277 | 360 | 72 | 288 | (83) | |||||
Issuance of capital stock, value | 1,377 | 1,377 | ||||||||
Repurchase of capital stock, value | (1,669) | (1,669) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (2) | (2) | ||||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | 0 | |||||||||
Cash dividends on capital stock | (259) | (259) | (259) | |||||||
Balance at Dec. 31, 2018 | $ 6,530 | 3,346 | 647 | 2,699 | 235 | $ 2,949 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 8.51% | |||||||||
Issuance of capital stock, shares | 12 | |||||||||
Repurchase of capital stock, shares | (11) | |||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||||||
Balance, Shares at Dec. 31, 2019 | 30 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Comprehensive Income (Loss) | $ 366 | 327 | 66 | 261 | 39 | |||||
Issuance of capital stock, value | 1,186 | $ 1,186 | ||||||||
Repurchase of capital stock, value | (1,129) | (1,129) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (6) | (6) | ||||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | 0 | |||||||||
Cash dividends on capital stock | (206) | (206) | (206) | |||||||
Balance at Dec. 31, 2019 | $ 6,741 | 3,467 | 713 | 2,754 | 274 | $ 3,000 | ||||
Balance (Adjustment for cumulative effect of accounting change - ASU 2016-13) at Dec. 31, 2019 | $ 0 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 7.00% | |||||||||
Issuance of capital stock, shares | 8 | |||||||||
Repurchase of capital stock, shares | (15) | |||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||||||
Balance, Shares at Dec. 31, 2020 | 23 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Comprehensive Income (Loss) | $ 291 | 335 | 48 | 287 | (44) | |||||
Issuance of capital stock, value | 789 | $ 789 | ||||||||
Repurchase of capital stock, value | (1,465) | (1,465) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (40) | (40) | ||||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | 40 | 40 | 40 | |||||||
Cash dividends on capital stock | (159) | (159) | (159) | |||||||
Balance at Dec. 31, 2020 | $ 6,194 | $ 3,680 | $ 761 | $ 2,919 | $ 230 | $ 2,284 | ||||
Balance (Adjustment for cumulative effect of accounting change - ASU 2016-13) at Dec. 31, 2020 | $ (3) | $ (3) | $ (3) | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 5.53% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net Cash Provided by (Used in) Operating Activities | |||
Net Income/(Loss) | $ 335 | $ 327 | $ 360 |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: | |||
Depreciation and amortization | 35 | (53) | (12) |
Provision for/(reversal of) credit loss | 26 | 0 | 0 |
Change in net fair value of Trading Securities | (15) | 2 | 2 |
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | (85) | (101) | 21 |
Change in net derivatives and hedging activities | (1,073) | (319) | (18) |
Other Adjustments, net | 8 | 23 | 11 |
Net change in: | |||
Accrued interest receivable | 62 | (3) | (16) |
Other assets | (19) | (23) | (6) |
Accrued interest payable | (140) | 1 | 46 |
Other liabilities | (34) | (5) | (30) |
Total adjustments | (1,235) | (478) | (2) |
Net cash provided by/(used in) operating activities | (900) | (151) | 358 |
Net Cash Provided by (Used in) Investing Activities | |||
Interest-bearing deposits | 1,497 | 165 | (1,686) |
Securities purchased under agreements to resell | (250) | 300 | 4,450 |
Federal funds sold | 1,682 | 283 | 7,183 |
Trading securities: | |||
Proceeds | 1 | 656 | 501 |
Purchases | (2,480) | (1,763) | 0 |
AFS securities: | |||
Proceeds | 2,853 | 616 | 709 |
Purchases | (2,025) | (8,739) | (3,637) |
HTM securities: | |||
Proceeds | 2,466 | 3,549 | 4,764 |
Purchases | 0 | 0 | (1,179) |
Advances: | |||
Repaid | 494,273 | 1,258,362 | 1,698,247 |
Originated | (459,523) | (1,249,955) | (1,694,256) |
Mortgage loans held for portfolio: | |||
Principal collected | 1,777 | 968 | 263 |
Purchases | (463) | (1,253) | (1,246) |
Other Investing Activities, net | (3) | (38) | 0 |
Net cash provided by/(used in) investing activities | 39,805 | 3,151 | 14,113 |
Net Cash Provided by (Used in) Financing Activities | |||
Net change in deposits and other financing activities | 375 | 256 | (18) |
Net change in borrowings from other FHLBanks | 0 | (250) | 250 |
Net (payments)/proceeds on derivative contracts with financing elements | (167) | 82 | 0 |
Net proceeds from issuance of consolidated obligations: | |||
Bonds | 54,657 | 75,458 | 73,669 |
Discount notes | 111,474 | 144,800 | 143,464 |
Payments for matured and retired consolidated obligations: | |||
Bonds | (81,633) | (76,433) | (86,444) |
Discount notes | (122,584) | (146,564) | (144,775) |
Proceeds from issuance of capital stock | 789 | 1,186 | 1,377 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (176) | (95) | (84) |
Payments for repurchase of capital stock | (1,465) | (1,129) | (1,669) |
Cash dividends paid | (159) | (206) | (259) |
Partial Recovery of Prior Capital Distribution to Financing Corporation | 40 | 0 | 0 |
Net cash provided by/(used in) financing activities | (38,849) | (2,895) | (14,489) |
Net increase/(decrease) in cash and due from banks | 56 | 105 | (18) |
Cash and due from banks beginning of period | 118 | 13 | 31 |
Cash and due from banks end of period | 174 | 118 | 13 |
Supplemental Disclosures: | |||
Interest paid | 753 | 2,289 | 1,891 |
AHP payments | 70 | 70 | 68 |
Transfers of other-than-temporarily impaired HTM securities to AFS securities | 3 | 1 | 12 |
Transfers of capital stock to mandatorily redeemable capital stock | $ 40 | $ 6 | $ 2 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations | Background Information The Federal Home Loan Bank of San Francisco (Bank), a federally chartered corporation exempt from ordinary federal, state, and local taxation except real property taxes, is one of 11 regional Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development by providing a readily available, competitively priced source of funds to their member institutions. Each FHLBank is operated as a separate entity with its own management, employees, and board of directors. The Bank does not have any special purpose entities or any other type of off-balance sheet conduits. The Bank has a cooperative ownership structure. Regulated financial depositories and insurance companies engaged in residential housing finance, with principal places of business located in Arizona, California, and Nevada, are eligible to apply for membership. In addition, authorized community development financial institutions are eligible to be members of the Bank. All members are required to purchase capital stock in the Bank. State and local housing authorities that meet certain statutory criteria may also borrow from the Bank. While eligible to borrow, these housing authorities are not members of the Bank, and, as such, are not required to hold capital stock. To access the Bank’s products and services, a financial institution must be approved for membership and purchase capital stock in the Bank. The member's capital stock requirement is generally based on its use of Bank products, subject to a minimum asset-based membership requirement that is intended to reflect the value to the member of having ready access to the Bank as a reliable source of competitively priced funds. Bank capital stock is issued, transferred, redeemed, and repurchased at its par value of $100 per share, subject to certain regulatory and statutory limits. It is not publicly traded. All shareholders may receive dividends on their capital stock, to the extent declared by the Bank’s Board of Directors. The Bank conducts business with members in the ordinary course of business. See Note 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks for more information. The Federal Housing Finance Agency (Finance Agency), an independent federal agency in the executive branch of the United States government, supervises and regulates the FHLBanks and the FHLBanks’ Office of Finance. The Office of Finance is a joint office of the FHLBanks that facilitates the issuance and servicing of the debt instruments (consolidated obligations) of the FHLBanks and prepares the combined quarterly and annual financial reports of the FHLBanks. The primary source of funds for the FHLBanks is the proceeds from the sale to the public of the FHLBanks’ consolidated obligations through the Office of Finance using authorized securities dealers. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), or regulations governing the operations of the FHLBanks, all the FHLBanks have joint and several liability for all FHLBank consolidated obligations. Other funds are provided by deposits, other borrowings, and the issuance of capital stock to members. The Bank primarily uses these funds to provide advances to members. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Note 1 — Summary of Significant Accounting Policies Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: • accounting for derivatives; • estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and • estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded prior to the adoption of new accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates. Estimated Fair Values. Many of the Bank’s financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future. Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank’s financial instruments and related assumptions are detailed in Note 15 – Fair Value. Adoption of Measurement of Credit Losses on Financial Instruments Accounting Guidance. Beginning January 1, 2020, the Bank adopted, on a modified retrospective basis, new accounting guidance related to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS securities to be recorded through the allowance for credit losses. Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. Interest-bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal Funds sold with counterparties that are considered by the Bank to be of investment quality. Interest-bearing deposits include interest-bearing deposits in banks not meeting the definition of a security. Interest income on these investments is accrued as earned and recorded in interest income on the Statements of Income. Accrued interest receivable is recorded separately on the Statements of Condition. These investments are evaluated quarterly for expected credit losses. If applicable, an allowance for credit loss is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The Bank treats securities purchased under agreements to resell as collateralized financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s cost. Prior to January 1, 2020, if an agreement to resell was deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement was charged to earnings. See Note 4 – Investments for details on the allowance methodologies relating to interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. Investment Securities. The Bank classifies investments as trading, AFS, or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs. The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI). HTM securities are carried at cost, adjusted for periodic principal repayments, amortization of premiums and accretion of discounts, and previous credit loss recognized in net income and AOCI recorded prior to January 1, 2020. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity. Certain changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. On a quarterly basis, the Bank evaluates its individual AFS investment securities in an unrealized loss position for impairment. A security is considered impaired when its fair value is less than its amortized cost basis. With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The allowance is limited by the amount of the unrealized loss. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. If management intends to sell an impaired security classified as AFS, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net unrealized gain/(loss) on AFS securities. If management does not intend to sell an impaired security classified as AFS and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gain/(loss) on AFS securities within other comprehensive income/(loss). Prior to January 1, 2020, credit losses were recorded as a direct write-down of the AFS security carrying value. For improvements in cash flows of AFS securities, interest income follows the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020, and recoveries of amounts previously written off are recorded when received. AFS securities with a credit loss recognized pursuant to the impairment guidance in effect prior to January 1, 2020, continue to follow the prior accounting until maturity or disposition. For improvements in impaired AFS securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Effective January 1, 2020, the net non-credit-related other-than-temporary impairment (OTTI) gain/(loss) on AFS securities was reclassified to net unrealized gain/(loss) on AFS securities within other comprehensive income/(loss). On a quarterly basis, the Bank evaluates its HTM investment securities for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. For improvements in HTM securities impaired prior to January 1, 2020, interest income continues to follow the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020, and recoveries of amounts previously written off are recorded when received. For improvements in impaired HTM securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Under the impairment guidance in effect prior to January 1, 2020, the Bank evaluated its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security was considered impaired when its fair value was less than its amortized cost basis. For impaired debt securities, an entity was required to assess whether: (i) it had the intent to sell the debt security; (ii) it is more likely than not that it would be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it did not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions was met, an OTTI on the security was recognized. If a credit loss existed but the entity did not intend to sell the debt security and it was not more likely than not that the entity would be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security was adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss was recognized in earnings, while the amount of non-credit-related impairment was recognized in AOCI. The total OTTI was presented in the Statements of Income with an offset for the amount of the total OTTI that was recognized in AOCI. See Note 4 – Investments for details on the allowance methodologies relating to AFS and HTM securities. Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 14 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. Variable Interest Entities. The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of December 31, 2020, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value. Advances. The Bank reports advances (loans to members, former members or their successors or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income. Accrued interest receivable is recorded separately on the Statements of Condition. The advances carried at amortized cost are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. Prior to January 1, 2020, the Bank evaluated advances to determine if an allowance for credit losses was necessary if it was probable that impairment had occurred as of the Statements of Condition date and the amount of loss could be reasonably estimated. The Bank evaluated advances for impairment with respect to which it was probable that all principal and interest due would not be collected according to its contractual terms. See Note 5 – Advances for details on the allowance methodologies relating to advances. Advance Modifications. In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification. Prepayment Fees. When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. 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 no longer offers advances with partial prepayment symmetry. For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in interest income on advances effective January 1, 2019. Prior to January 1, 2019, subsequent fair value changes were recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income. For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income. Mortgage Loans Held for Portfolio. Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from participating members, for its own portfolio, conventional conforming fixed rate residential mortgage loans under the MPF Original product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product. When members sell loans under the MPF Xtra product, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.) On December 17, 2020, the Bank announced that it would no longer offer new commitments to directly purchase, or to facilitate the purchase of, mortgage loans from its members. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans. Unlike conventional MPF products held for portfolio, participating members are not required to provide credit enhancement and do not receive credit enhancement fees under the MPF Xtra product. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans by structuring potential losses on conventional MPF loans into layers with respect to each master commitment, as follows: (1) The first layer of protection against loss is the liquidation value of the real property securing the loan. (2) The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80%, if still in place. (3) Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank. (4) Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred. (5) Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance (SMI) policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA for loans purchased prior to April 2017 and BBB for loans purchased thereafter, as determined by the MPF Program methodology. For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, typically 10 basis points per annum, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is typically paid monthly beginning with the month after each delivery of loans. The MPF Original product provides participating financial institutions the option to receive credit enhancement fees monthly over the life of the loans or as an upfront lump sum amount that is included in the purchase price at the time loans are sold to the Bank. The lump sum amount is approximately equivalent to the present value of the monthly credit enhancement fees that the Bank would otherwise be expected to pay over the life of the loans. The MPF Plus product provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain SMI to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee. The Bank classifies mortgage loans as held for portfolio and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, unamortized credit enhancement fees paid as a lump sum at the time loans are purchased, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, interest rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. The Bank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the allowance for credit losses, the Bank measures the estimated loss over the remaining life of a mortgage loan, which also considers how the Bank’s credit enhancements mitigate credit losses. The Bank includes estimates of expected recoveries within the allowance for credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance excludes uncollectible accrued interest receivable, as the Bank writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due or when the loan is in foreclosure. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for credit losses based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, if it is considered likely that the borrower will default and there is no credit enhancement to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. Collateral-dependent loans are credit deteriorated if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. 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 that shares similar risk characteristics with other loans is evaluated for credit losses on a collective basis. TDRs that do not share risk characteristics with other loans are individually evaluated 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. On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) was signed into law. Section 4013 of the CARES Act provides optional, temporary relief from the accounting and reporting requirements for TDRs for certain loan modifications granted to borrowers adversely affected by the COVID-19 pandemic (COVID-related modifications) that were not more than 30 days past due on payments as of December 31, 2019. Specifically, the CARES Act provides that a financial institution may elect to suspend: (i) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (ii) any determination that such loan modifications would be considered a TDR, including the related accounting. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency dec |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Issued and Adopted Accounting Guidance | Note 2 — Recently Issued and Adopted Accounting Guidance The following table provides a summary of recently issued accounting standards that may have an effect on the financial statements. Recently Issued and Accounting Guidance, Not Yet Adopted Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04) This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: This guidance is effective immediately for the Bank, and the Bank may elect to apply the amendments prospectively through December 31, 2022. The Bank has assessed the guidance and plans to elect some of the optional expedients and exceptions provided; however, the full effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. In particular, during the fourth quarter of 2020, the Bank elected optional expedients specific to the discounting transition on a retrospective basis, which did not have a material effect. Recently Adopted Accounting Guidance ASU Description Effective Date Effect on the Financial Statements or Other Significant Matters 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 became effective for the Bank for the annual period ended December 31, 2020, and the annual periods thereafter. The adoption of this guidance affected the Bank’s disclosures but did not have any effect on the Bank’s financial condition, results of operations, or cash flows. 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 became effective for the Bank for the interim and annual periods beginning on January 1, 2020. The guidance was adopted as of January 1, 2020. The adoption of this guidance did 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 became effective for the Bank for the interim and annual periods beginning on January 1, 2020. The guidance was adopted as of January 1, 2020. The adoption of this guidance impacted the Bank’s disclosures but did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments, as amended (ASU 2016-13) The guidance replaces the current incurred loss impairment 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. The guidance also requires, among other things, credit losses relating to AFS securities to be recorded through an allowance for credit losses and expands disclosure requirements. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2020. This guidance was adopted using a modified retrospective basis as of January 1, 2020. Upon adoption, this guidance had no effect on advances or U.S. obligations and GSEs investments. The adoption of this guidance had an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments, on mortgage loans, and on the Bank’s financial condition, results of operations, and cash flows. |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2020 | |
Cash and Due from Banks [Abstract] | |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition. Cash and due from banks includes certain compensating balances, where |
Cash and Cash Equivalents Disclosure [Text Block] | Note 3 — Cash and Due from Banks Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition. Cash and due from banks includes certain compensating balances, where the Bank maintains collected cash balances with commercial banks in consideration for certain services. There are no legal restrictions under these agreements on the withdrawal of these funds. The average collected cash balances were approximately $134 for 2020 and $20 for 2019. |
Investments (Notes)
Investments (Notes) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-Sale Securities | Investments The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold, and may make other investments in debt securities, which are classified as either trading, AFS, or HTM. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received an investment grade credit rating of BBB or greater by a nationally recognized statistical rating organization (NRSRO). At December 31, 2020, none of these investments were with counterparties rated below BBB nor with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At December 31, 2020 and 2019, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at December 31, 2020 and 2019. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of de minimis amounts as of December 31, 2020, and $3 and a de minimis amount as of December 31, 2019, respectively. Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at December 31, 2020 and 2019. The carrying value of securities purchased under agreements excludes de minimis amounts of accrued interest receivable as of December 31, 2020 and 2019. Debt Securities The Bank invests in debt securities, which are classified as either trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to PLRMBS that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at time of purchase. Trading Securities. The estimated fair value of trading securities as of December 31, 2020 and 2019, was as follows: 2020 2019 U.S. obligations – Treasury notes $ 4,257 $ 1,762 MBS – Other U.S. obligations – Ginnie Mae 3 4 Total $ 4,260 $ 1,766 The net unrealized gain/(loss) on trading securities was $15, $(2), and $(2) for the years ended December 31, 2020, 2019, and 2018, respectively. These amounts represent the changes in the fair value of the securities during the reported periods. Available-for-Sale Securities. AFS securities by major security type as of December 31, 2020 and 2019, were as follows: December 31, 2020 Amortized Cost (1) Allowance for Credit Losses (2) Gross Gross Estimated Fair Value U.S. obligations – Treasury securities: U.S. Treasury notes $ 2,980 $ — $ 3 $ — $ 2,983 U.S. Treasury bills 2,000 — — — 2,000 Total U.S. obligations – Treasury securities 4,980 — 3 — 4,983 MBS: GSEs – multifamily: Freddie Mac 833 — 18 — 851 Fannie Mae 7,744 — 72 (6) 7,810 Subtotal MBS – GSEs – multifamily 8,577 — 90 (6) 8,661 PLRMBS: Prime 174 (1) 9 — 182 Alt-A 1,725 (20) 168 (20) 1,853 Subtotal PLRMBS 1,899 (21) 177 (20) 2,035 Total MBS 10,476 (21) 267 (26) 10,696 Total $ 15,456 $ (21) $ 270 $ (26) $ 15,679 December 31, 2019 Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains (3) Gross Estimated Fair Value U.S. obligations – Treasury notes $ 5,281 $ — $ 7 $ — $ 5,288 MBS: GSEs – multifamily: Freddie Mac 773 — 4 — 777 Fannie Mae 6,823 — 23 (13) 6,833 Subtotal MBS – GSEs – multifamily 7,596 — 27 (13) 7,610 PLRMBS: Prime 213 — 17 — 230 Alt-A 2,116 (9) 260 — 2,367 Subtotal PLRMBS 2,329 (9) 277 — 2,597 Total MBS 9,925 (9) 304 (13) 10,207 Total $ 15,206 $ (9) $ 311 $ (13) $ 15,495 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 and $58 at December 31, 2020 and 2019, respectively. (2) Effective January 1, 2020, the Bank completes an analysis on a quarterly basis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities. (3) Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019. At December 31, 2020, the amortized cost of the Bank’s MBS classified as AFS included premiums of $65, discounts of $47, and credit-related OTTI of $486 for AFS securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2019, the amortized cost of the Bank’s MBS classified as AFS included premiums of $65, discounts of $52, and credit-related OTTI of $574. The following tables summarize the AFS securities with unrealized losses as of December 31, 2020 and 2019. 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. At December 31, 2019, 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 as of December 31, 2019, also include non-credit-related OTTI losses recognized in AOCI. December 31, 2020 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized U.S. obligations – Treasury notes $ 501 $ — $ — $ — $ 501 $ — MBS – GSEs – multifamily – Fannie Mae 731 6 222 — 953 6 PLRMBS: Prime 4 — 7 — 11 — Alt-A 151 7 168 13 319 20 Subtotal PLRMBS 155 7 175 13 330 20 Total $ 1,387 $ 13 $ 397 $ 13 $ 1,784 $ 26 December 31, 2019 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized MBS – GSEs – multifamily: Freddie Mac $ 211 $ — $ — $ — $ 211 $ — Fannie Mae 2,433 9 623 4 3,056 13 Subtotal MBS – GSEs – multifamily 2,644 9 623 4 3,267 13 PLRMBS: Prime 4 — 8 — 12 — Alt-A 75 — 193 9 268 9 Subtotal PLRMBS 79 — 201 9 280 9 Total $ 2,723 $ 9 $ 824 $ 13 $ 3,547 $ 22 Redemption Terms. The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of December 31, 2020 and 2019, 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. December 31, 2020 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS: Due in 1 year or less $ 4,469 $ 4,470 Due after 1 year through 5 years 511 513 Subtotal 4,980 4,983 MBS 10,476 10,696 Total $ 15,456 $ 15,679 December 31, 2019 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS: Due in 1 year or less $ 2,309 $ 2,312 Due after 1 year through 5 years 2,972 2,976 Subtotal 5,281 5,288 MBS 9,925 10,207 Total $ 15,206 $ 15,495 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: December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains (3) Gross Unrecognized Holding Losses (3) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 261 $ 7 $ — $ 268 MBS – GSEs – single-family: Freddie Mac 511 11 — 522 Fannie Mae 1,229 21 (1) 1,249 Subtotal MBS – GSEs – single-family 1,740 32 (1) 1,771 MBS – GSEs – multifamily: Freddie Mac 1,844 2 (2) 1,844 Fannie Mae 945 — (1) 944 Subtotal MBS – GSEs – multifamily 2,789 2 (3) 2,788 Subtotal MBS – GSEs 4,529 34 (4) 4,559 PLRMBS: Prime 185 — (4) 181 Alt-A 106 3 (2) 107 Subtotal PLRMBS 291 3 (6) 288 Total $ 5,081 $ 44 $ (10) $ 5,115 December 31, 2019 Amortized Cost (1) OTTI Recognized in AOCI (2) Carrying Gross Unrecognized Holding Gains (3) Gross Unrecognized Holding Losses (3) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 470 $ — $ 470 $ 5 $ — $ 475 MBS – GSEs – single-family: Freddie Mac 1,063 — 1,063 8 (1) 1,070 Fannie Mae 1,844 — 1,844 20 (1) 1,863 Subtotal MBS – GSEs – single-family 2,907 — 2,907 28 (2) 2,933 MBS – GSEs – multifamily: Freddie Mac 2,625 — 2,625 — (9) 2,616 Fannie Mae 1,159 — 1,159 — (2) 1,157 Subtotal MBS – GSEs – multifamily 3,784 — 3,784 — (11) 3,773 Subtotal MBS – GSEs 6,691 — 6,691 28 (13) 6,706 PLRMBS: Prime 243 — 243 1 (4) 240 Alt-A 142 (1) 141 6 (2) 145 Subtotal PLRMBS 385 (1) 384 7 (6) 385 Total $ 7,546 $ (1) $ 7,545 $ 40 $ (19) $ 7,566 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $5 and $12 at December 31, 2020 and 2019, respectively. (2) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the OTTI approach was replaced with an evaluation for an allowance for credit loss; however, OTTI remains for those securities that had credit impairment prior to the adoption date. (3) Gross unrecognized gains/(losses) represent the difference between estimated fair value and net carrying value. Expected maturities of MBS classified as HTM 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 December 31, 2020, the amortized cost of the Bank’s MBS classified as HTM included premiums of $5, discounts of $6, and credit-related OTTI of $6 for HTM securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2019, the amortized cost of the Bank’s MBS classified as HTM included premiums of $8, discounts of $11, and credit-related OTTI of $7. Allowance for Credit Losses on AFS and HTM Securities. The Bank adopted new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020. For additional information, see Note 2 – Recently Issued and Adopted Accounting Guidance. For information on the prior methodology for evaluating credit losses, see Note 1 – Summary of Significant Accounting Policies. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the year ended December 31, 2020. The Bank recorded no allowance for credit losses associated with HTM securities during the year ended December 31, 2020. Under the previous accounting methodology of security impairment, the Bank recognized credit-related net OTTI loss of $11 during the years ended December 31, 2019 and 2018. 2020 Balance, beginning of the period $ — (Charge-offs)/recoveries (4) Provision for/(reversal of) credit losses 25 Balance, end of the period $ 21 To evaluate investment securities for credit loss at December 31, 2020, the Bank employed the following methodologies, based on the type of security. AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at December 31, 2020, approximately 100% of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. At December 31, 2020, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments. In addition, substantially all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at December 31, 2020. As of December 31, 2020, the Bank had not established an allowance for credit loss on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity, (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of GSE or other U.S. obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of December 31, 2020, approximately 6% of PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. For certain PLRMBS where underlying collateral data is not available, alternative procedures as determined by the Bank are used to assess these securities for credit loss measurement. At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using: • expected housing price changes; • expected interest rate assumptions; • the remaining payment terms for the security; • expected default rates based on underlying loan-level borrower and loan characteristics; • loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics; and • prepayment speeds based on underlying loan-level borrower and loan characteristics. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in these assumptions and expectations. The cash flows determined reflects management’s expectations and includes a base case housing price forecast for near- and long-term horizons. 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 with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020, as of December 31, 2020 (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 fair value of PLRMBS classified as Level 3 as of December 31, 2020, and the related current credit enhancement for the Bank. December 31, 2020 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 13.4 16.7 22.1 13.1 Alt-A 13.7 16.4 37.7 7.1 Total 13.7 16.5 36.2 7.7 (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 total net accretion recognized in interest income associated with PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, totaled $70, $78, and $81 for the years ended December 31, 2020, 2019, and 2018, respectively. Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities total $59, $61, and $63 for the years ended December 31, 2020, 2019, and 2018, respectively. In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized a credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the credit quality of the underlying collateral. The decline in the credit quality of the underlying collateral 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 transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value of $3, $1, and $12 during 2020, 2019, and 2018, respectively. For the Bank’s PLRMBS, the Bank experienced declines in fair value in March 2020 as a result of disruptions in the financial markets combined with illiquidity in the PLRMBS market and decreased expectations of the performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their amortized cost. The Bank subsequently experienced improvements in fair values, in part because of the monetary and fiscal stimulus measures taken by the U.S. government. As a result of these factors and the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the Bank recorded a provision for credit losses on its PLRMBS portfolio of $25 in 2020. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2020 | |
Federal Home Loan Banks [Abstract] | |
Advances | Note 5 — 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 0.00% to 8.57% at December 31, 2020, and 1.15% to 8.57% at December 31, 2019, as summarized below. 2020 2019 Redemption Term Amount Outstanding (1) Weighted Amount Outstanding (1) Weighted Within 1 year $ 11,862 1.65 % $ 32,351 1.91 % After 1 year through 2 years 6,399 1.61 22,380 2.15 After 2 years through 3 years 4,321 2.10 4,847 2.08 After 3 years through 4 years 2,704 1.79 2,909 2.97 After 4 years through 5 years 3,278 1.26 1,461 2.32 After 5 years 1,774 1.79 1,140 2.96 Total par value 30,338 1.68 % 65,088 2.08 % Valuation adjustments for hedging activities 509 203 Valuation adjustments under fair value option 130 83 Unamortized discounts (1) — Total $ 30,976 $ 65,374 (1) Carrying amounts exclude accrued interest receivable of $6 and $39 at December 31, 2020 and 2019, respectively. 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 $19,919 at December 31, 2020, and $14,059 at December 31, 2019. The Bank had advances with partial prepayment symmetry outstanding totaling $1,817 at December 31, 2020, and $3,513 at December 31, 2019. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $1,100 at December 31, 2020, and $14,024 at December 31, 2019. The Bank had putable advances totaling $220 at December 31, 2020, and $20 at December 31, 2019. 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 December 31, 2020 and 2019, 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 Earlier of Redemption 2020 2019 2020 2019 Within 1 year $ 12,962 $ 39,075 $ 12,082 $ 32,371 After 1 year through 2 years 5,299 15,731 6,399 22,380 After 2 years through 3 years 4,321 4,800 4,321 4,847 After 3 years through 4 years 2,704 2,895 2,704 2,909 After 4 years through 5 years 3,278 1,447 3,278 1,461 After 5 years 1,774 1,140 1,554 1,120 Total par value $ 30,338 $ 65,088 $ 30,338 $ 65,088 Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at December 31, 2020 and 2019. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the years ended December 31, 2020 and 2019. December 31, 2020 Name of Borrower Advances Percentage of Interest (1) Percentage of First Republic Bank $ 11,755 39 % $ 254 29 % MUFG Union Bank, National Association 4,575 15 173 20 First Technology Federal Credit Union 1,292 4 43 5 CIT Bank, National Association 1,100 3 23 3 Luther Burbank Savings 807 3 21 2 Subtotal 19,529 64 514 59 Others 10,809 36 353 41 Total par value $ 30,338 100 % $ 867 100 % December 31, 2019 Name of Borrower Advances Percentage of Interest (1) Percentage of MUFG Union Bank, National Association $ 12,700 19 % $ 371 22 % First Republic Bank 12,550 19 248 15 Wells Fargo & Company Wells Fargo Financial National Bank West 7,500 12 191 12 Wells Fargo Bank, National Association (2) 39 — 2 — Subtotal Wells Fargo & Company 7,539 12 193 12 Bank of the West 6,356 10 155 9 JPMorgan Chase Bank, National Association (2) 5,055 8 174 11 Subtotal 44,200 68 1,141 69 Others 20,888 32 518 31 Total par value $ 65,088 100 % $ 1,659 100 % (1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. (2) Nonmember institution. The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances. Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances 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. In addition, the Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada, in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances: • one-to-four-family first lien residential mortgage loans; • securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae; • cash or deposits in the Bank; • certain other real estate-related collateral, such as multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and • small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions. The Bank has advances outstanding to former members and member successors, which are subject to the security terms above. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At December 31, 2020 and 2019, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank’s custodial agent. All loan collateral pledged to the Bank is subject to a Uniform Commercial Code-1 financing statement. Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests. At December 31, 2020 and 2019, none of the Bank’s credit products were past due or on nonaccrual status. There were no troubled debt restructurings related to credit products during 2020 or 2019. Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of December 31, 2020, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on advances was deemed necessary by the Bank as of December 31, 2020 and 2019. Interest Rate Payment Terms. Interest rate payment terms for advances at December 31, 2020 and 2019, are detailed below: 2020 2019 Par value of advances: Fixed rate: Due within 1 year $ 11,044 $ 15,327 Due after 1 year 17,126 21,337 Total fixed rate 28,170 36,664 Adjustable rate: Due within 1 year 818 17,024 Due after 1 year 1,350 11,400 Total adjustable rate 2,168 28,424 Total par value $ 30,338 $ 65,088 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 December 31, 2020 or 2019. 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 14 – Derivatives and Hedging Activities and Note 15 – Fair Value. Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as advances interest income in the Statements of Income for the years ended December 31, 2020, 2019, and 2018, as follows: 2020 2019 2018 Prepayment fees received/(paid) $ 142 $ 9 $ (9) Fair value adjustments (109) (6) 12 Net $ 33 $ 3 $ 3 Advance principal prepaid $ 26,741 $ 6,760 $ 7,496 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio The following table presents information as of December 31, 2020 and 2019, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. 2020 2019 Fixed rate medium-term mortgage loans $ 27 $ 27 Fixed rate long-term mortgage loans 1,879 3,199 Subtotal 1,906 3,226 Unamortized premiums 35 91 Unamortized discounts (2) (3) Mortgage loans held for portfolio (1) 1,939 3,314 Less: Allowance for credit losses (4) — Total mortgage loans held for portfolio, net $ 1,935 $ 3,314 (1) Excludes accrued interest receivable of $10 and $19 at December 31, 2020 and 2019, respectively. Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years. Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for Bank’s mortgage loans at December 31, 2020, and 2019. December 31, 2020 Origination Year Payment Status <2016 2016 to 2020 Amortized Cost (1) 30 – 59 days delinquent $ 20 $ 2 $ 22 60 – 89 days delinquent 5 2 7 90 days or more delinquent 95 9 104 Total past due 120 13 133 Total current loans 1,628 178 1,806 Total MPF (2) $ 1,748 $ 191 $ 1,939 In process of foreclosure, included above (3) $ 1 Nonaccrual loans (2)(4) $ 104 Serious delinquencies as a percentage of total mortgage loans outstanding (2)(5) 5.34 % December 31, 2019 Payment Status Recorded Investment (1) 30 – 59 days delinquent $ 15 60 – 89 days delinquent 2 90 days or more delinquent 7 Total past due 24 Total current loans 3,310 Total MPF $ 3,334 In process of foreclosure, included above (3) $ — Nonaccrual loans $ 7 Serious delinquencies as a percentage of total mortgage loans outstanding (5) 0.22 % (1) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, payment status of mortgage loans is disclosed at amortized cost. The recorded investment at December 31, 2019, 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. The amortized cost at December 31, 2020, in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. (2) At December 31, 2020, unpaid principal balances of conventional mortgage loans held for portfolio that were in a forbearance plan as a result of the COVID-19 pandemic totaled $78. Of that total, $2 were current, $7 were 30 to 59 days past due, $1 were 60 to 90 days past due, and $68 were greater than 90 days past due and in nonaccrual payment status. The conventional mortgage loans in forbearance represent 4% of the Bank’s mortgage loans held for portfolio at December 31, 2020. (3) 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. (4) At December 31, 2020, $103 of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses. (5) 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. Starting in the second quarter of 2020, the Bank elected to apply the TDR relief provisions provided by the CARES Act. As such, all COVID-related modifications meeting the provisions of the CARES Act are excluded from TDR classification and accounting, and the Bank considers these loans to have a current payment status as long as payments are being made in accordance with the new terms. Alternatively, COVID-related modifications that do not meet the provisions of the CARES Act continue to be assessed for TDR classification. The participating members may grant a forbearance period to borrowers who have requested forbearance based on COVID-19 related difficulties regardless of the status of the loan at the time of the request. The accrual status for loans under forbearance will be driven by the past due status of the loan. See Note 1 – Summary of Significant Accounting Policies for additional information on the CARES Act. Allowance for Credit Losses on MPF Loans. MPF loans are evaluated collectively for expected credit losses when similar risk characteristics exist. MPF loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowances for credit losses on MPF loans through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At December 31, 2020, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 2% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4% over a three-year forecast horizon based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses. Certain MPF loans may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss. The following table presents a rollforward of the allowance for credit losses on the mortgage loan portfolio for the year ended December 31, 2020. The Bank recorded a de minimis allowance for credit losses on the mortgage loan portfolio for the year ended December 31, 2019. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the years ended December 31, 2020, 2019, and 2018. 2020 Balance, beginning of the period $ — Adjustment for cumulative effect of accounting change 3 Provision for/(reversal of) credit losses 1 Balance, end of the period $ 4 See Note 1 – Summary of Significant Accounting Policies for information on the prior methodology for evaluating credit losses and the Bank’s accounting policies for mortgage loans held for portfolio. |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 2020 | |
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 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. Deposits and interest rate payment terms for deposits as of December 31, 2020 and 2019, were as follows: 2020 2019 Amount Weighted Amount Weighted Interest-bearing deposits: Adjustable rate $ 732 0.01 % $ 427 1.30 % Fixed rate 16 0.01 — — Total interest-bearing deposits 748 427 Non-interest-bearing deposits 139 110 Total $ 887 $ 537 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 8 — 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 Note 16 – Commitments and Contingencies. 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. Consolidated obligation bonds may be issued to raise short-, intermediate-, and long-term funds for the FHLBanks. The maturity of consolidated obligation bonds generally ranges from 6 months to 15 years, but the maturity is not subject to any statutory or regulatory limits. Consolidated obligation discount notes are primarily used to raise short-term funds. These notes are issued at less than their face amount and redeemed at par value when they mature. The par value of the outstanding consolidated obligations of the FHLBanks was $746,722 at December 31, 2020, and $1,025,895 at December 31, 2019. Regulations require the FHLBanks to maintain, for the benefit of investors in consolidated obligations, in the aggregate, unpledged qualifying assets in an amount equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or credit rating at least equivalent to the current assessment or credit rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for the purposes of compliance with these regulations. At December 31, 2020, the Bank had qualifying assets totaling $68,016, and the Bank’s participation in consolidated obligations outstanding was $60,621. General Terms. Consolidated obligations are generally issued with either fixed rate payment terms or adjustable rate payment terms. In addition, to meet the specific needs of certain investors, fixed rate and adjustable rate consolidated obligation bonds may contain certain embedded features, such as call options and complex coupon payment terms. In general, when such consolidated obligation bonds are issued for which the Bank is the primary obligor, the Bank simultaneously enters into interest rate exchange agreements containing offsetting features to, in effect, convert the terms of the bond to the terms of a simple adjustable rate bond. In addition to having fixed rate or simple adjustable rate coupon payment terms, consolidated obligations may, for example, include: • Callable bonds, which the Bank may call in whole or in part at its option on predetermined call dates according to the terms of the bond offerings; • Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank’s option on the step-up dates according to the terms of the bond offerings; • Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank’s option on the step-down dates according to the terms of the bond offerings; • Conversion callable bonds, which have coupon rates that convert from fixed to adjustable or from adjustable to fixed on predetermined dates and can generally be called at the Bank’s option on predetermined call dates according to the terms of the bond offerings; • Range bonds, which have coupons at fixed or variable rates and pay the fixed or variable rate as long as a reference rate is within an established range, but generally pay zero percent or a minimal interest rate if the specified reference rate is outside the established range. Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at December 31, 2020 and 2019. 2020 2019 Contractual Maturity Amount Weighted Amount Weighted Within 1 year $ 34,542 0.23 % $ 53,549 1.68 % After 1 year through 2 years 6,923 0.21 13,853 1.67 After 2 years through 3 years 751 1.00 770 1.93 After 3 years through 4 years 677 0.67 135 2.74 After 4 years through 5 years 185 0.82 937 2.08 After 5 years 1,311 2.24 2,126 2.94 Total par value 44,389 0.31 % 71,370 1.73 % Unamortized premiums 10 1 Unamortized discounts (5) (10) Valuation adjustments for hedging activities 13 9 Fair value option valuation adjustments 1 2 Total $ 44,408 $ 71,372 The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $3,140 at December 31, 2020, and $6,345 at December 31, 2019. 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 $930 at December 31, 2020, and $2,085 at December 31, 2019. 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 December 31, 2020 and 2019, was as follows: 2020 2019 Par value of consolidated obligation bonds: Non-callable $ 41,249 $ 65,025 Callable 3,140 6,345 Total par value $ 44,389 $ 71,370 The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at December 31, 2020 and 2019, by the earlier of the year of contractual maturity or next call date. Earlier of Contractual 2020 2019 Within 1 year $ 36,667 $ 58,239 After 1 year through 2 years 7,228 12,768 After 2 years through 3 years 396 195 After 3 years through 4 years 47 70 After 4 years through 5 years — 47 After 5 years 51 51 Total par value $ 44,389 $ 71,370 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: 2020 2019 Amount Weighted Average Interest Rate (1) Amount Weighted Average Interest Rate (1) Par value $ 16,217 0.12 % $ 27,447 1.61 % Unamortized discounts (4) (71) Total $ 16,213 $ 27,376 (1) Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at December 31, 2020 and 2019, are detailed in the following table. 2020 2019 Par value of consolidated obligations: Bonds: Fixed rate $ 6,632 $ 10,993 Adjustable rate 37,712 60,117 Step-up 45 60 Step-down — 100 Range bonds — 100 Total bonds, par value 44,389 71,370 Discount notes, par value 16,217 27,447 Total consolidated obligations, par value $ 60,606 $ 98,817 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 December 31, 2020 or 2019. The Bank has generally elected to account for certain bonds with embedded features under the fair value |
Affordable Housing Program
Affordable Housing Program | 12 Months Ended |
Dec. 31, 2020 | |
Federal Home Loan Banks [Abstract] | |
Affordable Housing Program [Text Block] | Note 9 — Affordable Housing Program The FHLBank Act requires each FHLBank to establish an AHP. Each FHLBank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for households earning up to 80% of the median income for the area in which they live. Subsidies may be in the form of direct grants or below-market interest rate advances. Annually, the FHLBanks must set aside for their AHPs, in the aggregate, the greater of $100 or 10% of the current year's net earnings (income before interest expense related to dividends paid on mandatorily redeemable capital stock and the assessment for AHP). The Bank accrues its AHP assessment monthly based on its net earnings. If the Bank experienced a net loss during a quarter but still had net earnings for the year, the Bank’s obligation to the AHP would be calculated based on the Bank’s year-to-date net earnings. If the Bank had net earnings in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the amount of the AHP liability would be equal to zero, since each FHLBank’s required annual AHP contribution is limited to its annual net earnings. However, if the result of the aggregate 10% calculation is less than $100 for the FHLBanks combined, then the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100. The proration would be made on the basis of an FHLBank’s income in relation to the income of all the FHLBanks for the previous year. There was no AHP shortfall, as described above, in 2020, 2019, or 2018. If an FHLBank finds that its required AHP assessments are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make such an application in 2020, 2019, or 2018. The Bank’s total AHP assessments equaled $38, $38, and $43 during 2020, 2019, and 2018, respectively. These amounts were charged to earnings each year and recognized as a liability. As subsidies are disbursed, the AHP liability is reduced. The AHP liability was as follows: 2020 2019 2018 Balance, beginning of the period $ 152 $ 182 $ 204 AHP assessments 38 38 43 AHP voluntary contributions — 2 3 AHP grant payments (70) (70) (68) Balance, end of the period $ 120 $ 152 $ 182 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 12 Months Ended |
Dec. 31, 2020 | |
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 years ended December 31, 2020, 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 (4) (4) Non-credit-related OTTI loss (14) — (14) Net change in fair value (32) (38) (70) Accretion of non-credit-related OTTI loss 3 3 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI 2 — 2 Net current period other comprehensive income/(loss) (32) (50) 3 (4) (83) Balance, December 31, 2018 $ (32) $ 287 $ (3) $ (17) $ 235 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 3 3 Non-credit-related OTTI loss (6) — (6) Net change in fair value 53 (16) 37 Accretion of non-credit loss 2 2 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) 53 (19) 2 3 39 Balance, December 31, 2019 $ 21 $ 268 $ (1) $ (14) $ 274 Other comprehensive income/(loss) before reclassifications: Net change in fair value (45) — (45) Accretion of non-credit loss 1 1 Net current period other comprehensive income/(loss) (45) — 1 — (44) Adoption of ASU 2016-13, as amended (1) 268 (268) — Balance, December 31, 2020 $ 244 $ — $ — $ (14) $ 230 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 11 — Capital Capital Requirements. The Bank issues only one class of capital stock, Class B stock, with a par value of one hundred dollars per share, which may be redeemed (subject to certain conditions) upon five years' notice by the member to the Bank. In addition, at its discretion, under certain conditions, the Bank may repurchase excess capital stock at any time. (See “Excess Capital Stock” below for more information.) The capital stock may be issued, redeemed, and repurchased only at its stated par value, subject to certain statutory and regulatory requirements. The Bank may only redeem or repurchase capital stock from a shareholder if, following the redemption or repurchase, the shareholder will continue to meet its minimum capital stock requirement and the Bank will continue to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. Under the Housing and Economic Recovery Act of 2008, 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. Beginning in February 2020, the Finance Agency issued guidance that augmented existing statutory and regulatory capital requirements to require each FHLBank to maintain a ratio of at least two percent of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the FHLBank. The Finance Agency will consider the proportion of capital stock to assets, measured on a daily average basis at monthend, when assessing each FHLBank’s capital management practices. As of December 31, 2020, the Bank was in compliance with this capital guidance. 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 December 31, 2020 and 2019, the Bank was in compliance with these capital rules and requirements as shown in the following table. 2020 2019 Required Actual Required Actual Risk-based capital $ 1,404 $ 5,966 $ 1,519 $ 6,605 Total regulatory capital $ 2,745 $ 5,966 $ 4,274 $ 6,605 Total regulatory capital ratio 4.00 % 8.69 % 4.00 % 6.18 % Leverage capital $ 3,432 $ 8,949 $ 5,342 $ 9,908 Leverage ratio 5.00 % 13.04 % 5.00 % 9.27 % The Bank’s capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within limits established in the capital plan. Any changes to the capital plan must be approved by the Bank’s Board of Directors and the Finance Agency. A member's membership capital stock requirement is 1.0% of its membership asset value. The membership capital stock requirement for a member is capped at $15. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 to $50. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset factors. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to the Bank (although the factors may differ from the actual borrowing capacities, if any, assigned to particular assets pledged by a specific member at any point in time). A member's activity-based capital stock requirement is the sum of 2.7% of the member's outstanding advances plus 0.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank may adjust the activity-based capital stock requirement for all members within a range of 2.0% to 5.0% of the member's outstanding advances and a range of 0.0% to 5.0% of any portion of any mortgage loan purchased and held by the Bank. In November 2020, the Bank amended its capital plan, which resulted in a member’s activity capital stock requirement of 0.1% of notional balances for outstanding letters of credit and an authorized range for the letters of credit activity stock requirement of 0.1% to 1.0%. Any member may withdraw from membership and, subject to certain statutory and regulatory restrictions, have its capital stock redeemed after giving the required notice. Members that withdraw from membership may not reapply for membership for five years, in accordance with Finance Agency rules. Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. The Bank has a cooperative ownership structure under which members, former members, and certain other nonmembers own the Bank’s capital stock. Former members and certain other nonmembers are required to maintain their investment in the Bank's capital stock until their outstanding transactions are paid off or until their capital stock is redeemed following the relevant five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. Capital stock cannot be issued, repurchased, redeemed, or transferred except between the Bank and its members (or their affiliates and successors) at the capital stock's par value of one hundred dollars per share. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense. The Bank will not redeem or repurchase capital stock required to meet the minimum capital stock requirement until five years after the member's membership is terminated or after the Bank receives notice of the member's withdrawal, and the Bank will redeem or repurchase only the amounts that are in excess of the capital stock required to support activity (advances and mortgage loans) that may remain outstanding after the five-year redemption period has expired. In both cases, the Bank will only redeem or repurchase capital stock if certain statutory and regulatory conditions are met. In accordance with the Bank’s current practice, if activity-based capital stock becomes excess capital stock because an activity no longer remains outstanding, the Bank may repurchase the excess activity-based capital stock at its discretion, subject to certain statutory and regulatory conditions. The Bank had mandatorily redeemable capital stock totaling $2 outstanding to three institutions at December 31, 2020, and $138 outstanding to three institutions at December 31, 2019. The change in mandatorily redeemable capital stock for the years ended December 31, 2020, 2019, and 2018, was as follows: 2020 2019 2018 Balance at the beginning of the period $ 138 $ 227 $ 309 Reclassified from/(to) capital during the period 40 6 2 Repurchase of excess mandatorily redeemable capital stock (176) (95) (84) Balance at the end of the period $ 2 $ 138 $ 227 Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $5, $14, and $24 for the years ended December 31, 2020, 2019, and 2018 respectively. The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at December 31, 2020 and 2019. Contractual Redemption Period 2020 2019 Within 1 year $ — $ 135 Past contractual redemption date because of remaining activity (1) 2 3 Total $ 2 $ 138 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. A member may cancel its notice of redemption or notice of withdrawal from membership by providing written notice to the Bank prior to the end of the relevant five-year redemption period or the membership termination date. If the Bank receives the notice of cancellation within 30 months following the notice of redemption or notice of withdrawal, the member is charged a fee equal to fifty cents multiplied by the number of shares of capital stock affected. If the Bank receives the notice of cancellation more than 30 months following the notice of redemption or notice of withdrawal (or if the Bank does not redeem the member's capital stock because following the redemption the member would fail to meet its minimum capital stock requirement), the member is charged a fee equal to one dollar multiplied by the number of shares of capital stock affected. In certain cases the Board of Directors may waive a cancellation fee for bona fide business purposes. The Bank’s capital stock is considered putable by the shareholder. There are significant statutory and regulatory restrictions on the Bank’s obligation or ability to redeem outstanding capital stock, which include the following: • The Bank may not redeem any capital stock if, following the redemption, the Bank would fail to meet its minimum capital requirements for total capital, leverage capital, and risk-based capital. All of the Bank’s capital stock immediately becomes nonredeemable if the Bank fails to meet its minimum capital requirements. • The Bank may not be able to redeem any capital stock if either its Board of Directors or the Finance Agency determines that it has incurred or is likely to incur losses resulting in or expected to result in a charge against capital that would have any of the following effects: cause the Bank not to comply with its regulatory capital requirements, result in negative retained earnings, or otherwise create an unsafe and unsound condition at the Bank. • In addition to being able to prohibit capital stock redemptions, the Bank’s Board of Directors has a right to call for additional capital stock purchases by its members, as a condition of continuing membership, as needed for the Bank to satisfy its statutory and regulatory capital requirements. • If, during the period between receipt of a capital stock redemption notice and the actual redemption (a period that could last indefinitely), the Bank becomes insolvent and is either liquidated or merged with another FHLBank, the redemption value of the capital stock will be established either through the liquidation or the merger process. If the Bank is liquidated, after satisfaction of the Bank’s obligations to creditors and to the extent funds are then available, each shareholder will be entitled to receive the par value of its capital stock as well as any retained earnings in an amount proportional to the shareholder's share of the total shares of capital stock, subject to any limitations that may be imposed by the Finance Agency. In the event of a merger or consolidation, the Board of Directors will determine the rights and preferences of the Bank's shareholders, subject to any terms and conditions imposed by the Finance Agency. • The Bank may not redeem any capital stock if the principal or interest due on any consolidated obligations issued by the Office of Finance has not been paid in full. • The Bank may not redeem any capital stock if the Bank fails to provide the Finance Agency with the quarterly certification required by Finance Agency rules prior to declaring or paying dividends for a quarter. • The Bank may not redeem any capital stock if the Bank is unable to provide the required quarterly certification, projects that it will fail to comply with statutory or regulatory liquidity requirements or will be unable to fully meet all of its obligations on a timely basis, actually fails to satisfy these requirements or obligations, or negotiates to enter or enters into an agreement with another FHLBank to obtain financial assistance to meet its current obligations. Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory capital requirements. Based on Finance Agency interpretation, the classification of certain shares of the Bank’s capital stock as mandatorily redeemable does not affect the definition of total capital for purposes of: determining the Bank’s compliance with its regulatory capital requirements, calculating its mortgage-backed securities investment authority (300% of total capital), calculating its unsecured credit exposure to other GSEs (limited to 100% of total capital), or calculating its unsecured credit limits to other counterparties (various percentages of total capital depending on the rating of the counterparty). 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 Board may also revise or eliminate the dividend policy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations. 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 280% as of December 31, 2020. 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 had ranged from $2,400 to $2,500 during 2019 and continuing through September 2020. In September 2020, the methodology was revised and resulted in a required level of retained earnings of $2,900. In January 2021, the methodology was further revised and resulted in a required level of retained earnings of $1,900. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) 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 JCE Agreement is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account, calculated as of the last day of each calendar quarter, equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the calendar quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. With the decline in consolidated obligations outstanding in 2020, the Bank ceased contributions to restricted retained earnings in the fourth quarter of 2020, in accordance with the JCE Agreement; and no further allocations of net income into restricted retained earnings are required until such time as the allocation requirement exceeds the balance of restricted retained earnings. The Bank’s restricted retained earnings totaled $761 and $713 at December 31, 2020 and 2019, respectively. The Bank’s unrestricted retained earnings totaled $2,919 and $2,754 at December 31, 2020 and 2019, respectively. Partial Recovery of Prior Capital Distribution to Financing Corporation – The Competitive Equality Banking Act of 1987 was enacted in August 1987, to, among other things, provide for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation. Capital distributions from the FHLBanks provided the capitalization of the Financing Corporation, in exchange for Financing Corporation nonvoting capital stock. Capital distributions made by the FHLBanks in 1987, 1988, and 1989, aggregated to $680. Upon passage of the Financial Institutions Reform, Recovery, and Enforcement Act of 1989, the Bank’s previous investment in the Financing Corporation’s capital stock was determined to be non-redeemable; the Bank charged off its prior capital distributions to the Financing Corporation directly against retained earnings. On October 2, 2019, the Financing Corporation commenced the process of dissolution and determined that excess funds aggregating to $200 were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery, which was determined based on its share of the $680 originally contributed, approximated $40. The Financing Corporation dissolved on July 6, 2020. The Bank received these funds in the second quarter of 2020 and treated receipt of these funds as a return of the Bank’s investment in Financing Corporation capital stock, and therefore as a partial recovery of the prior capital distributions made by the Bank to the Financing Corporation in 1987, 1988, and 1989. These funds were credited to unrestricted retained earnings. 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. Excess capital stock totaled $161, or 0.23% of total assets as of December 31, 2020. Excess capital stock totaled $197, or 0.18% of total assets as of December 31, 2019. In 2020, the Bank paid dividends at an annualized rate of 5.53%, totaling $164, including $159 in dividends on capital stock and $5 in dividends on mandatorily redeemable capital stock. In 2019, the Bank paid dividends at an annualized rate of 7.00%, totaling $220, including $206 in dividends on capital stock and $14 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 February 18, 2021, the Bank’s Board of Directors declared a quarterly cash dividend on the capital stock outstanding during the fourth quarter of 2020 at an annualized rate of 5.00%, totaling $30, including $30 in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on February 18, 2021. The Bank expects to pay the dividend on March 18, 2021. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the first quarter of 2021. 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 $1,641 and $1,224 in excess capital stock during 2020 and 2019, 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 2020 and 2019, 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. 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 December 31, 2020 or 2019. 2020 2019 Name of Institution Capital Stock Percentage Capital Stock Percentage First Republic Bank $ 354 16 % $ 368 12 % MUFG Union Bank, National Association 142 6 394 12 Subtotal 496 22 762 24 Others 1,790 78 2,376 76 Total $ 2,286 100 % $ 3,138 100 % |
Employee Retirement Plans and I
Employee Retirement Plans and Incentive Compensation Plans | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Pension and Other Postretirement Benefits Disclosure [Text Block] | Note 12 — Employee Retirement Plans and Incentive Compensation Plans Defined Benefit Plans Qualified Defined Benefit Plan. The Bank provides retirement benefits through a Bank-sponsored Cash Balance Plan, a qualified defined benefit plan. The Cash Balance Plan is provided to all employees who have completed six months of Bank service. Under the plan, during the years ended December 31, 2020 and 2019, each eligible Bank employee accrued benefits annually equal to 6% of the employee's annual compensation, plus 6% interest on the benefits accrued to the employee through the prior yearend. The Cash Balance Plan is funded through a qualified trust established by the Bank. Non-Qualified Defined Benefit Plans. The Bank sponsors the following non-qualified defined benefit retirement plans: • Benefit Equalization Plan, a non-qualified retirement plan restoring benefits offered under the Cash Balance Plan that are limited by laws governing the plan. See below for further discussion of the defined contribution portion of the Benefit Equalization Plan. • Supplemental Executive Retirement Plan (SERP), a non-qualified unfunded retirement benefit plan available to the Bank's eligible senior officers, which generally provides a service-linked supplemental cash balance annual contribution credit to SERP participants and an annual interest credit of 6% on the benefits accrued to the SERP participants through the prior yearend. • Deferred Compensation Plan, a non-qualified retirement plan available to all eligible Bank employees, which provides make-up pension benefits that would have been earned under the Cash Balance Plan had the compensation not been deferred. The make-up benefits vest according to the corresponding provisions of the Cash Balance Plan. See below for further discussion of the defined contribution portion of the Deferred Compensation Plan. Postretirement Health Benefit Plan. The Bank provides a postretirement health benefit plan to employees that meet certain eligibility criteria. Changes in health care cost trend rates will not have a material effect on the Bank's accumulated postretirement benefit obligation or service and interest costs because benefit plan premiums are generally paid by the retirees. The following table presents the fair value of plan assets as well as the funded status that is recognized in other assets/(liabilities) in the Statements of Condition for the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan at December 31, 2020 and 2019. 2020 2019 Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Fair value of plan assets $ 86 $ — $ — $ 74 $ — $ — Funded status 7 (21) (2) 6 (20) (2) Amounts recognized in AOCI at December 31, 2020 and 2019, consist of: 2020 2019 Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Net loss/(gain) $ 14 $ 1 $ (1) $ 14 $ 1 $ (1) The following table presents information for pension plans with assets in excess of benefit obligations and for pension plans with benefit obligations in excess of plan assets at December 31, 2020 and 2019. 2020 2019 Cash Balance Plan Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Plan Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Projected benefit obligation $ 79 $ 21 $ 2 $ 68 $ 20 $ 2 Accumulated benefit obligation 78 20 2 67 20 2 Fair value of plan assets 86 — — 74 — — The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Financial Times Stock Exchange (FTSE) Pension Discount Curve at the measurement date. The FTSE Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date. The discount rate used to determine the benefit obligations for the Cash Balance Plan and non-qualified defined benefit plans was 1.75% for 2020 and 2.75% for 2019. The discount rate used to determine the benefit obligations for the post-retirement health benefit plan was 2.25% for 2020 and 3.00% for 2019. The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2020 and 2019, by asset category. See Note 15 – Fair Value for further information regarding the three levels of fair value measurement. 2020 2019 Fair Value Measurement Using: Fair Value Measurement Using: Asset Category Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Cash and cash equivalents $ 1 $ — $ — $ 1 $ 2 $ — $ — $ 2 Equity mutual funds 55 — — 55 46 — — 46 Fixed income mutual funds 23 — — 23 21 — — 21 Real estate mutual funds 4 — — 4 3 — — 3 Other mutual funds 3 — — 3 2 — — 2 Total $ 86 $ — $ — $ 86 $ 74 $ — $ — $ 74 The Cash Balance Plan is administered by the Bank's Retirement Committee, which establishes the plan's Statement of Investment Policy and Objectives. The Retirement Committee has adopted a strategic asset allocation based on a stable distribution of assets among major asset classes. These asset classes include domestic large-, mid-, and small-capitalization equity investments; international equity investments; real return investments; and fixed income investments. The Retirement Committee has set the Cash Balance Plan's target allocation percentages for a mix of 60% equity, 10% real return, and 30% fixed income. The Retirement Committee reviews the performance of the Cash Balance Plan on a regular basis. The Cash Balance Plan's weighted average asset allocation at December 31, 2020 and 2019, by asset category was as follows: Asset Category 2020 2019 Cash and cash equivalents 2 % 2 % Equity mutual funds 64 63 Fixed income mutual funds 27 28 Real estate mutual funds 4 4 Other mutual funds 3 3 Total 100 % 100 % The Bank contributed $3 in 2020 and expects to contribute $3 in 2021 to the Cash Balance Plan. The Bank contributed $2 in 2020 and expects to contribute $3 in 2021 to the non-qualified defined benefit plans and postretirement health benefit plan. The following are the estimated future benefit payments, which reflect expected future service, as appropriate: Year Cash Balance Non-Qualified Postretirement 2021 $ 4 $ 3 $ — 2022 5 5 — 2023 4 1 — 2024 4 3 — 2025 27 3 — 2026 – 2030 21 6 1 Defined Contribution Plans Retirement Savings Plan. The Bank sponsors a qualified defined contribution retirement 401(k) savings plan, the Federal Home Loan Bank of San Francisco Savings Plan (Savings Plan). Contributions to the Savings Plan consist of elective participant contributions of up to 75% of each participant's base compensation and a Bank matching contribution of up to 6% of each participant's base compensation. The Bank contributed approximately $3, $2, and $2 during the years ended December 31, 2020, 2019, and 2018, respectively. Benefit Equalization Plan. The Bank sponsors a non-qualified retirement plan restoring benefits offered under the Savings Plan that have been limited by laws governing the plan. Contributions made during the years ended December 31, 2020, 2019, and 2018, were de minimis. Deferred Compensation Plan. The Bank maintains a deferred compensation plan that is available to all eligible Bank employees. The defined contribution portion of the plan consists of two components: (i) employee or director deferral of current compensation, and (ii) make-up matching contributions for employees that would have been made by the Bank under the Savings Plan had the compensation not been deferred. The make-up benefits under the Deferred Compensation Plan vest according to the corresponding provisions of the Savings Plan. The Deferred Compensation Plan liability consists of the accumulated compensation deferrals and accrued earnings on the deferrals, as well as the make-up matching contributions and any accrued earnings on the contributions. The Bank’s obligation for this plan at December 31, 2020, 2019, and 2018, was $57, $49, and $41, respectively. Incentive Compensation Plans The Bank provides incentive compensation plans for its employees, including senior officers. Other liabilities include $17 and $17 for incentive compensation at December 31, 2020 and 2019, respectively. |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2020 | |
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, excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” AHP assessments are not included in the segment reporting analysis but are incorporated into the Bank’s overall assessment of financial performance. The advances-related business consists of advances and other credit products, related financing and hedging instruments, other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on all assets associated with the business activities in this segment and the cost of funding those activities, including the net settlements from associated interest rate exchange agreements, and from earnings attributed to the Bank’s capital stock and retained earnings. The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program, consolidated obligations specifically identified as funding those assets, and related hedging instruments. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets. This includes the net settlements from associated interest rate exchange agreements and net accretion related income, which is a result of improvement in expected cash flows on certain PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, less the provision for credit losses on mortgage loans and MBS. The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2020, 2019, and 2018. Advances- Mortgage- Related Business (1) Adjusted Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges (2) Income/(Expense) on Economic Hedges (3) Interest Expense on Mandatorily Redeemable Capital Stock (4) Net Other Other Income/(Loss) 2020 $ 247 $ 208 $ 455 $ 54 $ (83) $ 5 $ 479 $ 59 $ 165 $ 373 2019 307 256 563 34 (16) 14 531 21 187 365 2018 320 291 611 (1) (13) 24 601 (11) 187 403 (1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $70, $78, and $81 for the years ended December 31, 2020, 2019, and 2018, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses of $26 for the year ended December 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $11 for each of the years ended December 31, 2019 and 2018. (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 December 31, 2020, 2019, and 2018. Advances- Mortgage- Total 2020 $ 50,876 $ 17,758 $ 68,634 2019 85,709 21,133 106,842 2018 88,272 21,054 109,326 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2020 | |
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 with an executing bank or broker-dealer, either on or off a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization (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 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 clearinghouse. 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 interest rate exchange agreement 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 based on a daily repricing index, such as SOFR or the effective Fed Funds 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 as well as agency MBS. 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 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 may execute callable swaps in conjunction with the issuance of short-term or adjustable rate consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. This type of hedge is treated as an economic hedge. 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 Note 1 – Summary of Significant Accounting Policies. The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of December 31, 2020 and 2019. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. 2020 2019 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments: Interest rate swaps $ 35,060 $ 88 $ 128 $ 39,622 $ 31 $ 370 Total 35,060 88 128 39,622 31 370 Derivatives not designated as hedging instruments: Interest rate swaps 42,804 4 16 60,424 13 14 Interest rate caps and floors 780 — — 980 — — Mortgage delivery commitments 1 — — 46 — — Total 43,585 4 16 61,450 13 14 Total derivatives before netting and collateral adjustments $ 78,645 92 144 $ 101,072 44 384 Netting adjustments and cash collateral (1) (89) (132) (11) (384) Total derivative assets and total derivative liabilities $ 3 $ 12 $ 33 $ — (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $72 and $378 at December 31, 2020 and 2019, respectively. Cash collateral received, including accrued interest, was $30 and $5 at December 31, 2020 and 2019, 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 years ended December 31, 2020, 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. 2020 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 598 $ 243 $ (437) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (687) $ (866) $ 27 Hedged items 387 678 (4) Net gain/(loss) on fair value hedging relationships (300) (188) 23 Net amortization of gain on discontinued fair value hedging relationships (5) (50) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (305) $ (238) $ 23 2019 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 1,677 $ 394 $ (1,631) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (225) $ (377) $ 41 Hedged items 240 341 (57) Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ 15 $ (36) $ (16) 2018 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Net Gain/(Loss) on Derivatives and Hedging Activities Total interest income/(expense) presented in the Statements of Income $ 1,563 $ 247 $ (1,393) $ 5 Gain/(loss) on fair value hedging relationships Derivatives (2) $ 51 $ 3 $ (20) $ (164) Hedged items 157 Net gain/(loss) on fair value hedging relationships $ 51 $ 3 $ (20) $ (7) (1) Upon adoption of hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2020 and 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 December 31, 2020 and 2019. 2020 2019 Advances AFS Securities Consolidated Obligation Bonds Advances AFS Securities Consolidated Obligation Bonds Amortized cost of hedged asset/(liability) (1) $ 23,605 $ 11,557 $ (3,645) $ 22,900 $ 12,877 $ (4,840) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ 477 $ 43 $ (13) $ 204 $ 431 $ (9) Discontinued hedging relationships included in amortized cost 32 1,016 — — — — Total amount of fair value hedging basis adjustments $ 509 $ 1,059 $ (13) $ 204 $ 431 $ (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 years ended December 31, 2020, 2019, and 2018. 2020 2019 2018 Derivatives not designated as hedging instruments Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives designated as hedging instruments: Interest rate swaps $ (7) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (73) $ (79) 15 Interest rate caps and floors — (2) — Net settlements (83) (16) (13) Mortgage delivery commitments 3 4 13 Total net gain/(loss) related to derivatives not designated as hedging instruments (153) (93) 15 Price alignment amount (1) 1 1 (3) Net gain/(loss) on derivatives and hedging activities $ (152) $ (92) $ 5 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. Credit Risk – The Bank is subject to credit risk from 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 December 31, 2020, was $66, for which the Bank had posted cash collateral of $59 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 tables present 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 December 31, 2020 and 2019. 2020 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 85 $ (85) $ — $ — $ — Cleared 7 (4) 3 (379) 382 Total $ 3 $ 382 Derivative Liabilities Uncleared $ 124 $ (114) $ 10 $ — $ 10 Cleared 20 (18) 2 — 2 Total $ 12 $ 12 2019 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 34 $ (16) $ 18 $ — $ 18 Cleared 10 5 15 (381) 396 Total $ 33 $ 414 Derivative Liabilities Uncleared $ 382 $ (382) $ — $ — $ — Cleared 2 (2) — — — Total $ — $ — |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2020 | |
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 December 31, 2020 and 2019. 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 net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2020 and 2019. 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. 2020 Net Carrying Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 174 $ 174 $ 174 $ — $ — $ — Interest-bearing deposits 1,078 1,078 1,078 — — — Securities purchased under agreements to resell 7,250 7,250 — 7,250 — — Federal funds sold 1,880 1,880 — 1,880 — — Trading securities 4,260 4,260 — 4,260 — — AFS securities 15,679 15,679 — 13,644 2,035 — HTM securities 5,081 5,115 — 4,827 288 — Advances 30,976 31,166 — 31,166 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 1,935 1,941 — 1,941 — — Accrued interest receivable 82 82 — 82 — — Derivative assets, net (1) 3 3 — 92 — (89) Other assets (2) 22 22 22 — — — Liabilities Deposits 887 887 — 887 — — Consolidated obligations: Bonds 44,408 44,457 — 44,457 — — Discount notes 16,213 16,214 — 16,214 — — Total consolidated obligations 60,621 60,671 — 60,671 — — Mandatorily redeemable capital stock 2 2 2 — — — Accrued interest payable 24 24 — 24 — — Derivative liabilities, net (1) 12 12 — 144 — (132) Other Standby letters of credit 36 36 — 36 — — 2019 Carrying Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 118 $ 118 $ 118 $ — $ — $ — Interest-bearing deposits 2,269 2,269 2,269 — — — Securities purchased under agreements to resell 7,000 7,000 — 7,000 — — Federal funds sold 3,562 3,562 — 3,562 — — Trading securities 1,766 1,766 — 1,766 — — AFS securities 15,495 15,495 — 12,898 2,597 — HTM securities 7,545 7,566 — 7,181 385 — Advances 65,374 65,492 — 65,492 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 3,314 3,332 — 3,332 — — Accrued interest receivable 139 139 — 139 — — Derivative assets, net (1) 33 33 — 44 — (11) Other assets (2) 19 19 19 — — — Liabilities Deposits 537 537 — 537 — — Consolidated obligations: Bonds 71,372 71,386 — 71,386 — — Discount notes 27,376 27,378 — 27,378 — — Total consolidated obligations 98,748 98,764 — 98,764 — — Mandatorily redeemable capital stock 138 138 138 — — — Accrued interest payable 164 164 — 164 — — Derivative liabilities, net (1) — — — 384 — (384) Other Standby letters of credit 32 32 — 32 — — (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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. • 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 December 31, 2020: • 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. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. 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 December 31, 2020, 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 – Non-MBS – To determine the estimated fair values of non-MBS investments, the Bank uses a market approach using prices from third-party pricing vendors, generally consistent with the methodologies for MBS. The Bank believes that its methodologies result in fair values that are reasonable and similar in all material respects based on the nature of the financial instruments being measured. 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 following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2020 and 2019, by level within the fair value hierarchy. December 31, 2020 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 4,257 $ — $ — $ 4,257 MBS – Other U.S. obligations – Ginnie Mae — 3 — — 3 Total trading securities — 4,260 — — 4,260 AFS securities: U.S. obligations – Treasury securities — 4,983 — — 4,983 MBS: GSEs – multifamily — 8,661 — — 8,661 PLRMBS — — 2,035 — 2,035 Subtotal MBS — 8,661 2,035 — 10,696 Total AFS securities — 13,644 2,035 — 15,679 Advances (2) — 2,147 — — 2,147 Derivative assets, net: interest rate-related — 92 — (89) 3 Other assets 22 — — — 22 Total recurring fair value measurements – Assets $ 22 $ 20,143 $ 2,035 $ (89) $ 22,111 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 111 $ — $ — $ 111 Derivative liabilities, net: interest rate-related — 144 — (132) 12 Total recurring fair value measurements – Liabilities $ — $ 255 $ — $ (132) $ 123 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 18 $ — $ 18 Total nonrecurring fair value measurements – Assets $ — $ — $ 18 $ — $ 18 December 31, 2019 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 1,762 $ — $ — $ 1,762 MBS – Other U.S. obligations – Ginnie Mae — 4 — — 4 Total trading securities — 1,766 — — 1,766 AFS securities: U.S. obligations – Treasury securities — 5,288 — — 5,288 MBS: GSEs – multifamily — 7,610 — — 7,610 PLRMBS — — 2,597 — 2,597 Subtotal MBS — 7,610 2,597 — 10,207 Total AFS securities — 12,898 2,597 — 15,495 Advances (2) — 4,370 — — 4,370 Derivative assets, net: interest rate-related — 44 — (11) 33 Other assets 19 — — — 19 Total recurring fair value measurements – Assets $ 19 $ 19,078 $ 2,597 $ (11) $ 21,683 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 337 $ — $ — $ 337 Derivative liabilities, net: interest rate-related — 384 — (384) — Total recurring fair value measurements – Liabilities $ — $ 721 $ — $ (384) $ 337 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 1 $ — $ 1 Total nonrecurring fair value measurements – Assets $ — $ — $ 1 $ — $ 1 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty. (2) Represents advances recorded under the fair value option at December 31, 2020 and 2019. (3) Represents consolidated obligation bonds recorded under the fair value option at December 31, 2020 and 2019. (4) The fair value information presented is as of the date the fair value adjustment was recorded during the years ended December 31, 2020 and 2019. The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2020, 2019, and 2018. 2020 2019 2018 Balance, beginning of the period $ 2,597 $ 3,157 $ 3,833 Total gain/(loss) realized and unrealized included in: Interest income 70 78 81 (Provision for)/reversal of credit losses (25) Other income, net — (14) (23) Unrealized gain/(loss) included in AOCI (111) (16) (38) Settlements (499) (609) (708) Transfers of HTM securities to AFS securities 3 1 12 Balance, end of the period $ 2,035 $ 2,597 $ 3,157 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 $ 45 $ 62 $ 70 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. The Bank elected the fair value option for certain financial instruments as follows: • Adjustable rate advances with embedded caps and floors • Callable fixed rate advances • Putable fixed rate advances • Fixed rate advances with partial prepayment symmetry • Callable or non-callable floating rate consolidated obligation bonds with embedded caps • Convertible consolidated obligation bonds • Adjustable or fixed rate range accrual consolidated obligation bonds • Ratchet consolidated obligation bonds • Adjustable rate advances indexed to certain indices such as the Prime Rate, U.S. Treasury bill, and Effective Federal funds Rate • Adjustable rate consolidated obligation bonds indexed to certain indices like the Prime Rate and U.S. Treasury bill • Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank’s option on the step-up dates • Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank’s option on the step-down dates 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 recording fair value changes of only the hedging derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2020, 2019, and 2018: 2020 2019 2018 Advances Consolidated Advances Consolidated Advances Consolidated Balance, beginning of the period $ 4,370 $ 337 $ 5,133 $ 2,019 $ 6,431 $ 949 New transactions elected for fair value option 7,070 — 2,324 — 1,918 1,313 Maturities and terminations (9,373) (225) (3,200) (1,688) (3,192) (245) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings 85 — 116 15 (25) (4) Change in accrued interest (5) (1) (3) (9) 1 6 Balance, end of the period $ 2,147 $ 111 $ 4,370 $ 337 $ 5,133 $ 2,019 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 years ended December 31, 2020, 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 December 31, 2020 and 2019: 2020 2019 Principal Balance Fair Value Fair Value Principal Balance Fair Value Fair Value Advances (1) $ 2,017 $ 2,147 $ 130 $ 4,287 $ 4,370 $ 83 Consolidated obligation bonds 110 111 1 335 337 2 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
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 December 31, 2020, 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 $746,722 at December 31, 2020, and $1,025,895 at December 31, 2019. The par value of the Bank’s participation in consolidated obligations was $60,606 at December 31, 2020, and $98,817 at December 31, 2019. The joint and several liability regulation provides a general framework for addressing the possibility that an FHLBank may be unable to repay its participation in the consolidated obligations for which it is the primary obligor. In accordance with this regulation, the president of each FHLBank is required to provide a quarterly certification that, among other things, the FHLBank will remain capable of making full and timely payment of all its current obligations, including direct obligations. In addition, the regulation requires that an FHLBank must provide written notice to the Finance Agency if at any time the FHLBank is unable to provide the quarterly certification; projects that it will be unable to fully meet all of its current obligations, including direct obligations, on a timely basis during the quarter; or negotiates or enters into an agreement with another FHLBank for financial assistance to meet its obligations. If an FHLBank gives any one of these notices (other than in a case of a temporary interruption in the FHLBank’s debt servicing operations resulting from an external event such as a natural disaster or a power failure), it must promptly file a consolidated obligations payment plan for Finance Agency approval specifying the measures the FHLBank will undertake to make full and timely payments of all its current obligations. Notwithstanding any other provisions in the regulation, the regulation provides that the Finance Agency in its discretion may at any time order any FHLBank to make any principal or interest payment due on any consolidated obligation. To the extent an FHLBank makes any payment on any consolidated obligation on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank that is the primary obligor, which will have a corresponding obligation to reimburse the FHLBank for the payment and associated costs, including interest. The regulation also provides that the Finance Agency may allocate the outstanding liability of an FHLBank for consolidated obligations among the other FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. Off-balance sheet commitments as of December 31, 2020 and 2019, were as follows: 2020 2019 Expire Within Expire After Total Expire Within Expire After Total Standby letters of credit outstanding $ 14,838 $ 4,551 $ 19,389 $ 16,898 $ 4,658 $ 21,556 Commitments to issue consolidated obligation discount notes, par — — — 805 — 805 Commitments to purchase mortgage loans 1 — 1 46 — 46 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. At December 31, 2020, the original terms of these standby letters of credit range from 4 days to 15 years, including a final expiration in 2035. 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 $36 and $32 at December 31, 2020 and 2019, respectively. 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 for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of December 31, 2020 and 2019. There were no commitments to fund advances at December 31, 2020 and 2019. Advances funded under advance commitments are fully collateralized at the time of funding. The Bank had previously entered 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 has pledged securities as collateral related to derivatives. See Note 14 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features. As of December 31, 2020, the Bank had pledged total collateral of $451, including securities with a carrying value of $379, all of which may be repledged, and cash collateral and related accrued interest of $72 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. As of December 31, 2019, the Bank had pledged total collateral of $759, including securities with a carrying value of $381, all of which may be repledged, and cash collateral and related accrued interest of $378 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations. Other commitments and contingencies are discussed in Note 1 – Summary of Significant Accounting Policies, Note 5 – Advances, Note 6 – Mortgage Loans Held for Portfolio, Note 8 – Consolidated Obligations, Note 9 – Affordable Housing Program, Note 11 – Capital, Note 12 – Employee Retirement Plans and Incentive Compensation Plans, and Note 14 – Derivatives and Hedging Activities. |
Transactions with Certain Membe
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Note 17 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks Transactions with Members and Nonmembers. The Bank has a cooperative ownership structure under which current member institutions, certain former members, and certain other nonmembers own the capital stock of the Bank. Former members and nonmembers that have outstanding transactions with the Bank are required to maintain their investment in the Bank’s capital stock until their outstanding transactions mature or are paid off or until their capital stock is redeemed following the five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank’s capital requirements. (For further information on concentration risk, see Note 11 – Capital and Note 5 – Advances.) Under the FHLBank Act and Finance Agency regulations, each member eligible to vote is entitled to cast by ballot one vote for each share of stock that it was required to hold as of the record date, which is December 31, of the year prior to each election, subject to the limitation that no member may cast more votes than the average number of shares of the Bank’s stock that are required to be held by all members located in such member's state. As of and for the three-year period ended December 31, 2020, no shareholder owned 10% or more of the total voting interests in the Bank because of this statutory limit on members' voting rights. All advances are made to members, and all mortgage loans held for portfolio were purchased from members. The Bank also maintains deposit accounts for members, certain former members, and certain other nonmembers primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members and their affiliates are entered into in the ordinary course of business. The Bank may invest in Federal funds sold, interest-bearing deposits, commercial paper, and MBS and executes derivative transactions with members or their affiliates. The Bank purchases MBS through securities brokers or dealers and executes all MBS investments without preference to the status of the counterparty or the issuer of the investment as a nonmember, member, or affiliate of a member. When the Bank executes non-MBS investments with a member, the Bank may give consideration to the member’s secured credit and the Bank’s advances pricing. As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between exactly offsetting derivative transactions with members and other counterparties. These transactions were executed at market rates. The FHLBank Act requires the Bank to establish an AHP. The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for households earning up to 80% of the median income for the area in which they live. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business. The FHLBank Act also requires the Bank to establish a Community Investment Program and authorizes the Bank to offer additional Community Investment Cash Advance (CICA) programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances to members or standby letters of credit for members for community lending and economic development projects. Only Bank members may submit applications for CICA subsidies. All CICA subsidies are made in the ordinary course of business. In instances where the member has an officer or director serving on the Bank’s Board of Directors, all of the aforementioned transactions with the member are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members, in accordance with regulations governing the operations of the FHLBanks. 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. December 31, 2020 December 31, 2019 Assets: Advances $ 2,650 $ 3,697 Mortgage loans held for portfolio — 8 Accrued interest receivable 3 6 Liabilities: Deposits $ 27 $ 22 Capital: Capital Stock $ 103 $ 132 For the Years Ended December 31, 2020 2019 2018 Interest Income: Advances $ 75 $ 87 $ 81 Mortgage loans held for portfolio — — 1 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 at December 31, 2020 and 2019, and were recorded as “Interest-bearing deposits” in the Statements of Condition. 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 years ended December 31, 2020, 2019, and 2018, the Bank extended overnight loans to other FHLBanks for $925, $1,450, and $780, respectively. During the years ended December 31, 2020, 2019, and 2018 the Bank borrowed $895, $2,245, and $2,020, 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 membership fee to the FHLBank of Chicago for its participation in the MPF Program and a transaction services fee that is assessed monthly based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the years ended December 31, 2020, 2019, and 2018, the Bank recorded $2, $3, and $2, respectively, 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. 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 years ended December 31, 2020, 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 years ended December 31, 2020, 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. |
Other (Notes)
Other (Notes) | 12 Months Ended |
Dec. 31, 2020 | |
Other [Abstract] | |
Other Operating Income and Expense [Text Block] | Note 18 — Other The table below discloses the categories included in other operating expense for the years ended December 31, 2020, 2019, and 2018. 2020 2019 2018 Professional and contract services $ 36 $ 38 $ 37 Travel — 2 2 Occupancy 11 15 10 Equipment 6 8 12 Other 7 10 6 Total $ 60 $ 73 $ 67 |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Note 19 — Subsequent Events There were no material events identified, subsequent to December 31, 2020, until the time of the Form 10-K filing with the Securities and Exchange Commission. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies / Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
New Accounting Pronouncements, Policy | Recently Issued and Accounting Guidance, Not Yet Adopted Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04) This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: This guidance is effective immediately for the Bank, and the Bank may elect to apply the amendments prospectively through December 31, 2022. The Bank has assessed the guidance and plans to elect some of the optional expedients and exceptions provided; however, the full effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. In particular, during the fourth quarter of 2020, the Bank elected optional expedients specific to the discounting transition on a retrospective basis, which did not have a material effect. Recently Adopted Accounting Guidance ASU Description Effective Date Effect on the Financial Statements or Other Significant Matters 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 became effective for the Bank for the annual period ended December 31, 2020, and the annual periods thereafter. The adoption of this guidance affected the Bank’s disclosures but did not have any effect on the Bank’s financial condition, results of operations, or cash flows. 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 became effective for the Bank for the interim and annual periods beginning on January 1, 2020. The guidance was adopted as of January 1, 2020. The adoption of this guidance did 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 became effective for the Bank for the interim and annual periods beginning on January 1, 2020. The guidance was adopted as of January 1, 2020. The adoption of this guidance impacted the Bank’s disclosures but did not have any effect on the Bank’s financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments, as amended (ASU 2016-13) The guidance replaces the current incurred loss impairment 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. The guidance also requires, among other things, credit losses relating to AFS securities to be recorded through an allowance for credit losses and expands disclosure requirements. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2020. This guidance was adopted using a modified retrospective basis as of January 1, 2020. Upon adoption, this guidance had no effect on advances or U.S. obligations and GSEs investments. The adoption of this guidance had an immaterial effect on the remaining investment portfolio given the specific terms, issuer guarantees, and collateralized/securitized nature of these instruments, on mortgage loans, and on the Bank’s financial condition, results of operations, and cash flows. |
Subsequent Events, Policy [Policy Text Block] | There were no material events identified, subsequent to December 31, 2020, until the time of the Form 10-K filing with the Securities and Exchange Commission. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: • accounting for derivatives; • estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and • estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded prior to the adoption of new accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates. |
Credit Loss, Financial Instrument [Policy Text Block] | Adoption of Measurement of Credit Losses on Financial Instruments Accounting Guidance. Beginning January 1, 2020, the Bank adopted, on a modified retrospective basis, new accounting guidance related to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as AFS securities to be recorded through the allowance for credit losses. Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. |
Derivatives Credit Policy [Policy Text Block] | The Bank is subject to credit risk from 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 with an executing bank or broker-dealer, either on or off a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization (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 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 clearinghouse. 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 interest rate exchange agreement 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 based on a daily repricing index, such as SOFR or the effective Fed Funds 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 as well as agency MBS. 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 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 may execute callable swaps in conjunction with the issuance of short-term or adjustable rate consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. This type of hedge is treated as an economic hedge. 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 Note 1 – Summary of Significant Accounting Policies. |
Derivatives, Embedded Derivatives | When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at December 31, 2020 or 2019. 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. |
Stockholders' Equity, Policy | Under the Housing and Economic Recovery Act of 2008, 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. Beginning in February 2020, the Finance Agency issued guidance that augmented existing statutory and regulatory capital requirements to require each FHLBank to maintain a ratio of at least two percent of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the FHLBank. The Finance Agency will consider the proportion of capital stock to assets, measured on a daily average basis at monthend, when assessing each FHLBank’s capital management practices. As of December 31, 2020, the Bank was in compliance with this capital guidance. 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, excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” AHP assessments are not included in the segment reporting analysis but are incorporated into the Bank’s overall assessment of financial performance. The advances-related business consists of advances and other credit products, related financing and hedging instruments, other non-MBS investments associated with the Bank’s role as a liquidity provider, and capital. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on all assets associated with the business activities in this segment and the cost of funding those activities, including the net settlements from associated interest rate exchange agreements, and from earnings attributed to the Bank’s capital stock and retained earnings. The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program, consolidated obligations specifically identified as funding those assets, and related hedging instruments. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets. This includes the net settlements from associated interest rate exchange agreements and net accretion related income, which is a result of improvement in expected cash flows on certain PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, less the provision for credit losses on mortgage loans and MBS. |
Fair Value of Financial Instruments, Policy | The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: • Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. • 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 December 31, 2020: • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets The Bank elected the fair value option for certain financial instruments as follows: • Adjustable rate advances with embedded caps and floors • Callable fixed rate advances • Putable fixed rate advances • Fixed rate advances with partial prepayment symmetry • Callable or non-callable floating rate consolidated obligation bonds with embedded caps • Convertible consolidated obligation bonds • Adjustable or fixed rate range accrual consolidated obligation bonds • Ratchet consolidated obligation bonds • Adjustable rate advances indexed to certain indices such as the Prime Rate, U.S. Treasury bill, and Effective Federal funds Rate • Adjustable rate consolidated obligation bonds indexed to certain indices like the Prime Rate and U.S. Treasury bill • Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank’s option on the step-up dates • Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank’s option on the step-down dates 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 recording fair value changes of only the hedging derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. |
Fair Value Transfer, Policy | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. |
Commitments and Contingencies, Policy | Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition. |
Investment, Policy | Interest-bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal Funds sold with counterparties that are considered by the Bank to be of investment quality. Interest-bearing deposits include interest-bearing deposits in banks not meeting the definition of a security. Interest income on these investments is accrued as earned and recorded in interest income on the Statements of Income. Accrued interest receivable is recorded separately on the Statements of Condition. These investments are evaluated quarterly for expected credit losses. If applicable, an allowance for credit loss is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The Bank treats securities purchased under agreements to resell as collateralized financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s cost. Prior to January 1, 2020, if an agreement to resell was deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement was charged to earnings. See Note 4 – Investments for details on the allowance methodologies relating to interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. Investment Securities. The Bank classifies investments as trading, AFS, or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs. The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI). HTM securities are carried at cost, adjusted for periodic principal repayments, amortization of premiums and accretion of discounts, and previous credit loss recognized in net income and AOCI recorded prior to January 1, 2020. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity. Certain changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest rate risk is substantially eliminated as a pricing factor and changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. On a quarterly basis, the Bank evaluates its individual AFS investment securities in an unrealized loss position for impairment. A security is considered impaired when its fair value is less than its amortized cost basis. With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The allowance is limited by the amount of the unrealized loss. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. If management intends to sell an impaired security classified as AFS, or more likely than not will be required to sell the security before expected recovery of its amortized cost basis, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date with any incremental impairment reported in earnings as net unrealized gain/(loss) on AFS securities. If management does not intend to sell an impaired security classified as AFS and it is not more likely than not that management will be required to sell the debt security, then the credit portion of the difference is recognized as an allowance for credit losses and any remaining difference between the security’s fair value and amortized cost is recorded to net unrealized gain/(loss) on AFS securities within other comprehensive income/(loss). Prior to January 1, 2020, credit losses were recorded as a direct write-down of the AFS security carrying value. For improvements in cash flows of AFS securities, interest income follows the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020, and recoveries of amounts previously written off are recorded when received. AFS securities with a credit loss recognized pursuant to the impairment guidance in effect prior to January 1, 2020, continue to follow the prior accounting until maturity or disposition. For improvements in impaired AFS securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Effective January 1, 2020, the net non-credit-related other-than-temporary impairment (OTTI) gain/(loss) on AFS securities was reclassified to net unrealized gain/(loss) on AFS securities within other comprehensive income/(loss). On a quarterly basis, the Bank evaluates its HTM investment securities for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. For improvements in HTM securities impaired prior to January 1, 2020, interest income continues to follow the recognition pattern pursuant to the impairment guidance in effect prior to January 1, 2020, and recoveries of amounts previously written off are recorded when received. For improvements in impaired HTM securities with an allowance for credit losses recognized after the adoption of the new guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Under the impairment guidance in effect prior to January 1, 2020, the Bank evaluated its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security was considered impaired when its fair value was less than its amortized cost basis. For impaired debt securities, an entity was required to assess whether: (i) it had the intent to sell the debt security; (ii) it is more likely than not that it would be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it did not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions was met, an OTTI on the security was recognized. If a credit loss existed but the entity did not intend to sell the debt security and it was not more likely than not that the entity would be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security was adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss was recognized in earnings, while the amount of non-credit-related impairment was recognized in AOCI. The total OTTI was presented in the Statements of Income with an offset for the amount of the total OTTI that was recognized in AOCI. |
Federal Home Loan Bank Advances, Policy [Policy Text Block] | Advances. The Bank reports advances (loans to members, former members or their successors or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income. Accrued interest receivable is recorded separately on the Statements of Condition. The advances carried at amortized cost are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. Prior to January 1, 2020, the Bank evaluated advances to determine if an allowance for credit losses was necessary if it was probable that impairment had occurred as of the Statements of Condition date and the amount of loss could be reasonably estimated. The Bank evaluated advances for impairment with respect to which it was probable that all principal and interest due would not be collected according to its contractual terms. See Note 5 – Advances for details on the allowance methodologies relating to advances. Advance Modifications. In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification. Prepayment Fees. When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. 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 no longer offers advances with partial prepayment symmetry. For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in interest income on advances effective January 1, 2019. Prior to January 1, 2019, subsequent fair value changes were recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income. |
Off-Balance-Sheet Credit Exposure, Policy | Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses on these off-balance sheet exposures is recorded in other liabilities with a corresponding adjustment to the provision for/(reversal of) credit losses. See Note 16 – Commitments and Contingencies for details on the allowance methodologies relating to off-balance sheet credit exposure. |
Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Policy | Mortgage Loans Held for Portfolio. Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from participating members, for its own portfolio, conventional conforming fixed rate residential mortgage loans under the MPF Original product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product. When members sell loans under the MPF Xtra product, the loans are sold to a third-party investor and are not recorded on the Bank’s Statements of Condition. (“Mortgage Partnership Finance,” “MPF,” and “MPF Xtra” are registered trademarks of the FHLBank of Chicago.) On December 17, 2020, the Bank announced that it would no longer offer new commitments to directly purchase, or to facilitate the purchase of, mortgage loans from its members. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans. Unlike conventional MPF products held for portfolio, participating members are not required to provide credit enhancement and do not receive credit enhancement fees under the MPF Xtra product. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans by structuring potential losses on conventional MPF loans into layers with respect to each master commitment, as follows: (1) The first layer of protection against loss is the liquidation value of the real property securing the loan. (2) The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80%, if still in place. (3) Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank. (4) Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred. (5) Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance (SMI) policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA for loans purchased prior to April 2017 and BBB for loans purchased thereafter, as determined by the MPF Program methodology. For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, typically 10 basis points per annum, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is typically paid monthly beginning with the month after each delivery of loans. The MPF Original product provides participating financial institutions the option to receive credit enhancement fees monthly over the life of the loans or as an upfront lump sum amount that is included in the purchase price at the time loans are sold to the Bank. The lump sum amount is approximately equivalent to the present value of the monthly credit enhancement fees that the Bank would otherwise be expected to pay over the life of the loans. The MPF Plus product provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain SMI to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee. The Bank classifies mortgage loans as held for portfolio and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, unamortized credit enhancement fees paid as a lump sum at the time loans are purchased, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, interest rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. The Bank performs a quarterly assessment of its mortgage loans held for portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision for/(reversal of) credit losses. The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the allowance for credit losses, the Bank measures the estimated loss over the remaining life of a mortgage loan, which also considers how the Bank’s credit enhancements mitigate credit losses. The Bank includes estimates of expected recoveries within the allowance for credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. Accrued interest receivable is recorded separately on the Statements of Condition. The allowance excludes uncollectible accrued interest receivable, as the Bank writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due or when the loan is in foreclosure. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for credit losses based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, if it is considered likely that the borrower will default and there is no credit enhancement to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. Collateral-dependent loans are credit deteriorated if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. 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 that shares similar risk characteristics with other loans is evaluated for credit losses on a collective basis. TDRs that do not share risk characteristics with other loans are individually evaluated 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. On March 27, 2020, the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) was signed into law. Section 4013 of the CARES Act provides optional, temporary relief from the accounting and reporting requirements for TDRs for certain loan modifications granted to borrowers adversely affected by the COVID-19 pandemic (COVID-related modifications) that were not more than 30 days past due on payments as of December 31, 2019. Specifically, the CARES Act provides that a financial institution may elect to suspend: (i) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (ii) any determination that such loan modifications would be considered a TDR, including the related accounting. TDR relief applies to COVID-related modifications made from March 1, 2020, until the earlier of December 31, 2020, or 60 days following the termination of the national emergency declared by the President of the United States on March 13, 2020. On December 27, 2020, the Consolidated Appropriations Act, 2021, was signed into law, extending the applicable period to the earlier of January 1, 2022, or 60 days following the termination of the national emergency declared on March 13, 2020. Starting in the second quarter of 2020, the Bank elected to apply the TDR relief provided by the CARES Act. As such, all COVID-related modifications meeting the provisions of the CARES Act are excluded from TDR classification and accounting, and the Bank considers these loans to have a current payment status as long as payments are being made in accordance with the new terms. Alternatively, COVID-related modifications that do not meet the provisions of the CARES Act continue to be assessed for TDR classification. The Bank estimates the allowance for credit losses for COVID-related modifications in the same manner as other mortgage loans held for portfolio. Mortgage loans with COVID-related modifications that are greater than 180 days past due are reviewed individually for borrower credit characteristics that could support an expectation that the mortgage borrower could exit a forbearance plan in good standing. Credit factors used in making this determination include, but are not limited to, FICO scores, past payment history, and modeled probability of foreclosure (default risk). For loans where an expectation of exit from a forbearance plan could be supported based on the credit review, the expected loss amount is included in the Bank’s estimated allowance for credit losses on mortgage loans. For all other mortgage loans that are more than 180 days past due that do not have COVID-related modifications, or those that have COVID-related modifications but the expectation of exit from a forbearance plan cannot be supported, and any outstanding balance is in excess of the fair value of the property, less cost to sell, this excess is charged off by the end of the period. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, generally within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. Prior to January 1, 2020, the Bank evaluated the allowance for credit losses on MPF mortgage loans based on two components. The first component applied to impaired mortgage loans that were considered collateral-dependent. The second component applied to loans that were not specifically identified as impaired and was based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. For the first component, the Bank recorded an allowance for credit losses on mortgage loans if it was probable an impairment occurred in the Bank’s mortgage loans held for portfolio as of the Statements of Condition date and the amount of loss could be reasonably estimated. A mortgage loan was considered to be impaired when it was reported 90 days or more past due (nonaccrual) or when it was probable, based on current information and events, that the Bank would be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 6 – Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans. |
Derivatives, Policy | Derivatives and Hedging Activities. All derivatives are recognized on the Statements of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, and accrued interest received from or pledged to clearing agents or counterparties. The fair values of derivatives are netted by clearing agent or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative. The Bank uses London Clearing House (LCH) Ltd for all cleared derivative transactions. The rulebook of LCH Ltd characterizes variation margin as daily settlement payments, and initial margin is considered cash collateral. Each derivative is designated as one of the following: (1) a qualifying hedge of the change in fair value of (i) a recognized asset or liability or (ii) an unrecognized firm commitment (a fair value hedge); or (2) a non-qualifying hedge of an asset or liability for asset-liability management purposes or of certain advances and consolidated obligation bonds for which the Bank elected the fair value option (an economic hedge). If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and the related hedged items independently. This is known as the long-haul method of hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting, in which an assumption can be made that the change in the fair value of a hedged item, because of changes in the benchmark rate, exactly offsets the change in the value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values of the hedged asset or liability. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date. Beginning January 1, 2019, the Bank prospectively adopted hedge accounting guidance, which, among other things, affected the presentation of gains and losses on derivatives and hedging activities for qualifying hedges. Upon adoption, changes in the fair value of a derivative that is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect gains or losses on firm commitments), are recorded in net interest income in the same line as the earnings effect of the hedged item. Net gains and losses on derivatives and hedging activities for qualifying hedges recorded in net interest income include unrealized and realized gains and losses, which include net interest settlements. 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 Accumulated Other Comprehensive Income (AOCI) as “Net unrealized gain/(loss) on AFS securities.” The hedge accounting guidance also permits hedging of the benchmark risk component of cash flows in a fair value hedge. The Bank modified the risk of prospective fair value hedges from the contractual coupon interest rate to the benchmark rate component, improving hedge effectiveness. 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.” 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 other 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.” Changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. Changes in the fair value of these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Cash flows associated with these stand-alone derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be designated as a financing derivative. The net settlements of interest receivables and payables on derivatives designated as fair value hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other income as “Net gain/(loss) on derivatives and hedging activities.” The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; (vi) a critical term on the hedged item changes; or (vii) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract. |
Property, Plant and Equipment, Policy | Premises, Software, and Equipment . Premises, software, and equipment are included in Other Assets on the Statement of Condition. The Bank records premises, software, and equipment at cost less accumulated depreciation and amortization. |
Debt, Policy | Consolidated Obligations. Consolidated obligations are recorded at amortized cost unless the Bank has elected the fair value option, in which case the consolidated obligations are carried at fair value. Concessions on Consolidated Obligations. Concessions are paid to dealers in connection with the issuance of consolidated obligations for which the Bank is the primary obligor. The amount of the concession is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred in non-interest expense. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. Amortization of concessions is included in consolidated obligation interest expense and totaled $13, $11, and $6, in 2020, 2019, and 2018, respectively. |
Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy | Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 11 – Capital for more information. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense. |
Regulator Expenses Cost Assessed On Federal Home Loan Bank Policy | Finance Agency Expenses. The FHLBanks fund a portion of the costs of operating the Finance Agency, and each FHLBank is assessed a proportionate share of those costs. The Finance Agency allocates its expenses and working capital fund among the FHLBanks based on the ratio between each FHLBank's minimum required regulatory capital and the aggregate minimum required regulatory capital of all the FHLBanks. |
Office Of Finance Cost Assessed On Federal Home Loan Bank, Policy | Office of Finance Expenses. Each FHLBank is assessed a proportionate share of the cost of operating the Office of Finance, which facilitates the issuance and servicing of consolidated obligations. The Office of Finance allocates its operating and capital expenditures among the FHLBanks as follows: (1) two-thirds of the assessment is based on each FHLBank’s share of total consolidated obligations outstanding, and (2) one-third of the assessment is based on an equal pro rata allocation. |
Federal Home Loan Bank Assessments, Policy | Affordable Housing Program. As more fully discussed in Note 9 – Affordable Housing Program, the FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). The Bank charges the required funding for the AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for households earning up to 80% of the median income for the area in which they live. Subsidies may be in the form of direct grants or below-market interest rate advances. |
Contractual Adjustments and Third Party Settlements, Policy | Gain on Disgorgement Settlement. During the third quarter of 2020, the Bank received disgorgement proceeds in the amount of $85 in connection with a Securities and Exchange Commission enforcement action. Disgorgement proceeds are recorded in Other Income/(Loss) in “Gain on disgorgement settlement” in the Statements of Income. Disgorgement proceeds are considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash, when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential disgorgement proceeds to be gain contingencies, and therefore they are not recorded in the Statements of Income. |
Fair Value Measurement, Policy | Estimated Fair Values. Many of the Bank’s financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future. Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank’s financial instruments and related assumptions are detailed in Note 15 – Fair Value. |
Investments (Tables)
Investments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Instrument [Line Items] | |
Trading Securities (and Certain Trading Assets) | The estimated fair value of trading securities as of December 31, 2020 and 2019, was as follows: 2020 2019 U.S. obligations – Treasury notes $ 4,257 $ 1,762 MBS – Other U.S. obligations – Ginnie Mae 3 4 Total $ 4,260 $ 1,766 |
Available-for-sale Securities | AFS securities by major security type as of December 31, 2020 and 2019, were as follows: December 31, 2020 Amortized Cost (1) Allowance for Credit Losses (2) Gross Gross Estimated Fair Value U.S. obligations – Treasury securities: U.S. Treasury notes $ 2,980 $ — $ 3 $ — $ 2,983 U.S. Treasury bills 2,000 — — — 2,000 Total U.S. obligations – Treasury securities 4,980 — 3 — 4,983 MBS: GSEs – multifamily: Freddie Mac 833 — 18 — 851 Fannie Mae 7,744 — 72 (6) 7,810 Subtotal MBS – GSEs – multifamily 8,577 — 90 (6) 8,661 PLRMBS: Prime 174 (1) 9 — 182 Alt-A 1,725 (20) 168 (20) 1,853 Subtotal PLRMBS 1,899 (21) 177 (20) 2,035 Total MBS 10,476 (21) 267 (26) 10,696 Total $ 15,456 $ (21) $ 270 $ (26) $ 15,679 December 31, 2019 Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains (3) Gross Estimated Fair Value U.S. obligations – Treasury notes $ 5,281 $ — $ 7 $ — $ 5,288 MBS: GSEs – multifamily: Freddie Mac 773 — 4 — 777 Fannie Mae 6,823 — 23 (13) 6,833 Subtotal MBS – GSEs – multifamily 7,596 — 27 (13) 7,610 PLRMBS: Prime 213 — 17 — 230 Alt-A 2,116 (9) 260 — 2,367 Subtotal PLRMBS 2,329 (9) 277 — 2,597 Total MBS 9,925 (9) 304 (13) 10,207 Total $ 15,206 $ (9) $ 311 $ (13) $ 15,495 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 and $58 at December 31, 2020 and 2019, respectively. (2) Effective January 1, 2020, the Bank completes an analysis on a quarterly basis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities. (3) Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019. |
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: December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains (3) Gross Unrecognized Holding Losses (3) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 261 $ 7 $ — $ 268 MBS – GSEs – single-family: Freddie Mac 511 11 — 522 Fannie Mae 1,229 21 (1) 1,249 Subtotal MBS – GSEs – single-family 1,740 32 (1) 1,771 MBS – GSEs – multifamily: Freddie Mac 1,844 2 (2) 1,844 Fannie Mae 945 — (1) 944 Subtotal MBS – GSEs – multifamily 2,789 2 (3) 2,788 Subtotal MBS – GSEs 4,529 34 (4) 4,559 PLRMBS: Prime 185 — (4) 181 Alt-A 106 3 (2) 107 Subtotal PLRMBS 291 3 (6) 288 Total $ 5,081 $ 44 $ (10) $ 5,115 December 31, 2019 Amortized Cost (1) OTTI Recognized in AOCI (2) Carrying Gross Unrecognized Holding Gains (3) Gross Unrecognized Holding Losses (3) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 470 $ — $ 470 $ 5 $ — $ 475 MBS – GSEs – single-family: Freddie Mac 1,063 — 1,063 8 (1) 1,070 Fannie Mae 1,844 — 1,844 20 (1) 1,863 Subtotal MBS – GSEs – single-family 2,907 — 2,907 28 (2) 2,933 MBS – GSEs – multifamily: Freddie Mac 2,625 — 2,625 — (9) 2,616 Fannie Mae 1,159 — 1,159 — (2) 1,157 Subtotal MBS – GSEs – multifamily 3,784 — 3,784 — (11) 3,773 Subtotal MBS – GSEs 6,691 — 6,691 28 (13) 6,706 PLRMBS: Prime 243 — 243 1 (4) 240 Alt-A 142 (1) 141 6 (2) 145 Subtotal PLRMBS 385 (1) 384 7 (6) 385 Total $ 7,546 $ (1) $ 7,545 $ 40 $ (19) $ 7,566 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $5 and $12 at December 31, 2020 and 2019, respectively. (2) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the OTTI approach was replaced with an evaluation for an allowance for credit loss; however, OTTI remains for those securities that had credit impairment prior to the adoption date. (3) Gross unrecognized gains/(losses) represent the difference between estimated fair value and net carrying value. |
Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the year ended December 31, 2020. The Bank recorded no allowance for credit losses associated with HTM securities during the year ended December 31, 2020. Under the previous accounting methodology of security impairment, the Bank recognized credit-related net OTTI loss of $11 during the years ended December 31, 2019 and 2018. 2020 Balance, beginning of the period $ — (Charge-offs)/recoveries (4) Provision for/(reversal of) credit losses 25 Balance, end of the period $ 21 |
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings | the following table presents a summary of the significant inputs used in measuring the fair value of PLRMBS classified as Level 3 as of December 31, 2020, and the related current credit enhancement for the Bank. December 31, 2020 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 13.4 16.7 22.1 13.1 Alt-A 13.7 16.4 37.7 7.1 Total 13.7 16.5 36.2 7.7 (1) Weighted average percentage is based on unpaid principal balance. |
Available-for-sale Securities | |
Debt Instrument [Line Items] | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The unrealized losses in the following table as of December 31, 2019, also include non-credit-related OTTI losses recognized in AOCI. December 31, 2020 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized U.S. obligations – Treasury notes $ 501 $ — $ — $ — $ 501 $ — MBS – GSEs – multifamily – Fannie Mae 731 6 222 — 953 6 PLRMBS: Prime 4 — 7 — 11 — Alt-A 151 7 168 13 319 20 Subtotal PLRMBS 155 7 175 13 330 20 Total $ 1,387 $ 13 $ 397 $ 13 $ 1,784 $ 26 December 31, 2019 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized MBS – GSEs – multifamily: Freddie Mac $ 211 $ — $ — $ — $ 211 $ — Fannie Mae 2,433 9 623 4 3,056 13 Subtotal MBS – GSEs – multifamily 2,644 9 623 4 3,267 13 PLRMBS: Prime 4 — 8 — 12 — Alt-A 75 — 193 9 268 9 Subtotal PLRMBS 79 — 201 9 280 9 Total $ 2,723 $ 9 $ 824 $ 13 $ 3,547 $ 22 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of December 31, 2020 and 2019, 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. December 31, 2020 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS: Due in 1 year or less $ 4,469 $ 4,470 Due after 1 year through 5 years 511 513 Subtotal 4,980 4,983 MBS 10,476 10,696 Total $ 15,456 $ 15,679 December 31, 2019 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS: Due in 1 year or less $ 2,309 $ 2,312 Due after 1 year through 5 years 2,972 2,976 Subtotal 5,281 5,288 MBS 9,925 10,207 Total $ 15,206 $ 15,495 |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances | The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.00% to 8.57% at December 31, 2020, and 1.15% to 8.57% at December 31, 2019, as summarized below. 2020 2019 Redemption Term Amount Outstanding (1) Weighted Amount Outstanding (1) Weighted Within 1 year $ 11,862 1.65 % $ 32,351 1.91 % After 1 year through 2 years 6,399 1.61 22,380 2.15 After 2 years through 3 years 4,321 2.10 4,847 2.08 After 3 years through 4 years 2,704 1.79 2,909 2.97 After 4 years through 5 years 3,278 1.26 1,461 2.32 After 5 years 1,774 1.79 1,140 2.96 Total par value 30,338 1.68 % 65,088 2.08 % Valuation adjustments for hedging activities 509 203 Valuation adjustments under fair value option 130 83 Unamortized discounts (1) — Total $ 30,976 $ 65,374 (1) Carrying amounts exclude accrued interest receivable of $6 and $39 at December 31, 2020 and 2019, respectively. The following table summarizes advances at December 31, 2020 and 2019, 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 Earlier of Redemption 2020 2019 2020 2019 Within 1 year $ 12,962 $ 39,075 $ 12,082 $ 32,371 After 1 year through 2 years 5,299 15,731 6,399 22,380 After 2 years through 3 years 4,321 4,800 4,321 4,847 After 3 years through 4 years 2,704 2,895 2,704 2,909 After 4 years through 5 years 3,278 1,447 3,278 1,461 After 5 years 1,774 1,140 1,554 1,120 Total par value $ 30,338 $ 65,088 $ 30,338 $ 65,088 December 31, 2020 Name of Borrower Advances Percentage of Interest (1) Percentage of First Republic Bank $ 11,755 39 % $ 254 29 % MUFG Union Bank, National Association 4,575 15 173 20 First Technology Federal Credit Union 1,292 4 43 5 CIT Bank, National Association 1,100 3 23 3 Luther Burbank Savings 807 3 21 2 Subtotal 19,529 64 514 59 Others 10,809 36 353 41 Total par value $ 30,338 100 % $ 867 100 % December 31, 2019 Name of Borrower Advances Percentage of Interest (1) Percentage of MUFG Union Bank, National Association $ 12,700 19 % $ 371 22 % First Republic Bank 12,550 19 248 15 Wells Fargo & Company Wells Fargo Financial National Bank West 7,500 12 191 12 Wells Fargo Bank, National Association (2) 39 — 2 — Subtotal Wells Fargo & Company 7,539 12 193 12 Bank of the West 6,356 10 155 9 JPMorgan Chase Bank, National Association (2) 5,055 8 174 11 Subtotal 44,200 68 1,141 69 Others 20,888 32 518 31 Total par value $ 65,088 100 % $ 1,659 100 % (1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. (2) Nonmember institution. 2020 2019 Par value of advances: Fixed rate: Due within 1 year $ 11,044 $ 15,327 Due after 1 year 17,126 21,337 Total fixed rate 28,170 36,664 Adjustable rate: Due within 1 year 818 17,024 Due after 1 year 1,350 11,400 Total adjustable rate 2,168 28,424 Total par value $ 30,338 $ 65,088 2020 2019 2018 Prepayment fees received/(paid) $ 142 $ 9 $ (9) Fair value adjustments (109) (6) 12 Net $ 33 $ 3 $ 3 Advance principal prepaid $ 26,741 $ 6,760 $ 7,496 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans | The following table presents information as of December 31, 2020 and 2019, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. 2020 2019 Fixed rate medium-term mortgage loans $ 27 $ 27 Fixed rate long-term mortgage loans 1,879 3,199 Subtotal 1,906 3,226 Unamortized premiums 35 91 Unamortized discounts (2) (3) Mortgage loans held for portfolio (1) 1,939 3,314 Less: Allowance for credit losses (4) — Total mortgage loans held for portfolio, net $ 1,935 $ 3,314 |
Other Delinquency Statistics | The following tables present the payment status for mortgage loans and other delinquency statistics for Bank’s mortgage loans at December 31, 2020, and 2019. December 31, 2020 Origination Year Payment Status <2016 2016 to 2020 Amortized Cost (1) 30 – 59 days delinquent $ 20 $ 2 $ 22 60 – 89 days delinquent 5 2 7 90 days or more delinquent 95 9 104 Total past due 120 13 133 Total current loans 1,628 178 1,806 Total MPF (2) $ 1,748 $ 191 $ 1,939 In process of foreclosure, included above (3) $ 1 Nonaccrual loans (2)(4) $ 104 Serious delinquencies as a percentage of total mortgage loans outstanding (2)(5) 5.34 % December 31, 2019 Payment Status Recorded Investment (1) 30 – 59 days delinquent $ 15 60 – 89 days delinquent 2 90 days or more delinquent 7 Total past due 24 Total current loans 3,310 Total MPF $ 3,334 In process of foreclosure, included above (3) $ — Nonaccrual loans $ 7 Serious delinquencies as a percentage of total mortgage loans outstanding (5) 0.22 % (1) With the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, payment status of mortgage loans is disclosed at amortized cost. The recorded investment at December 31, 2019, 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. The amortized cost at December 31, 2020, in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. (2) At December 31, 2020, unpaid principal balances of conventional mortgage loans held for portfolio that were in a forbearance plan as a result of the COVID-19 pandemic totaled $78. Of that total, $2 were current, $7 were 30 to 59 days past due, $1 were 60 to 90 days past due, and $68 were greater than 90 days past due and in nonaccrual payment status. The conventional mortgage loans in forbearance represent 4% of the Bank’s mortgage loans held for portfolio at December 31, 2020. (3) 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. (4) At December 31, 2020, $103 of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses. (5) 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. |
Financing Receivable, Allowance for Credit Loss | The following table presents a rollforward of the allowance for credit losses on the mortgage loan portfolio for the year ended December 31, 2020. The Bank recorded a de minimis allowance for credit losses on the mortgage loan portfolio for the year ended December 31, 2019. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the years ended December 31, 2020, 2019, and 2018. 2020 Balance, beginning of the period $ — Adjustment for cumulative effect of accounting change 3 Provision for/(reversal of) credit losses 1 Balance, end of the period $ 4 |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component | Deposits and interest rate payment terms for deposits as of December 31, 2020 and 2019, were as follows: |
Schedule of Interest Rate Payment Terms On Deposit Liabilities | 2020 2019 Amount Weighted Amount Weighted Interest-bearing deposits: Adjustable rate $ 732 0.01 % $ 427 1.30 % Fixed rate 16 0.01 — — Total interest-bearing deposits 748 427 Non-interest-bearing deposits 139 110 Total $ 887 $ 537 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 December 31, 2020 and 2019. 2020 2019 Contractual Maturity Amount Weighted Amount Weighted Within 1 year $ 34,542 0.23 % $ 53,549 1.68 % After 1 year through 2 years 6,923 0.21 13,853 1.67 After 2 years through 3 years 751 1.00 770 1.93 After 3 years through 4 years 677 0.67 135 2.74 After 4 years through 5 years 185 0.82 937 2.08 After 5 years 1,311 2.24 2,126 2.94 Total par value 44,389 0.31 % 71,370 1.73 % Unamortized premiums 10 1 Unamortized discounts (5) (10) Valuation adjustments for hedging activities 13 9 Fair value option valuation adjustments 1 2 Total $ 44,408 $ 71,372 |
Schedule of Long-term Debt by Call Feature | The Bank’s participation in consolidated obligation bonds at December 31, 2020 and 2019, was as follows: 2020 2019 Par value of consolidated obligation bonds: Non-callable $ 41,249 $ 65,025 Callable 3,140 6,345 Total par value $ 44,389 $ 71,370 |
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 December 31, 2020 and 2019, by the earlier of the year of contractual maturity or next call date. Earlier of Contractual 2020 2019 Within 1 year $ 36,667 $ 58,239 After 1 year through 2 years 7,228 12,768 After 2 years through 3 years 396 195 After 3 years through 4 years 47 70 After 4 years through 5 years — 47 After 5 years 51 51 Total par value $ 44,389 $ 71,370 |
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: 2020 2019 Amount Weighted Average Interest Rate (1) Amount Weighted Average Interest Rate (1) Par value $ 16,217 0.12 % $ 27,447 1.61 % Unamortized discounts (4) (71) Total $ 16,213 $ 27,376 |
Schedule of Interest Rate Payment Terms for Debt | Interest rate payment terms for consolidated obligations at December 31, 2020 and 2019, are detailed in the following table. 2020 2019 Par value of consolidated obligations: Bonds: Fixed rate $ 6,632 $ 10,993 Adjustable rate 37,712 60,117 Step-up 45 60 Step-down — 100 Range bonds — 100 Total bonds, par value 44,389 71,370 Discount notes, par value 16,217 27,447 Total consolidated obligations, par value $ 60,606 $ 98,817 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Federal Home Loan Banks [Abstract] | |
Activity in Affordable Housing Program Obligation [Table Text Block] | The AHP liability was as follows: 2020 2019 2018 Balance, beginning of the period $ 152 $ 182 $ 204 AHP assessments 38 38 43 AHP voluntary contributions — 2 3 AHP grant payments (70) (70) (68) Balance, end of the period $ 120 $ 152 $ 182 |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 years ended December 31, 2020, 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 (4) (4) Non-credit-related OTTI loss (14) — (14) Net change in fair value (32) (38) (70) Accretion of non-credit-related OTTI loss 3 3 Reclassification from other comprehensive income/(loss) to net income/(loss): Non-credit-related OTTI to credit-related OTTI 2 — 2 Net current period other comprehensive income/(loss) (32) (50) 3 (4) (83) Balance, December 31, 2018 $ (32) $ 287 $ (3) $ (17) $ 235 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits 3 3 Non-credit-related OTTI loss (6) — (6) Net change in fair value 53 (16) 37 Accretion of non-credit loss 2 2 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) 53 (19) 2 3 39 Balance, December 31, 2019 $ 21 $ 268 $ (1) $ (14) $ 274 Other comprehensive income/(loss) before reclassifications: Net change in fair value (45) — (45) Accretion of non-credit loss 1 1 Net current period other comprehensive income/(loss) (45) — 1 — (44) Adoption of ASU 2016-13, as amended (1) 268 (268) — Balance, December 31, 2020 $ 244 $ — $ — $ (14) $ 230 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As of December 31, 2020 and 2019, the Bank was in compliance with these capital rules and requirements as shown in the following table. 2020 2019 Required Actual Required Actual Risk-based capital $ 1,404 $ 5,966 $ 1,519 $ 6,605 Total regulatory capital $ 2,745 $ 5,966 $ 4,274 $ 6,605 Total regulatory capital ratio 4.00 % 8.69 % 4.00 % 6.18 % Leverage capital $ 3,432 $ 8,949 $ 5,342 $ 9,908 Leverage ratio 5.00 % 13.04 % 5.00 % 9.27 % |
Schedule of Mandatorily Redeemable Capital Stock | The Bank had mandatorily redeemable capital stock totaling $2 outstanding to three institutions at December 31, 2020, and $138 outstanding to three institutions at December 31, 2019. The change in mandatorily redeemable capital stock for the years ended December 31, 2020, 2019, and 2018, was as follows: 2020 2019 2018 Balance at the beginning of the period $ 138 $ 227 $ 309 Reclassified from/(to) capital during the period 40 6 2 Repurchase of excess mandatorily redeemable capital stock (176) (95) (84) Balance at the end of the period $ 2 $ 138 $ 227 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at December 31, 2020 and 2019. Contractual Redemption Period 2020 2019 Within 1 year $ — $ 135 Past contractual redemption date because of remaining activity (1) 2 3 Total $ 2 $ 138 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. |
Schedule of Concentration of Capital [Table Text Block] | The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of December 31, 2020 or 2019. 2020 2019 Name of Institution Capital Stock Percentage Capital Stock Percentage First Republic Bank $ 354 16 % $ 368 12 % MUFG Union Bank, National Association 142 6 394 12 Subtotal 496 22 762 24 Others 1,790 78 2,376 76 Total $ 2,286 100 % $ 3,138 100 % |
Employee Retirement Plans and_2
Employee Retirement Plans and Incentive Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Defined Benefit Plan, Plan Assets, Category [Table Text Block] | The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2020 and 2019, by asset category. See Note 15 – Fair Value for further information regarding the three levels of fair value measurement. 2020 2019 Fair Value Measurement Using: Fair Value Measurement Using: Asset Category Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Cash and cash equivalents $ 1 $ — $ — $ 1 $ 2 $ — $ — $ 2 Equity mutual funds 55 — — 55 46 — — 46 Fixed income mutual funds 23 — — 23 21 — — 21 Real estate mutual funds 4 — — 4 3 — — 3 Other mutual funds 3 — — 3 2 — — 2 Total $ 86 $ — $ — $ 86 $ 74 $ — $ — $ 74 |
Schedule of Net Funded Status [Table Text Block] | The following table presents the fair value of plan assets as well as the funded status that is recognized in other assets/(liabilities) in the Statements of Condition for the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan at December 31, 2020 and 2019. 2020 2019 Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Fair value of plan assets $ 86 $ — $ — $ 74 $ — $ — Funded status 7 (21) (2) 6 (20) (2) |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) [Table Text Block] | Amounts recognized in AOCI at December 31, 2020 and 2019, consist of: 2020 2019 Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Net loss/(gain) $ 14 $ 1 $ (1) $ 14 $ 1 $ (1) |
Defined Benefit Plan, Plan with Projected Benefit Obligation in Excess of Plan Assets [Table Text Block] | The following table presents information for pension plans with assets in excess of benefit obligations and for pension plans with benefit obligations in excess of plan assets at December 31, 2020 and 2019. 2020 2019 Cash Balance Plan Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Plan Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Projected benefit obligation $ 79 $ 21 $ 2 $ 68 $ 20 $ 2 Accumulated benefit obligation 78 20 2 67 20 2 Fair value of plan assets 86 — — 74 — — |
Schedule of Expected Benefit Payments [Table Text Block] | The following are the estimated future benefit payments, which reflect expected future service, as appropriate: Year Cash Balance Non-Qualified Postretirement 2021 $ 4 $ 3 $ — 2022 5 5 — 2023 4 1 — 2024 4 3 — 2025 27 3 — 2026 – 2030 21 6 1 |
Schedule of Allocation of Plan Assets | The Cash Balance Plan's weighted average asset allocation at December 31, 2020 and 2019, by asset category was as follows: Asset Category 2020 2019 Cash and cash equivalents 2 % 2 % Equity mutual funds 64 63 Fixed income mutual funds 27 28 Real estate mutual funds 4 4 Other mutual funds 3 3 Total 100 % 100 % |
Defined Benefit Plan, Plan with Accumulated Benefit Obligation in Excess of Plan Assets | The following table presents information for pension plans with assets in excess of benefit obligations and for pension plans with benefit obligations in excess of plan assets at December 31, 2020 and 2019. 2020 2019 Cash Balance Plan Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Cash Balance Plan Non-Qualified Defined Benefit Plans Post-retirement Health Benefit Plan Projected benefit obligation $ 79 $ 21 $ 2 $ 68 $ 20 $ 2 Accumulated benefit obligation 78 20 2 67 20 2 Fair value of plan assets 86 — — 74 — — |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Reconciliation of Operating Profit (Loss) from Segments to Consolidated | The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2020, 2019, and 2018. Advances- Mortgage- Related Business (1) Adjusted Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges (2) Income/(Expense) on Economic Hedges (3) Interest Expense on Mandatorily Redeemable Capital Stock (4) Net Other Other Income/(Loss) 2020 $ 247 $ 208 $ 455 $ 54 $ (83) $ 5 $ 479 $ 59 $ 165 $ 373 2019 307 256 563 34 (16) 14 531 21 187 365 2018 320 291 611 (1) (13) 24 601 (11) 187 403 (1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $70, $78, and $81 for the years ended December 31, 2020, 2019, and 2018, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses of $26 for the year ended December 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $11 for each of the years ended December 31, 2019 and 2018. (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 December 31, 2020, 2019, and 2018. Advances- Mortgage- Total 2020 $ 50,876 $ 17,758 $ 68,634 2019 85,709 21,133 106,842 2018 88,272 21,054 109,326 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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 December 31, 2020 and 2019. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. 2020 2019 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments: Interest rate swaps $ 35,060 $ 88 $ 128 $ 39,622 $ 31 $ 370 Total 35,060 88 128 39,622 31 370 Derivatives not designated as hedging instruments: Interest rate swaps 42,804 4 16 60,424 13 14 Interest rate caps and floors 780 — — 980 — — Mortgage delivery commitments 1 — — 46 — — Total 43,585 4 16 61,450 13 14 Total derivatives before netting and collateral adjustments $ 78,645 92 144 $ 101,072 44 384 Netting adjustments and cash collateral (1) (89) (132) (11) (384) Total derivative assets and total derivative liabilities $ 3 $ 12 $ 33 $ — (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $72 and $378 at December 31, 2020 and 2019, respectively. Cash collateral received, including accrued interest, was $30 and $5 at December 31, 2020 and 2019, 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 years ended December 31, 2020, 2019, and 2018. 2020 2019 2018 Derivatives not designated as hedging instruments Gain/(Loss) Gain/(Loss) Gain/(Loss) Derivatives designated as hedging instruments: Interest rate swaps $ (7) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (73) $ (79) 15 Interest rate caps and floors — (2) — Net settlements (83) (16) (13) Mortgage delivery commitments 3 4 13 Total net gain/(loss) related to derivatives not designated as hedging instruments (153) (93) 15 Price alignment amount (1) 1 1 (3) Net gain/(loss) on derivatives and hedging activities $ (152) $ (92) $ 5 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
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 years ended December 31, 2020, 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. 2020 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 598 $ 243 $ (437) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (687) $ (866) $ 27 Hedged items 387 678 (4) Net gain/(loss) on fair value hedging relationships (300) (188) 23 Net amortization of gain on discontinued fair value hedging relationships (5) (50) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (305) $ (238) $ 23 2019 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 1,677 $ 394 $ (1,631) Gain/(loss) on fair value hedging relationships Derivatives (2) $ (225) $ (377) $ 41 Hedged items 240 341 (57) Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ 15 $ (36) $ (16) 2018 (1) Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Net Gain/(Loss) on Derivatives and Hedging Activities Total interest income/(expense) presented in the Statements of Income $ 1,563 $ 247 $ (1,393) $ 5 Gain/(loss) on fair value hedging relationships Derivatives (2) $ 51 $ 3 $ (20) $ (164) Hedged items 157 Net gain/(loss) on fair value hedging relationships $ 51 $ 3 $ (20) $ (7) (1) Upon adoption of hedge accounting guidance applied prospectively on January 1, 2019, interest amounts reported for 2020 and 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 December 31, 2020 and 2019. 2020 2019 Advances AFS Securities Consolidated Obligation Bonds Advances AFS Securities Consolidated Obligation Bonds Amortized cost of hedged asset/(liability) (1) $ 23,605 $ 11,557 $ (3,645) $ 22,900 $ 12,877 $ (4,840) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ 477 $ 43 $ (13) $ 204 $ 431 $ (9) Discontinued hedging relationships included in amortized cost 32 1,016 — — — — Total amount of fair value hedging basis adjustments $ 509 $ 1,059 $ (13) $ 204 $ 431 $ (9) (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Schedule of Derivative Instruments, Offsetting Derivative Assets | The following tables present 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 December 31, 2020 and 2019. 2020 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 85 $ (85) $ — $ — $ — Cleared 7 (4) 3 (379) 382 Total $ 3 $ 382 Derivative Liabilities Uncleared $ 124 $ (114) $ 10 $ — $ 10 Cleared 20 (18) 2 — 2 Total $ 12 $ 12 2019 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 34 $ (16) $ 18 $ — $ 18 Cleared 10 5 15 (381) 396 Total $ 33 $ 414 Derivative Liabilities Uncleared $ 382 $ (382) $ — $ — $ — Cleared 2 (2) — — — Total $ — $ — |
Schedule of Derivative Instruments, Offsetting Derivative Liabilities | The following tables present 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 December 31, 2020 and 2019. 2020 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 85 $ (85) $ — $ — $ — Cleared 7 (4) 3 (379) 382 Total $ 3 $ 382 Derivative Liabilities Uncleared $ 124 $ (114) $ 10 $ — $ 10 Cleared 20 (18) 2 — 2 Total $ 12 $ 12 2019 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 34 $ (16) $ 18 $ — $ 18 Cleared 10 5 15 (381) 396 Total $ 33 $ 414 Derivative Liabilities Uncleared $ 382 $ (382) $ — $ — $ — Cleared 2 (2) — — — Total $ — $ — |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2020 and 2019. 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. 2020 Net Carrying Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 174 $ 174 $ 174 $ — $ — $ — Interest-bearing deposits 1,078 1,078 1,078 — — — Securities purchased under agreements to resell 7,250 7,250 — 7,250 — — Federal funds sold 1,880 1,880 — 1,880 — — Trading securities 4,260 4,260 — 4,260 — — AFS securities 15,679 15,679 — 13,644 2,035 — HTM securities 5,081 5,115 — 4,827 288 — Advances 30,976 31,166 — 31,166 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 1,935 1,941 — 1,941 — — Accrued interest receivable 82 82 — 82 — — Derivative assets, net (1) 3 3 — 92 — (89) Other assets (2) 22 22 22 — — — Liabilities Deposits 887 887 — 887 — — Consolidated obligations: Bonds 44,408 44,457 — 44,457 — — Discount notes 16,213 16,214 — 16,214 — — Total consolidated obligations 60,621 60,671 — 60,671 — — Mandatorily redeemable capital stock 2 2 2 — — — Accrued interest payable 24 24 — 24 — — Derivative liabilities, net (1) 12 12 — 144 — (132) Other Standby letters of credit 36 36 — 36 — — 2019 Carrying Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets Cash and due from banks $ 118 $ 118 $ 118 $ — $ — $ — Interest-bearing deposits 2,269 2,269 2,269 — — — Securities purchased under agreements to resell 7,000 7,000 — 7,000 — — Federal funds sold 3,562 3,562 — 3,562 — — Trading securities 1,766 1,766 — 1,766 — — AFS securities 15,495 15,495 — 12,898 2,597 — HTM securities 7,545 7,566 — 7,181 385 — Advances 65,374 65,492 — 65,492 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 3,314 3,332 — 3,332 — — Accrued interest receivable 139 139 — 139 — — Derivative assets, net (1) 33 33 — 44 — (11) Other assets (2) 19 19 19 — — — Liabilities Deposits 537 537 — 537 — — Consolidated obligations: Bonds 71,372 71,386 — 71,386 — — Discount notes 27,376 27,378 — 27,378 — — Total consolidated obligations 98,748 98,764 — 98,764 — — Mandatorily redeemable capital stock 138 138 138 — — — Accrued interest payable 164 164 — 164 — — Derivative liabilities, net (1) — — — 384 — (384) Other Standby letters of credit 32 32 — 32 — — (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 following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2020 and 2019, by level within the fair value hierarchy. December 31, 2020 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 4,257 $ — $ — $ 4,257 MBS – Other U.S. obligations – Ginnie Mae — 3 — — 3 Total trading securities — 4,260 — — 4,260 AFS securities: U.S. obligations – Treasury securities — 4,983 — — 4,983 MBS: GSEs – multifamily — 8,661 — — 8,661 PLRMBS — — 2,035 — 2,035 Subtotal MBS — 8,661 2,035 — 10,696 Total AFS securities — 13,644 2,035 — 15,679 Advances (2) — 2,147 — — 2,147 Derivative assets, net: interest rate-related — 92 — (89) 3 Other assets 22 — — — 22 Total recurring fair value measurements – Assets $ 22 $ 20,143 $ 2,035 $ (89) $ 22,111 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 111 $ — $ — $ 111 Derivative liabilities, net: interest rate-related — 144 — (132) 12 Total recurring fair value measurements – Liabilities $ — $ 255 $ — $ (132) $ 123 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 18 $ — $ 18 Total nonrecurring fair value measurements – Assets $ — $ — $ 18 $ — $ 18 December 31, 2019 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 1,762 $ — $ — $ 1,762 MBS – Other U.S. obligations – Ginnie Mae — 4 — — 4 Total trading securities — 1,766 — — 1,766 AFS securities: U.S. obligations – Treasury securities — 5,288 — — 5,288 MBS: GSEs – multifamily — 7,610 — — 7,610 PLRMBS — — 2,597 — 2,597 Subtotal MBS — 7,610 2,597 — 10,207 Total AFS securities — 12,898 2,597 — 15,495 Advances (2) — 4,370 — — 4,370 Derivative assets, net: interest rate-related — 44 — (11) 33 Other assets 19 — — — 19 Total recurring fair value measurements – Assets $ 19 $ 19,078 $ 2,597 $ (11) $ 21,683 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 337 $ — $ — $ 337 Derivative liabilities, net: interest rate-related — 384 — (384) — Total recurring fair value measurements – Liabilities $ — $ 721 $ — $ (384) $ 337 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 1 $ — $ 1 Total nonrecurring fair value measurements – Assets $ — $ — $ 1 $ — $ 1 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty. (2) Represents advances recorded under the fair value option at December 31, 2020 and 2019. (3) Represents consolidated obligation bonds recorded under the fair value option at December 31, 2020 and 2019. (4) The fair value information presented is as of the date the fair value adjustment was recorded during the years ended December 31, 2020 and 2019. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2020, 2019, and 2018. 2020 2019 2018 Balance, beginning of the period $ 2,597 $ 3,157 $ 3,833 Total gain/(loss) realized and unrealized included in: Interest income 70 78 81 (Provision for)/reversal of credit losses (25) Other income, net — (14) (23) Unrealized gain/(loss) included in AOCI (111) (16) (38) Settlements (499) (609) (708) Transfers of HTM securities to AFS securities 3 1 12 Balance, end of the period $ 2,035 $ 2,597 $ 3,157 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 $ 45 $ 62 $ 70 |
Fair Value, Option, Quantitative Disclosures | The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2020, 2019, and 2018: 2020 2019 2018 Advances Consolidated Advances Consolidated Advances Consolidated Balance, beginning of the period $ 4,370 $ 337 $ 5,133 $ 2,019 $ 6,431 $ 949 New transactions elected for fair value option 7,070 — 2,324 — 1,918 1,313 Maturities and terminations (9,373) (225) (3,200) (1,688) (3,192) (245) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings 85 — 116 15 (25) (4) Change in accrued interest (5) (1) (3) (9) 1 6 Balance, end of the period $ 2,147 $ 111 $ 4,370 $ 337 $ 5,133 $ 2,019 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 December 31, 2020 and 2019: 2020 2019 Principal Balance Fair Value Fair Value Principal Balance Fair Value Fair Value Advances (1) $ 2,017 $ 2,147 $ 130 $ 4,287 $ 4,370 $ 83 Consolidated obligation bonds 110 111 1 335 337 2 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | Off-balance sheet commitments as of December 31, 2020 and 2019, were as follows: 2020 2019 Expire Within Expire After Total Expire Within Expire After Total Standby letters of credit outstanding $ 14,838 $ 4,551 $ 19,389 $ 16,898 $ 4,658 $ 21,556 Commitments to issue consolidated obligation discount notes, par — — — 805 — 805 Commitments to purchase mortgage loans 1 — 1 46 — 46 |
Transactions with Certain Mem_2
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
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. December 31, 2020 December 31, 2019 Assets: Advances $ 2,650 $ 3,697 Mortgage loans held for portfolio — 8 Accrued interest receivable 3 6 Liabilities: Deposits $ 27 $ 22 Capital: Capital Stock $ 103 $ 132 For the Years Ended December 31, 2020 2019 2018 Interest Income: Advances $ 75 $ 87 $ 81 Mortgage loans held for portfolio — — 1 |
Other (Tables)
Other (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Other [Abstract] | |
Other Cost and Expense, Operating | The table below discloses the categories included in other operating expense for the years ended December 31, 2020, 2019, and 2018. 2020 2019 2018 Professional and contract services $ 36 $ 38 $ 37 Travel — 2 2 Occupancy 11 15 10 Equipment 6 8 12 Other 7 10 6 Total $ 60 $ 73 $ 67 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accounting Policies [Abstract] | |||
Gain on disgorgement settlement | $ 85 | ||
Loan value ratio threshold for primary mortgage insurance | 80.00% | ||
Difference in cash flows to classify as a new advance | 10.00% | ||
Substantial portion of principal outstanding collected | 85.00% | ||
Property, Plant and Equipment [Abstract] | |||
Property, Plant and Equipment, Net | $ 39 | $ 44 | |
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment | 76 | 69 | |
Depreciation, Depletion and Amortization | 7 | 9 | $ 13 |
Amortization of Debt Issuance Costs | $ 13 | $ 11 | $ 6 |
Minimum | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 3 years | ||
Maximum | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 10 years |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Cash and Due from Banks [Abstract] | ||
Average Collected Cash Balances With Commercial Banks | $ 134 | $ 20 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Investments [Line Items] | |||
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Unrated | 0.00% | ||
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Rated Below Triple-B | 0.00% | ||
Available-for-sale Securities, Premiums | $ 65 | $ 65 | |
Available for sale Securities Discounts | $ (47) | (52) | |
Net OTTI loss, credit-related | 11 | $ 11 | |
Available For Sale Debt Securities And Held To Maturity Debt Securities Excluding Private Label Mortgage Back Securities Amortized Cost Percentage Rated Single A Or Above | 100.00% | ||
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated Single-A Or Above | 6.00% | ||
Provision for/(reversal of) credit losses | $ 25 | ||
Interest-bearing Deposits [Member] | |||
Investments [Line Items] | |||
Accrued Interest, after Allowance for Credit Loss | 0 | 3 | |
Fed Funds Sold | |||
Investments [Line Items] | |||
Accrued Interest, after Allowance for Credit Loss | 0 | 0 | |
Securities Borrowed or Purchased under Agreements to Resell [Member] | |||
Investments [Line Items] | |||
Accrued Interest, after Allowance for Credit Loss | 0 | 0 | |
Mortgage Backed Securities | |||
Investments [Line Items] | |||
Held-to-maturity Securities, Premiums | 5 | 8 | |
Held-to-maturity Securities, Discounts | (6) | (11) | |
Available-for-sale Securities | Mortgage Backed Securities | |||
Investments [Line Items] | |||
Credit-related OTTI | 486 | 574 | |
Held-to-maturity Securities | Mortgage Backed Securities | |||
Investments [Line Items] | |||
Credit-related OTTI | $ 6 | $ 7 |
Investments Trading Securities
Investments Trading Securities by Major Type (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Trading Securities | |||
Trading securities | $ 4,260 | $ 1,766 | |
Net unrealized gain/(loss) on trading securities | 15 | (2) | $ (2) |
US Treasury Notes | |||
Trading Securities | |||
Trading securities | 4,257 | 1,762 | |
MBS – Other U.S. obligations – Ginnie Mae | |||
Trading Securities | |||
Trading securities | $ 3 | $ 4 |
Investments AFS Securities by M
Investments AFS Securities by Major Type (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | [1] | $ 15,456 | $ 15,206 | ||
Allowance for Credit Losses | (21) | 0 | |||
OTTI recognized in AOCI | [2] | (9) | |||
Gross Unrealized Gains | 270 | 311 | [3] | ||
Gross Unrealized Losses | (26) | (13) | |||
Fair Value of AFS Securities | [4],[5] | 15,679 | 15,495 | ||
Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | 46 | 58 | |||
Subsequent Unrealized Gains in Fair Value of Previously OTTI Impaired AFS | 277 | ||||
US Treasury Notes | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 2,980 | 5,281 | |||
Allowance for Credit Losses | 0 | ||||
OTTI recognized in AOCI | 0 | ||||
Gross Unrealized Gains | 3 | 7 | [3] | ||
Gross Unrealized Losses | 0 | 0 | |||
Fair Value of AFS Securities | 2,983 | 5,288 | |||
US Treasury Bills | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 2,000 | ||||
Allowance for Credit Losses | 0 | ||||
Gross Unrealized Gains | 0 | ||||
Gross Unrealized Losses | 0 | ||||
Fair Value of AFS Securities | 2,000 | ||||
US Treasury Securities | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 4,980 | ||||
Allowance for Credit Losses | 0 | ||||
Gross Unrealized Gains | 3 | ||||
Gross Unrealized Losses | 0 | ||||
Fair Value of AFS Securities | 4,983 | ||||
Mortgage Backed Securities | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | [1] | 10,476 | 9,925 | ||
Allowance for Credit Losses | (21) | ||||
OTTI recognized in AOCI | [2] | (9) | |||
Gross Unrealized Gains | 267 | 304 | [3] | ||
Gross Unrealized Losses | (26) | (13) | |||
Fair Value of AFS Securities | 10,696 | 10,207 | |||
Multifamily [Member] | MBS - GSEs | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | [1] | 8,577 | 7,596 | ||
Allowance for Credit Losses | 0 | ||||
OTTI recognized in AOCI | 0 | ||||
Gross Unrealized Gains | 90 | 27 | [3] | ||
Gross Unrealized Losses | (6) | (13) | |||
Fair Value of AFS Securities | 8,661 | 7,610 | |||
Freddie Mac | Multifamily [Member] | MBS - GSEs | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 833 | [1] | 773 | ||
Allowance for Credit Losses | 0 | ||||
OTTI recognized in AOCI | 0 | ||||
Gross Unrealized Gains | 18 | 4 | [3] | ||
Gross Unrealized Losses | 0 | 0 | |||
Fair Value of AFS Securities | 851 | 777 | |||
Fannie Mae | Multifamily [Member] | MBS - GSEs | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 7,744 | [1] | 6,823 | ||
Allowance for Credit Losses | 0 | ||||
OTTI recognized in AOCI | 0 | ||||
Gross Unrealized Gains | 72 | 23 | [3] | ||
Gross Unrealized Losses | (6) | (13) | |||
Fair Value of AFS Securities | 7,810 | 6,833 | |||
Residential Mortgage Backed Securities [Member] | PLRMBS | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | [1] | 1,899 | 2,329 | ||
Allowance for Credit Losses | (21) | ||||
OTTI recognized in AOCI | [2] | (9) | |||
Gross Unrealized Gains | 177 | 277 | [3] | ||
Gross Unrealized Losses | (20) | 0 | |||
Fair Value of AFS Securities | 2,035 | 2,597 | |||
Residential Mortgage Backed Securities [Member] | Prime | PLRMBS | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 174 | 213 | |||
Allowance for Credit Losses | (1) | ||||
OTTI recognized in AOCI | 0 | ||||
Gross Unrealized Gains | 9 | 17 | [3] | ||
Gross Unrealized Losses | 0 | 0 | |||
Fair Value of AFS Securities | 182 | 230 | |||
Residential Mortgage Backed Securities [Member] | Alt-A | PLRMBS | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Amortized Cost of AFS | 1,725 | 2,116 | |||
Allowance for Credit Losses | (20) | ||||
OTTI recognized in AOCI | [2] | (9) | |||
Gross Unrealized Gains | 168 | 260 | [3] | ||
Gross Unrealized Losses | (20) | 0 | |||
Fair Value of AFS Securities | $ 1,853 | $ 2,367 | |||
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 and $58 at December 31, 2020 and 2019, respectively. | ||||
[2] | Effective January 1, 2020, the Bank completes an analysis on a quarterly basis to determine whether to record an allowance for credit losses for expected credit losses on AFS securities. Prior to January 1, 2020, credit losses were recorded as a direct write-down to the AFS security carrying value. OTTI recognized in AOCI excludes subsequent unrealized gains/(losses) in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019, which is included in net non-credit-related OTTI on AFS securities. | ||||
[3] | Includes $277 in subsequent unrealized gains in fair value of previously other-than-temporarily impaired AFS securities at December 31, 2019. | ||||
[4] | At December 31, 2020 and 2019, $379 and $381, respectively, of these securities were pledged as collateral that may be repledged. (c) Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | ||||
[5] | Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. |
Investments Summary of AFS Secu
Investments Summary of AFS Securities with Unrealized Losses (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 1,387 | $ 2,723 |
Less Than 12 Months: Unrealized Losses | 13 | 9 |
12 Months or More: Estimated Fair Value | 397 | 824 |
12 Months or More: Unrealized Losses | 13 | 13 |
Unrealized Loss Position, Total Fair Value | 1,784 | 3,547 |
Unrealized Loss Position, Total Accumulated Loss | 26 | 22 |
US Treasury Notes | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 501 | |
Less Than 12 Months: Unrealized Losses | 0 | |
12 Months or More: Estimated Fair Value | 0 | |
12 Months or More: Unrealized Losses | 0 | |
Unrealized Loss Position, Total Fair Value | 501 | |
Unrealized Loss Position, Total Accumulated Loss | 0 | |
Multifamily [Member] | MBS - GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 2,644 | |
Less Than 12 Months: Unrealized Losses | 9 | |
12 Months or More: Estimated Fair Value | 623 | |
12 Months or More: Unrealized Losses | 4 | |
Unrealized Loss Position, Total Fair Value | 3,267 | |
Unrealized Loss Position, Total Accumulated Loss | 13 | |
Freddie Mac | Multifamily [Member] | MBS - GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 211 | |
Less Than 12 Months: Unrealized Losses | 0 | |
12 Months or More: Estimated Fair Value | 0 | |
12 Months or More: Unrealized Losses | 0 | |
Unrealized Loss Position, Total Fair Value | 211 | |
Unrealized Loss Position, Total Accumulated Loss | 0 | |
Fannie Mae | Multifamily [Member] | MBS - GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 731 | 2,433 |
Less Than 12 Months: Unrealized Losses | 6 | 9 |
12 Months or More: Estimated Fair Value | 222 | 623 |
12 Months or More: Unrealized Losses | 0 | 4 |
Unrealized Loss Position, Total Fair Value | 953 | 3,056 |
Unrealized Loss Position, Total Accumulated Loss | 6 | 13 |
PLRMBS | Residential Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 155 | 79 |
Less Than 12 Months: Unrealized Losses | 7 | 0 |
12 Months or More: Estimated Fair Value | 175 | 201 |
12 Months or More: Unrealized Losses | 13 | 9 |
Unrealized Loss Position, Total Fair Value | 330 | 280 |
Unrealized Loss Position, Total Accumulated Loss | 20 | 9 |
Prime | PLRMBS | Residential Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 4 | 4 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 7 | 8 |
12 Months or More: Unrealized Losses | 0 | 0 |
Unrealized Loss Position, Total Fair Value | 11 | 12 |
Unrealized Loss Position, Total Accumulated Loss | 0 | 0 |
Alt-A | PLRMBS | Residential Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 151 | 75 |
Less Than 12 Months: Unrealized Losses | 7 | 0 |
12 Months or More: Estimated Fair Value | 168 | 193 |
12 Months or More: Unrealized Losses | 13 | 9 |
Unrealized Loss Position, Total Fair Value | 319 | 268 |
Unrealized Loss Position, Total Accumulated Loss | $ 20 | $ 9 |
Investments AFS by Contractual
Investments AFS by Contractual Maturity (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost of AFS | [1] | $ 15,456 | $ 15,206 |
Fair Value of AFS Securities | [2],[3] | 15,679 | 15,495 |
Other Than Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in 1 year or less - Amortized cost | 4,469 | 2,309 | |
Due in 1 year or less - Fair value | 4,470 | 2,312 | |
Due after 1 year through 5 years - Amortized cost | 511 | 2,972 | |
Due after 1 year through 5 years - Fair value | 513 | 2,976 | |
Amortized Cost of AFS | 4,980 | 5,281 | |
Fair Value of AFS Securities | 4,983 | 5,288 | |
Mortgage Backed Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost of AFS | [1] | 10,476 | 9,925 |
Fair Value of AFS Securities | $ 10,696 | $ 10,207 | |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $46 and $58 at December 31, 2020 and 2019, respectively. | ||
[2] | At December 31, 2020 and 2019, $379 and $381, respectively, of these securities were pledged as collateral that may be repledged. (c) Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | ||
[3] | Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. |
Investments Classification of H
Investments Classification of Held-to-Maturity Securities (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | $ 5,081 | $ 7,546 | |
OTTI Recognized in AOCI | (1) | ||
HTM securities, Carrying Value | [1] | 5,081 | 7,545 |
Gross Unrecognized Holding Gain | 44 | 40 | |
Gross Unrecognized Holding Loss | (10) | (19) | |
Fair Value of Held-to-maturity securities | 5,115 | 7,566 | |
HTM Accrued Interest, after Allowance for Credit Loss | 5 | 12 | |
Other US Obligations - Ginnie Mae | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 261 | 470 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 470 | ||
Gross Unrecognized Holding Gain | 7 | 5 | |
Gross Unrecognized Holding Loss | 0 | 0 | |
Fair Value of Held-to-maturity securities | 268 | 475 | |
MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 4,529 | 6,691 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 6,691 | ||
Gross Unrecognized Holding Gain | 34 | 28 | |
Gross Unrecognized Holding Loss | (4) | (13) | |
Fair Value of Held-to-maturity securities | 4,559 | 6,706 | |
Single Family [Member] | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,740 | 2,907 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 2,907 | ||
Gross Unrecognized Holding Gain | 32 | 28 | |
Gross Unrecognized Holding Loss | (1) | (2) | |
Fair Value of Held-to-maturity securities | 1,771 | 2,933 | |
Single Family [Member] | Freddie Mac | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 511 | 1,063 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 1,063 | ||
Gross Unrecognized Holding Gain | 11 | 8 | |
Gross Unrecognized Holding Loss | 0 | (1) | |
Fair Value of Held-to-maturity securities | 522 | 1,070 | |
Single Family [Member] | Fannie Mae | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,229 | 1,844 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 1,844 | ||
Gross Unrecognized Holding Gain | 21 | 20 | |
Gross Unrecognized Holding Loss | (1) | (1) | |
Fair Value of Held-to-maturity securities | 1,249 | 1,863 | |
Multifamily [Member] | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 2,789 | 3,784 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 3,784 | ||
Gross Unrecognized Holding Gain | 2 | 0 | |
Gross Unrecognized Holding Loss | (3) | (11) | |
Fair Value of Held-to-maturity securities | 2,788 | 3,773 | |
Multifamily [Member] | Freddie Mac | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 1,844 | 2,625 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 2,625 | ||
Gross Unrecognized Holding Gain | 2 | 0 | |
Gross Unrecognized Holding Loss | (2) | (9) | |
Fair Value of Held-to-maturity securities | 1,844 | 2,616 | |
Multifamily [Member] | Fannie Mae | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 945 | 1,159 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 1,159 | ||
Gross Unrecognized Holding Gain | 0 | 0 | |
Gross Unrecognized Holding Loss | (1) | (2) | |
Fair Value of Held-to-maturity securities | 944 | 1,157 | |
Residential Mortgage Backed Securities [Member] | PLRMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 291 | 385 | |
OTTI Recognized in AOCI | (1) | ||
HTM securities, Carrying Value | 384 | ||
Gross Unrecognized Holding Gain | 3 | 7 | |
Gross Unrecognized Holding Loss | (6) | (6) | |
Fair Value of Held-to-maturity securities | 288 | 385 | |
Residential Mortgage Backed Securities [Member] | Prime | PLRMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 185 | 243 | |
OTTI Recognized in AOCI | 0 | ||
HTM securities, Carrying Value | 243 | ||
Gross Unrecognized Holding Gain | 0 | 1 | |
Gross Unrecognized Holding Loss | (4) | (4) | |
Fair Value of Held-to-maturity securities | 181 | 240 | |
Residential Mortgage Backed Securities [Member] | Alt-A | PLRMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | 106 | 142 | |
OTTI Recognized in AOCI | (1) | ||
HTM securities, Carrying Value | 141 | ||
Gross Unrecognized Holding Gain | 3 | 6 | |
Gross Unrecognized Holding Loss | (2) | (2) | |
Fair Value of Held-to-maturity securities | $ 107 | $ 145 | |
[1] | At December 31, 2020 and 2019, none of these securities were pledged as collateral that may be repledged. |
Investments Allowance for Credi
Investments Allowance for Credit Losses (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Allowance for Credit Loss [Abstract] | ||
Allowance for Credit Losses on AFS | $ 21 | $ 0 |
(Charge-offs)/recoveries | (4) | |
Provision for/(reversal of) credit losses | $ 25 |
Investments Significant Inputs
Investments Significant Inputs on PLRMBS (Details) | 12 Months Ended |
Dec. 31, 2020 | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 13.70% |
Default Rate Weighted Average | 16.50% |
Loss Severity Weighted Average | 36.20% |
Credit Enhancements Weighted Average | 7.70% |
Alt-A | Residential Mortgage Backed Securities [Member] | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 13.70% |
Default Rate Weighted Average | 16.40% |
Loss Severity Weighted Average | 37.70% |
Credit Enhancements Weighted Average | 7.10% |
Prime | Residential Mortgage Backed Securities [Member] | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 13.40% |
Default Rate Weighted Average | 16.70% |
Loss Severity Weighted Average | 22.10% |
Credit Enhancements Weighted Average | 13.10% |
Investments OTTI Rollforward (D
Investments OTTI Rollforward (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |||
OTTI, Credit Losses Recognized in Earnings, Total accretion or amortization | $ 70 | $ 78 | $ 81 |
OTTI, Credit Losses Recognized in Earnings, Reductions, Cash Flows | $ 59 | $ 61 | $ 63 |
Transfers from HTM to AFS (Deta
Transfers from HTM to AFS (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | $ 3 | $ 1 | $ 12 |
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | $ 3 | $ 1 | $ 12 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Advances [Line Items] | ||
Advances, Maturity Period, Fixed Rate | 30 years | |
Advances, Par Value | $ 30,338 | $ 65,088 |
Advances with Full prepayment Symmetry Outstanding | 19,919 | 14,059 |
Advances With Partial Prepayment Symmetry Outstanding | $ 1,817 | $ 3,513 |
Minimum | ||
Advances [Line Items] | ||
Advances, Maturity Period, Fixed Rate | 1 day | |
Advances, Maturity Period, Variable Rate | 30 days | |
Advances, Interest Rate | 0.00% | 1.15% |
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 | $ 1,100 | $ 14,024 |
Advances, Putable Option | ||
Advances [Line Items] | ||
Advances, Par Value | $ 220 | $ 20 |
Advances (Redemption Terms) (De
Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Federal Home Loan Bank Advances, Maturities [Abstract] | |||
Within 1 year | $ 11,862 | $ 32,351 | |
After 1 year through 2 years | 6,399 | 22,380 | |
After 2 years through 3 years | 4,321 | 4,847 | |
After 3 years through 4 years | 2,704 | 2,909 | |
After 4 years through 5 years | 3,278 | 1,461 | |
After 5 years | 1,774 | 1,140 | |
Total par value | 30,338 | 65,088 | |
Valuation adjustments for hedging activities | 509 | 203 | |
Valuation adjustments under fair value option | [1] | 130 | 83 |
Unamortized discounts | (1) | 0 | |
Total | $ 30,976 | $ 65,374 | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | |||
Within 1 year | 1.65% | 1.91% | |
After 1 year through 2 years | 1.61% | 2.15% | |
After 2 years through 3 years | 2.10% | 2.08% | |
After 3 years through 4 years | 1.79% | 2.97% | |
After 4 years through 5 years | 1.26% | 2.32% | |
After 5 years | 1.79% | 2.96% | |
Total par value | 1.68% | 2.08% | |
Advances | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Accrued Interest Receivable | $ 6 | $ 39 | |
[1] | At December 31, 2020 and 2019, 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 | Dec. 31, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Within 1 year | $ 12,962 | $ 39,075 |
After 1 year through 2 years | 5,299 | 15,731 |
After 2 years through 3 years | 4,321 | 4,800 |
After 3 years through 4 years | 2,704 | 2,895 |
After 4 years through 5 years | 3,278 | 1,447 |
After 5 years | 1,774 | 1,140 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Within 1 year | 12,082 | 32,371 |
After 1 year through 2 years | 6,399 | 22,380 |
After 2 years through 3 years | 4,321 | 4,847 |
After 3 years through 4 years | 2,704 | 2,909 |
After 4 years through 5 years | 3,278 | 1,461 |
After 5 years | 1,554 | 1,120 |
Total par value | $ 30,338 | $ 65,088 |
Advances (Credit and Concentrat
Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | ||
Advances [Line Items] | |||
Advances Outstanding | $ 30,338 | $ 65,088 | |
Interest Income from Advances | [1] | $ 867 | $ 1,659 |
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% | |
First Republic Bank [Member] | |||
Advances [Line Items] | |||
Advances Outstanding | $ 11,755 | $ 12,550 | |
Interest Income from Advances | [1] | 254 | 248 |
MUFG Union Bank, NA [Member] | |||
Advances [Line Items] | |||
Advances Outstanding | 4,575 | 12,700 | |
Interest Income from Advances | [1] | 173 | 371 |
First Technology Federal Credit Union | |||
Advances [Line Items] | |||
Advances Outstanding | 1,292 | ||
Interest Income from Advances | [1] | 43 | |
CIT Bank, National Association | |||
Advances [Line Items] | |||
Advances Outstanding | 1,100 | ||
Interest Income from Advances | [1] | 23 | |
Luther Burbank Savings | |||
Advances [Line Items] | |||
Advances Outstanding | 807 | ||
Interest Income from Advances | [2] | 21 | |
Wells Fargo Financial National Bank West [Member] | |||
Advances [Line Items] | |||
Advances Outstanding | 7,500 | ||
Interest Income from Advances | [1] | 191 | |
Wells Fargo Bank NA [Member] | |||
Advances [Line Items] | |||
Advances Outstanding | [2] | 39 | |
Interest Income from Advances | [1],[2] | 2 | |
Wells Fargo and Company [Member] | |||
Advances [Line Items] | |||
Advances Outstanding | 7,539 | ||
Interest Income from Advances | 193 | ||
Bank of the West [Member] | |||
Advances [Line Items] | |||
Advances Outstanding | 6,356 | ||
Interest Income from Advances | [1] | 155 | |
JPMorgan Chase Bank, National Association | |||
Advances [Line Items] | |||
Advances Outstanding | 5,055 | ||
Interest Income from Advances | [1] | 174 | |
Top five borrowers | |||
Advances [Line Items] | |||
Advances Outstanding | 19,529 | 44,200 | |
Interest Income from Advances | [1] | $ 514 | $ 1,141 |
Top five borrowers | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 64.00% | 68.00% | |
Top five borrowers | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 59.00% | 69.00% | |
Top five borrowers | First Republic Bank [Member] | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 39.00% | 19.00% | |
Top five borrowers | First Republic Bank [Member] | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 29.00% | 15.00% | |
Top five borrowers | MUFG Union Bank, NA [Member] | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 15.00% | 19.00% | |
Top five borrowers | MUFG Union Bank, NA [Member] | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 20.00% | 22.00% | |
Top five borrowers | First Technology Federal Credit Union | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 4.00% | ||
Top five borrowers | First Technology Federal Credit Union | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 5.00% | ||
Top five borrowers | CIT Bank, National Association | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 3.00% | ||
Top five borrowers | CIT Bank, National Association | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 3.00% | ||
Top five borrowers | Luther Burbank Savings | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | [2] | 3.00% | |
Top five borrowers | Luther Burbank Savings | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | [2] | 2.00% | |
Top five borrowers | Wells Fargo Financial National Bank West [Member] | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 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 | 12.00% | ||
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% | |
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% | ||
Top five borrowers | Bank of the West [Member] | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 10.00% | ||
Top five borrowers | Bank of the West [Member] | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 9.00% | ||
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 8.00% | ||
Top five borrowers | JPMorgan Chase Bank, National Association | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 11.00% | ||
Other Borrowers | |||
Advances [Line Items] | |||
Advances Outstanding | $ 10,809 | $ 20,888 | |
Interest Income from Advances | [1] | $ 353 | $ 518 |
Other Borrowers | Percentage of Total Advances Outstanding | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 36.00% | 32.00% | |
Other Borrowers | Percentage of Total Interest Income from Advances | |||
Advances [Line Items] | |||
Concentration Risk, Percentage | 41.00% | 31.00% | |
[1] | Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. | ||
[2] | Nonmember institution. |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||
Fixed Rate, due within 1 year | $ 11,044 | $ 15,327 | |
Fixed Rate, due after 1 year | 17,126 | 21,337 | |
Advances, Total Fixed Rate | 28,170 | 36,664 | |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||
Adjustable Rate, due within 1 year | 818 | 17,024 | |
Adjustable Rate, due after 1 year | 1,350 | 11,400 | |
Advances, Total Adjustable Rate | 2,168 | 28,424 | |
Total par value | 30,338 | 65,088 | |
Prepayment Fees Received | 142 | 9 | $ (9) |
Advances Fair Value Gain Loss Adjustments | (109) | (6) | 12 |
Prepayment Fees on Advances, Net | 33 | 3 | 3 |
Prepayments On Advances Principal | $ 26,741 | $ 6,760 | $ 7,496 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | $ 1,906 | $ 3,226 |
Unamortized premiums | 35 | 91 |
Unamortized discounts | (2) | (3) |
Mortgage Loans Held For Portfolio | 1,939 | 3,314 |
Less: Allowance for credit losses | (4) | 0 |
Total mortgage loans held for portfolio, net | 1,935 | 3,314 |
Fixed rate medium-term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | 27 | 27 |
Fixed Rate Long Term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | $ 1,879 | 3,199 |
Fixed rate medium-term mortgage loans | Maximum | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Medium-term Loan Original Contractual Terms | 15 years | |
Fixed Rate Long Term mortgage loans | Minimum | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Medium-term Loan Original Contractual Terms | 15 years | |
Conventional Mortgage Loan | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Mortgage Loans Held For Portfolio | $ 1,939 | |
Mortgages | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Accrued Interest Receivable | $ 10 | $ 19 |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio Delinquency Statistics (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | $ 1,939 | $ 3,314 |
COVID-19 Forbearance Plan | ||
Mortgage Loan Delinquency Statistics | ||
Percentage forbearance loans of total mortgage loans | 4.00% | |
Conventional Mortgage Loan | ||
Mortgage Loan Delinquency Statistics | ||
Originated Five or More Years before Latest Fiscal Year | $ 1,748 | |
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 191 | |
Total Amortized Cost | 1,939 | |
In process of foreclosure, included above | 1 | 0 |
Financing Receivable, Nonaccrual | $ 104 | $ 7 |
Serious delinquencies as a percentage of total mortgage loans outstanding | 5.34% | 0.22% |
Recorded Investment, Past Due | $ 24 | |
Financing Receivable, Not Past Due | 3,310 | |
Total MPF Recorded Investment | 3,334 | |
Mortgage loans on nonaccrual status, with no allowance | $ 103 | |
Conventional Mortgage Loan | COVID-19 Forbearance Plan | ||
Mortgage Loan Delinquency Statistics | ||
Mortgage loans, UPB | 78 | |
Conventional Mortgage Loan | 30 to 59 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated Five or More Years before Latest Fiscal Year | 20 | |
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 2 | |
Total Amortized Cost | 22 | |
Recorded Investment, Past Due | 15 | |
Conventional Mortgage Loan | 30 to 59 Days Past Due | COVID-19 Forbearance Plan | ||
Mortgage Loan Delinquency Statistics | ||
Mortgage loans, UPB | 7 | |
Conventional Mortgage Loan | 60 to 89 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated Five or More Years before Latest Fiscal Year | 5 | |
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 2 | |
Total Amortized Cost | 7 | |
Recorded Investment, Past Due | 2 | |
Conventional Mortgage Loan | 60 to 89 Days Past Due | COVID-19 Forbearance Plan | ||
Mortgage Loan Delinquency Statistics | ||
Mortgage loans, UPB | 1 | |
Conventional Mortgage Loan | Equal to or Greater than 90 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated Five or More Years before Latest Fiscal Year | 95 | |
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 9 | |
Total Amortized Cost | 104 | |
Recorded Investment, Past Due | $ 7 | |
Conventional Mortgage Loan | Equal to or Greater than 90 Days Past Due | COVID-19 Forbearance Plan | ||
Mortgage Loan Delinquency Statistics | ||
Mortgage loans, UPB | 68 | |
Nonperforming | Conventional Mortgage Loan | ||
Mortgage Loan Delinquency Statistics | ||
Originated Five or More Years before Latest Fiscal Year | 120 | |
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 13 | |
Total Amortized Cost | 133 | |
Current Performing Loan | Conventional Mortgage Loan | ||
Mortgage Loan Delinquency Statistics | ||
Originated Five or More Years before Latest Fiscal Year | 1,628 | |
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 178 | |
Total Amortized Cost | 1,806 | |
Current Performing Loan | Conventional Mortgage Loan | COVID-19 Forbearance Plan | ||
Mortgage Loan Delinquency Statistics | ||
Mortgage loans, UPB | $ 2 |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio Allowance (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Loans and Leases Receivable Disclosure [Line Items] | |||
Housing price forecast appreciation over one year horizon | 2.00% | ||
Housing price forecast appreciation over three year horizon | 4.00% | ||
Provision for Loan and Lease Losses | $ 1 | ||
Charge offs/recoveries | 0 | $ 0 | $ 0 |
Allowance for credit losses on mortgage loans | 4 | $ 0 | |
Conventional Mortgage Loan | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Cumulative accounting change for CECL | $ 3 |
Deposits (Details)
Deposits (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Demand Deposits [Line Items] | ||
Interest-bearing Deposits | $ 748 | $ 427 |
Noninterest-bearing Deposits | 139 | 110 |
Deposits | 887 | 537 |
Interest-bearing Deposits [Member] | Adjustable rate | ||
Demand Deposits [Line Items] | ||
Interest-bearing Deposits | $ 732 | $ 427 |
Weighted Average Rate | 0.01% | 1.30% |
Interest-bearing Deposits [Member] | Fixed Interest Rate | ||
Demand Deposits [Line Items] | ||
Interest-bearing Deposits | $ 16 | $ 0 |
Weighted Average Rate | 0.01% | 0.00% |
Consolidated Obligations Narrat
Consolidated Obligations Narrative (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Federal Home Loan Bank, Consolidated Obligations | $ 60,621 | $ 98,748 |
Qualifying Asset Balance Requirement | 68,016 | |
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | 746,722 | 1,025,895 |
Federal Home Loan Bank, Consolidated Obligations | $ 60,621 | $ 98,748 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Total par value | $ 44,389 | $ 71,370 |
Total CO Bonds | $ 44,408 | $ 71,372 |
Weighted Average Interest Rate [Abstract] | ||
Within 1 year | 0.23% | 1.68% |
After 1 year through 2 years | 0.21% | 1.67% |
After 2 years through 3 years | 1.00% | 1.93% |
After 3 years through 4 years | 0.67% | 2.74% |
After 4 years through 5 years | 0.82% | 2.08% |
After 5 years | 2.24% | 2.94% |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Within 1 year | $ 34,542 | $ 53,549 |
After 1 year through 2 years | 6,923 | 13,853 |
After 2 years through 3 years | 751 | 770 |
After 3 years through 4 years | 677 | 135 |
After 4 years through 5 years | 185 | 937 |
After 5 years | 1,311 | 2,126 |
Unamortized premiums | 10 | 1 |
Unamortized discounts | (5) | (10) |
Valuation adjustments for hedging activities | 13 | 9 |
Fair value option valuation adjustments | $ 1 | $ 2 |
Weighted Average Interest Rate [Abstract] | ||
Total par amount | 0.31% | 1.73% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Derivatives, Notional Amount | $ 78,645 | $ 101,072 |
CO Bonds Par | 44,389 | 71,370 |
Non-callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 41,249 | 65,025 |
Callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 3,140 | 6,345 |
Consolidated obligation bonds | Consolidated Obligations, Callable Option [Member] | ||
Debt Instrument [Line Items] | ||
Derivatives, Notional Amount | $ 930 | $ 2,085 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 44,389 | $ 71,370 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Within 1 year | 36,667 | 58,239 |
After 1 year through 2 years | 7,228 | 12,768 |
After 2 years through 3 years | 396 | 195 |
After 3 years through 4 years | 47 | 70 |
After 4 years through 5 years | 0 | 47 |
After 5 years | $ 51 | $ 51 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | |||
Discount notes, par value | $ 16,217 | $ 27,447 | |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 0.12% | 1.61% |
Total | $ 16,213 | $ 27,376 | |
Discount notes | |||
Short-term Debt [Line Items] | |||
Unamortized discounts | $ (4) | $ (71) | |
[1] | Represents yield to maturity excluding concession fees. |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 44,389 | $ 71,370 |
Discount notes, par value | 16,217 | 27,447 |
Total consolidated obligations, par value | 60,606 | 98,817 |
Fixed Interest Rate | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 6,632 | 10,993 |
Adjustable Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 37,712 | 60,117 |
Step-up Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 45 | 60 |
Step-down Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 0 | 100 |
Range Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 0 | $ 100 |
Affordable Housing Program Narr
Affordable Housing Program Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Federal Home Loan Banks [Abstract] | |||
Affordable Housing Program, Contribution Requirement, Amount | $ 100 | ||
AHP, Contribution Requirement, Percentage | 10.00% | ||
Affordable Housing Program Assessment | $ 38 | $ 38 | $ 43 |
Affordable Housing Program Sche
Affordable Housing Program Schedule of Change in AHP Liability (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Affordable Housing Program [Roll Forward] | |||
AHP Obligation, beginning of the period | $ 152 | $ 182 | $ 204 |
AHP Assessment | 38 | 38 | 43 |
AHP Voluntary Contributions | 0 | 2 | 3 |
AHP Grant Payments | (70) | (70) | (68) |
AHP Obligation, end of the period | $ 120 | $ 152 | $ 182 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ 6,194 | $ 6,741 | $ 6,530 | $ 6,806 |
Net change in pension and postretirement benefits | 0 | 3 | (4) | |
Accumulated OTTI | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 0 | 268 | 287 | 337 |
Non-credit-related OTTI Loss, Available-for-sale Securities | (6) | (14) | ||
Net change in fair value | 0 | (16) | (38) | |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Non-credit-related OTTI to credit-related OTTI, AFS | 3 | 2 | ||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | (19) | (50) | |
Accumulated OTTI | Held-to-maturity Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 0 | (1) | (3) | (6) |
Non-credit-related OTTI Loss, Held-to-maturity Securities | 0 | 0 | ||
Accretion of Noncredit Related OTTI Loss | 1 | 2 | 3 | |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Non-credit-related OTTI to credit-related OTTI, HTM | 0 | 0 | ||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 1 | 2 | 3 | |
Accumulated Defined Benefit Plans Adjustment | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (14) | (14) | (17) | (13) |
Net change in pension and postretirement benefits | 3 | (4) | ||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | 3 | (4) | |
Accumulated Other Comprehensive Income/(Loss) | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 230 | 274 | 235 | 318 |
Net change in pension and postretirement benefits | 3 | (4) | ||
Non-Credit-related OTTI loss Total | (6) | (14) | ||
Net change in fair value | (45) | 37 | (70) | |
Accretion of Noncredit Related OTTI Loss | 1 | 2 | 3 | |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Non-credit-related OTTI to credit-related OTTI, AFS | 3 | 2 | ||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (44) | 39 | (83) | |
Available-for-sale Securities | AOCI Unrealized gain/loss, Available-for-sale | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 244 | 21 | (32) | $ 0 |
AFS Unrealized Gain/(Loss) on AFS Securities | (45) | 53 | (32) | |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | $ (45) | 53 | $ (32) | |
Adjustment for cumulative effect of accounting change - ASU 2016-13 | AOCI Unrealized gain/loss, Available-for-sale | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 268 | |||
Adjustment for cumulative effect of accounting change - ASU 2016-13 | Accumulated OTTI | Available-for-sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (268) | |||
Cumulative Effect, Period of Adoption of ASU 2016-13 | Adjustment for cumulative effect of accounting change - ASU 2016-13 | Accumulated Other Comprehensive Income/(Loss) | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ 0 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Risk-Based Capital, Required | $ 1,404 | $ 1,519 |
Risk-Based Capital, Actual | 5,966 | 6,605 |
Regulatory Capital, Required | 2,745 | 4,274 |
Regulatory Capital, Actual | $ 5,966 | $ 6,605 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Regulatory Capital Ratio, Actual | 8.69% | 6.18% |
Leverage Capital, Required | $ 3,432 | $ 5,342 |
Leverage Capital, Actual | $ 8,949 | $ 9,908 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage Ratio, Actual | 13.04% | 9.27% |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
Membership Capital Stock Requirement | 1.00% | |
Membership Capital Stock Requirement Cap | $ 15 | |
Minimum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Capital Stock Requirement | 0.50% | |
Membership Capital Stock Requirement Cap | $ 10 | |
Maximum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Capital Stock Requirement | 1.50% | |
Membership Capital Stock Requirement Cap | $ 50 | |
Percentage of Total Advances Outstanding | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 2.70% | |
Percentage of Total Advances Outstanding | Minimum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 2.00% | |
Percentage of Total Advances Outstanding | Maximum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 5.00% | |
Mortgages | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 0.00% | |
Mortgages | Minimum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 0.00% | |
Mortgages | Maximum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 5.00% | |
Letter of Credit [Member] | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 0.10% | |
Letter of Credit [Member] | Minimum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 0.10% | |
Letter of Credit [Member] | Maximum | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Membership Activity Based Stock Requirement | 1.00% |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020USD ($)Institutions | Dec. 31, 2019USD ($)Institutions | Dec. 31, 2018USD ($) | |
Capital [Line Items] | |||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 3 | 3 | |
Interest Expense on Mandatorily Redeemable Capital Stock | $ 5 | $ 14 | $ 24 |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance at the beginning of the period | 138 | 227 | 309 |
Reclassified from/(to) capital during the period | 40 | 6 | 2 |
Repurchase of excess mandatorily redeemable capital stock | (176) | (95) | (84) |
Balance at the end of the period | $ 2 | $ 138 | $ 227 |
Capital (By Redemption Period)
Capital (By Redemption Period) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||
Within 1 year | $ 0 | $ 135 | |||
Past contractual redemption date because of remaining activity | [1] | 2 | 3 | ||
Total | $ 2 | $ 138 | $ 227 | $ 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 | Mar. 18, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Feb. 28, 2021 | Feb. 18, 2021 | Jan. 31, 2021 | Jan. 01, 2020 | 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% | ||||||||
Ratio of Market Value of Capital to Par Value of Capital Stock | 280.00% | ||||||||
Retained Earnings, Set by the Board inc JCEA | $ 2,900 | $ 2,500 | |||||||
Excess Capital | $ 161 | $ 197 | |||||||
Excess Capital to Assets | 0.23% | 0.18% | |||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | $ 40 | $ 0 | $ 0 | ||||||
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period | $ 1,641 | $ 1,224 | |||||||
Dividends [Abstract] | |||||||||
Dividends, Cash, Annualized Rate | 5.53% | 7.00% | 8.51% | ||||||
Total dividends | $ 164 | $ 220 | |||||||
Interest Expense on Mandatorily Redeemable Capital Stock | 5 | 14 | $ 24 | ||||||
Retained Earnings Activity [Roll Forward] | |||||||||
Total Capital | 6,194 | 6,741 | 6,530 | $ 6,806 | |||||
Net Income/(Loss) | 335 | 327 | 360 | ||||||
Cash dividends on capital stock | (159) | (206) | (259) | ||||||
Balance at end of the period | 761 | 713 | |||||||
Financing Corporation | |||||||||
Capital [Line Items] | |||||||||
Original Capital Distribution to Financing Corporation | 680 | ||||||||
Excess Funds From Prior Capital Distribution to Financing Corporation | $ 200 | ||||||||
Subsequent Event | |||||||||
Capital [Line Items] | |||||||||
Retained Earnings, Set by the Board inc JCEA | $ 1,900 | ||||||||
Subsequent Events [Abstract] | |||||||||
Dividends, Cash Declared, Annualized Rate | 5.00% | ||||||||
Interest and Dividends Payable, Current | $ 30 | ||||||||
Dividends Payable | $ 30 | ||||||||
Interest Payable, Current | $ 0 | ||||||||
Dividends Payable, Date to be Paid | Mar. 18, 2021 | ||||||||
Minimum | |||||||||
Capital [Line Items] | |||||||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1.00% | ||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 70.00% | ||||||||
Retained Earnings, Set by the Board inc JCEA | 2,400 | ||||||||
Subsequent Events [Abstract] | |||||||||
Dividends, Cash Declared, Annualized Rate | 5.00% | ||||||||
Maximum | |||||||||
Capital [Line Items] | |||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 100.00% | ||||||||
Subsequent Events [Abstract] | |||||||||
Dividends, Cash Declared, Annualized Rate | 7.00% | ||||||||
Unrestricted Retained Earnings | |||||||||
Capital [Line Items] | |||||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | $ 40 | ||||||||
Retained Earnings Activity [Roll Forward] | |||||||||
Total Capital | 2,919 | 2,754 | 2,699 | 2,670 | |||||
Cash dividends on capital stock | (159) | (206) | (259) | ||||||
Total Restricted Retained Earnings | |||||||||
Retained Earnings Activity [Roll Forward] | |||||||||
Total Capital | $ 761 | $ 713 | $ 647 | $ 575 |
Capital (Excess Capital Stock)
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Capital [Line Items] | ||
Amount of Excess Stock Repurchased During Period | $ 1,641 | $ 1,224 |
Common stock, par value | $ 100 | |
Excess Capital | $ 161 | $ 197 |
Mandatorily Redeemable Capital Stock, Redemption Period | 5 years |
Capital (Concentration) (Detail
Capital (Concentration) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 2,286 | $ 3,138 |
Total Capital Stock, 10% or more | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 100.00% | 100.00% |
Certain Members And Certain Nonmembers [Member] | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 496 | $ 762 |
Percentage of Total Capital Stock Outstanding | 22.00% | 24.00% |
Other Borrowers | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 1,790 | $ 2,376 |
Percentage of Total Capital Stock Outstanding | 78.00% | 76.00% |
First Republic Bank [Member] | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 354 | $ 368 |
First Republic Bank [Member] | Total Capital Stock, 10% or more | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 16.00% | 12.00% |
MUFG Union Bank, NA [Member] | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 142 | $ 394 |
MUFG Union Bank, NA [Member] | Total Capital Stock, 10% or more | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 6.00% | 12.00% |
Employee Retirement Plans and_3
Employee Retirement Plans and Incentive Compensation Plans (Fair Value of Plan Assets and Funded Status) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Cash Balance Plan | ||
Defined Benefit Plan, Amounts recognized in Statement of Financial Position | ||
Fair value of plan assets | $ 86 | $ 74 |
Funded status at the end of the year | 7 | 6 |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan, Amounts recognized in Statement of Financial Position | ||
Fair value of plan assets | 0 | 0 |
Funded status at the end of the year | (21) | (20) |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan, Amounts recognized in Statement of Financial Position | ||
Fair value of plan assets | 0 | 0 |
Funded status at the end of the year | $ (2) | $ (2) |
Employee Retirement Plans and_4
Employee Retirement Plans and Incentive Compensation Plans (Amounts recognized in AOCI) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net loss/(gain) | $ 14 | $ 14 |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net loss/(gain) | 1 | 1 |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net loss/(gain) | $ (1) | $ (1) |
Employee Retirement Plans and_5
Employee Retirement Plans and Incentive Compensation Plans (Benefit Obligations in Excess of Plan Assets) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Projected benefit obligation | $ 79 | $ 68 |
Accumulated benefit obligation | 78 | 67 |
Fair value of plan assets | 86 | 74 |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Projected benefit obligation | 21 | 20 |
Accumulated benefit obligation | 20 | 20 |
Fair value of plan assets | 0 | 0 |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Projected benefit obligation | 2 | 2 |
Accumulated benefit obligation | 2 | 2 |
Fair value of plan assets | $ 0 | $ 0 |
Employee Retirement Plans and_6
Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Assumptions in Determining Benefit Obligations) (Details) | Dec. 31, 2020 | Dec. 31, 2019 |
Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Discount rate | 1.75% | 2.75% |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Discount rate | 1.75% | 2.75% |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Discount rate | 2.25% | 3.00% |
Employee Retirement Plans and_7
Employee Retirement Plans and Incentive Compensation Plans (Fair Value of Cash Balance Plan) (Details) - Cash Balance Plan - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | $ 86 | $ 74 |
Level 1 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 86 | 74 |
Level 2 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Level 3 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Cash and cash equivalents | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 1 | 2 |
Cash and cash equivalents | Level 1 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 1 | 2 |
Cash and cash equivalents | Level 2 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Cash and cash equivalents | Level 3 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Equity mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 55 | 46 |
Equity mutual funds | Level 1 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 55 | 46 |
Equity mutual funds | Level 2 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Equity mutual funds | Level 3 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Fixed income mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 23 | 21 |
Fixed income mutual funds | Level 1 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 23 | 21 |
Fixed income mutual funds | Level 2 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Fixed income mutual funds | Level 3 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Real estate mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 4 | 3 |
Real estate mutual funds | Level 1 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 4 | 3 |
Real estate mutual funds | Level 2 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Real estate mutual funds | Level 3 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Other mutual funds [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 3 | 2 |
Other mutual funds [Member] | Level 1 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 3 | 2 |
Other mutual funds [Member] | Level 2 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | 0 | 0 |
Other mutual funds [Member] | Level 3 | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Fair value of plan assets | $ 0 | $ 0 |
Employee Retirement Plans and_8
Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Asset Allocation of Cash Balance Plan) (Details) - Cash Balance Plan - Level 1 | Dec. 31, 2020 | Dec. 31, 2019 |
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Plan Assets, Actual Allocation, Percentage | 100.00% | 100.00% |
Cash and cash equivalents | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Plan Assets, Actual Allocation, Percentage | 2.00% | 2.00% |
Equity mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Plan Assets, Actual Allocation, Percentage | 64.00% | 63.00% |
Fixed income mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Plan Assets, Actual Allocation, Percentage | 27.00% | 28.00% |
Real estate mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Plan Assets, Actual Allocation, Percentage | 4.00% | 4.00% |
Other mutual funds [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Plan Assets, Actual Allocation, Percentage | 3.00% | 3.00% |
Employee Retirement Plans and_9
Employee Retirement Plans and Incentive Compensation Plans (Future benefit payments) (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Cash Balance Plan | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Plan Assets, Contributions by Employer | $ 3 |
2021 | 4 |
2022 | 5 |
2023 | 4 |
2024 | 4 |
2025 | 27 |
2026 - 2030 | 21 |
Non-Qualified Defined Benefit Plans | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Plan Assets, Contributions by Employer | 2 |
2021 | 3 |
2022 | 5 |
2023 | 1 |
2024 | 3 |
2025 | 3 |
2026 - 2030 | 6 |
Post-retirement Health Benefit Plan | |
Defined Benefit Plan Disclosure [Line Items] | |
2021 | 0 |
2022 | 0 |
2023 | 0 |
2024 | 0 |
2025 | 0 |
2026 - 2030 | $ 1 |
Employee Retirement Plans an_10
Employee Retirement Plans and Incentive Compensation Plans (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Contribution Plan, Maximum Annual Contributions per Employee, Percent | 75.00% | ||
Defined Contribution Plan, Employer Matching Contribution, Percent of Employees' Gross Pay | 6.00% | ||
Defined Contribution Plan, Cost | $ 3 | $ 2 | $ 2 |
Deferred Compensation Arrangement with Individual, Recorded Liability | 57 | 49 | $ 41 |
Incentive Compensation Plan, Other Liability | $ 17 | $ 17 | |
Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Cash Balance Plan Defined Benefit Accrual Percentage | 6.00% | 6.00% | |
Cash Balance Plan Defined Benefit Interest | 6.00% | 6.00% | |
Defined Benefit Plan, Plan Assets, Contributions by Employer | $ 3 | ||
Cash Balance Plan, Expected Future Employer Contributions, Next Twelve Months | $ 3 | ||
Non-Qualified Defined Benefit Plan - SERP | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Non Qualified Defined Benetfit Interest | 6.00% | ||
Non-Qualified Defined Benefit Plans and Postretirement Health Benefit | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Plan Assets, Contributions by Employer | $ 2 | ||
Cash Balance Plan, Expected Future Employer Contributions, Next Twelve Months | $ 3 | ||
Equity mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Plan Assets, Investment Policy and Strategy, Description | 60% | ||
Real estate mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Plan Assets, Investment Policy and Strategy, Description | 10% | ||
Fixed income mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Plan Assets, Investment Policy and Strategy, Description | 30% |
Segment Information (Details)
Segment Information (Details) $ in Millions | 12 Months Ended | ||||
Dec. 31, 2020USD ($)segment | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |||
Segment Reporting Information [Line Items] | |||||
Number of Operating Segments | segment | 2 | ||||
Adjusted Net Interest Income | $ 455 | $ 563 | $ 611 | ||
Amortization of Basis Adjustments and Gain/Loss on Fair Value Hedges | 54 | 34 | (1) | ||
Income/(Expense) on Economic Hedges | (83) | (16) | (13) | ||
Interest Expense on Mandatorily Redeemable Capital Stock | 5 | 14 | 24 | ||
Net Interest Income After Provision for/(Reversal of) Credit Losses | 479 | 531 | 601 | ||
Other Income/ (Loss) | 59 | 21 | (11) | ||
Other Expense | 165 | 187 | 187 | ||
Income/(Loss) Before AHP Assessment | 373 | 365 | 403 | ||
OTTI PLRMBS, Total accretion or amortization recognized in interest income | 70 | 78 | 81 | ||
Provision for Loan, Lease, and Other Losses | 26 | 0 | 0 | ||
Net OTTI loss, credit-related | 11 | 11 | |||
Assets | 68,634 | 106,842 | 109,326 | ||
Advances- Related Business | |||||
Segment Reporting Information [Line Items] | |||||
Adjusted Net Interest Income | 247 | 307 | 320 | ||
Assets | 50,876 | 85,709 | 88,272 | ||
Mortgage- Related Business | |||||
Segment Reporting Information [Line Items] | |||||
Adjusted Net Interest Income | 208 | [1] | 256 | [1] | 291 |
Assets | $ 17,758 | $ 21,133 | $ 21,054 | ||
[1] | The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $70, $78, and $81 for the years ended December 31, 2020, 2019, and 2018, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses of $26 for the year ended December 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $11 for each of the years ended December 31, 2019 and 2018. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Derivative [Line Items] | |
Advances, Maturity Period, Fixed Rate | 30 years |
Aggregate fair value of uncleared derivative instruments with credit risk-related contingent features in a net derivative liability position (before cash collateral and related accrued interest) | $ 66 |
Collateral Already Posted, Aggregate Fair Value | $ 59 |
Maximum | |
Derivative [Line Items] | |
Advances, Maturity Period, Fixed Rate | 30 years |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | $ 78,645 | $ 101,072 | |
Derivative Assets | 92 | 44 | |
Netting adjustments and cash collateral | [1] | (89) | (11) |
Total Derivative Assets and Derivative Liabilities | 3 | 33 | |
Derivative Liabilities | 144 | 384 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (132) | (384) |
Derivative Assets and Derivative Liabilities | 12 | 0 | |
Cash collateral posted, including accrued interest | 72 | 378 | |
Cash collateral received, including accrued interest | 30 | 5 | |
Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 35,060 | 39,622 | |
Derivative Assets | 88 | 31 | |
Derivative Liabilities | 128 | 370 | |
Designated as Hedging Instrument | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 35,060 | 39,622 | |
Derivative Assets | 88 | 31 | |
Derivative Liabilities | 128 | 370 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 42,804 | 60,424 | |
Derivative Assets | 4 | 13 | |
Derivative Liabilities | 16 | 14 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate caps and floors | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 780 | 980 | |
Derivative Assets | 0 | 0 | |
Derivative Liabilities | 0 | 0 | |
Not Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 43,585 | 61,450 | |
Derivative Assets | 4 | 13 | |
Derivative Liabilities | 16 | 14 | |
Mortgages | Not Designated as Hedging Instrument | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 1 | 46 | |
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, including accrued interest, held or placed with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $72 and $378 at December 31, 2020 and 2019, respectively. Cash collateral received, including accrued interest, was $30 and $5 at December 31, 2020 and 2019, respectively. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Advances | $ 598 | $ 1,677 | $ 1,563 |
AFS securities | 243 | 394 | 247 |
Bonds | (437) | (1,631) | (1,393) |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (164) | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 157 | ||
Gain (Loss) on Derivative and Hedging Activities | (152) | (92) | 5 |
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | (7) | ||
Advances | Interest Income [Member] | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (687) | (225) | 51 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 387 | 240 | |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | (300) | ||
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (5) | ||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | (305) | 15 | 51 |
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 | (866) | (377) | 3 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 678 | 341 | |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | (188) | ||
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (50) | ||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | (238) | (36) | 3 |
Consolidated Obligations, Bonds | Interest Expense [Member] | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 27 | 41 | (20) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (4) | (57) | |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | 23 | ||
Amortization Accretion of Discontinued Fair Value Hedging Relationships | 0 | ||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | $ 23 | $ (16) | $ (20) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Cumulative adjustments table (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | $ 23,605 | $ 22,900 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | 477 | 204 |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 509 | 204 |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | 11,557 | 12,877 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | 43 | 431 |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 1,059 | 431 |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Liability, Fair Value Hedge | (3,645) | (4,840) |
Basis Adjustment for Active Fair Value Hedged Liability Cumulative Increase Decrease | (13) | (9) |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | (13) | (9) |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 32 | 0 |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 1,016 | 0 |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | $ 0 | $ 0 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ (7) | ||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (153) | $ (93) | 15 |
Gain (Loss) on Derivative and Hedging Activities | (152) | (92) | 5 |
Gain (Loss) on Derivative and Hedging Activities | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative and Hedging Activities | (152) | (92) | 5 |
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 | (73) | (79) | 15 |
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 | (2) | 0 |
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 | (83) | (16) | (13) |
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Price Alignment Amount | 1 | 1 | (3) |
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 | $ 3 | $ 4 | $ 13 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||
Total Derivative Assets and Derivative Liabilities | $ 3 | $ 33 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 382 | 414 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (132) | (384) |
Derivative Assets and Derivative Liabilities | 12 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 12 | 0 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 85 | 34 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (85) | (16) | |
Total Derivative Assets and Derivative Liabilities | 0 | 18 | |
Derivative Asset, Noncash collateral not offset that can be sold or repledged | 0 | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 18 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 124 | 382 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (114) | (382) | |
Derivative Assets and Derivative Liabilities | 10 | 0 | |
Derivative Liability, Noncash collateral not offset that can be sold or repledged | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 10 | 0 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 7 | 10 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (4) | 5 | |
Total Derivative Assets and Derivative Liabilities | 3 | 15 | |
Derivative Asset, Noncash collateral not offset that can be sold or repledged | (379) | (381) | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 382 | 396 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 20 | 2 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (18) | (2) | |
Derivative Assets and Derivative Liabilities | 2 | 0 | |
Derivative Liability, Noncash collateral not offset that can be sold or repledged | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 2 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $72 and $378 at December 31, 2020 and 2019, respectively. Cash collateral received, including accrued interest, was $30 and $5 at December 31, 2020 and 2019, respectively. |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Assets | ||||||
Cash and due from banks | $ 174 | $ 118 | ||||
Trading securities | 4,260 | 1,766 | ||||
Fair Value of AFS Securities | [1],[2] | 15,679 | 15,495 | |||
HTM securities, Carrying Value | [3] | 5,081 | 7,545 | |||
HTM Securities, Fair Value | 5,115 | 7,566 | ||||
Accrued interest receivable | 82 | 139 | ||||
Derivative assets, net | 3 | 33 | ||||
Derivative Assets | 92 | 44 | ||||
Derivative Asset, Netting adjustments | [4] | 89 | 11 | |||
Liabilities | ||||||
Mandatorily redeemable capital stock | 2 | 138 | $ 227 | $ 309 | ||
Accrued interest payable | 24 | 164 | ||||
Derivative liabilities, net | 12 | 0 | ||||
Derivative Liabilities | 144 | 384 | ||||
Derivative Liability, Netting adjustments | [4] | (132) | (384) | |||
Net Carrying Value | ||||||
Assets | ||||||
Cash and due from banks | 174 | 118 | ||||
Interest-bearing deposits | 1,078 | 2,269 | ||||
Securities purchased under agreements to resell | 7,250 | 7,000 | ||||
Federal funds sold | 1,880 | 3,562 | ||||
Trading securities | 4,260 | 1,766 | ||||
Fair Value of AFS Securities | 15,679 | 15,495 | ||||
HTM securities, Carrying Value | 5,081 | 7,545 | ||||
Advances | 30,976 | 65,374 | ||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 1,935 | 3,314 | ||||
Accrued interest receivable | 82 | 139 | ||||
Derivative assets, net | [5] | 3 | 33 | |||
Other assets | [6] | 22 | 19 | |||
Liabilities | ||||||
Deposits | 887 | 537 | ||||
Total consolidated obligations | 60,621 | 98,748 | ||||
Mandatorily redeemable capital stock | 2 | 138 | ||||
Accrued interest payable | 24 | 164 | ||||
Derivative liabilities, net | [5] | 12 | 0 | |||
Estimated Fair Value | ||||||
Assets | ||||||
Cash and due from banks | 174 | 118 | ||||
Interest-bearing deposits | 1,078 | 2,269 | ||||
Securities purchased under agreements to resell | 7,250 | 7,000 | ||||
Federal funds sold | 1,880 | 3,562 | ||||
Trading securities | 4,260 | 1,766 | ||||
Fair Value of AFS Securities | 15,679 | 15,495 | ||||
HTM Securities, Fair Value | 5,115 | 7,566 | ||||
Advances | 31,166 | 65,492 | ||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 1,941 | 3,332 | ||||
Accrued interest receivable | 82 | 139 | ||||
Derivative assets, net | [5] | 3 | 33 | |||
Other assets | [6] | 22 | 19 | |||
Liabilities | ||||||
Deposits | 887 | 537 | ||||
Total consolidated obligations | 60,671 | 98,764 | ||||
Mandatorily redeemable capital stock | 2 | 138 | ||||
Accrued interest payable | 24 | 164 | ||||
Derivative liabilities, net | [5] | 12 | 0 | |||
Level 1 | ||||||
Assets | ||||||
Cash and due from banks | 174 | 118 | ||||
Interest-bearing deposits | 1,078 | 2,269 | ||||
Securities purchased under agreements to resell | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
Trading securities | 0 | 0 | ||||
Fair Value of AFS Securities | 0 | 0 | ||||
HTM Securities, Fair Value | 0 | 0 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative Assets | 0 | 0 | [5] | |||
Other assets | [6] | 22 | 19 | |||
Liabilities | ||||||
Deposits | 0 | 0 | ||||
Total consolidated obligations | 0 | 0 | ||||
Mandatorily redeemable capital stock | 2 | 138 | ||||
Accrued interest payable | 0 | 0 | ||||
Derivative Liabilities | 0 | 0 | [5] | |||
Level 2 | ||||||
Assets | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 0 | 0 | ||||
Securities purchased under agreements to resell | 7,250 | 7,000 | ||||
Federal funds sold | 1,880 | 3,562 | ||||
Trading securities | 4,260 | 1,766 | ||||
Fair Value of AFS Securities | 13,644 | 12,898 | ||||
HTM Securities, Fair Value | 4,827 | 7,181 | ||||
Advances | 31,166 | 65,492 | ||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 1,941 | 3,332 | ||||
Accrued interest receivable | 82 | 139 | ||||
Derivative Assets | [5] | 92 | 44 | |||
Derivative Asset, Netting adjustments | [5] | (89) | (11) | |||
Other assets | [6] | 0 | 0 | |||
Liabilities | ||||||
Deposits | 887 | 537 | ||||
Total consolidated obligations | 60,671 | 98,764 | ||||
Mandatorily redeemable capital stock | 0 | 0 | ||||
Accrued interest payable | 24 | 164 | ||||
Derivative Liabilities | [5] | 144 | 384 | |||
Derivative Liability, Netting adjustments | [5] | (132) | (384) | |||
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 | ||||
Fair Value of AFS Securities | 2,035 | 2,597 | ||||
HTM Securities, Fair Value | 288 | 385 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative Assets | 0 | 0 | [5] | |||
Other assets | [6] | 0 | 0 | |||
Liabilities | ||||||
Deposits | 0 | 0 | ||||
Total consolidated obligations | 0 | 0 | ||||
Mandatorily redeemable capital stock | 0 | 0 | ||||
Accrued interest payable | 0 | 0 | ||||
Derivative Liabilities | 0 | 0 | [5] | |||
Standby letters of credit | Net Carrying Value | ||||||
Other | ||||||
Other commitments | 36 | 32 | ||||
Standby letters of credit | Estimated Fair Value | ||||||
Other | ||||||
Other commitments | 36 | 32 | ||||
Standby letters of credit | Level 1 | ||||||
Other | ||||||
Other commitments | 0 | 0 | ||||
Standby letters of credit | Level 2 | ||||||
Other | ||||||
Other commitments | 36 | 32 | ||||
Standby letters of credit | Level 3 | ||||||
Other | ||||||
Other commitments | 0 | 0 | ||||
Discount notes | Net Carrying Value | ||||||
Liabilities | ||||||
Discount notes | 16,213 | 27,376 | ||||
Discount notes | Estimated Fair Value | ||||||
Liabilities | ||||||
Discount notes | 16,214 | 27,378 | ||||
Discount notes | Level 1 | ||||||
Liabilities | ||||||
Discount notes | 0 | 0 | ||||
Discount notes | Level 2 | ||||||
Liabilities | ||||||
Discount notes | 16,214 | 27,378 | ||||
Discount notes | Level 3 | ||||||
Liabilities | ||||||
Discount notes | 0 | 0 | ||||
Bonds | ||||||
Liabilities | ||||||
Bonds | 111 | 337 | ||||
Bonds | Net Carrying Value | ||||||
Liabilities | ||||||
Bonds | 44,408 | 71,372 | ||||
Bonds | Estimated Fair Value | ||||||
Liabilities | ||||||
Bonds | 44,457 | 71,386 | ||||
Bonds | Level 1 | ||||||
Liabilities | ||||||
Bonds | 0 | 0 | ||||
Bonds | Level 2 | ||||||
Liabilities | ||||||
Bonds | 44,457 | 71,386 | ||||
Bonds | Level 3 | ||||||
Liabilities | ||||||
Bonds | $ 0 | $ 0 | ||||
[1] | At December 31, 2020 and 2019, $379 and $381, respectively, of these securities were pledged as collateral that may be repledged. (c) Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | |||||
[2] | Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | |||||
[3] | At December 31, 2020 and 2019, none of these securities were pledged as collateral that may be repledged. | |||||
[4] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $72 and $378 at December 31, 2020 and 2019, respectively. Cash collateral received, including accrued interest, was $30 and $5 at December 31, 2020 and 2019, respectively. | |||||
[5] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. | |||||
[6] | Represents publicly traded mutual funds held in a grantor trust. |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions | Dec. 31, 2020 | Dec. 31, 2019 | ||
US Treasury Notes | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 4,257 | $ 1,762 | ||
Fair Value of AFS Securities | 2,983 | 5,288 | ||
US Treasury Notes | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
US Treasury Notes | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 4,257 | 1,762 | ||
US Treasury Notes | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
US Treasury Notes | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 4,257 | 1,762 | ||
MBS – 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 | ||
MBS – 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 | 3 | 4 | ||
MBS – 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 | ||
MBS – 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 | 3 | 4 | ||
US Treasury Securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 4,983 | |||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 4,983 | 5,288 | ||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
US Treasury Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 4,983 | 5,288 | ||
MBS - GSEs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 3 | 4 | ||
Trading securities | 4,260 | 1,766 | ||
Fair Value of AFS Securities | [1],[2] | 15,679 | 15,495 | |
Fair Value of Advances Under the Fair Value Option | [3] | 2,147 | 4,370 | |
Derivative Asset, Netting adjustments | [4] | 89 | 11 | |
Derivative assets, net | 3 | 33 | ||
Derivative Liability, Netting adjustments | [4] | (132) | (384) | |
Derivative liabilities, net | 12 | 0 | ||
Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 0 | 0 | ||
Other assets | [5] | 22 | 19 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 4,260 | 1,766 | ||
Fair Value of AFS Securities | 13,644 | 12,898 | ||
Derivative Asset, Netting adjustments | [6] | (89) | (11) | |
Other assets | [5] | 0 | 0 | |
Derivative Liability, Netting adjustments | [6] | (132) | (384) | |
Mortgage loans held for portfolio | 1,941 | 3,332 | ||
Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 2,035 | 2,597 | ||
Other assets | [5] | 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] | ||||
Fair Value of Advances Under the Fair Value Option | [7] | 2,147 | 4,370 | |
Derivative Asset, Netting adjustments | [8] | (89) | (11) | |
Derivative Liability, Netting adjustments | [8] | (132) | (384) | |
Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 0 | 0 | ||
Fair Value of Advances Under the Fair Value Option | [7] | 0 | 0 | |
Other assets | 22 | 19 | ||
Total fair value measurements – Assets | 22 | 19 | ||
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 | 4,260 | 1,766 | ||
Fair Value of AFS Securities | 13,644 | 12,898 | ||
Fair Value of Advances Under the Fair Value Option | [7] | 2,147 | 4,370 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 20,143 | 19,078 | ||
Total recurring fair value measurements – Liabilities | 255 | 721 | ||
Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 2,035 | 2,597 | ||
Fair Value of Advances Under the Fair Value Option | [7] | 0 | 0 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 2,035 | 2,597 | ||
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 | [9] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | [9] | |
Fair Value, Measurements, Nonrecurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [9] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | [9] | |
Fair Value, Measurements, Nonrecurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [9] | 18 | 1 | |
Mortgage loans held for portfolio | [9] | 18 | 1 | |
Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 111 | 337 | ||
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 | 44,457 | 71,386 | ||
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 | [10] | 111 | 337 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [10] | 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 | [10] | 111 | 337 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [10] | 0 | 0 | |
Estimate of Fair Value Measurement | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 4,260 | 1,766 | ||
Fair Value of AFS Securities | 15,679 | 15,495 | ||
Derivative assets, net | [6] | 3 | 33 | |
Other assets | [5] | 22 | 19 | |
Derivative liabilities, net | [6] | 12 | 0 | |
Mortgage loans held for portfolio | 1,941 | 3,332 | ||
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 4,260 | 1,766 | ||
Fair Value of AFS Securities | 15,679 | 15,495 | ||
Other assets | 22 | 19 | ||
Total fair value measurements – Assets | 22,111 | 21,683 | ||
Total recurring fair value measurements – Liabilities | 123 | 337 | ||
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 | [9] | 18 | 1 | |
Mortgage loans held for portfolio | [9] | 18 | 1 | |
Estimate of Fair Value Measurement | Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 44,457 | 71,386 | ||
Interest rate swaps | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Netting adjustments | [8] | (89) | (11) | |
Derivative Liability, Netting adjustments | [8] | (132) | (384) | |
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 | 92 | 44 | ||
Derivative liabilities, net | 144 | 384 | ||
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 | 3 | 33 | ||
Derivative liabilities, net | 12 | 0 | ||
Multifamily [Member] | MBS - GSEs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 8,661 | 7,610 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 2,035 | 2,597 | ||
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] | ||||
Fair Value of 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] | ||||
Fair Value of 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] | ||||
Fair Value of AFS Securities | 2,035 | 2,597 | ||
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] | ||||
Fair Value of AFS Securities | 2,035 | 2,597 | ||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 8,661 | 7,610 | ||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 2,035 | 2,597 | ||
Residential Mortgage Backed Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 10,696 | 10,207 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 8,661 | 7,610 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | $ 8,661 | $ 7,610 | ||
[1] | At December 31, 2020 and 2019, $379 and $381, respectively, of these securities were pledged as collateral that may be repledged. (c) Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | |||
[2] | Prior to the adoption of new accounting guidance for the measurement of credit losses on financial instruments on January 1, 2020, the allowance for credit losses on AFS securities was not applicable and is therefore presented as $0 at December 31, 2019. For additional information, see Note 1 – Summary of Significant Accounting Policies. | |||
[3] | At December 31, 2020 and 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status. | |||
[4] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents and/or counterparty. Cash collateral posted, including accrued interest, was $72 and $378 at December 31, 2020 and 2019, respectively. Cash collateral received, including accrued interest, was $30 and $5 at December 31, 2020 and 2019, respectively. | |||
[5] | Represents publicly traded mutual funds held in a grantor trust. | |||
[6] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty. | |||
[7] | Represents advances recorded under the fair value option at December 31, 2020 and 2019. | |||
[8] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty | |||
[9] | The fair value information presented is as of the date the fair value adjustment was recorded during the years ended December 31, 2020 | |||
[10] | Represents consolidated obligation bonds recorded under the fair value option at December 31, 2020 and 2019 |
Fair Value (Level 3) (Details)
Fair Value (Level 3) (Details) - Subtotal PLRMBS - Fair Value, Measurements, Recurring - Level 3 - Available-for-sale Securities - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of the period | $ 2,597 | $ 3,157 | $ 3,833 |
Interest income | 70 | 78 | 81 |
Provision for Credit Losses | (25) | ||
Other Income, net | 0 | (14) | (23) |
Unrealized gain/(loss) included in AOCI | (111) | (16) | (38) |
Settlements | (499) | (609) | (708) |
Transfers of HTM to AFS | 3 | 1 | 12 |
Balance, end of the period | 2,035 | 2,597 | 3,157 |
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 | $ 45 | $ 62 | $ 70 |
Fair Value (Fair Value Option)
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Balance, beginning of the period | [1] | $ 4,370 | ||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | 85 | $ 101 | $ (21) | |
Balance, end of the period | [1] | 2,147 | 4,370 | |
Advances | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Balance, beginning of the period | 4,370 | 5,133 | 6,431 | |
New transactions elected for fair value option | 7,070 | 2,324 | 1,918 | |
Maturities and terminations | (9,373) | (3,200) | (3,192) | |
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | 85 | 116 | (25) | |
Change in accrued interest | (5) | (3) | 1 | |
Balance, end of the period | 2,147 | 4,370 | 5,133 | |
Consolidated obligation bonds | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | 0 | 15 | (4) | |
Balance, beginning of the period | 337 | 2,019 | 949 | |
New transactions elected for fair value option | 0 | 0 | 1,313 | |
Maturities and terminations | (225) | (1,688) | (245) | |
Change in accrued interest | (1) | (9) | 6 | |
Balance, end of the period | $ 111 | $ 337 | $ 2,019 | |
[1] | At December 31, 2020 and 2019, 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 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Fair Value Option, Principal Balance, Advances | [1] | $ 2,017 | $ 4,287 | ||
Fair Value of Advances Under the Fair Value Option | [1] | 2,147 | 4,370 | ||
Fair Value Over/(Under) Principal Balance, Advances | [1] | 130 | 83 | ||
Consolidated obligation bonds | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Fair Value Option, Principal Balance, CO Bonds | 110 | 335 | |||
Fair Value of Bonds Under the Fair Value Option | 111 | 337 | |||
Fair Value Over/(Under) Principal Balance, CO Bonds | 1 | 2 | |||
Advances | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Fair Value of Advances Under the Fair Value Option | 2,147 | 4,370 | $ 5,133 | $ 6,431 | |
Consolidated obligation bonds | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Fair Value of Bonds Under the Fair Value Option | $ 111 | $ 337 | $ 2,019 | $ 949 | |
[1] | At December 31, 2020 and 2019, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Fair Value Narrative (Details)
Fair Value Narrative (Details) | Dec. 31, 2020numberOfVendors |
Minimum | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements Valuation Techniques Number Of Designated Third Party Pricing Vendors | 1 |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value Measurements Valuation Techniques Number Of Designated Third Party Pricing Vendors | 1 |
Median [Member] | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements Valuation Techniques Number Of Designated Third Party Pricing Vendors | 2 |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value Measurements Valuation Techniques Number Of Designated Third Party Pricing Vendors | 2 |
Maximum | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements Valuation Techniques Number Of Designated Third Party Pricing Vendors | 3 |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair Value Measurements Valuation Techniques Number Of Designated Third Party Pricing Vendors | 3 |
Commitments and Contingencies O
Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Loss Contingencies [Line Items] | |||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 746,722 | $ 1,025,895 | |
Standby Letters Of Credit, Final Expiration | 2035 | ||
Other Liabilities | $ 774 | 362 | |
Commitments to purchase mortgage loans, maximum term | 60 days | ||
Total consolidated obligations, par value | $ 60,606 | 98,817 | |
Assets Pledged As Collateral | 451 | 759 | |
Security Owned and Pledged as Collateral, Fair Value | 379 | 381 | |
Derivative, Collateral, Right to Reclaim Cash | 72 | 378 | |
MPF Service Fee Expense to FHLB Chicago | 2 | 3 | $ 2 |
Standby letters of credit outstanding | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 14,838 | 16,898 | |
Expire After One Year | 4,551 | 4,658 | |
Total | 19,389 | 21,556 | |
Other Liabilities | 36 | 32 | |
Commitments to issue consolidated obligation discount notes, par | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 0 | 805 | |
Expire After One Year | 0 | 0 | |
Total | $ 0 | 805 | |
Minimum | Standby letters of credit outstanding | |||
Loss Contingencies [Line Items] | |||
Guarantor Obligations, Term | 4 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 | $ 60,606 | 98,817 | |
Mortgages | Commitments to purchase mortgage loans | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 1 | 46 | |
Expire After One Year | 0 | 0 | |
Total | $ 1 | $ 46 |
Transactions with Certain Mem_3
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Payments to Extend Overnight Loans to Other FHLBanks | $ (925) | $ (1,450) | $ (780) |
Proceeds from Other FHLBank Borrowings | 895 | 2,245 | 2,020 |
Assets: | |||
Advances | 30,976 | 65,374 | |
Mortgage loans held for portfolio | 1,935 | 3,314 | |
Accrued interest receivable | 82 | 139 | |
Liabilities: | |||
Deposits | 887 | 537 | |
Capital [Abstract] | |||
Capital Stock | 2,284 | 3,000 | |
Interest Income: | |||
Advances | 598 | 1,677 | 1,563 |
Mortgage loans held for portfolio | 34 | 87 | 98 |
MPF Service Fee Expense to FHLB Chicago | 2 | 3 | 2 |
FHLBanks [Member] | |||
Related Party Transaction [Line Items] | |||
Deposits with other FHLB | 1 | 1 | |
MPF Counterparty fee Income | 0 | 0 | |
Transaction with Member Officer or Director | |||
Assets: | |||
Advances | 2,650 | 3,697 | |
Mortgage loans held for portfolio | 0 | 8 | |
Accrued interest receivable | 3 | 6 | |
Liabilities: | |||
Deposits | 27 | 22 | |
Capital [Abstract] | |||
Capital Stock | 103 | 132 | |
Interest Income: | |||
Advances | 75 | 87 | 81 |
Mortgage loans held for portfolio | $ 0 | $ 0 | $ 1 |
Other (Details)
Other (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Other [Abstract] | |||
Professional and Contract Services Expense | $ 36 | $ 38 | $ 37 |
Travel and Entertainment Expense | 0 | 2 | 2 |
Occupancy Expense | 11 | 15 | 10 |
Equipment Expense | 6 | 8 | 12 |
Other - Other operating expense | 7 | 10 | 6 |
Other operating expense | $ 60 | $ 73 | $ 67 |