Document and Entity Information
Document and Entity Information Document - shares | 3 Months Ended | |
Mar. 31, 2016 | Apr. 30, 2016 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | Federal Home Loan Bank of Cincinnati | |
Entity Central Index Key | 1,326,771 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 43,319,725 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Cash and due from banks | $ 7,507 | $ 10,136 | |
Interest-bearing deposits | 185 | 99 | |
Securities purchased under agreements to resell | 4,194,934 | 10,531,979 | |
Federal funds sold | 6,310,000 | 10,845,000 | |
Investment securities: | |||
Trading securities | 1,114 | 1,159 | |
Available-for-sale securities | 800,225 | 700,081 | |
Held-to-maturity securities (includes $0 and $0 pledged as collateral at March 31, 2016 and December 31, 2015, respectively, that may be repledged) | [1] | 15,398,466 | 15,278,206 |
Total investment securities | 16,199,805 | 15,979,446 | |
Advances (includes $15,227 and $15,057 at fair value under fair value option at March 31, 2016 and December 31, 2015, respectively) | 68,719,728 | 73,292,172 | |
Mortgage loans held for portfolio: | |||
Mortgage loans held for portfolio | 8,264,478 | 7,981,293 | |
Less: allowance for credit losses on mortgage loans | 1,483 | 1,686 | |
Mortgage loans held for portfolio, net | 8,262,995 | 7,979,607 | |
Accrued interest receivable | 104,316 | 94,855 | |
Premises, software, and equipment, net | 10,248 | 10,436 | |
Derivative assets | 69,966 | 26,996 | |
Other assets | 8,686 | 13,013 | |
TOTAL ASSETS | 103,888,370 | 118,783,739 | |
LIABILITIES | |||
Deposits | 670,114 | 804,342 | |
Consolidated Obligations, net: | |||
Discount Notes | 53,671,550 | 77,199,208 | |
Bonds (includes $5,048,740 and $2,214,590 at fair value under fair value option at March 31, 2016 and December 31,2015, respectively) | 43,956,738 | 35,091,722 | |
Total Consolidated Obligations, net | 97,628,288 | 112,290,930 | |
Mandatorily redeemable capital stock | 102,851 | 37,895 | |
Accrued interest payable | 122,021 | 118,823 | |
Affordable Housing Program payable | 106,040 | 107,352 | |
Derivative liabilities | 32,027 | 31,087 | |
Other Liabilities | 259,844 | 212,254 | |
Total liabilities | $ 98,921,185 | $ 113,602,683 | |
Commitments and contingencies | |||
CAPITAL | |||
Capital stock Class B putable ($100 par value); issued and outstanding shares: 42,104 shares at March 31, 2016 and 44,288 shares at December 31, 2015 | $ 4,210,405 | $ 4,428,756 | |
Retained earnings: | |||
Unrestricted | 550,334 | 556,139 | |
Restricted | 219,107 | 209,438 | |
Total retained earnings | 769,441 | 765,577 | |
Accumulated other comprehensive loss | (12,661) | (13,277) | |
Total capital | 4,967,185 | 5,181,056 | |
TOTAL LIABILITIES AND CAPITAL | $ 103,888,370 | $ 118,783,739 | |
[1] | Fair values: $15,573,477 and $15,229,965 at March 31, 2016 and December 31, 2015, respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |||
Held-to-maturity Securities Pledged as Collateral | $ 0 | $ 0 | |||
Advances, Fair Value Disclosure | [1] | $ 15,227 | $ 15,057 | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | |||
Common Stock, Shares, Issued | 42,104 | 44,288 | |||
Common Stock, Shares, Outstanding | 42,104 | 44,288 | |||
Held-to-maturity Securities, Fair Value | $ 15,573,477 | $ 15,229,965 | |||
Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | 5,048,740 | 2,214,590 | |||
Fair Value | |||||
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |||
Fair Value | Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | $ 44,603,426 | [2] | $ 35,317,688 | [3] | |
[1] | At March 31, 2016 and December 31, 2015, none of the Advances were 90 days or more past due or had been placed on non-accrual status. | ||||
[2] | Includes (in thousands) $5,048,740 of Consolidated Obligation Bonds recorded under the fair value option at March 31, 2016. | ||||
[3] | Includes (in thousands) $2,214,590 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2015. |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
INTEREST INCOME: | ||
Advances | $ 133,520 | $ 84,797 |
Prepayment fees on Advances, net | 2,244 | 1,030 |
Interest-bearing deposits | 79 | 21 |
Securities purchased under agreements to resell | 1,922 | 469 |
Federal funds sold | 11,170 | 1,865 |
Investment securities: | ||
Trading securities | 5 | 6 |
Available-for-sale securities | 1,011 | 487 |
Held-to-maturity securities | 84,557 | 80,435 |
Total investment securities | 85,573 | 80,928 |
Mortgage loans held for portfolio | 58,815 | 56,199 |
Total interest income | 293,323 | 225,309 |
Consolidated Obligations: | ||
Discount Notes | 54,880 | 9,940 |
Bonds | 157,324 | 137,283 |
Total Consolidated Obligations | 212,204 | 147,223 |
Deposits | 280 | 93 |
Mandatorily redeemable capital stock | 1,063 | 632 |
Total interest expense | 213,547 | 147,948 |
NET INTEREST INCOME | 79,776 | 77,361 |
NON-INTEREST (LOSS) INCOME: | ||
Net losses on trading securities | 0 | (5) |
Net losses on financial instruments held under fair value option | (13,657) | (1,169) |
Net gains on derivatives and hedging activities | 5,645 | 5,302 |
Standby Letters of Credit fees | 3,144 | 3,043 |
Other, net | 680 | 961 |
Total non-interest (loss) income | (4,188) | 8,132 |
NON-INTEREST EXPENSE: | ||
Compensation and benefits | 10,568 | 10,107 |
Other operating expenses | 5,909 | 4,709 |
Finance Agency | 1,535 | 1,676 |
Office of Finance | 1,195 | 926 |
Other | 2,544 | 285 |
Total non-interest expense | 21,751 | 17,703 |
INCOME BEFORE ASSESSMENTS | 53,837 | 67,790 |
Affordable Housing Program Assessments | 5,490 | 6,842 |
NET INCOME | $ 48,347 | $ 60,948 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Net income | $ 48,347 | $ 60,948 |
Other comprehensive income adjustments: | ||
Net unrealized gains (losses) on available-for-sale securities | 144 | (8) |
Pension and postretirement benefits | 472 | 617 |
Total other comprehensive income adjustments | 616 | 609 |
Comprehensive income | $ 48,963 | $ 61,557 |
Statement of Equity
Statement of Equity - USD ($) shares in Thousands, $ in Thousands | Total | Common Stock [Member] | Retained Earnings, Unrestricted [Member] | Retained Earnings, Restricted [Member] | Retained Earnings, Total [Member] | Accumulated Other Comprehensive Loss [Member] |
Shares, Issued beginning balance at Dec. 31, 2014 | 42,665 | |||||
Beginning balance at Dec. 31, 2014 | $ 4,939,008 | $ 4,266,543 | $ 529,367 | $ 159,694 | $ 689,061 | $ (16,596) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Proceeds from sale of capital stock, shares | 411 | |||||
Proceeds from sale of capital stock, par value | 41,100 | $ 41,100 | ||||
Net shares reclassified to mandatorily redeemable capital stock, shares | (52) | |||||
Net shares reclassified to mandatorily redeemable capital stock, par value | (5,227) | $ (5,227) | ||||
Comprehensive Income | 61,557 | 48,758 | 12,190 | 60,948 | 609 | |
Cash dividends on capital stock | (42,922) | (42,922) | (42,922) | |||
Shares, Issued ending balance at Mar. 31, 2015 | 43,024 | |||||
Ending balance at Mar. 31, 2015 | 4,993,516 | $ 4,302,416 | 535,203 | 171,884 | 707,087 | (15,987) |
Shares, Issued beginning balance at Dec. 31, 2015 | 44,288 | |||||
Beginning balance at Dec. 31, 2015 | 5,181,056 | $ 4,428,756 | 556,139 | 209,438 | 765,577 | (13,277) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Proceeds from sale of capital stock, shares | 104 | |||||
Proceeds from sale of capital stock, par value | 10,400 | $ 10,400 | ||||
Net shares reclassified to mandatorily redeemable capital stock, shares | (2,288) | |||||
Net shares reclassified to mandatorily redeemable capital stock, par value | (228,751) | $ (228,751) | ||||
Comprehensive Income | 48,963 | 38,678 | 9,669 | 48,347 | 616 | |
Cash dividends on capital stock | (44,483) | (44,483) | (44,483) | |||
Shares, Issued ending balance at Mar. 31, 2016 | 42,104 | |||||
Ending balance at Mar. 31, 2016 | $ 4,967,185 | $ 4,210,405 | $ 550,334 | $ 219,107 | $ 769,441 | $ (12,661) |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
OPERATING ACTIVITIES: | ||
Net income | $ 48,347 | $ 60,948 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Depreciation and amortization | 24,795 | 8,146 |
Net change in derivative and hedging activities | (14,795) | (9,100) |
Net change in fair value adjustments on trading securities | 0 | 5 |
Net change in fair value adjustments on financial instruments held under fair value option | 13,657 | 1,169 |
Other adjustments | (1) | 0 |
Net change in: | ||
Accrued interest receivable | (9,466) | (241) |
Other assets | 4,327 | 4,414 |
Accrued interest payable | 7,183 | (693) |
Other liabilities | (2,366) | 4,946 |
Total adjustments | 23,334 | 8,646 |
Net cash provided by operating activities | 71,681 | 69,594 |
Net change in: | ||
Interest-bearing deposits | (67,961) | (9,027) |
Securities purchased under agreements to resell | 6,337,045 | (607,000) |
Federal funds sold | 4,535,000 | 895,000 |
Premises, software, and equipment | (526) | (206) |
Trading securities: | ||
Proceeds from maturities of long-term | 44 | 34 |
Available-for-sale securities: | ||
Net (increase) decrease in short-term | (100,000) | 800,000 |
Held-to-maturity securities: | ||
Net decrease (increase) in short-term | 1,708 | (5,642) |
Proceeds from maturities of long-term | 591,605 | 543,927 |
Purchases of long-term | (666,531) | (283,570) |
Advances: | ||
Proceeds | 266,907,192 | 231,457,294 |
Made | (262,292,242) | (227,773,585) |
Mortgage loans held for portfolio: | ||
Principal collected | 256,977 | 345,085 |
Purchases | (552,351) | (628,067) |
Net cash provided by investing activities | 14,949,960 | 4,734,243 |
FINANCING ACTIVITIES: | ||
Net (decrease) increase in deposits and pass-through reserves | (133,596) | 111,586 |
Net payments on derivative contracts with financing elements | (4,029) | (7,567) |
Net proceeds from issuance of Consolidated Obligations: | ||
Discount Notes | 90,885,753 | 57,318,356 |
Bonds | 14,864,968 | 2,855,959 |
Payments for maturing and retiring Consolidated Obligations: | ||
Discount Notes | (114,421,545) | (52,925,621) |
Bonds | (6,017,943) | (15,141,597) |
Proceeds from issuance of capital stock | 10,400 | 41,100 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (163,795) | (6,630) |
Cash dividends paid | (44,483) | (42,922) |
Net cash used in financing activities | (15,024,270) | (7,797,336) |
Net decrease in cash and cash equivalents | (2,629) | (2,993,499) |
Cash and cash equivalents at beginning of the period | 10,136 | 3,109,970 |
Cash and cash equivalents at end of the period | 7,507 | 116,471 |
Supplemental Disclosures: | ||
Interest paid | 206,515 | 158,511 |
Affordable Housing Program payments, net | $ 6,802 | $ 2,972 |
Background Information
Background Information | 3 Months Ended |
Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | Background Information The Federal Home Loan Bank of Cincinnati (the FHLB), a federally chartered corporation, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The FHLB is regulated by the Federal Housing Finance Agency (Finance Agency). |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements of the FHLB have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make assumptions and estimates. These assumptions and estimates affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. The interim financial statements presented are unaudited, but they include all adjustments (consisting of only normal recurring adjustments) which are, in the opinion of management, necessary for a fair statement of the financial condition, results of operations, and cash flows for such periods. These financial statements do not include all disclosures associated with annual financial statements and accordingly should be read in conjunction with the audited financial statements and notes included in the FHLB's Annual Report on Form 10-K for the year ended December 31, 2015 filed with the Securities and Exchange Commission (SEC). Results for the three months ended March 31, 2016 are not necessarily indicative of operating results for the full year. The FHLB presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these instruments, the FHLB has elected to offset its asset and liability positions, as well as cash collateral received or pledged, when it has met the netting requirements. The FHLB 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 requirements for netting, 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 10. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. For more information about the FHLB's investments in securities purchased under agreements to resell, see “Item 8. Financial Statements and Supplementary Data - Note 1 - Summary of Significant Accounting Policies” in the FHLB's 2015 Annual Report on Form 10-K. The FHLB has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements. |
Recently Issued Accounting Stan
Recently Issued Accounting Standards and Interpretations | 3 Months Ended |
Mar. 31, 2016 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued Accounting Standards and Interpretations [Text Block] | Recently Issued Accounting Standards and Interpretations Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the Financial Accounting Standards Board (FASB) issued amendments to clarify the requirements for assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts. The guidance requires entities to apply only the four-step decision sequence when assessing whether the economic characteristics and risks of call (put) options are clearly and closely related to the economic characteristics and risks of their debt hosts. Consequently, when a call (put) option is contingently exercisable, an entity does not have to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. This guidance becomes effective for the FHLB for the interim and annual periods beginning after December 15, 2016, and early adoption is permitted. The guidance should be applied on a modified retrospective basis to existing debt instruments as of the beginning of the period for which the amendments are effective. The FHLB is in the process of evaluating this guidance, and its effect on the FHLB's financial condition, results of operations, and cash flows has not yet been determined. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. On March 10, 2016, the FASB issued amendments to clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under GAAP does not, in and of itself, require dedesignation of that hedging relationship provided that all other hedge accounting criteria continue to be met. This guidance becomes effective for the FHLB for the interim and annual periods beginning after December 15, 2016, and early adoption is permitted. The amendments provide entities with the option to apply the guidance using either a prospective approach or a modified retrospective approach, retrospectively applied to all derivative instruments that meet the specific conditions. The FHLB elected to early adopt the guidance prospectively on January 1, 2016. The adoption of this guidance had no effect on the FHLB's financial condition, results of operations, and cash flows. Leases. On February 25, 2016, the FASB issued guidance which requires recognition of lease assets and lease liabilities on the Statement of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee, of operating or finance leases, to recognize on the Statement of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 month or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. The guidance becomes effective for the FHLB for the interim and annual periods beginning after December 15, 2018, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The FHLB is in the process of evaluating this guidance, and its effect on the FHLB's financial condition, results of operations, and cash flows has not yet been determined. Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following: ▪ Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income. ▪ Require an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected the fair value option. ▪ Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the balance sheet or the accompanying notes to the financial statements. ▪ Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value for financial instruments measured at amortized cost on the balance sheet. The guidance becomes effective for the FHLB for the interim and annual periods beginning after December 15, 2017, and early adoption is only permitted for certain provision. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the period of adoption. The FHLB is in the process of evaluating this guidance and its effect on the FHLB's financial condition, results of operations, and cash flows. Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify the accounting for cloud computing arrangements. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license. If the arrangement includes a software license, then the customer should account for the software license element of the arrangement consistent with the acquisition of other software licenses. If the arrangement does not contain a software license, the customer should account for the arrangement as a service contract. This guidance became effective for the FHLB for the interim and annual periods beginning on January 1, 2016, and was adopted prospectively. The adoption of this guidance had no material effect on the FHLB's financial condition, results of operations, and cash flows. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented in the Statement of Condition as a direct deduction from the carrying amount of the liability, consistent with the presentation of debt discounts. This guidance became effective for the FHLB for the interim and annual periods beginning on January 1, 2016. As a result of adopting this guidance, unamortized concessions (in thousands) of $ 13,042 included in other assets at December 31, 2015 were reclassified as a reduction in the balance of the corresponding Consolidated Obligations. The reclassification resulted in a decrease (in thousands) of $ 13,042 in Consolidated Bonds at December 31, 2015. Accordingly, the FHLB's total assets and total liabilities each decreased by (in thousands) $ 13,042 at December 31, 2015. The adoption of this guidance had no effect on the FHLB's results of operations and cash flows. |
Trading Securities
Trading Securities | 3 Months Ended |
Mar. 31, 2016 | |
Trading Securities [Abstract] | |
Trading Securities [Text Block] | Trading Securities Table 3.1 - Trading Securities by Major Security Types (in thousands) Fair Value March 31, 2016 December 31, 2015 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 1,114 $ 1,159 Total $ 1,114 $ 1,159 Table 3.2 - Net Losses on Trading Securities (in thousands) Three Months Ended March 31, 2016 2015 Net losses on trading securities held at period end $ — $ (5 ) Net losses on trading securities $ — $ (5 ) |
Available-for-Sale Securities
Available-for-Sale Securities | 3 Months Ended |
Mar. 31, 2016 | |
Available-for-sale Securities [Abstract] | |
Available for sale Securities [Text Block] | Available-for-Sale Securities Table 4.1 - Available-for-Sale Securities by Major Security Types (in thousands) March 31, 2016 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 800,000 $ 225 $ — $ 800,225 Total $ 800,000 $ 225 $ — $ 800,225 December 31, 2015 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 700,000 $ 81 $ — $ 700,081 Total $ 700,000 $ 81 $ — $ 700,081 Table 4.2 - Available-for-Sale Securities by Contractual Maturity (in thousands) March 31, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 800,000 $ 800,225 $ 700,000 $ 700,081 Table 4.3 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) March 31, 2016 December 31, 2015 Amortized cost of available-for-sale securities: Fixed-rate $ 800,000 $ 700,000 Realized Gains and Losses. The FHLB had no sales of securities out of its available-for-sale portfolio for the three months ended March 31, 2016 or 2015 . |
Held-to-Maturity Securities
Held-to-Maturity Securities | 3 Months Ended |
Mar. 31, 2016 | |
Held-to-maturity Securities, Unclassified [Abstract] | |
Held to Maturity Securities [Text Block] | Held-to-Maturity Securities Table 5.1 - Held-to-Maturity Securities by Major Security Types (in thousands) March 31, 2016 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: Government-sponsored enterprises (GSE) $ 30,975 $ 14 $ — $ 30,989 Total non-mortgage-backed securities 30,975 14 — 30,989 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 3,750,675 46,515 (633 ) 3,796,557 GSE single-family mortgage-backed securities 10,441,148 166,359 (38,104 ) 10,569,403 GSE multi-family mortgage-backed securities 1,175,668 860 — 1,176,528 Total mortgage-backed securities 15,367,491 213,734 (38,737 ) 15,542,488 Total $ 15,398,466 $ 213,748 $ (38,737 ) $ 15,573,477 December 31, 2015 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: GSE $ 32,683 $ — $ — $ 32,683 Total non-mortgage-backed securities 32,683 — — 32,683 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 3,894,432 3,629 (25,292 ) 3,872,769 GSE single-family mortgage-backed securities 10,891,089 122,044 (148,589 ) 10,864,544 GSE multi-family mortgage-backed securities 460,002 — (33 ) 459,969 Total mortgage-backed securities 15,245,523 125,673 (173,914 ) 15,197,282 Total $ 15,278,206 $ 125,673 $ (173,914 ) $ 15,229,965 (1) Carrying value equals amortized cost. Table 5.2 - Net Purchased Premiums Included in the Amortized Cost of Mortgage-backed Securities Classified as Held-to-Maturity (in thousands) March 31, 2016 December 31, 2015 Premiums $ 78,755 $ 84,450 Discounts (36,846 ) (40,667 ) Net purchased premiums $ 41,909 $ 43,783 Table 5.3 summarizes the held-to-maturity securities with unrealized losses, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Table 5.3 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands) March 31, 2016 Less than 12 Months 12 Months or more Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 647,125 $ (633 ) $ — $ — $ 647,125 $ (633 ) GSE single-family mortgage-backed securities 414,496 (669 ) 2,986,674 (37,435 ) 3,401,170 (38,104 ) Total $ 1,061,621 $ (1,302 ) $ 2,986,674 $ (37,435 ) $ 4,048,295 $ (38,737 ) December 31, 2015 Less than 12 Months 12 Months or more Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 2,574,649 $ (25,292 ) $ — $ — $ 2,574,649 $ (25,292 ) GSE single-family mortgage-backed securities 4,332,237 (74,068 ) 2,065,926 (74,521 ) 6,398,163 (148,589 ) GSE multi-family mortgage-backed securities 459,969 (33 ) — — 459,969 (33 ) Total $ 7,366,855 $ (99,393 ) $ 2,065,926 $ (74,521 ) $ 9,432,781 $ (173,914 ) Table 5.4 - Held-to-Maturity Securities by Contractual Maturity (in thousands) March 31, 2016 December 31, 2015 Year of Maturity Amortized Cost (1) Fair Value Amortized Cost (1) Fair Value Non-mortgage-backed securities: Due in 1 year or less $ 30,975 $ 30,989 $ 32,683 $ 32,683 Due after 1 year through 5 years — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — Total non-mortgage-backed securities 30,975 30,989 32,683 32,683 Mortgage-backed securities (2) 15,367,491 15,542,488 15,245,523 15,197,282 Total $ 15,398,466 $ 15,573,477 $ 15,278,206 $ 15,229,965 (1) Carrying value equals amortized cost. (2) Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Table 5.5 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands) March 31, 2016 December 31, 2015 Amortized cost of non-mortgage-backed securities: Fixed-rate $ 30,975 $ 32,683 Total amortized cost of non-mortgage-backed securities 30,975 32,683 Amortized cost of mortgage-backed securities: Fixed-rate 12,168,046 12,664,603 Variable-rate 3,199,445 2,580,920 Total amortized cost of mortgage-backed securities 15,367,491 15,245,523 Total $ 15,398,466 $ 15,278,206 Realized Gains and Losses. From time to time the FHLB may sell securities out of its held-to-maturity portfolio. These securities, generally, have less than 15 percent of the acquired principal outstanding at the time of the sale. These sales are considered maturities for the purposes of security classification. For the three months ended March 31, 2016 and 2015 , the FHLB did not sell any held-to-maturity securities. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment Analysis | 3 Months Ended |
Mar. 31, 2016 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other than Temporary Impairment Analysis [Text Block] | Other-Than-Temporary Impairment Analysis The FHLB evaluates any of its individual available-for-sale and held-to-maturity investment securities holdings in an unrealized loss position for other-than-temporary impairment on a quarterly basis. For its Other U.S. obligations and GSE investments (mortgage-backed securities and non-mortgage-backed securities), the FHLB has determined that the strength of the issuers' guarantees through direct obligations or support from the U.S. government is sufficient to protect the FHLB from losses based on current expectations. As a result, the FHLB determined that, as of March 31, 2016 , all of the gross unrealized losses on these investments were temporary as the declines in market value of these securities were not attributable to credit quality. Furthermore, the FHLB does not intend to sell the investments, and it is not more likely than not that the FHLB will be required to sell the investments before recovery of their amortized cost bases. As a result, the FHLB did not consider any of these investments to be other-than-temporarily impaired at March 31, 2016 . The FHLB did not consider any of its investments to be other-than-temporarily impaired at December 31, 2015 . |
Advances
Advances | 3 Months Ended |
Mar. 31, 2016 | |
Advances [Abstract] | |
Advances [Text Block] | Advances The FHLB offers a wide range of fixed- and variable-rate Advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents Advance redemptions by contractual maturity, including index-amortizing Advances, which are presented according to their predetermined amortization schedules. Table 7.1 - Advance Redemption Terms (dollars in thousands) March 31, 2016 December 31, 2015 Redemption Term Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 24,274,858 0.75 % $ 27,177,311 0.57 % Due after 1 year through 2 years 10,905,001 0.90 12,360,345 0.79 Due after 2 years through 3 years 16,234,826 0.84 15,839,007 0.77 Due after 3 years through 4 years 10,822,726 0.88 11,107,509 0.78 Due after 4 years through 5 years 1,596,994 1.51 3,391,892 1.06 Thereafter 4,792,915 1.61 3,366,205 1.69 Total par value 68,627,320 0.89 73,242,269 0.75 Commitment fees (588 ) (629 ) Discount on Affordable Housing Program (AHP) Advances (8,906 ) (9,396 ) Premiums 2,664 2,744 Discounts (7,750 ) (8,386 ) Hedging adjustments 106,761 65,513 Fair value option valuation adjustments and accrued interest 227 57 Total $ 68,719,728 $ 73,292,172 The FHLB offers certain fixed and variable-rate Advances to members that may be prepaid on specified dates (call dates) without incurring prepayment or termination fees (callable Advances). If the call option is exercised, replacement funding may be available. At March 31, 2016 and December 31, 2015 , the FHLB had callable Advances (in thousands) of $14,731,435 and $14,095,712 . Other Advances may only be prepaid subject to a prepayment fee paid to the FHLB that makes the FHLB financially indifferent to the prepayment of the Advance. Table 7.2 - Advances by Year of Contractual Maturity or Next Call Date (in thousands) Year of Contractual Maturity or Next Call Date March 31, 2016 December 31, 2015 Due in 1 year or less $ 29,271,682 $ 33,384,838 Due after 1 year through 2 years 11,221,646 11,289,035 Due after 2 years through 3 years 14,271,873 13,959,002 Due after 3 years through 4 years 10,065,005 10,356,770 Due after 4 years through 5 years 2,361,199 2,747,419 Thereafter 1,435,915 1,505,205 Total par value $ 68,627,320 $ 73,242,269 The FHLB also offers putable Advances. With a putable Advance, the FHLB effectively purchases put options from the member that allows the FHLB to terminate the Advance at predetermined dates. The FHLB normally would exercise its put option when interest rates increase relative to contractual rates. At March 31, 2016 and December 31, 2015 , the FHLB had putable Advances, excluding those where the related put options have expired, totaling (in thousands) $1,033,900 and $1,046,400 . Table 7.3 - Advances by Year of Contractual Maturity or Next Put Date for Putable Advances (in thousands) Year of Contractual Maturity or Next Put Date March 31, 2016 December 31, 2015 Due in 1 year or less $ 25,011,258 $ 28,111,211 Due after 1 year through 2 years 10,529,101 11,895,945 Due after 2 years through 3 years 16,044,326 15,549,007 Due after 3 years through 4 years 10,822,726 11,098,009 Due after 4 years through 5 years 1,596,994 3,391,892 Thereafter 4,622,915 3,196,205 Total par value $ 68,627,320 $ 73,242,269 Table 7.4 - Advances by Interest Rate Payment Terms (in thousands) March 31, 2016 December 31, 2015 Total fixed-rate (1) $ 21,046,285 $ 25,312,958 Total variable-rate (1) 47,581,035 47,929,311 Total par value $ 68,627,320 $ 73,242,269 (1) Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. Table 7.5 - Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions) March 31, 2016 December 31, 2015 Principal % of Total Par Value of Advances Principal % of Total Par Value of Advances JPMorgan Chase Bank, N.A. $ 33,300 49 % JPMorgan Chase Bank, N.A. $ 35,350 48 % U.S. Bank, N.A. 10,743 16 U.S. Bank, N.A. 10,086 14 Total $ 44,043 65 % Total $ 45,436 62 % |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Text Block] | Mortgage Loans Held for Portfolio Table 8.1 - Mortgage Loans Held for Portfolio (in thousands) March 31, 2016 December 31, 2015 Unpaid principal balance: Fixed rate medium-term single-family mortgage loans (1) $ 1,436,944 $ 1,478,780 Fixed rate long-term single-family mortgage loans 6,601,355 6,278,904 Total unpaid principal balance 8,038,299 7,757,684 Premiums 205,104 205,600 Discounts (1,781 ) (1,989 ) Hedging basis adjustments (2) 22,856 19,998 Total mortgage loans held for portfolio $ 8,264,478 $ 7,981,293 (1) Medium-term is defined as a term of 15 years or less. (2) Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. Table 8.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands) March 31, 2016 December 31, 2015 Unpaid principal balance: Conventional mortgage loans $ 7,579,389 $ 7,277,584 Federal Housing Administration (FHA) mortgage loans 458,910 480,100 Total unpaid principal balance $ 8,038,299 $ 7,757,684 For information related to the FHLB's credit risk on mortgage loans and allowance for credit losses, see Note 9 . Table 8.3 - Members, Including Any Known Affiliates that are Members of the FHLB, and Former Members Selling Five Percent or more of Total Unpaid Principal (dollars in millions) March 31, 2016 December 31, 2015 Principal % of Total Principal % of Total Union Savings Bank $ 2,416 30 % Union Savings Bank $ 2,242 29 % PNC Bank, N.A. (1) 799 10 PNC Bank, N.A. (1) 839 11 Guardian Savings Bank FSB 709 9 Guardian Savings Bank FSB 633 8 (1) Former member. |
Allowance for Credit Losses
Allowance for Credit Losses | 3 Months Ended |
Mar. 31, 2016 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses The FHLB has established an allowance methodology for each of the FHLB's portfolio segments: credit products (Advances, Letters of Credit and other extensions of credit to members); FHA mortgage loans held for portfolio; and conventional mortgage loans held for portfolio. Credit products The FHLB manages its credit exposure to credit products through an integrated approach that includes establishing a credit limit for each borrower, includes an ongoing review of each borrower's financial condition and is coupled with collateral and lending policies to limit risk of loss while balancing borrowers' needs for a reliable source of funding. In addition, the FHLB lends to eligible borrowers in accordance with federal statutes, including the FHLBank Act and Finance Agency regulations, which require the FHLB to obtain sufficient collateral to fully secure credit products. The estimated value of the collateral required to secure each member's credit products is calculated by applying collateral discounts, or haircuts, to the value of the collateral. The FHLB accepts certain investment securities, residential mortgage loans, deposits and other real estate related assets as collateral. In addition, community financial institutions are eligible to utilize expanded statutory collateral provisions for small business, agriculture loans and community development loans. The FHLB's capital stock owned by its member borrowers is also pledged as collateral. Collateral arrangements and a member’s borrowing capacity vary based on the financial condition and performance of the institution, the types of collateral pledged and the overall quality of those assets. The FHLB can also require additional or substitute collateral to protect its security interest. Management of the FHLB believes that these policies effectively manage the FHLB's credit risk from credit products. Members experiencing financial difficulties are subject to FHLB-performed “stress tests” of the impact of poorly performing assets on the member’s capital and loss reserve positions. Depending on the results of these tests and the level of overcollateralization, a member may be allowed to maintain pledged loan assets in its custody, may be required to deliver those loans into the custody of the FHLB or its agent, and/or may be required to provide details on these loans to facilitate an estimate of their fair value. The FHLB perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the FHLB by a member priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the FHLB considers the payment status, collateralization levels, and borrower's financial condition to be indicators of credit quality for its credit products. At March 31, 2016 and December 31, 2015 , the FHLB had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. The FHLB evaluates and makes changes to its collateral guidelines, as necessary, based on current market conditions. At March 31, 2016 and December 31, 2015 , the FHLB did not have any Advances that were past due, in non-accrual status or impaired. In addition, there were no troubled debt restructurings related to credit products of the FHLB during three months ended March 31, 2016 or 2015 . The FHLB has not experienced any credit losses on Advances since it was founded in 1932. Based upon the collateral held as security, its credit extension and collateral policies and the repayment history on credit products, the FHLB did not record any credit losses on credit products as of March 31, 2016 or December 31, 2015 . Accordingly, the FHLB did not record any allowance for credit losses on Advances. At March 31, 2016 and December 31, 2015 , the FHLB did not record any liability to reflect an allowance for credit losses for off-balance sheet credit exposures. See Note 19 for additional information on the FHLB's off-balance sheet credit exposure. Mortgage Loans Held for Portfolio - FHA The FHLB invests in fixed-rate mortgage loans secured by one-to-four family residential properties insured by the FHA. The FHLB expects to recover any losses from such loans from the FHA. Any losses from these loans that are not recovered from the FHA would be due to a claim rejection by the FHA and, as such, would be recoverable from the selling participating financial institutions. Therefore, the FHLB only has credit risk for these loans if the seller or servicer fails to pay for losses not covered by the FHA insurance. As a result, the FHLB did not establish an allowance for credit losses on its FHA insured mortgage loans. Furthermore, due to the insurance, none of these mortgage loans have been placed on non-accrual status. Mortgage Loans Held for Portfolio - Conventional Mortgage Purchase Program (MPP) The FHLB determines the allowance for conventional loans through analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses consists of: (1) collectively evaluating homogeneous pools of residential mortgage loans; (2) reviewing specifically identified loans for impairment; and (3) considering other relevant qualitative factors. Collectively Evaluated Mortgage Loans. The credit risk analysis of conventional loans evaluated collectively for impairment considers historical delinquency migration, applies estimated loss severities, and incorporates the associated credit enhancements in order to determine the FHLB's best estimate of probable incurred losses at the reporting date. The FHLB performs the credit risk analysis of all conventional mortgage loans at the individual Master Commitment Contract level to properly determine the credit enhancements available to recover losses on loans under each individual Master Commitment Contract. The Master Commitment Contract is an agreement with a member in which the member agrees to make a best efforts attempt to sell a specific dollar amount of loans to the FHLB generally over a one-year period. Migration analysis is a methodology for determining, through the FHLB's experience over a historical period, the rate of default on loans. The FHLB applies migration analysis to loans based on payment status categories such as current, 30, 60, and 90 days past due. The FHLB then estimates, based on historical experience, how many loans in these categories may migrate to a loss realization event and applies a current loss severity to estimate losses. The estimated losses are then reduced by the probable cash flows resulting from available credit enhancements. Any credit enhancement cash flows that are projected and assessed as not probable of receipt do not reduce estimated losses. Individually Evaluated Mortgage Loans. Conventional mortgage loans that are considered troubled debt restructurings are specifically identified for purposes of calculating the allowance for credit losses. The FHLB measures impairment of these specifically identified loans by either estimating the present value of expected cash flows, estimating the loan's observable market price, or estimating the fair value of the collateral if the loan is collateral dependent. The FHLB removes specifically identified loans evaluated for impairment from the collectively evaluated mortgage loan population. Qualitative Factors. The FHLB also assesses other qualitative factors in its estimation of loan losses for the collectively evaluated population. This amount represents a subjective management judgment, based on facts and circumstances that exist as of the reporting date, that is intended to cover other incurred losses that may not otherwise be captured in the methodology described above. Rollforward of Allowance for Credit Losses on Mortgage Loans. The following tables present a rollforward of the allowance for credit losses on conventional mortgage loans as well as the recorded investment in mortgage loans by impairment methodology. The recorded investment in a loan is the unpaid principal balance of the loan adjusted for accrued interest, unamortized premiums or discounts, hedging basis adjustments and direct write-downs. The recorded investment is not net of any allowance. Table 9.1 - Rollforward of Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) Three Months Ended March 31, 2016 2015 Balance, beginning of period $ 1,686 $ 4,919 Net charge offs (203 ) (2,757 ) Balance, end of period $ 1,483 $ 2,162 Table 9.2 - Allowance for Credit Losses and Recorded Investment on Conventional Mortgage Loans by Impairment Methodology (in thousands) March 31, 2016 December 31, 2015 Allowance for credit losses, end of period: Collectively evaluated for impairment $ 1,483 $ 1,686 Individually evaluated for impairment — — Total allowance for credit losses $ 1,483 $ 1,686 Recorded investment, end of period: Collectively evaluated for impairment $ 7,815,601 $ 7,510,089 Individually evaluated for impairment 9,733 9,385 Total recorded investment $ 7,825,334 $ 7,519,474 Credit Enhancements. The conventional mortgage loans under the MPP are supported by some combination of credit enhancements (primary mortgage insurance (PMI), supplemental mortgage insurance (SMI) and the Lender Risk Account (LRA), including pooled LRA for those members participating in an aggregated MPP pool). The amount of credit enhancements needed to protect the FHLB against credit losses is determined through use of a third-party default model. These credit enhancements apply after a homeowner's equity is exhausted. Beginning in February 2011, the FHLB discontinued the use of SMI for all new loan purchases and replaced it with expanded use of the LRA. The LRA is funded by the FHLB as a portion of the purchase proceeds to cover expected losses. The LRA is recorded in other liabilities in the Statements of Condition. Excess funds over required balances are distributed to the member in accordance with a step-down schedule that is established upon execution of a Master Commitment Contract, subject to performance of the related loan pool. The LRA established for a pool of loans is limited to only covering losses of that specific pool of loans. Table 9.3 - Changes in the LRA (in thousands) Three Months Ended March 31, 2016 LRA at beginning of year $ 158,010 Additions 6,939 Claims (293 ) Scheduled distributions (709 ) LRA at end of period $ 163,947 Credit Quality Indicators. Key credit quality indicators for mortgage loans include the migration of past due loans, non-accrual loans, and loans in process of foreclosure. The table below summarizes the FHLB's key credit quality indicators for mortgage loans. Table 9.4 - Recorded Investment in Delinquent Mortgage Loans (dollars in thousands) March 31, 2016 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 40,439 $ 27,524 $ 67,963 Past due 60-89 days delinquent 7,927 8,833 16,760 Past due 90 days or more delinquent 29,336 15,339 44,675 Total past due 77,702 51,696 129,398 Total current mortgage loans 7,747,632 414,963 8,162,595 Total mortgage loans $ 7,825,334 $ 466,659 $ 8,291,993 Other delinquency statistics: In process of foreclosure, included above (1) $ 22,380 $ 6,833 $ 29,213 Serious delinquency rate (2) 0.39 % 3.35 % 0.56 % Past due 90 days or more still accruing interest (3) $ 24,021 $ 15,339 $ 39,360 Loans on non-accrual status, included above $ 6,632 $ — $ 6,632 December 31, 2015 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 42,606 $ 31,846 $ 74,452 Past due 60-89 days delinquent 10,125 9,887 20,012 Past due 90 days or more delinquent 30,575 17,426 48,001 Total past due 83,306 59,159 142,465 Total current mortgage loans 7,436,168 429,551 7,865,719 Total mortgage loans $ 7,519,474 $ 488,710 $ 8,008,184 Other delinquency statistics: In process of foreclosure, included above (1) $ 23,171 $ 7,043 $ 30,214 Serious delinquency rate (2) 0.42 % 3.63 % 0.62 % Past due 90 days or more still accruing interest (3) $ 25,016 $ 17,426 $ 42,442 Loans on non-accrual status, included above $ 6,753 $ — $ 6,753 (1) Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class recorded investment amount. (3) Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. The FHLB did not have any real estate owned at March 31, 2016 or December 31, 2015 . Individually Evaluated Impaired Loans. Table 9.5 presents the recorded investment, unpaid principal balance, and related allowance associated with loans individually evaluated for investment. Table 9.5 - Individually Evaluated Impaired Loan Statistics by Product Class Level (in thousands) March 31, 2016 December 31, 2015 Conventional MPP loans Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 9,733 $ 9,522 $ — $ 9,385 $ 9,187 $ — With an allowance — — — — — — Total $ 9,733 $ 9,522 $ — $ 9,385 $ 9,187 $ — Table 9.6 - Average Recorded Investment of Individually Evaluated Impaired Loans and Related Interest Income Recognized (in thousands) Three Months Ended March 31, 2016 2015 Individually impaired loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Conventional MPP Loans $ 9,471 $ 121 $ 8,491 $ 112 Troubled Debt Restructurings . A troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties and that concession would not have been considered otherwise. The FHLB's troubled debt restructurings primarily involve loans where an agreement permits the recapitalization of past due amounts up to the original loan amount and certain loans discharged in Chapter 7 bankruptcy. A loan considered a troubled debt restructuring is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash shortfalls as of the reporting date. The FHLB's recorded investment in modified loans considered troubled debt restructurings was (in thousands) $9,733 and $9,385 at March 31, 2016 and December 31, 2015 , respectively. The amount of troubled debt restructurings is not considered material to the FHLB's financial condition, results of operations, or cash flows. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Nature of Business Activity The FHLB is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and on the interest-bearing liabilities that finance these assets. The goal of the FHLB's interest-rate risk management strategy is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the FHLB has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the FHLB monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. See Note 11 - Derivatives and Hedging Activities in the FHLB's 2015 Annual Report on Form 10-K for additional information on the FHLB's derivative transactions. The FHLB uses derivatives when they are considered to be the most cost-effective alternative to achieve the FHLB's financial and risk management objectives. The FHLB re-evaluates its hedging strategies from time to time and may change the hedging techniques it uses or adopt new strategies. The FHLB transacts 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. Derivative transactions may be either executed with a counterparty (uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivative Clearing Organization (cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearinghouse), the derivative transaction is novated and the executing counterparty is replaced with the Clearinghouse. The FHLB is not a derivative dealer and does not trade derivatives for short-term profit. Financial Statement Effect and Additional Financial Information The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. The notional amount reflects the FHLB's involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the FHLB to credit and market risk; the overall risk is much smaller. The risks of derivatives only can be measured meaningfully on a portfolio basis that takes into account the derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Table 10.1 summarizes the fair value of derivative instruments, including the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. Table 10.1 - Fair Value of Derivative Instruments (in thousands) March 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,677,856 $ 11,870 $ 112,678 Derivatives not designated as hedging instruments: Interest rate swaps 5,577,610 4,737 2,181 Interest rate swaptions 523,000 530 — Forward rate agreements 396,000 1,068 576 Mortgage delivery commitments 439,620 4,277 3 Total derivatives not designated as hedging instruments 6,936,230 10,612 2,760 Total derivatives before netting and collateral adjustments $ 12,614,086 22,482 115,438 Netting adjustments and cash collateral (1) 47,484 (83,411 ) Total derivative assets and total derivative liabilities $ 69,966 $ 32,027 December 31, 2015 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,548,351 $ 12,205 $ 77,950 Derivatives not designated as hedging instruments: Interest rate swaps 2,719,000 1,051 4,029 Interest rate swaptions 281,000 683 — Forward rate agreements 462,000 1,680 69 Mortgage delivery commitments 449,856 342 1,650 Total derivatives not designated as hedging instruments 3,911,856 3,756 5,748 Total derivatives before netting and collateral adjustments $ 9,460,207 15,961 83,698 Netting adjustments and cash collateral (1) 11,035 (52,611 ) Total derivative assets and total derivative liabilities $ 26,996 $ 31,087 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $134,567 and $66,685 at March 31, 2016 and December 31, 2015 . Cash collateral received and related accrued interest was (in thousands) $3,671 and $3,039 at March 31, 2016 and December 31, 2015 . Table 10.2 presents the components of net gains on derivatives and hedging activities as presented in the Statements of Income. Table 10.2 - Net Gains on Derivatives and Hedging Activities (in thousands) Three Months Ended March 31, 2016 2015 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ (1,728 ) $ 852 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 5,103 2,192 Interest rate swaptions (814 ) — Forward rate agreements (9,271 ) (7,581 ) Net interest settlements 1,789 1,989 Mortgage delivery commitments 10,566 7,850 Total net gains related to derivatives not designated as hedging instruments 7,373 4,450 Net gains on derivatives and hedging activities $ 5,645 $ 5,302 Table 10.3 presents by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the FHLB's net interest income. Table 10.3 - Effect of Fair Value Hedge-Related Derivative Instruments (in thousands) Three Months Ended March 31, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item Type: Advances $ (43,638 ) $ 42,125 $ (1,513 ) $ (17,287 ) Consolidated Bonds 2,805 (3,020 ) (215 ) 3,311 Total $ (40,833 ) $ 39,105 $ (1,728 ) $ (13,976 ) 2015 Hedged Item Type: Advances $ (7,471 ) $ 7,923 $ 452 $ (20,616 ) Consolidated Bonds 702 (302 ) 400 4,516 Total $ (6,769 ) $ 7,621 $ 852 $ (16,100 ) (1) The net effect of derivatives, in fair value hedge relationships, on net interest income is included in the interest income or interest expense line item of the respective hedged item type. These amounts include the effect of net interest settlements attributable to designated fair value hedges but do not include (in thousands) $(878) and $(911) of (amortization)/accretion related to fair value hedging activities for the three months ended March 31, 2016 and 2015 . Credit Risk on Derivatives The FHLB is subject to credit risk due to the risk of non-performance by counterparties to its derivative transactions and manages credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in these contracts to mitigate the risk. The FHLB requires collateral agreements with collateral delivery thresholds on the majority of its uncleared derivatives. For cleared derivatives, the Clearinghouse is the FHLB's counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin and the clearing agent in turn notifies the FHLB. The requirement that the FHLB post initial and variation margin through the clearing agent, to the Clearinghouse, exposes the FHLB to credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral for changes in the value of cleared derivatives is posted daily through a clearing agent. The FHLB has analyzed the enforceability of offsetting rights incorporated in 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 law upon an event of default including bankruptcy, insolvency, or similar proceeding involving the Clearinghouse or the FHLB's clearing agent, or both. Based on this analysis, the FHLB presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse. Certain of the FHLB's uncleared derivative contracts contain provisions that require the FHLB to post additional collateral with its counterparties if there is deterioration in the FHLB's credit ratings. The aggregate fair value of all uncleared derivatives with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest) at March 31, 2016 was (in thousands) $66,838 , for which the FHLB had posted collateral with a fair value of (in thousands) $35,390 in the normal course of business. If one of the FHLB's credit ratings had been lowered to the next lower rating that would have triggered additional collateral to be delivered, the FHLB would have been required to deliver up to an additional (in thousands) $5,864 of collateral at fair value to its derivatives counterparties at March 31, 2016 . For cleared derivatives, the Clearinghouse determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including, but not limited to, credit rating downgrades. At March 31, 2016 , the FHLB was not required to post additional initial margin by its clearing agents based on credit considerations. Offsetting of Derivative Assets and Derivative Liabilities The FHLB presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged, and associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. Table 10.4 presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. At March 31, 2016 and December 31, 2015 , the FHLB did not receive or pledge any non-cash collateral. Any overcollateralization under an individual clearing agent and/or counterparty level is not included in the determination of the net unsecured amount. Table 10.4 - Offsetting of Derivative Assets and Derivative Liabilities (in thousands) March 31, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 8,263 $ 71,569 $ 8,046 $ 70,178 Cleared derivatives 8,874 43,290 5,893 11,801 Total gross recognized amount 17,137 114,859 13,939 81,979 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (7,932 ) (40,121 ) (7,844 ) (40,810 ) Cleared derivatives 55,416 (43,290 ) 18,879 (11,801 ) Total gross amounts of netting adjustments and cash collateral 47,484 (83,411 ) 11,035 (52,611 ) Net amounts after netting adjustments and cash collateral: Uncleared derivatives 331 31,448 202 29,368 Cleared derivatives 64,290 — 24,772 — Total net amounts after netting adjustments and cash collateral 64,621 31,448 24,974 29,368 Derivative instruments not meeting netting requirements (1) : Uncleared derivatives 5,345 579 2,022 1,719 Total derivative instruments not meeting netting requirements (1) 5,345 579 2,022 1,719 Total derivative assets and total derivative liabilities: Uncleared derivatives 5,676 32,027 2,224 31,087 Cleared derivatives 64,290 — 24,772 — Total derivative assets and total derivative liabilities $ 69,966 $ 32,027 $ 26,996 $ 31,087 (1) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits
Deposits | 3 Months Ended |
Mar. 31, 2016 | |
Deposits [Abstract] | |
Deposit [Text Block] | Deposits Table 11.1- Deposits (in thousands) March 31, 2016 December 31, 2015 Interest bearing: Demand and overnight $ 576,688 $ 646,902 Term 86,325 151,825 Other 6,546 5,377 Total interest bearing 669,559 804,104 Non-interest bearing: Other 555 238 Total non-interest bearing 555 238 Total deposits $ 670,114 $ 804,342 The average interest rates paid on interest bearing deposits were 0.12 percent and 0.04 percent in the three months ended March 31, 2016 and 2015 , respectively. |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations Table 12.1 - Consolidated Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Interest Rate (1) March 31, 2016 $ 53,671,550 $ 53,691,956 0.34 % December 31, 2015 $ 77,199,208 $ 77,225,334 0.24 % (1) Represents an implied rate without consideration of concessions. Table 12.2 - Consolidated Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 16,532,110 0.83 % $ 9,808,000 0.91 % Due after 1 year through 2 years 6,051,750 1.34 5,143,750 1.42 Due after 2 years through 3 years 4,950,000 1.67 4,814,000 1.64 Due after 3 years through 4 years 4,505,000 1.92 4,090,000 1.89 Due after 4 years through 5 years 4,626,000 1.83 3,041,000 2.09 Thereafter 7,225,000 2.83 8,139,000 2.80 Index amortizing notes — — 943 5.25 Total par value 43,889,860 1.54 35,036,693 1.74 Premiums 86,036 90,189 Discounts (35,126 ) (37,567 ) Hedging adjustments 6,837 3,817 Fair value option valuation adjustment and accrued interest 9,131 (1,410 ) Total $ 43,956,738 $ 35,091,722 Table 12.3 - Consolidated Bonds Outstanding by Call Features (in thousands) March 31, 2016 December 31, 2015 Par value of Consolidated Bonds: Non-callable $ 36,191,860 $ 28,235,693 Callable 7,698,000 6,801,000 Total par value $ 43,889,860 $ 35,036,693 Table 12.4 - Consolidated Bonds Outstanding by Contractual Maturity or Next Call Date (in thousands) Year of Contractual Maturity or Next Call Date March 31, 2016 December 31, 2015 Due in 1 year or less $ 23,540,110 $ 16,339,000 Due after 1 year through 2 years 5,059,750 4,881,750 Due after 2 years through 3 years 3,521,000 3,499,000 Due after 3 years through 4 years 3,253,000 3,020,000 Due after 4 years through 5 years 3,808,000 2,383,000 Thereafter 4,708,000 4,913,000 Index amortizing notes — 943 Total par value $ 43,889,860 $ 35,036,693 Table 12.5 - Consolidated Bonds by Interest-rate Payment Type (in thousands) March 31, 2016 December 31, 2015 Par value of Consolidated Bonds: Fixed-rate $ 34,098,360 $ 30,806,693 Variable-rate 9,701,500 4,065,000 Step-up 90,000 165,000 Total par value $ 43,889,860 $ 35,036,693 |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 3 Months Ended |
Mar. 31, 2016 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program (AHP) [Text Block] | Affordable Housing Program (AHP) Table 13.1 - Analysis of AHP Liability (in thousands) Balance at December 31, 2015 $ 107,352 Assessments (current year additions) 5,490 Subsidy uses, net (6,802 ) Balance at March 31, 2016 $ 106,040 |
Capital
Capital | 3 Months Ended |
Mar. 31, 2016 | |
Capital [Abstract] | |
Capital [Text Block] | Capital Table 14.1 - Capital Requirements (dollars in thousands) March 31, 2016 December 31, 2015 Minimum Requirement Actual Minimum Requirement Actual Risk-based capital $ 635,734 $ 5,082,697 $ 630,604 $ 5,232,228 Capital-to-assets ratio (regulatory) 4.00 % 4.89 % 4.00 % 4.40 % Regulatory capital $ 4,155,535 $ 5,082,697 $ 4,751,350 $ 5,232,228 Leverage capital-to-assets ratio (regulatory) 5.00 % 7.34 % 5.00 % 6.61 % Leverage capital $ 5,194,419 $ 7,624,046 $ 5,939,187 $ 7,848,342 Restricted Retained Earnings. At March 31, 2016 and December 31, 2015 the FHLB had (in thousands) $219,107 and $ 209,438 in restricted retained earnings. These restricted retained earnings are not available to pay dividends but are available to absorb unexpected losses, if any, that the FHLB may experience. Table 14.2 - Mandatorily Redeemable Capital Stock Roll Forward (in thousands) Balance, December 31, 2015 $ 37,895 Capital stock subject to mandatory redemption reclassified from equity 228,751 Redemption (or other reduction) of mandatorily redeemable capital stock (163,795 ) Balance, March 31, 2016 $ 102,851 Table 14.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands) Contractual Year of Redemption March 31, 2016 December 31, 2015 Year 1 $ — $ — Year 2 — — Year 3 2,303 41 Year 4 606 2,265 Year 5 1,620 2,876 Thereafter (1) 67,564 — Past contractual redemption date due to remaining activity (2) 30,758 32,713 Total $ 102,851 $ 37,895 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 2016, that makes captive insurance companies ineligible for FHLB membership and thereby terminates their membership no later than February 2017. (2) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive (Loss) Income | 3 Months Ended |
Mar. 31, 2016 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive (Loss) Income [Text Block] | Accumulated Other Comprehensive (Loss) Income The following tables summarize the changes in accumulated other comprehensive (loss) income for the three months ended March 31, 2016 and 2015 . Table 15.1 - Accumulated Other Comprehensive (Loss) Income (in thousands) Net unrealized (losses) gains on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive (loss) income BALANCE, DECEMBER 31, 2014 $ (24 ) $ (16,572 ) $ (16,596 ) Other comprehensive income before reclassification: Net unrealized losses (8 ) — (8 ) Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 617 617 Net current period other comprehensive (loss) income (8 ) 617 609 BALANCE, MARCH 31, 2015 $ (32 ) $ (15,955 ) $ (15,987 ) BALANCE, DECEMBER 31, 2015 $ 81 $ (13,358 ) $ (13,277 ) Other comprehensive income before reclassification: Net unrealized gains 144 — 144 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 472 472 Net current period other comprehensive income 144 472 616 BALANCE, MARCH 31, 2016 $ 225 $ (12,886 ) $ (12,661 ) |
Pension and Postretirement Bene
Pension and Postretirement Benefit Plans | 3 Months Ended |
Mar. 31, 2016 | |
Compensation and Retirement Disclosure [Abstract] | |
Pension and Other Postretirement Benefits Disclosure [Text Block] | Pension and Postretirement Benefit Plans Qualified Defined Benefit Multi-employer Plan. The FHLB participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra Defined Benefit Plan), a tax-qualified defined benefit pension plan. Under the Pentegra Defined Benefit Plan, contributions made by one participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The Pentegra Defined Benefit Plan covers substantially all officers and employees of the FHLB who meet certain eligibility requirements. Contributions to the Pentegra Defined Benefit Plan charged to compensation and benefit expense were $ 1,685,000 and $ 1,500,000 in the three months ended March 31, 2016 and 2015 , respectively. Qualified Defined Contribution Plan. The FHLB also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified, defined contribution pension plan. The FHLB contributes a percentage of the participants' compensation by making a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. The FHLB contributed $ 387,000 and $ 374,000 in the three months ended March 31, 2016 and 2015 , respectively. Nonqualified Supplemental Defined Benefit Retirement Plan . The FHLB maintains a nonqualified, unfunded defined benefit plan. The plan ensures that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit plan in the absence of limits on benefit levels imposed by the IRS. There are no funded plan assets. The FHLB has established a grantor trust, which is included in held-to-maturity securities on the Statements of Condition, to meet future benefit obligations and current payments to beneficiaries. Postretirement Benefits Plan . The FHLB also sponsors a postretirement benefits plan that includes health care and life insurance benefits for eligible retirees. Future retirees are eligible for the postretirement benefits plan if they were hired prior to August 1, 1990, are age 55 or older, and their age plus years of continuous service at retirement are greater than or equal to 80. Spouses are covered subject to required contributions. There are no funded plan assets that have been designated to provide postretirement benefits. Table 16.1 - Net Periodic Benefit Cost (in thousands) Three Months Ended March 31, Defined Benefit Retirement Plan Postretirement Benefits Plan 2016 2015 2016 2015 Net Periodic Benefit Cost Service cost $ 165 $ 158 $ 12 $ 19 Interest cost 312 298 55 51 Amortization of net loss 460 601 12 16 Net periodic benefit cost $ 937 $ 1,057 $ 79 $ 86 |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Segment Information [Text Block] | Segment Information The FHLB has identified two primary operating segments based on its method of internal reporting: Traditional Member Finance and the MPP. These segments reflect the FHLB's two primary Mission Asset Activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways the FHLB provides services to member stockholders. Table 17.1 - Financial Performance by Operating Segment (in thousands) Three Months Ended March 31, Traditional Member Finance MPP Total 2016 Net interest income $ 69,181 $ 10,595 $ 79,776 Non-interest (loss) income (5,165 ) 977 (4,188 ) Non-interest expense 18,971 2,780 21,751 Income before assessments 45,045 8,792 53,837 Affordable Housing Program assessments 4,611 879 5,490 Net income $ 40,434 $ 7,913 $ 48,347 2015 Net interest income $ 61,129 $ 16,232 $ 77,361 Non-interest income 7,862 270 8,132 Non-interest expense 15,215 2,488 17,703 Income before assessments 53,776 14,014 67,790 Affordable Housing Program assessments 5,441 1,401 6,842 Net income $ 48,335 $ 12,613 $ 60,948 Table 17.2 - Asset Balances by Operating Segment (in thousands) Assets Traditional Member MPP Total March 31, 2016 $ 95,597,065 $ 8,291,305 $ 103,888,370 December 31, 2015 110,776,396 8,007,343 118,783,739 |
Fair Value Disclosures
Fair Value Disclosures | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Fair Value Disclosures The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. Fair Value Hierarchy . The FHLB records trading securities, available-for-sale securities, derivative assets, derivative liabilities, certain Advances and certain Consolidated Obligation Bonds at fair value on a recurring basis, and on occasion, certain mortgage loans held for portfolio on a nonrecurring basis. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the measurement is determined. This overall level is an indication of how market observable the fair value measurement is. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs - 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 Inputs - Unobservable inputs for the asset or liability. The FHLB 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 financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value as of the beginning of the quarter in which the changes occur. The FHLB did not have any transfers of assets or liabilities recorded at fair value on a recurring basis during the three months ended March 31, 2016 or 2015 . Table 18.1 presents the carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. These values do not represent an estimate of the overall market value of the FHLB as a going concern, which would take into account future business opportunities and the net profitability of assets versus liabilities. Table 18.1 - Fair Value Summary (in thousands) March 31, 2016 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 7,507 $ 7,507 $ 7,507 $ — $ — $ — Interest-bearing deposits 185 185 — 185 — — Securities purchased under agreements to resell 4,194,934 4,194,934 — 4,194,934 — — Federal funds sold 6,310,000 6,310,000 — 6,310,000 — — Trading securities 1,114 1,114 — 1,114 — — Available-for-sale securities 800,225 800,225 — 800,225 — — Held-to-maturity securities 15,398,466 15,573,477 — 15,573,477 — — Advances (2) 68,719,728 68,716,536 — 68,716,536 — — Mortgage loans held for portfolio, net 8,262,995 8,516,690 — 8,486,289 30,401 — Accrued interest receivable 104,316 104,316 — 104,316 — — Derivative assets 69,966 69,966 — 22,482 — 47,484 Liabilities: Deposits 670,114 670,074 — 670,074 — — Consolidated Obligations: Discount Notes 53,671,550 53,663,685 — 53,663,685 — — Bonds (3) 43,956,738 44,603,426 — 44,603,426 — — Mandatorily redeemable capital stock 102,851 102,851 102,851 — — — Accrued interest payable 122,021 122,021 — 122,021 — — Derivative liabilities 32,027 32,027 — 115,438 — (83,411 ) Other: Commitments to extend credit for Advances — 8 — 8 — — Standby bond purchase agreements — 897 — 897 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $15,227 of Advances recorded under the fair value option at March 31, 2016 . (3) Includes (in thousands) $5,048,740 of Consolidated Obligation Bonds recorded under the fair value option at March 31, 2016 . December 31, 2015 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 10,136 $ 10,136 $ 10,136 $ — $ — $ — Interest-bearing deposits 99 99 — 99 — — Securities purchased under agreements to resell 10,531,979 10,531,979 — 10,531,979 — — Federal funds sold 10,845,000 10,845,000 — 10,845,000 — — Trading securities 1,159 1,159 — 1,159 — — Available-for-sale securities 700,081 700,081 — 700,081 — — Held-to-maturity securities 15,278,206 15,229,965 — 15,229,965 — — Advances (2) 73,292,172 73,089,912 — 73,089,912 — — Mortgage loans held for portfolio, net 7,979,607 8,106,224 — 8,075,390 30,834 — Accrued interest receivable 94,855 94,855 — 94,855 — — Derivative assets 26,996 26,996 — 15,961 — 11,035 Liabilities: Deposits 804,342 804,140 — 804,140 — — Consolidated Obligations: Discount Notes 77,199,208 77,183,854 — 77,183,854 — — Bonds (3) 35,091,722 35,317,688 — 35,317,688 — — Mandatorily redeemable capital stock 37,895 37,895 37,895 — — — Accrued interest payable 118,823 118,823 — 118,823 — — Derivative liabilities 31,087 31,087 — 83,698 — (52,611 ) Other: Standby bond purchase agreements — 698 — 698 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $15,057 of Advances recorded under the fair value option at December 31, 2015 . (3) Includes (in thousands) $2,214,590 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2015 . Summary of Valuation Methodologies and Primary Inputs . A description of the valuation methodologies and primary inputs is disclosed in Note 19 - Fair Value Disclosures in the FHLB's 2015 Annual Report on Form 10-K. There have been no changes in the valuation methodologies during 2016. Fair Value Measurements . Table 18.2 presents the fair value of financial assets and liabilities that are recorded on a recurring or nonrecurring basis at March 31, 2016 or December 31, 2015 , by level within the fair value hierarchy. The FHLB records nonrecurring fair value adjustments to reflect partial write-downs on certain mortgage loans. Table 18.2 - Fair Value Measurements (in thousands) Fair Value Measurements at March 31, 2016 Total Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: Other U.S. obligation single-family mortgage-backed securities $ 1,114 $ — $ 1,114 $ — $ — Available-for-sale securities: Certificates of deposit 800,225 — 800,225 — — Advances 15,227 — 15,227 — — Derivative assets: Interest rate related 64,621 — 17,137 — 47,484 Forward rate agreements 1,068 — 1,068 — — Mortgage delivery commitments 4,277 — 4,277 — — Total derivative assets 69,966 — 22,482 — 47,484 Total assets at fair value $ 886,532 $ — $ 839,048 $ — $ 47,484 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 5,048,740 $ — $ 5,048,740 $ — $ — Derivative liabilities: Interest rate related 31,448 — 114,859 — (83,411 ) Forward rate agreement 576 — 576 — — Mortgage delivery commitments 3 — 3 — — Total derivative liabilities 32,027 — 115,438 — (83,411 ) Total liabilities at fair value $ 5,080,767 $ — $ 5,164,178 $ — $ (83,411 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 1,065 $ — $ — $ 1,065 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016 . Fair Value Measurements at December 31, 2015 Total Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: Other U.S. obligation single-family mortgage-backed securities $ 1,159 $ — $ 1,159 $ — $ — Available-for-sale securities: Certificates of deposit 700,081 — 700,081 — — Advances 15,057 — 15,057 — — Derivative assets: Interest rate related 24,974 — 13,939 — 11,035 Forward rate agreements 1,680 — 1,680 — — Mortgage delivery commitments 342 — 342 — — Total derivative assets 26,996 — 15,961 — 11,035 Total assets at fair value $ 743,293 $ — $ 732,258 $ — $ 11,035 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 2,214,590 $ — $ 2,214,590 $ — $ — Derivative liabilities: Interest rate related 29,368 — 81,979 — (52,611 ) Forward rate agreements 69 — 69 — — Mortgage delivery commitments 1,650 — 1,650 — — Total derivative liabilities 31,087 — 83,698 — (52,611 ) Total liabilities at fair value $ 2,245,677 $ — $ 2,298,288 $ — $ (52,611 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 6,270 $ — $ — $ 6,270 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2015 . Fair Value Option . The fair value option provides 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 a company to display the fair value of those assets and liabilities for which it 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. If elected, interest income and interest expense on Advances and Consolidated Bonds carried at fair value are recognized based solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into other non-interest income or other non-interest expense. The FHLB has elected the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. These fair value elections were made primarily in an effort to mitigate the potential income statement 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. Table 18.3 – Changes in Fair Values for Items Measured at Fair Value Pursuant to the Election of the Fair Value Option (in thousands) Three Months Ended March 31, 2016 2015 Advances Consolidated Bonds Advances Consolidated Bonds Interest income (expense) $ 63 $ (5,758 ) $ 63 $ (3,693 ) Net gains (losses) on changes in fair value under fair value option 171 (13,828 ) 140 (1,309 ) Total changes in fair value included in current period earnings $ 234 $ (19,586 ) $ 203 $ (5,002 ) For instruments recorded under the fair value option, 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 in which the fair value option has been elected are recorded as “Net losses on financial instruments held under fair value option” in the Statements of Income. The FHLB has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary as of March 31, 2016 or December 31, 2015 . The following table reflects the difference between the aggregate unpaid principal balance outstanding and the aggregate fair value for Advances and Consolidated Bonds for which the fair value option has been elected. Table 18.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) March 31, 2016 December 31, 2015 Aggregate Unpaid Principal Balance Aggregate Fair Value Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance Aggregate Unpaid Principal Balance Aggregate Fair Value Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance Advances (1) $ 15,000 $ 15,227 $ 227 $ 15,000 $ 15,057 $ 57 Consolidated Bonds 5,039,609 5,048,740 9,131 2,216,000 2,214,590 (1,410 ) (1) At March 31, 2016 and December 31, 2015 , none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies Table 19.1 - Off-Balance Sheet Commitments (in thousands) March 31, 2016 December 31, 2015 Notional Amount Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby Letters of Credit outstanding $ 16,554,705 $ 201,945 $ 16,756,650 $ 19,417,093 $ 137,995 $ 19,555,088 Commitments for standby bond purchases 54,455 61,085 115,540 85,865 36,510 122,375 Commitments to fund additional Advances 56,000 — 56,000 — — — Commitments to purchase mortgage loans 439,620 — 439,620 449,856 — 449,856 Unsettled Consolidated Bonds, at par (1)(2) 510,000 — 510,000 60,000 — 60,000 Unsettled Consolidated Discount Notes, at par (1) 198,122 — 198,122 — — — (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. (2) Of the total unsettled Consolidated Bonds, $150,000 and $0 (in thousands) were hedged with associated interest rate swaps at March 31, 2016 and December 31, 2015 , respectively. Legal Proceedings . From time to time, the FHLB is subject to legal proceedings arising in the normal course of business. In March 2010, the FHLB was advised by representatives of the Lehman Brothers Holdings, Inc. bankruptcy estate that they believed that the FHLB had been unjustly enriched in connection with the close out of its interest rate swap transactions with Lehman at the time of the Lehman bankruptcy in 2008 and that the bankruptcy estate was entitled to the $ 43 million difference between the settlement amount the FHLB paid Lehman in connection with the close-out transactions and the market value payment the FHLB received when replacing the swaps with other counterparties. In May 2010, the FHLB received a Derivatives Alternative Dispute Resolution notice from the Lehman bankruptcy estate with a settlement demand of $ 65.8 million , plus interest accruing primarily at LIBOR plus 14.5 percent since the bankruptcy filing, based on their view of how the settlement amount should have been calculated. In accordance with the Alternative Dispute Resolution Order of the Bankruptcy Court administering the Lehman estate, senior management of the FHLB participated in a non-binding mediation in New York in August 2010, and counsel for the FHLB continued discussions with the court-appointed mediator for several weeks thereafter. The mediation concluded in October 2010 without a settlement of the claims asserted by the Lehman bankruptcy estate. In April 2013, Lehman Brothers Special Financing Inc., through Lehman Brothers Holdings Inc. and the Plan Administrator under the Modified Third Amended Joint Chapter 11 Plan of Lehman Brothers Holdings Inc. and its Affiliated Debtors, filed an adversary complaint in the United States Bankruptcy Court for the Southern District of New York against the FHLB seeking (a) a declaratory judgment on the interpretation of certain provisions and the calculation of amounts due under the agreement governing the 2008 swap transactions described above, and (b) additional amounts alleged as due as part of the termination of such transactions. The FHLB believes that it correctly calculated, and fully satisfied its obligation to Lehman in September 2008, and the FHLB intends to vigorously defend itself. The FHLB also is subject to other legal proceedings arising in the normal course of business. The FHLB would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the FHLB's financial condition or results of operations. |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 3 Months Ended |
Mar. 31, 2016 | |
Transactions with Other FHLBanks [Abstract] | |
Transactions with Other FHLBanks [Text Block] | Transactions with Other FHLBanks The FHLB notes all transactions with other FHLBanks on the face of its financial statements. Occasionally, the FHLB loans short-term funds to and borrows short-term funds from other FHLBanks. These loans and borrowings are transacted at then current market rates when traded. There were no such loans or borrowings outstanding at March 31, 2016 or December 31, 2015 and no such transactions occurred during the three months ended March 31, 2016 and 2015 . In addition, the FHLB may, from time to time, assume the outstanding primary liability for Consolidated Obligations of another FHLBank (at then current market rates on the day when the transfer is traded) rather than issuing new debt for which the FHLB is the primary obligor. The FHLB then becomes the primary obligor on the transferred debt. There were no Consolidated Obligations transferred to the FHLB during the three months ended March 31, 2016 or 2015 . The FHLB had no Consolidated Obligations transferred to other FHLBanks during these periods. |
Transactions with Stockholders
Transactions with Stockholders | 3 Months Ended |
Mar. 31, 2016 | |
Transactions with Stockholders [Abstract] | |
Transactions with Stockholders [Text Block] | Transactions with Stockholders Transactions with Directors' Financial Institutions. In the ordinary course of its business, the FHLB may provide products and services to members whose officers or directors serve as directors of the FHLB (Directors' Financial Institutions). Finance Agency regulations require that transactions with Directors' Financial Institutions be made on the same terms as those with any other member. The following table reflects balances with Directors' Financial Institutions for the items indicated below. The FHLB had no mortgage-backed securities or derivatives transactions with Directors' Financial Institutions at March 31, 2016 or December 31, 2015 . Table 21.1 - Transactions with Directors' Financial Institutions (dollars in millions) March 31, 2016 December 31, 2015 Balance % of Total (1) Balance % of Total (1) Advances $ 3,378 4.9 % $ 3,867 5.3 % MPP 222 2.8 186 2.4 Regulatory capital stock 151 3.5 236 5.3 (1) Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. Concentrations. The following table shows regulatory capital stock balances, outstanding Advance principal balances, and unpaid principal balances of mortgage loans held for portfolio to stockholders holding five percent or more of regulatory capital stock and include any known affiliates that are members of the FHLB. Table 21.2 - Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions) Regulatory Capital Stock Advance MPP Unpaid March 31, 2016 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,439 33 % $ 33,300 $ — U.S. Bank, N.A. 475 11 10,743 31 Fifth Third Bank 248 6 2,019 2 Regulatory Capital Stock Advance MPP Unpaid December 31, 2015 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,533 34 % $ 35,350 $ — U.S. Bank, N.A. 475 11 10,086 33 Fifth Third Bank 248 6 20 3 Nonmember Affiliates. The FHLB has relationships with three nonmember affiliates, the Kentucky Housing Corporation, the Ohio Housing Finance Agency and the Tennessee Housing Development Agency. The FHLB had no investments in or borrowings to any of these nonmember affiliates at March 31, 2016 or December 31, 2015 . The FHLB has executed standby bond purchase agreements with one state housing authority whereby the FHLB, for a fee, agrees as a liquidity provider if required, to purchase and hold the authority's bonds until the designated marketing agent can find a suitable investor or the housing authority repurchases the bond according to a schedule established by the standby agreement. During the first three months of 2016 and 2015 , the FHLB was not required to purchase any bonds under these agreements. |
Recently Issued Accounting St30
Recently Issued Accounting Standards and Interpretations Recently Issued Accounting Standards and Interpretations (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Nonperforming Loans Policy [Policy Text Block] | Mortgage Loans Held for Portfolio - FHA The FHLB invests in fixed-rate mortgage loans secured by one-to-four family residential properties insured by the FHA. The FHLB expects to recover any losses from such loans from the FHA. Any losses from these loans that are not recovered from the FHA would be due to a claim rejection by the FHA and, as such, would be recoverable from the selling participating financial institutions. Therefore, the FHLB only has credit risk for these loans if the seller or servicer fails to pay for losses not covered by the FHA insurance. As a result, the FHLB did not establish an allowance for credit losses on its FHA insured mortgage loans. Furthermore, due to the insurance, none of these mortgage loans have been placed on non-accrual status. Mortgage Loans Held for Portfolio - Conventional Mortgage Purchase Program (MPP) The FHLB determines the allowance for conventional loans through analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses consists of: (1) collectively evaluating homogeneous pools of residential mortgage loans; (2) reviewing specifically identified loans for impairment; and (3) considering other relevant qualitative factors. Collectively Evaluated Mortgage Loans. The credit risk analysis of conventional loans evaluated collectively for impairment considers historical delinquency migration, applies estimated loss severities, and incorporates the associated credit enhancements in order to determine the FHLB's best estimate of probable incurred losses at the reporting date. The FHLB performs the credit risk analysis of all conventional mortgage loans at the individual Master Commitment Contract level to properly determine the credit enhancements available to recover losses on loans under each individual Master Commitment Contract. The Master Commitment Contract is an agreement with a member in which the member agrees to make a best efforts attempt to sell a specific dollar amount of loans to the FHLB generally over a one-year period. Migration analysis is a methodology for determining, through the FHLB's experience over a historical period, the rate of default on loans. The FHLB applies migration analysis to loans based on payment status categories such as current, 30, 60, and 90 days past due. The FHLB then estimates, based on historical experience, how many loans in these categories may migrate to a loss realization event and applies a current loss severity to estimate losses. The estimated losses are then reduced by the probable cash flows resulting from available credit enhancements. Any credit enhancement cash flows that are projected and assessed as not probable of receipt do not reduce estimated losses. Individually Evaluated Mortgage Loans. Conventional mortgage loans that are considered troubled debt restructurings are specifically identified for purposes of calculating the allowance for credit losses. The FHLB measures impairment of these specifically identified loans by either estimating the present value of expected cash flows, estimating the loan's observable market price, or estimating the fair value of the collateral if the loan is collateral dependent. The FHLB removes specifically identified loans evaluated for impairment from the collectively evaluated mortgage loan population. Qualitative Factors. The FHLB also assesses other qualitative factors in its estimation of loan losses for the collectively evaluated population. This amount represents a subjective management judgment, based on facts and circumstances that exist as of the reporting date, that is intended to cover other incurred losses that may not otherwise be captured in the methodology described above. |
Loans and Leases Receivable, Troubled Debt Restructuring Policy [Policy Text Block] | A loan considered a troubled debt restructuring is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash shortfalls as of the reporting date. |
Segment Reporting, Policy [Policy Text Block] | The FHLB has identified two primary operating segments based on its method of internal reporting: Traditional Member Finance and the MPP. These segments reflect the FHLB's two primary Mission Asset Activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways the FHLB provides services to member stockholders. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. |
Fair Value Transfer, Policy [Policy Text Block] | The FHLB 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 financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value as of the beginning of the quarter in which the changes occur. |
Trading Securities (Tables)
Trading Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Trading Securities (and Certain Trading Assets) [Table Text Block] | Trading Securities by Major Security Types (in thousands) Fair Value March 31, 2016 December 31, 2015 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 1,114 $ 1,159 Total $ 1,114 $ 1,159 |
Trading Securities [Member] | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Gain (Loss) on Investments [Table Text Block] | Net Losses on Trading Securities (in thousands) Three Months Ended March 31, 2016 2015 Net losses on trading securities held at period end $ — $ (5 ) Net losses on trading securities $ — $ (5 ) |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-Sale Securities by Major Security Types (in thousands) March 31, 2016 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 800,000 $ 225 $ — $ 800,225 Total $ 800,000 $ 225 $ — $ 800,225 December 31, 2015 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 700,000 $ 81 $ — $ 700,081 Total $ 700,000 $ 81 $ — $ 700,081 |
Available-for-sale Securities [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Investments Classified by Contractual Maturity Date [Table Text Block] | Available-for-Sale Securities by Contractual Maturity (in thousands) March 31, 2016 December 31, 2015 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 800,000 $ 800,225 $ 700,000 $ 700,081 |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) March 31, 2016 December 31, 2015 Amortized cost of available-for-sale securities: Fixed-rate $ 800,000 $ 700,000 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Held-to-maturity Securities [Table Text Block] | Held-to-Maturity Securities by Major Security Types (in thousands) March 31, 2016 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: Government-sponsored enterprises (GSE) $ 30,975 $ 14 $ — $ 30,989 Total non-mortgage-backed securities 30,975 14 — 30,989 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 3,750,675 46,515 (633 ) 3,796,557 GSE single-family mortgage-backed securities 10,441,148 166,359 (38,104 ) 10,569,403 GSE multi-family mortgage-backed securities 1,175,668 860 — 1,176,528 Total mortgage-backed securities 15,367,491 213,734 (38,737 ) 15,542,488 Total $ 15,398,466 $ 213,748 $ (38,737 ) $ 15,573,477 December 31, 2015 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: GSE $ 32,683 $ — $ — $ 32,683 Total non-mortgage-backed securities 32,683 — — 32,683 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 3,894,432 3,629 (25,292 ) 3,872,769 GSE single-family mortgage-backed securities 10,891,089 122,044 (148,589 ) 10,864,544 GSE multi-family mortgage-backed securities 460,002 — (33 ) 459,969 Total mortgage-backed securities 15,245,523 125,673 (173,914 ) 15,197,282 Total $ 15,278,206 $ 125,673 $ (173,914 ) $ 15,229,965 (1) Carrying value equals amortized cost. |
Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Premiums (Discounts) Included in Amortized Cost of Securities [Table Text Block] | Net Purchased Premiums Included in the Amortized Cost of Mortgage-backed Securities Classified as Held-to-Maturity (in thousands) March 31, 2016 December 31, 2015 Premiums $ 78,755 $ 84,450 Discounts (36,846 ) (40,667 ) Net purchased premiums $ 41,909 $ 43,783 |
Schedule of Unrealized Loss on Investments [Table Text Block] | Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands) March 31, 2016 Less than 12 Months 12 Months or more Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 647,125 $ (633 ) $ — $ — $ 647,125 $ (633 ) GSE single-family mortgage-backed securities 414,496 (669 ) 2,986,674 (37,435 ) 3,401,170 (38,104 ) Total $ 1,061,621 $ (1,302 ) $ 2,986,674 $ (37,435 ) $ 4,048,295 $ (38,737 ) December 31, 2015 Less than 12 Months 12 Months or more Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 2,574,649 $ (25,292 ) $ — $ — $ 2,574,649 $ (25,292 ) GSE single-family mortgage-backed securities 4,332,237 (74,068 ) 2,065,926 (74,521 ) 6,398,163 (148,589 ) GSE multi-family mortgage-backed securities 459,969 (33 ) — — 459,969 (33 ) Total $ 7,366,855 $ (99,393 ) $ 2,065,926 $ (74,521 ) $ 9,432,781 $ (173,914 ) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Held-to-Maturity Securities by Contractual Maturity (in thousands) March 31, 2016 December 31, 2015 Year of Maturity Amortized Cost (1) Fair Value Amortized Cost (1) Fair Value Non-mortgage-backed securities: Due in 1 year or less $ 30,975 $ 30,989 $ 32,683 $ 32,683 Due after 1 year through 5 years — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — Total non-mortgage-backed securities 30,975 30,989 32,683 32,683 Mortgage-backed securities (2) 15,367,491 15,542,488 15,245,523 15,197,282 Total $ 15,398,466 $ 15,573,477 $ 15,278,206 $ 15,229,965 (1) Carrying value equals amortized cost. (2) Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands) March 31, 2016 December 31, 2015 Amortized cost of non-mortgage-backed securities: Fixed-rate $ 30,975 $ 32,683 Total amortized cost of non-mortgage-backed securities 30,975 32,683 Amortized cost of mortgage-backed securities: Fixed-rate 12,168,046 12,664,603 Variable-rate 3,199,445 2,580,920 Total amortized cost of mortgage-backed securities 15,367,491 15,245,523 Total $ 15,398,466 $ 15,278,206 |
Advances Advances (Tables)
Advances Advances (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Advances [Abstract] | |
Schedule Of Federal Home Loan Bank Advances By Year Of Contractual Maturity [Table Text Block] | Advance Redemption Terms (dollars in thousands) March 31, 2016 December 31, 2015 Redemption Term Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 24,274,858 0.75 % $ 27,177,311 0.57 % Due after 1 year through 2 years 10,905,001 0.90 12,360,345 0.79 Due after 2 years through 3 years 16,234,826 0.84 15,839,007 0.77 Due after 3 years through 4 years 10,822,726 0.88 11,107,509 0.78 Due after 4 years through 5 years 1,596,994 1.51 3,391,892 1.06 Thereafter 4,792,915 1.61 3,366,205 1.69 Total par value 68,627,320 0.89 73,242,269 0.75 Commitment fees (588 ) (629 ) Discount on Affordable Housing Program (AHP) Advances (8,906 ) (9,396 ) Premiums 2,664 2,744 Discounts (7,750 ) (8,386 ) Hedging adjustments 106,761 65,513 Fair value option valuation adjustments and accrued interest 227 57 Total $ 68,719,728 $ 73,292,172 Advances by Year of Contractual Maturity or Next Put Date for Putable Advances (in thousands) Year of Contractual Maturity or Next Put Date March 31, 2016 December 31, 2015 Due in 1 year or less $ 25,011,258 $ 28,111,211 Due after 1 year through 2 years 10,529,101 11,895,945 Due after 2 years through 3 years 16,044,326 15,549,007 Due after 3 years through 4 years 10,822,726 11,098,009 Due after 4 years through 5 years 1,596,994 3,391,892 Thereafter 4,622,915 3,196,205 Total par value $ 68,627,320 $ 73,242,269 Advances by Year of Contractual Maturity or Next Call Date (in thousands) Year of Contractual Maturity or Next Call Date March 31, 2016 December 31, 2015 Due in 1 year or less $ 29,271,682 $ 33,384,838 Due after 1 year through 2 years 11,221,646 11,289,035 Due after 2 years through 3 years 14,271,873 13,959,002 Due after 3 years through 4 years 10,065,005 10,356,770 Due after 4 years through 5 years 2,361,199 2,747,419 Thereafter 1,435,915 1,505,205 Total par value $ 68,627,320 $ 73,242,269 Advances by Interest Rate Payment Terms (in thousands) March 31, 2016 December 31, 2015 Total fixed-rate (1) $ 21,046,285 $ 25,312,958 Total variable-rate (1) 47,581,035 47,929,311 Total par value $ 68,627,320 $ 73,242,269 (1) Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions) March 31, 2016 December 31, 2015 Principal % of Total Par Value of Advances Principal % of Total Par Value of Advances JPMorgan Chase Bank, N.A. $ 33,300 49 % JPMorgan Chase Bank, N.A. $ 35,350 48 % U.S. Bank, N.A. 10,743 16 U.S. Bank, N.A. 10,086 14 Total $ 44,043 65 % Total $ 45,436 62 % |
Mortgage Loans Held for Portf35
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Mortgage Loans Held for Portfolio (in thousands) March 31, 2016 December 31, 2015 Unpaid principal balance: Fixed rate medium-term single-family mortgage loans (1) $ 1,436,944 $ 1,478,780 Fixed rate long-term single-family mortgage loans 6,601,355 6,278,904 Total unpaid principal balance 8,038,299 7,757,684 Premiums 205,104 205,600 Discounts (1,781 ) (1,989 ) Hedging basis adjustments (2) 22,856 19,998 Total mortgage loans held for portfolio $ 8,264,478 $ 7,981,293 (1) Medium-term is defined as a term of 15 years or less. (2) Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands) March 31, 2016 December 31, 2015 Unpaid principal balance: Conventional mortgage loans $ 7,579,389 $ 7,277,584 Federal Housing Administration (FHA) mortgage loans 458,910 480,100 Total unpaid principal balance $ 8,038,299 $ 7,757,684 |
Members Selling Five Percent or more of Total Unpaid Principal [Table Text Block] | Members, Including Any Known Affiliates that are Members of the FHLB, and Former Members Selling Five Percent or more of Total Unpaid Principal (dollars in millions) March 31, 2016 December 31, 2015 Principal % of Total Principal % of Total Union Savings Bank $ 2,416 30 % Union Savings Bank $ 2,242 29 % PNC Bank, N.A. (1) 799 10 PNC Bank, N.A. (1) 839 11 Guardian Savings Bank FSB 709 9 Guardian Savings Bank FSB 633 8 (1) Former member. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | Rollforward of Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) Three Months Ended March 31, 2016 2015 Balance, beginning of period $ 1,686 $ 4,919 Net charge offs (203 ) (2,757 ) Balance, end of period $ 1,483 $ 2,162 |
Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | Allowance for Credit Losses and Recorded Investment on Conventional Mortgage Loans by Impairment Methodology (in thousands) March 31, 2016 December 31, 2015 Allowance for credit losses, end of period: Collectively evaluated for impairment $ 1,483 $ 1,686 Individually evaluated for impairment — — Total allowance for credit losses $ 1,483 $ 1,686 Recorded investment, end of period: Collectively evaluated for impairment $ 7,815,601 $ 7,510,089 Individually evaluated for impairment 9,733 9,385 Total recorded investment $ 7,825,334 $ 7,519,474 |
Changes in LRA [Table Text Block] | Changes in the LRA (in thousands) Three Months Ended March 31, 2016 LRA at beginning of year $ 158,010 Additions 6,939 Claims (293 ) Scheduled distributions (709 ) LRA at end of period $ 163,947 |
Past Due Financing Receivables [Table Text Block] | Recorded Investment in Delinquent Mortgage Loans (dollars in thousands) March 31, 2016 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 40,439 $ 27,524 $ 67,963 Past due 60-89 days delinquent 7,927 8,833 16,760 Past due 90 days or more delinquent 29,336 15,339 44,675 Total past due 77,702 51,696 129,398 Total current mortgage loans 7,747,632 414,963 8,162,595 Total mortgage loans $ 7,825,334 $ 466,659 $ 8,291,993 Other delinquency statistics: In process of foreclosure, included above (1) $ 22,380 $ 6,833 $ 29,213 Serious delinquency rate (2) 0.39 % 3.35 % 0.56 % Past due 90 days or more still accruing interest (3) $ 24,021 $ 15,339 $ 39,360 Loans on non-accrual status, included above $ 6,632 $ — $ 6,632 December 31, 2015 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 42,606 $ 31,846 $ 74,452 Past due 60-89 days delinquent 10,125 9,887 20,012 Past due 90 days or more delinquent 30,575 17,426 48,001 Total past due 83,306 59,159 142,465 Total current mortgage loans 7,436,168 429,551 7,865,719 Total mortgage loans $ 7,519,474 $ 488,710 $ 8,008,184 Other delinquency statistics: In process of foreclosure, included above (1) $ 23,171 $ 7,043 $ 30,214 Serious delinquency rate (2) 0.42 % 3.63 % 0.62 % Past due 90 days or more still accruing interest (3) $ 25,016 $ 17,426 $ 42,442 Loans on non-accrual status, included above $ 6,753 $ — $ 6,753 (1) Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class recorded investment amount. (3) Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. |
Individually Evaluated Impaired Loan Statistics by Product Class Level [Table Text Block] | Individually Evaluated Impaired Loan Statistics by Product Class Level (in thousands) March 31, 2016 December 31, 2015 Conventional MPP loans Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 9,733 $ 9,522 $ — $ 9,385 $ 9,187 $ — With an allowance — — — — — — Total $ 9,733 $ 9,522 $ — $ 9,385 $ 9,187 $ — |
Impaired Financing Receivables [Table Text Block] | Average Recorded Investment of Individually Evaluated Impaired Loans and Related Interest Income Recognized (in thousands) Three Months Ended March 31, 2016 2015 Individually impaired loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Conventional MPP Loans $ 9,471 $ 121 $ 8,491 $ 112 |
Derivatives and Hedging Activ37
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Fair Value of Derivative Instruments (in thousands) March 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,677,856 $ 11,870 $ 112,678 Derivatives not designated as hedging instruments: Interest rate swaps 5,577,610 4,737 2,181 Interest rate swaptions 523,000 530 — Forward rate agreements 396,000 1,068 576 Mortgage delivery commitments 439,620 4,277 3 Total derivatives not designated as hedging instruments 6,936,230 10,612 2,760 Total derivatives before netting and collateral adjustments $ 12,614,086 22,482 115,438 Netting adjustments and cash collateral (1) 47,484 (83,411 ) Total derivative assets and total derivative liabilities $ 69,966 $ 32,027 December 31, 2015 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,548,351 $ 12,205 $ 77,950 Derivatives not designated as hedging instruments: Interest rate swaps 2,719,000 1,051 4,029 Interest rate swaptions 281,000 683 — Forward rate agreements 462,000 1,680 69 Mortgage delivery commitments 449,856 342 1,650 Total derivatives not designated as hedging instruments 3,911,856 3,756 5,748 Total derivatives before netting and collateral adjustments $ 9,460,207 15,961 83,698 Netting adjustments and cash collateral (1) 11,035 (52,611 ) Total derivative assets and total derivative liabilities $ 26,996 $ 31,087 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $134,567 and $66,685 at March 31, 2016 and December 31, 2015 . Cash collateral received and related accrued interest was (in thousands) $3,671 and $3,039 at March 31, 2016 and December 31, 2015 . |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Net Gains on Derivatives and Hedging Activities (in thousands) Three Months Ended March 31, 2016 2015 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ (1,728 ) $ 852 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 5,103 2,192 Interest rate swaptions (814 ) — Forward rate agreements (9,271 ) (7,581 ) Net interest settlements 1,789 1,989 Mortgage delivery commitments 10,566 7,850 Total net gains related to derivatives not designated as hedging instruments 7,373 4,450 Net gains on derivatives and hedging activities $ 5,645 $ 5,302 |
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Effect of Fair Value Hedge-Related Derivative Instruments (in thousands) Three Months Ended March 31, 2016 Gain/(Loss) on Derivative Gain/(Loss) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) Hedged Item Type: Advances $ (43,638 ) $ 42,125 $ (1,513 ) $ (17,287 ) Consolidated Bonds 2,805 (3,020 ) (215 ) 3,311 Total $ (40,833 ) $ 39,105 $ (1,728 ) $ (13,976 ) 2015 Hedged Item Type: Advances $ (7,471 ) $ 7,923 $ 452 $ (20,616 ) Consolidated Bonds 702 (302 ) 400 4,516 Total $ (6,769 ) $ 7,621 $ 852 $ (16,100 ) (1) The net effect of derivatives, in fair value hedge relationships, on net interest income is included in the interest income or interest expense line item of the respective hedged item type. These amounts include the effect of net interest settlements attributable to designated fair value hedges but do not include (in thousands) $(878) and $(911) of (amortization)/accretion related to fair value hedging activities for the three months ended March 31, 2016 and 2015 . |
Offsetting Assets and Liabilities [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands) March 31, 2016 December 31, 2015 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 8,263 $ 71,569 $ 8,046 $ 70,178 Cleared derivatives 8,874 43,290 5,893 11,801 Total gross recognized amount 17,137 114,859 13,939 81,979 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (7,932 ) (40,121 ) (7,844 ) (40,810 ) Cleared derivatives 55,416 (43,290 ) 18,879 (11,801 ) Total gross amounts of netting adjustments and cash collateral 47,484 (83,411 ) 11,035 (52,611 ) Net amounts after netting adjustments and cash collateral: Uncleared derivatives 331 31,448 202 29,368 Cleared derivatives 64,290 — 24,772 — Total net amounts after netting adjustments and cash collateral 64,621 31,448 24,974 29,368 Derivative instruments not meeting netting requirements (1) : Uncleared derivatives 5,345 579 2,022 1,719 Total derivative instruments not meeting netting requirements (1) 5,345 579 2,022 1,719 Total derivative assets and total derivative liabilities: Uncleared derivatives 5,676 32,027 2,224 31,087 Cleared derivatives 64,290 — 24,772 — Total derivative assets and total derivative liabilities $ 69,966 $ 32,027 $ 26,996 $ 31,087 (1) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits (Tables)
Deposits (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component [Table Text Block] | Deposits (in thousands) March 31, 2016 December 31, 2015 Interest bearing: Demand and overnight $ 576,688 $ 646,902 Term 86,325 151,825 Other 6,546 5,377 Total interest bearing 669,559 804,104 Non-interest bearing: Other 555 238 Total non-interest bearing 555 238 Total deposits $ 670,114 $ 804,342 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [Table Text Block] | Consolidated Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Interest Rate (1) March 31, 2016 $ 53,671,550 $ 53,691,956 0.34 % December 31, 2015 $ 77,199,208 $ 77,225,334 0.24 % (1) Represents an implied rate without consideration of concessions. |
Schedule of Maturities of Long-term Debt [Table Text Block] | Consolidated Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2016 December 31, 2015 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 16,532,110 0.83 % $ 9,808,000 0.91 % Due after 1 year through 2 years 6,051,750 1.34 5,143,750 1.42 Due after 2 years through 3 years 4,950,000 1.67 4,814,000 1.64 Due after 3 years through 4 years 4,505,000 1.92 4,090,000 1.89 Due after 4 years through 5 years 4,626,000 1.83 3,041,000 2.09 Thereafter 7,225,000 2.83 8,139,000 2.80 Index amortizing notes — — 943 5.25 Total par value 43,889,860 1.54 35,036,693 1.74 Premiums 86,036 90,189 Discounts (35,126 ) (37,567 ) Hedging adjustments 6,837 3,817 Fair value option valuation adjustment and accrued interest 9,131 (1,410 ) Total $ 43,956,738 $ 35,091,722 |
Schedule Of Consolidated Obligation Bonds By Call Feature [Table Text Block] | Consolidated Bonds Outstanding by Call Features (in thousands) March 31, 2016 December 31, 2015 Par value of Consolidated Bonds: Non-callable $ 36,191,860 $ 28,235,693 Callable 7,698,000 6,801,000 Total par value $ 43,889,860 $ 35,036,693 |
Schedule Of Maturities of Consolidated Obligation Bonds By Contractual Or Next Call Date [Table Text Block] | Consolidated Bonds Outstanding by Contractual Maturity or Next Call Date (in thousands) Year of Contractual Maturity or Next Call Date March 31, 2016 December 31, 2015 Due in 1 year or less $ 23,540,110 $ 16,339,000 Due after 1 year through 2 years 5,059,750 4,881,750 Due after 2 years through 3 years 3,521,000 3,499,000 Due after 3 years through 4 years 3,253,000 3,020,000 Due after 4 years through 5 years 3,808,000 2,383,000 Thereafter 4,708,000 4,913,000 Index amortizing notes — 943 Total par value $ 43,889,860 $ 35,036,693 |
Schedule Of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | Consolidated Bonds by Interest-rate Payment Type (in thousands) March 31, 2016 December 31, 2015 Par value of Consolidated Bonds: Fixed-rate $ 34,098,360 $ 30,806,693 Variable-rate 9,701,500 4,065,000 Step-up 90,000 165,000 Total par value $ 43,889,860 $ 35,036,693 |
Affordable Housing Program (A40
Affordable Housing Program (AHP) (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Affordable Housing Program (AHP) [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | Analysis of AHP Liability (in thousands) Balance at December 31, 2015 $ 107,352 Assessments (current year additions) 5,490 Subsidy uses, net (6,802 ) Balance at March 31, 2016 $ 106,040 |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | Capital Requirements (dollars in thousands) March 31, 2016 December 31, 2015 Minimum Requirement Actual Minimum Requirement Actual Risk-based capital $ 635,734 $ 5,082,697 $ 630,604 $ 5,232,228 Capital-to-assets ratio (regulatory) 4.00 % 4.89 % 4.00 % 4.40 % Regulatory capital $ 4,155,535 $ 5,082,697 $ 4,751,350 $ 5,232,228 Leverage capital-to-assets ratio (regulatory) 5.00 % 7.34 % 5.00 % 6.61 % Leverage capital $ 5,194,419 $ 7,624,046 $ 5,939,187 $ 7,848,342 |
Schedule of Mandatorily Redeemable Capital Stock [Table Text Block] | Mandatorily Redeemable Capital Stock Roll Forward (in thousands) Balance, December 31, 2015 $ 37,895 Capital stock subject to mandatory redemption reclassified from equity 228,751 Redemption (or other reduction) of mandatorily redeemable capital stock (163,795 ) Balance, March 31, 2016 $ 102,851 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block] | Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands) Contractual Year of Redemption March 31, 2016 December 31, 2015 Year 1 $ — $ — Year 2 — — Year 3 2,303 41 Year 4 606 2,265 Year 5 1,620 2,876 Thereafter (1) 67,564 — Past contractual redemption date due to remaining activity (2) 30,758 32,713 Total $ 102,851 $ 37,895 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 2016, that makes captive insurance companies ineligible for FHLB membership and thereby terminates their membership no later than February 2017. (2) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Accumulated Other Comprehensi42
Accumulated Other Comprehensive (Loss) Income (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated Other Comprehensive (Loss) Income (in thousands) Net unrealized (losses) gains on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive (loss) income BALANCE, DECEMBER 31, 2014 $ (24 ) $ (16,572 ) $ (16,596 ) Other comprehensive income before reclassification: Net unrealized losses (8 ) — (8 ) Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 617 617 Net current period other comprehensive (loss) income (8 ) 617 609 BALANCE, MARCH 31, 2015 $ (32 ) $ (15,955 ) $ (15,987 ) BALANCE, DECEMBER 31, 2015 $ 81 $ (13,358 ) $ (13,277 ) Other comprehensive income before reclassification: Net unrealized gains 144 — 144 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 472 472 Net current period other comprehensive income 144 472 616 BALANCE, MARCH 31, 2016 $ 225 $ (12,886 ) $ (12,661 ) |
Pension and Postretirement Be43
Pension and Postretirement Benefit Plans (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Compensation and Retirement Disclosure [Abstract] | |
Schedule of Defined Benefit Plans Disclosures [Table Text Block] | Net Periodic Benefit Cost (in thousands) Three Months Ended March 31, Defined Benefit Retirement Plan Postretirement Benefits Plan 2016 2015 2016 2015 Net Periodic Benefit Cost Service cost $ 165 $ 158 $ 12 $ 19 Interest cost 312 298 55 51 Amortization of net loss 460 601 12 16 Net periodic benefit cost $ 937 $ 1,057 $ 79 $ 86 |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment [Table Text Block] | Financial Performance by Operating Segment (in thousands) Three Months Ended March 31, Traditional Member Finance MPP Total 2016 Net interest income $ 69,181 $ 10,595 $ 79,776 Non-interest (loss) income (5,165 ) 977 (4,188 ) Non-interest expense 18,971 2,780 21,751 Income before assessments 45,045 8,792 53,837 Affordable Housing Program assessments 4,611 879 5,490 Net income $ 40,434 $ 7,913 $ 48,347 2015 Net interest income $ 61,129 $ 16,232 $ 77,361 Non-interest income 7,862 270 8,132 Non-interest expense 15,215 2,488 17,703 Income before assessments 53,776 14,014 67,790 Affordable Housing Program assessments 5,441 1,401 6,842 Net income $ 48,335 $ 12,613 $ 60,948 Asset Balances by Operating Segment (in thousands) Assets Traditional Member MPP Total March 31, 2016 $ 95,597,065 $ 8,291,305 $ 103,888,370 December 31, 2015 110,776,396 8,007,343 118,783,739 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Fair Value Summary (in thousands) March 31, 2016 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 7,507 $ 7,507 $ 7,507 $ — $ — $ — Interest-bearing deposits 185 185 — 185 — — Securities purchased under agreements to resell 4,194,934 4,194,934 — 4,194,934 — — Federal funds sold 6,310,000 6,310,000 — 6,310,000 — — Trading securities 1,114 1,114 — 1,114 — — Available-for-sale securities 800,225 800,225 — 800,225 — — Held-to-maturity securities 15,398,466 15,573,477 — 15,573,477 — — Advances (2) 68,719,728 68,716,536 — 68,716,536 — — Mortgage loans held for portfolio, net 8,262,995 8,516,690 — 8,486,289 30,401 — Accrued interest receivable 104,316 104,316 — 104,316 — — Derivative assets 69,966 69,966 — 22,482 — 47,484 Liabilities: Deposits 670,114 670,074 — 670,074 — — Consolidated Obligations: Discount Notes 53,671,550 53,663,685 — 53,663,685 — — Bonds (3) 43,956,738 44,603,426 — 44,603,426 — — Mandatorily redeemable capital stock 102,851 102,851 102,851 — — — Accrued interest payable 122,021 122,021 — 122,021 — — Derivative liabilities 32,027 32,027 — 115,438 — (83,411 ) Other: Commitments to extend credit for Advances — 8 — 8 — — Standby bond purchase agreements — 897 — 897 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $15,227 of Advances recorded under the fair value option at March 31, 2016 . (3) Includes (in thousands) $5,048,740 of Consolidated Obligation Bonds recorded under the fair value option at March 31, 2016 . December 31, 2015 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 10,136 $ 10,136 $ 10,136 $ — $ — $ — Interest-bearing deposits 99 99 — 99 — — Securities purchased under agreements to resell 10,531,979 10,531,979 — 10,531,979 — — Federal funds sold 10,845,000 10,845,000 — 10,845,000 — — Trading securities 1,159 1,159 — 1,159 — — Available-for-sale securities 700,081 700,081 — 700,081 — — Held-to-maturity securities 15,278,206 15,229,965 — 15,229,965 — — Advances (2) 73,292,172 73,089,912 — 73,089,912 — — Mortgage loans held for portfolio, net 7,979,607 8,106,224 — 8,075,390 30,834 — Accrued interest receivable 94,855 94,855 — 94,855 — — Derivative assets 26,996 26,996 — 15,961 — 11,035 Liabilities: Deposits 804,342 804,140 — 804,140 — — Consolidated Obligations: Discount Notes 77,199,208 77,183,854 — 77,183,854 — — Bonds (3) 35,091,722 35,317,688 — 35,317,688 — — Mandatorily redeemable capital stock 37,895 37,895 37,895 — — — Accrued interest payable 118,823 118,823 — 118,823 — — Derivative liabilities 31,087 31,087 — 83,698 — (52,611 ) Other: Standby bond purchase agreements — 698 — 698 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $15,057 of Advances recorded under the fair value option at December 31, 2015 . (3) Includes (in thousands) $2,214,590 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2015 . |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | Fair Value Measurements (in thousands) Fair Value Measurements at March 31, 2016 Total Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: Other U.S. obligation single-family mortgage-backed securities $ 1,114 $ — $ 1,114 $ — $ — Available-for-sale securities: Certificates of deposit 800,225 — 800,225 — — Advances 15,227 — 15,227 — — Derivative assets: Interest rate related 64,621 — 17,137 — 47,484 Forward rate agreements 1,068 — 1,068 — — Mortgage delivery commitments 4,277 — 4,277 — — Total derivative assets 69,966 — 22,482 — 47,484 Total assets at fair value $ 886,532 $ — $ 839,048 $ — $ 47,484 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 5,048,740 $ — $ 5,048,740 $ — $ — Derivative liabilities: Interest rate related 31,448 — 114,859 — (83,411 ) Forward rate agreement 576 — 576 — — Mortgage delivery commitments 3 — 3 — — Total derivative liabilities 32,027 — 115,438 — (83,411 ) Total liabilities at fair value $ 5,080,767 $ — $ 5,164,178 $ — $ (83,411 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 1,065 $ — $ — $ 1,065 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016 . Fair Value Measurements at December 31, 2015 Total Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: Other U.S. obligation single-family mortgage-backed securities $ 1,159 $ — $ 1,159 $ — $ — Available-for-sale securities: Certificates of deposit 700,081 — 700,081 — — Advances 15,057 — 15,057 — — Derivative assets: Interest rate related 24,974 — 13,939 — 11,035 Forward rate agreements 1,680 — 1,680 — — Mortgage delivery commitments 342 — 342 — — Total derivative assets 26,996 — 15,961 — 11,035 Total assets at fair value $ 743,293 $ — $ 732,258 $ — $ 11,035 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 2,214,590 $ — $ 2,214,590 $ — $ — Derivative liabilities: Interest rate related 29,368 — 81,979 — (52,611 ) Forward rate agreements 69 — 69 — — Mortgage delivery commitments 1,650 — 1,650 — — Total derivative liabilities 31,087 — 83,698 — (52,611 ) Total liabilities at fair value $ 2,245,677 $ — $ 2,298,288 $ — $ (52,611 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 6,270 $ — $ — $ 6,270 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2015 . |
Fair Value, Option, Quantitative Disclosures, Change in Fair Value Included in Earnings [Table Text Block] | Changes in Fair Values for Items Measured at Fair Value Pursuant to the Election of the Fair Value Option (in thousands) Three Months Ended March 31, 2016 2015 Advances Consolidated Bonds Advances Consolidated Bonds Interest income (expense) $ 63 $ (5,758 ) $ 63 $ (3,693 ) Net gains (losses) on changes in fair value under fair value option 171 (13,828 ) 140 (1,309 ) Total changes in fair value included in current period earnings $ 234 $ (19,586 ) $ 203 $ (5,002 ) |
Fair Value Option, Quantitative Disclosure, Difference Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding [Table Text Block] | Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) March 31, 2016 December 31, 2015 Aggregate Unpaid Principal Balance Aggregate Fair Value Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance Aggregate Unpaid Principal Balance Aggregate Fair Value Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance Advances (1) $ 15,000 $ 15,227 $ 227 $ 15,000 $ 15,057 $ 57 Consolidated Bonds 5,039,609 5,048,740 9,131 2,216,000 2,214,590 (1,410 ) (1) At March 31, 2016 and December 31, 2015 , none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Off-Balance Sheet Commitments (in thousands) March 31, 2016 December 31, 2015 Notional Amount Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby Letters of Credit outstanding $ 16,554,705 $ 201,945 $ 16,756,650 $ 19,417,093 $ 137,995 $ 19,555,088 Commitments for standby bond purchases 54,455 61,085 115,540 85,865 36,510 122,375 Commitments to fund additional Advances 56,000 — 56,000 — — — Commitments to purchase mortgage loans 439,620 — 439,620 449,856 — 449,856 Unsettled Consolidated Bonds, at par (1)(2) 510,000 — 510,000 60,000 — 60,000 Unsettled Consolidated Discount Notes, at par (1) 198,122 — 198,122 — — — (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. (2) Of the total unsettled Consolidated Bonds, $150,000 and $0 (in thousands) were hedged with associated interest rate swaps at March 31, 2016 and December 31, 2015 , respectively. |
Transactions with Stockholders
Transactions with Stockholders (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Other Transactions [Line Items] | |
Schedule of Transactions with Members and Former Members [Table Text Block] | Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions) Regulatory Capital Stock Advance MPP Unpaid March 31, 2016 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,439 33 % $ 33,300 $ — U.S. Bank, N.A. 475 11 10,743 31 Fifth Third Bank 248 6 2,019 2 Regulatory Capital Stock Advance MPP Unpaid December 31, 2015 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,533 34 % $ 35,350 $ — U.S. Bank, N.A. 475 11 10,086 33 Fifth Third Bank 248 6 20 3 |
Director [Member] | |
Schedule of Other Transactions [Line Items] | |
Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Transactions with Directors' Financial Institutions (dollars in millions) March 31, 2016 December 31, 2015 Balance % of Total (1) Balance % of Total (1) Advances $ 3,378 4.9 % $ 3,867 5.3 % MPP 222 2.8 186 2.4 Regulatory capital stock 151 3.5 236 5.3 (1) Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Background Information (Details
Background Information (Details) | Mar. 31, 2016Banks |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Recently Issued Accounting St49
Recently Issued Accounting Standards and Interpretations New Accounting Pronouncements (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Other Assets | $ (8,686) | $ (13,013) |
Federal Home Loan Bank, Consolidated Obligations, Bonds | (43,956,738) | (35,091,722) |
Assets | (103,888,370) | (118,783,739) |
Liabilities | $ (98,921,185) | (113,602,683) |
Restatement Adjustment [Member] | Accounting Standards Update 2015-03 [Member] | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Other Assets | 13,042 | |
Federal Home Loan Bank, Consolidated Obligations, Bonds | 13,042 | |
Assets | 13,042 | |
Liabilities | $ 13,042 |
Trading Securities (Trading Sec
Trading Securities (Trading Securities by Major Type) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 1,114 | $ 1,159 |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 1,114 | $ 1,159 |
Trading Securities (Net (Losses
Trading Securities (Net (Losses) Gains on Trading Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Trading Securities [Abstract] | ||
Net losses on trading securities held at period end | $ 0 | $ (5) |
Net losses on trading securities | $ 0 | $ (5) |
Available-for-Sale Securities52
Available-for-Sale Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | $ 800,000 | $ 700,000 |
Available For Sale Debt Securities Gross Unrealized Gain Accumulated In Investments | 225 | 81 |
Available-for-sale Securities, Gross Unrealized Losses | 0 | 0 |
Available-for-sale securities | 800,225 | 700,081 |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | 800,000 | 700,000 |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 800,225 | 700,081 |
Fixed-rate [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | 800,000 | 700,000 |
Certificates of Deposit [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Debt Securities, Amortized Cost Basis | 800,000 | 700,000 |
Available For Sale Debt Securities Gross Unrealized Gain Accumulated In Investments | 225 | 81 |
Available-for-sale Securities, Gross Unrealized Losses | 0 | 0 |
Available-for-sale securities | $ 800,225 | $ 700,081 |
Held-to-Maturity Securities (Ma
Held-to-Maturity Securities (Major Security Types) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | $ 15,398,466 | $ 15,278,206 |
Held-to-maturity Securities | [3] | 15,398,466 | 15,278,206 |
Held-to-maturity Securities, Unrecognized Holding Gain | 213,748 | 125,673 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (38,737) | (173,914) | |
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |
US Government-sponsored Enterprises Debt Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1] | 30,975 | 32,683 |
Held-to-maturity Securities | 30,975 | 32,683 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 14 | 0 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Held-to-maturity Securities, Fair Value | 30,989 | 32,683 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | 30,975 | 32,683 |
Held-to-maturity Securities | 30,975 | 32,683 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 14 | 0 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Held-to-maturity Securities, Fair Value | 30,989 | 32,683 | |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1] | 3,750,675 | 3,894,432 |
Held-to-maturity Securities | 3,750,675 | 3,894,432 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 46,515 | 3,629 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (633) | (25,292) | |
Held-to-maturity Securities, Fair Value | 3,796,557 | 3,872,769 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2],[4] | 15,367,491 | 15,245,523 |
Held-to-maturity Securities | [4] | 15,367,491 | 15,245,523 |
Held-to-maturity Securities, Unrecognized Holding Gain | 213,734 | 125,673 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (38,737) | (173,914) | |
Held-to-maturity Securities, Fair Value | [4] | 15,542,488 | 15,197,282 |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1] | 10,441,148 | 10,891,089 |
Held-to-maturity Securities | 10,441,148 | 10,891,089 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 166,359 | 122,044 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (38,104) | (148,589) | |
Held-to-maturity Securities, Fair Value | 10,569,403 | 10,864,544 | |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1] | 1,175,668 | 460,002 |
Held-to-maturity Securities | 1,175,668 | 460,002 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 860 | 0 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | (33) | |
Held-to-maturity Securities, Fair Value | $ 1,176,528 | $ 459,969 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. | ||
[3] | Fair values: $15,573,477 and $15,229,965 at March 31, 2016 and December 31, 2015, respectively. | ||
[4] | Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities (Ne
Held-to-Maturity Securities (Net Premuims) (Details) - Collateralized Mortgage Backed Securities [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held To Maturity Securities, Premiums | $ 78,755 | $ 84,450 |
Held-to-maturity Securities, Discounts | (36,846) | (40,667) |
Held-to-maturity Securities, Premiums (Discounts), Net | $ 41,909 | $ 43,783 |
Held-to-Maturity Securities (Co
Held-to-Maturity Securities (Continuous Unrealized Loss Position) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 1,061,621 | $ 7,366,855 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (1,302) | (99,393) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 2,986,674 | 2,065,926 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (37,435) | (74,521) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 4,048,295 | 9,432,781 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | (38,737) | (173,914) |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 647,125 | 2,574,649 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (633) | (25,292) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 647,125 | 2,574,649 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | (633) | (25,292) |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 414,496 | 4,332,237 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (669) | (74,068) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 2,986,674 | 2,065,926 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (37,435) | (74,521) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 3,401,170 | 6,398,163 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | $ (38,104) | (148,589) |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 459,969 | |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (33) | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 459,969 | |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | $ (33) |
Held-to-Maturity Securities (56
Held-to-Maturity Securities (Contractual Maturity) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities | [1] | $ 15,398,466 | $ 15,278,206 |
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [2],[3] | 15,398,466 | 15,278,206 |
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Debt Maturities, within One Year Amortized Cost | [3] | 30,975 | 32,683 |
Held-to-maturity Securities, Debt Maturities, within One Year, Net Carrying Amount | 30,975 | 32,683 | |
Held-to-maturity Securities, Debt Maturities, within One Year, Fair Value | 30,989 | 32,683 | |
Held-to-maturity Securities, Debt Maturities, After One Through Five Years Amortized Cost | [3] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, after One Through Five Years, Net Carrying Amount | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years Amortized Cost | [3] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, after Five Through Ten Years, Net Carrying Amount | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, After Ten Years Amortized Cost | [3] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, after Ten Years, Net Carrying Amount | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 0 | 0 | |
Held-to-maturity Securities | 30,975 | 32,683 | |
Held-to-maturity Securities, Fair Value | 30,989 | 32,683 | |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [2],[3] | 30,975 | 32,683 |
Held-to-maturity Securities, Fair Value | 30,989 | 32,683 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities | [4] | 15,367,491 | 15,245,523 |
Held-to-maturity Securities, Fair Value | [4] | 15,542,488 | 15,197,282 |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [2],[3],[4] | 15,367,491 | 15,245,523 |
Held-to-maturity Securities, Fair Value | [4] | $ 15,542,488 | $ 15,197,282 |
[1] | Fair values: $15,573,477 and $15,229,965 at March 31, 2016 and December 31, 2015, respectively. | ||
[2] | Carrying value equals amortized cost. | ||
[3] | Carrying value equals amortized cost. | ||
[4] | Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities (In
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | $ 15,398,466 | $ 15,278,206 |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | 30,975 | 32,683 |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2],[3] | 15,367,491 | 15,245,523 |
Fixed-rate [Member] | Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 30,975 | 32,683 | |
Fixed-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | 12,168,046 | 12,664,603 | |
Variable-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | $ 3,199,445 | $ 2,580,920 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. | ||
[3] | Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 68,627,320 | $ 73,242,269 |
Federal Home Loan Bank, Advances, Callable Option [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | 14,731,435 | 14,095,712 |
Federal Home Loan Bank, Advances, Putable Option [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 1,033,900 | $ 1,046,400 |
Advances (Advance Redemption Te
Advances (Advance Redemption Terms) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Advances [Abstract] | |||
Due in 1 year or less | $ 24,274,858 | $ 27,177,311 | |
Due after 1 year through 2 years | 10,905,001 | 12,360,345 | |
Due after 2 years through 3 years | 16,234,826 | 15,839,007 | |
Due after 3 years through 4 years | 10,822,726 | 11,107,509 | |
Due after 4 years through 5 years | 1,596,994 | 3,391,892 | |
Thereafter | 4,792,915 | 3,366,205 | |
Federal Home Loan Bank, Advances, Par Value, Total | 68,627,320 | 73,242,269 | |
Commitment Fees on Advances | (588) | (629) | |
Discount on Affordable Housing Program Advances | (8,906) | (9,396) | |
Federal Home Loan Bank Advances, Premium | 2,664 | 2,744 | |
Federal Home Loan Bank Advances, Discount | (7,750) | (8,386) | |
Hedging adjustments | 106,761 | 65,513 | |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | [1] | 227 | 57 |
Advances | $ 68,719,728 | $ 73,292,172 | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing Within One Year of Balance Sheet Date | 0.75% | 0.57% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From One To Two Years of Balance Sheet Date | 0.90% | 0.79% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Two To Three Years of Balance Sheet Date | 0.84% | 0.77% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Three To Four Years of Balance Sheet Date | 0.88% | 0.78% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Four To Five Years of Balance Sheet Date | 1.51% | 1.06% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing After Five Years of Balance Sheet Date | 1.61% | 1.69% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate As Of Balance Sheet Date | 0.89% | 0.75% | |
[1] | At March 31, 2016 and December 31, 2015, none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
Advances (Year of Contractual M
Advances (Year of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Advances [Abstract] | ||
Federal Home Loan Bank Advances, Earlier of Contractual Maturity or Next Call Date, Due With in Next Rolling Twelve Months | $ 29,271,682 | $ 33,384,838 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Two | 11,221,646 | 11,289,035 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Three | 14,271,873 | 13,959,002 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Four | 10,065,005 | 10,356,770 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Five | 2,361,199 | 2,747,419 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due After Rolling Year Five | 1,435,915 | 1,505,205 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 68,627,320 | $ 73,242,269 |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Put/Convert Date for Putable/Convertible Advances) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due within One Year of Balance Sheet Date | $ 25,011,258 | $ 28,111,211 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From One To Two Years of Balance Sheet Date | 10,529,101 | 11,895,945 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Two To Three Years of Balance Sheet Date | 16,044,326 | 15,549,007 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Three To Four Years of Balance Sheet Date | 10,822,726 | 11,098,009 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Four To Five Years of Balance Sheet Date | 1,596,994 | 3,391,892 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due After Five Years of Balance Sheet Date | 4,622,915 | 3,196,205 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 68,627,320 | $ 73,242,269 |
Advances (Advances by Interest
Advances (Advances by Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Advances [Abstract] | |||
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Fixed Rate | [1] | $ 21,046,285 | $ 25,312,958 |
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Floating Rate | [1] | 47,581,035 | 47,929,311 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 68,627,320 | $ 73,242,269 | |
[1] | Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. |
Advances (Borrowers Holding Fiv
Advances (Borrowers Holding Five Percent or more of Total Advances) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 68,627,320 | $ 73,242,269 |
Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 44,043,000 | $ 45,436,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 65.00% | 62.00% |
JPMorgan Chase Bank National Association [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 33,300,000 | $ 35,350,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 49.00% | 48.00% |
U.S. Bank, N.A. [Member] | Federal Home Loan Bank Borrower Advances, Five Percent Or More Of Principal Balance [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 10,743,000 | $ 10,086,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 16.00% | 14.00% |
Mortgage Loans Held for Portf64
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 8,038,299 | $ 7,757,684 | |
Loans and Leases Receivable, Unamortized Premiums | 205,104 | 205,600 | |
Loans and Leases Receivable, Unamortized Discounts | (1,781) | (1,989) | |
Loans and Leases Receivable, Hedging Basis Adjustment | [1] | 22,856 | 19,998 |
Loans and Leases Receivable, Gross, Consumer, Mortgage | 8,264,478 | 7,981,293 | |
Fixed rates medium-term single-family mortgages [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | [2] | 1,436,944 | 1,478,780 |
Fixed rates Long-term single-family mortgages [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | 6,601,355 | 6,278,904 | |
Conventional Loan [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | 7,579,389 | 7,277,584 | |
Federal Housing Administration Loan [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 458,910 | $ 480,100 | |
[1] | Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. | ||
[2] | Medium-term is defined as a term of 15 years or less. |
Mortgage Loans Held for Portf65
Mortgage Loans Held for Portfolio (Details 2) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | |
Guardian Saving Bank FSB [Member] | |||
Participating Mortgage Loans [Line Items] | |||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 709 | $ 633 | |
Percent of Total | 9.00% | 8.00% | |
PNC Bank, N.A. [Member] | |||
Participating Mortgage Loans [Line Items] | |||
Unpaid Principal Balances Greater Than Five Percent of Total | [1] | $ 799 | $ 839 |
Percent of Total | [1] | 10.00% | 11.00% |
Union Savings Bank [Member] | |||
Participating Mortgage Loans [Line Items] | |||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 2,416 | $ 2,242 | |
Percent of Total | 30.00% | 29.00% | |
[1] | Former member. |
Allowance for Credit Losses (De
Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||
Loans and Leases Receivable, Allowance | $ 1,686 | $ 1,483 | $ 1,686 | |
Total recorded investment | 8,291,993 | 8,008,184 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of period | 1,686 | |||
Balance, end of period | 1,483 | |||
Conventional Loan [Member] | ||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||
Allowance for Credit Losses, Collectively Evaluated for Impairment | 1,483 | 1,686 | ||
Allowance for Credit Losses, Individually Evaluated for Impairment | 0 | 0 | ||
Loans and Leases Receivable, Allowance | 1,686 | $ 4,919 | 1,483 | 1,686 |
Recorded Investment, Collectively Evaluated for Impairment | 7,815,601 | 7,510,089 | ||
Recorded Investment, Individually Evaluated for Impairment | 9,733 | 9,385 | ||
Total recorded investment | $ 7,825,334 | $ 7,519,474 | ||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||||
Balance, beginning of period | 1,686 | 4,919 | ||
Allowance for Loan and Lease Losses Write-offs, Net | (203) | (2,757) | ||
Balance, end of period | $ 1,483 | $ 2,162 |
Allowance for Credit Losses Rol
Allowance for Credit Losses Rollforward of LRA (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Change in Lender Risk Account Balance [Roll Forward] | |
Lender Risk Account, Beginning Balance | $ 158,010 |
Lender Risk Account, Additions | 6,939 |
Lender Risk Account, Claims | (293) |
Lender Risk Account, Distributions | (709) |
Lender Risk Account, Ending Balance | $ 163,947 |
Allowance for Credit Losses Sch
Allowance for Credit Losses Schedule of Loans Outstanding and Past Due (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | $ 129,398 | $ 142,465 | |
Financing Receivable, Recorded Investment, Current | 8,162,595 | 7,865,719 | |
Total recorded investment | 8,291,993 | 8,008,184 | |
Mortgage Loans In Process Of Foreclosure | [1] | $ 29,213 | $ 30,214 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.56% | 0.62% |
Financing Receivable, Recorded Investment, 90 Days Past Due and Still Accruing | [3] | $ 39,360 | $ 42,442 |
Financing Receivable, Recorded Investment, Nonaccrual Status | 6,632 | 6,753 | |
Financing Receivable, Modifications, Recorded Investment | 9,733 | 9,385 | |
Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 77,702 | 83,306 | |
Financing Receivable, Recorded Investment, Current | 7,747,632 | 7,436,168 | |
Total recorded investment | 7,825,334 | 7,519,474 | |
Mortgage Loans In Process Of Foreclosure | [1] | $ 22,380 | $ 23,171 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.39% | 0.42% |
Financing Receivable, Recorded Investment, 90 Days Past Due and Still Accruing | [3] | $ 24,021 | $ 25,016 |
Financing Receivable, Recorded Investment, Nonaccrual Status | 6,632 | 6,753 | |
Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 51,696 | 59,159 | |
Financing Receivable, Recorded Investment, Current | 414,963 | 429,551 | |
Total recorded investment | 466,659 | 488,710 | |
Mortgage Loans In Process Of Foreclosure | [1] | $ 6,833 | $ 7,043 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 3.35% | 3.63% |
Financing Receivable, Recorded Investment, 90 Days Past Due and Still Accruing | [3] | $ 15,339 | $ 17,426 |
Financing Receivable, Recorded Investment, Nonaccrual Status | 0 | 0 | |
Past due 30-59 days delinquent | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 67,963 | 74,452 | |
Past due 30-59 days delinquent | Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 40,439 | 42,606 | |
Past due 30-59 days delinquent | Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 27,524 | 31,846 | |
Past due 60-89 days delinquent | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 16,760 | 20,012 | |
Past due 60-89 days delinquent | Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 7,927 | 10,125 | |
Past due 60-89 days delinquent | Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 8,833 | 9,887 | |
Past due 90 days or more delinquent | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 44,675 | 48,001 | |
Past due 90 days or more delinquent | Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 29,336 | 30,575 | |
Past due 90 days or more delinquent | Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | $ 15,339 | $ 17,426 | |
[1] | Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. | ||
[2] | Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class recorded investment amount. | ||
[3] | Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. |
Allowance for Credit Losses Ind
Allowance for Credit Losses Individually Evaluated Impaired Loans (Details) - Conventional Loan [Member] - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Financing Receivable, Impaired [Line Items] | |||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | $ 9,733 | $ 9,385 | |
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 9,522 | 9,187 | |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 0 | 0 | |
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 0 | 0 | |
Impaired Financing Receivable, Related Allowance | 0 | 0 | |
Impaired Financing Receivable, Recorded Investment | 9,733 | 9,385 | |
Impaired Financing Receivable, Unpaid Principal Balance | 9,522 | $ 9,187 | |
Impaired Financing Receivable, Average Recorded Investment | 9,471 | $ 8,491 | |
Impaired Financing Receivable, Interest Income, Accrual Method | $ 121 | $ 112 |
Derivatives and Hedging Activ70
Derivatives and Hedging Activities Narrative (Details) $ in Thousands | Mar. 31, 2016USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative, Net Liability Position, Aggregate Fair Value | $ 66,838 |
Collateral Already Posted, Aggregate Fair Value | 35,390 |
Additional Collateral, Aggregate Fair Value | $ 5,864 |
Derivatives and Hedging Activ71
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 12,614,086 | $ 9,460,207 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 22,482 | 15,961 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 115,438 | 83,698 | |
Derivative Asset, Netting Adjustments And Cash Collateral | [1],[2] | 47,484 | 11,035 |
Derivative Liability, Netting Adjustments And Cash Collateral | [1],[2] | (83,411) | (52,611) |
Derivative assets | 69,966 | 26,996 | |
Derivative liabilities | 32,027 | 31,087 | |
Derivative, Collateral, Cash Received And Related Accrued Interest | 134,567 | 66,685 | |
Derivative, Collateral, Cash Posted And Related Accrued interest | 3,671 | 3,039 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 5,677,856 | 5,548,351 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 11,870 | 12,205 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 112,678 | 77,950 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 6,936,230 | 3,911,856 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 10,612 | 3,756 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,760 | 5,748 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 5,577,610 | 2,719,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 4,737 | 1,051 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,181 | 4,029 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 523,000 | 281,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 530 | 683 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 439,620 | 449,856 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 4,277 | 342 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 3 | 1,650 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 396,000 | 462,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,068 | 1,680 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 576 | $ 69 | |
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $134,567 and $66,685 at March 31, 2016 and December 31, 2015. Cash collateral received and related accrued interest was (in thousands) $3,671 and $3,039 at March 31, 2016 and December 31, 2015. | ||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
Derivatives and Hedging Activ72
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ (1,728) | $ 852 |
Gain (Loss) on Derivatives not designated as hedging instruments | 7,373 | 4,450 |
Net gains (losses) on derivatives and hedging activities | 5,645 | 5,302 |
Interest Rate Swap [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | (1,728) | 852 |
Gain (Loss) on Derivatives not designated as hedging instruments | 5,103 | 2,192 |
Interest Rate Swaption [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives not designated as hedging instruments | (814) | 0 |
Forward Contracts [Member] | Mortgages [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives not designated as hedging instruments | 10,566 | 7,850 |
Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives not designated as hedging instruments | (9,271) | (7,581) |
Net Interest Settlements [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Gain (Loss) on Derivatives not designated as hedging instruments | $ 1,789 | $ 1,989 |
Derivatives and Hedging Activ73
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | $ (40,833) | $ (6,769) | |
Gain (Loss) on Hedged Item | 39,105 | 7,621 | |
Net Fair Value Hedge Ineffectiveness | (1,728) | 852 | |
Effect of Derivatives on Net Interest Income | [1] | (13,976) | (16,100) |
Amortization and Accretion of Hedged Items | (878) | (911) | |
Advances [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | (43,638) | (7,471) | |
Gain (Loss) on Hedged Item | 42,125 | 7,923 | |
Net Fair Value Hedge Ineffectiveness | (1,513) | 452 | |
Effect of Derivatives on Net Interest Income | [1] | (17,287) | (20,616) |
Consolidated Obligation Bonds [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | 2,805 | 702 | |
Gain (Loss) on Hedged Item | (3,020) | (302) | |
Net Fair Value Hedge Ineffectiveness | (215) | 400 | |
Effect of Derivatives on Net Interest Income | [1] | $ 3,311 | $ 4,516 |
[1] | The net effect of derivatives, in fair value hedge relationships, on net interest income is included in the interest income or interest expense line item of the respective hedged item type. These amounts include the effect of net interest settlements attributable to designated fair value hedges but do not include (in thousands) $(878) and $(911) of (amortization)/accretion related to fair value hedging activities for the three months ended March 31, 2016 and 2015. |
Derivatives and Hedging Activ74
Derivatives and Hedging Activities Offsetting of Derivative Assets and Derivative Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Offsetting Assets [Line Items] | |||
Derivative Asset, Total Gross Amount | $ 17,137 | $ 13,939 | |
Derivative Liability, Total Gross Amount | 114,859 | 81,979 | |
Derivative Asset, Netting Adjustments And Cash Collateral | [1],[2] | 47,484 | 11,035 |
Derivative Liability, Netting Adjustments And Cash Collateral | [1],[2] | (83,411) | (52,611) |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 64,621 | 24,974 | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 31,448 | 29,368 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [3] | 5,345 | 2,022 |
Derivative Liability, Not Subject to Master Netting Arrangement | [3] | 579 | 1,719 |
Derivative assets | 69,966 | 26,996 | |
Derivative liabilities | 32,027 | 31,087 | |
Uncleared derivatives | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Total Gross Amount | 8,263 | 8,046 | |
Derivative Liability, Total Gross Amount | 71,569 | 70,178 | |
Derivative Asset, Netting Adjustments And Cash Collateral | (7,932) | (7,844) | |
Derivative Liability, Netting Adjustments And Cash Collateral | (40,121) | (40,810) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 331 | 202 | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 31,448 | 29,368 | |
Derivative Asset, Not Subject to Master Netting Arrangement | [3] | 5,345 | 2,022 |
Derivative Liability, Not Subject to Master Netting Arrangement | [3] | 579 | 1,719 |
Derivative assets | 5,676 | 2,224 | |
Derivative liabilities | 32,027 | 31,087 | |
Cleared derivatives | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, Total Gross Amount | 8,874 | 5,893 | |
Derivative Liability, Total Gross Amount | 43,290 | 11,801 | |
Derivative Asset, Netting Adjustments And Cash Collateral | 55,416 | 18,879 | |
Derivative Liability, Netting Adjustments And Cash Collateral | (43,290) | (11,801) | |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 64,290 | 24,772 | |
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 | |
Derivative assets | 64,290 | 24,772 | |
Derivative liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $134,567 and $66,685 at March 31, 2016 and December 31, 2015. Cash collateral received and related accrued interest was (in thousands) $3,671 and $3,039 at March 31, 2016 and December 31, 2015. | ||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||
[3] | Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits Deposits (Details)
Deposits Deposits (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Deposits [Abstract] | |||
Interest bearing, demand and overnight | $ 576,688 | $ 646,902 | |
Interest bearing, term | 86,325 | 151,825 | |
Interest bearing, other | 6,546 | 5,377 | |
Total interest-bearing | 669,559 | 804,104 | |
Non-interest bearing, other | 555 | 238 | |
Total non-interest bearing | 555 | 238 | |
Total deposits | $ 670,114 | $ 804,342 | |
Weighted Average Rate Interest Bearing Deposits | 0.12% | 0.04% |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Discount Notes | $ 53,671,550 | $ 77,199,208 | |
Consolidated Obligations Bonds Total | 43,956,738 | 35,091,722 | |
Discount Notes [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt Instrument, Face Amount | $ 53,691,956 | $ 77,225,334 | |
Short-term Debt, Weighted Average Interest Rate | [1] | 0.34% | 0.24% |
Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Maturities, Repayments of Principal in Twelve Months | $ 16,532,110 | $ 9,808,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 6,051,750 | 5,143,750 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 4,950,000 | 4,814,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 4,505,000 | 4,090,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 4,626,000 | 3,041,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 7,225,000 | 8,139,000 | |
Index amortizing notes | 0 | 943 | |
Debt, Gross | 43,889,860 | 35,036,693 | |
Debt Instrument, Unamortized Premium | 86,036 | 90,189 | |
Debt Instrument, Unamortized Discount | (35,126) | (37,567) | |
Debt Valuation Adjustment for Hedging Activities | 6,837 | 3,817 | |
Fair value option valuation adjustment and accrued interest | 9,131 | (1,410) | |
Consolidated Obligations Bonds Total | $ 43,956,738 | $ 35,091,722 | |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 0.83% | 0.91% | |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.34% | 1.42% | |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 1.67% | 1.64% | |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1.92% | 1.89% | |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.83% | 2.09% | |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.83% | 2.80% | |
Index amortizing notes, Weighted average interest rate | 0.00% | 5.25% | |
Long-term Debt, Weighted Average Interest Rate | 1.54% | 1.74% | |
Non Callable [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | $ 36,191,860 | $ 28,235,693 | |
Callable [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | 7,698,000 | 6,801,000 | |
Earlier of Contractual Maturity or Next Call Date [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Maturities, Repayments of Principal in Twelve Months | 23,540,110 | 16,339,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 5,059,750 | 4,881,750 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 3,521,000 | 3,499,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 3,253,000 | 3,020,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 3,808,000 | 2,383,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 4,708,000 | 4,913,000 | |
Index amortizing notes | 0 | 943 | |
Fixed-rate [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | 34,098,360 | 30,806,693 | |
Variable-rate [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | 9,701,500 | 4,065,000 | |
Step-up [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | $ 90,000 | $ 165,000 | |
[1] | Represents an implied rate without consideration of concessions. |
Affordable Housing Program (A77
Affordable Housing Program (AHP) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Affordable Housing Program [Roll Forward] | ||
AHP Obligation, Beginning Balance | $ 107,352 | |
AHP, Expense (Current Year Additions) | 5,490 | $ 6,842 |
AHP, Subsidy Uses, Net | (6,802) | $ (2,972) |
AHP Obligation, Ending Balance | $ 106,040 |
Capital (Details)
Capital (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Capital [Abstract] | ||
Risk Based Capital Required | $ 635,734 | $ 630,604 |
Risk Based Capital Actual | $ 5,082,697 | $ 5,232,228 |
Regulatory Capital Ratio, Actual | 4.89% | 4.40% |
Regulatory Capital, Required | $ 4,155,535 | $ 4,751,350 |
Regulatory Capital, Actual | $ 5,082,697 | $ 5,232,228 |
Leverage Ratio, Actual | 7.34% | 6.61% |
Leverage Capital, Required | $ 5,194,419 | $ 5,939,187 |
Leverage Capital, Actual | 7,624,046 | 7,848,342 |
Retained Earnings, Appropriated | $ 219,107 | $ 209,438 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | ||
Balance at beginning period | $ 37,895 | |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 228,751 | $ 5,227 |
Repayments of Mandatory Redeemable Capital Securities | (163,795) | $ (6,630) |
Balance at end of period | $ 102,851 |
Capital (Mandatorily Redeemab80
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Capital [Abstract] | |||
Due in 1 year or less | $ 0 | $ 0 | |
Due after 1 year through 2 years | 0 | 0 | |
Due after 2 years through 3 years | 2,303 | 41 | |
Due after 3 years through 4 years | 606 | 2,265 | |
Due after 4 years through 5 years | 1,620 | 2,876 | |
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | [1] | 67,564 | 0 |
Past contractual redemption date due to remaining activity | [2] | 30,758 | 32,713 |
Total par value | $ 102,851 | $ 37,895 | |
[1] | Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 2016, that makes captive insurance companies ineligible for FHLB membership and thereby terminates their membership no later than February 2017. | ||
[2] | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Accumulated Other Comprehensi81
Accumulated Other Comprehensive (Loss) Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Accumulated other comprehensive loss, beginning of period | $ (13,277) | |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 144 | $ (8) |
Total other comprehensive income adjustments | 616 | 609 |
Accumulated other comprehensive loss, end of period | (12,661) | |
Accumulated Net Unrealized Investment Gain (Loss) [Member] | Available-for-sale Securities [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Accumulated other comprehensive loss, beginning of period | 81 | (24) |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 144 | (8) |
Amortization - Pension and postretirement benefits | 0 | 0 |
Total other comprehensive income adjustments | 144 | (8) |
Accumulated other comprehensive loss, end of period | 225 | (32) |
Accumulated Defined Benefit Plans Adjustment [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Accumulated other comprehensive loss, beginning of period | (13,358) | (16,572) |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 0 | 0 |
Amortization - Pension and postretirement benefits | 472 | 617 |
Total other comprehensive income adjustments | 472 | 617 |
Accumulated other comprehensive loss, end of period | (12,886) | (15,955) |
Accumulated Other Comprehensive Income (Loss) [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Accumulated other comprehensive loss, beginning of period | (13,277) | (16,596) |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 144 | (8) |
Amortization - Pension and postretirement benefits | 472 | 617 |
Total other comprehensive income adjustments | 616 | 609 |
Accumulated other comprehensive loss, end of period | $ (12,661) | $ (15,987) |
Pension and Postretirement Be82
Pension and Postretirement Benefit Plans Narrative (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Compensation and Retirement Disclosure [Abstract] | ||
Multiemployer Plan, Period Contributions | $ 1,685,000 | $ 1,500,000 |
Defined Contribution Plan, Cost Recognized | $ 387,000 | $ 374,000 |
Pension and Postretirement Be83
Pension and Postretirement Benefit Plans Net Periodic Benefit Cost (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Supplemental Employee Retirement Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Service Cost | $ 165 | $ 158 |
Defined Benefit Plan, Interest Cost | 312 | 298 |
Defined Benefit Plan, Amortization of Losses | 460 | 601 |
Defined Benefit Plan, Net Periodic Benefit Cost | 937 | 1,057 |
Other Postretirement Benefit Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Service Cost | 12 | 19 |
Defined Benefit Plan, Interest Cost | 55 | 51 |
Defined Benefit Plan, Amortization of Losses | 12 | 16 |
Defined Benefit Plan, Net Periodic Benefit Cost | $ 79 | $ 86 |
Segment Information Financial P
Segment Information Financial Performance (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016USD ($)Segment | Mar. 31, 2015USD ($) | |
Segment Reporting Information [Line Items] | ||
Number of Operating Segments | Segment | 2 | |
Net interest income | $ 79,776 | $ 77,361 |
Non-interest income (loss) | (4,188) | 8,132 |
Non-interest expense | 21,751 | 17,703 |
Income before assessments | 53,837 | 67,790 |
Affordable Housing Program Assessments | 5,490 | 6,842 |
Net income | 48,347 | 60,948 |
Traditional Member Finance [Member] | ||
Segment Reporting Information [Line Items] | ||
Net interest income | 69,181 | 61,129 |
Non-interest income (loss) | (5,165) | 7,862 |
Non-interest expense | 18,971 | 15,215 |
Income before assessments | 45,045 | 53,776 |
Affordable Housing Program Assessments | 4,611 | 5,441 |
Net income | 40,434 | 48,335 |
Mortgage Purchase Program [Member] | ||
Segment Reporting Information [Line Items] | ||
Net interest income | 10,595 | 16,232 |
Non-interest income (loss) | 977 | 270 |
Non-interest expense | 2,780 | 2,488 |
Income before assessments | 8,792 | 14,014 |
Affordable Housing Program Assessments | 879 | 1,401 |
Net income | $ 7,913 | $ 12,613 |
Segment Information Asset Balan
Segment Information Asset Balances (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Segment Reporting Information [Line Items] | ||
Total assets | $ 103,888,370 | $ 118,783,739 |
Traditional Member Finance [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | 95,597,065 | 110,776,396 |
Mortgage Purchase Program [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | $ 8,291,305 | $ 8,007,343 |
Fair Value Disclosures Fair V86
Fair Value Disclosures Fair Value Summary (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |||
Assets | |||||
Cash and Due from Banks | $ 7,507 | $ 10,136 | |||
Trading securities | 1,114 | 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Held-to-maturity Securities | [1] | 15,398,466 | 15,278,206 | ||
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |||
Accrued interest receivable | 104,316 | 94,855 | |||
Derivative assets | 69,966 | 26,996 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2],[3] | 47,484 | 11,035 | ||
Advances, Fair Value Disclosure | [4] | 15,227 | 15,057 | ||
Liabilities | |||||
Mandatorily redeemable capital stock | 102,851 | 37,895 | |||
Accrued Interest Payable, Fair Value Disclosure | 122,021 | 118,823 | |||
Derivative liabilities | 32,027 | 31,087 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2],[3] | (83,411) | (52,611) | ||
Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 5,048,740 | 2,214,590 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Assets | |||||
Cash and Due from Banks | 7,507 | 10,136 | |||
Interest-bearing deposits | 0 | 0 | |||
Securities purchased under resale agreements | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Held-to-maturity Securities, Fair Value | 0 | 0 | |||
Advances | 0 | [5] | 0 | [6] | |
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | 102,851 | 37,895 | |||
Accrued Interest Payable, Fair Value Disclosure | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Loan Origination Commitments [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 0 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 1 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 0 | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Assets | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 185 | 99 | |||
Securities purchased under resale agreements | 4,194,934 | 10,531,979 | |||
Federal funds sold | 6,310,000 | 10,845,000 | |||
Trading securities | 1,114 | 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |||
Advances | 68,716,536 | [5] | 73,089,912 | [6] | |
Mortgage loans held for portfolio, net | 8,486,289 | 8,075,390 | |||
Accrued interest receivable | 104,316 | 94,855 | |||
Derivative assets | 22,482 | 15,961 | |||
Liabilities | |||||
Deposits | 670,074 | 804,140 | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued Interest Payable, Fair Value Disclosure | 122,021 | 118,823 | |||
Derivative liabilities | 115,438 | 83,698 | |||
Fair Value, Inputs, Level 2 [Member] | Loan Origination Commitments [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 8 | ||||
Fair Value, Inputs, Level 2 [Member] | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 897 | 698 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 44,603,426 | [7] | 35,317,688 | [8] | |
Fair Value, Inputs, Level 2 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 53,663,685 | 77,183,854 | |||
Fair Value, Inputs, Level 3 [Member] | |||||
Assets | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 0 | 0 | |||
Securities purchased under resale agreements | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Held-to-maturity Securities, Fair Value | 0 | 0 | |||
Advances | 0 | [5] | 0 | [6] | |
Mortgage loans held for portfolio, net | 30,401 | 30,834 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued Interest Payable, Fair Value Disclosure | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Loan Origination Commitments [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 0 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 3 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 0 | 0 | |||
Carrying Value | |||||
Assets | |||||
Cash and Due from Banks | 7,507 | 10,136 | |||
Interest-bearing deposits | 185 | 99 | |||
Securities purchased under resale agreements | 4,194,934 | 10,531,979 | |||
Federal funds sold | 6,310,000 | 10,845,000 | |||
Trading securities | 1,114 | 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Held-to-maturity Securities | 15,398,466 | 15,278,206 | |||
Advances | 68,719,728 | [5] | 73,292,172 | [6] | |
Mortgage loans held for portfolio, net | 8,262,995 | 7,979,607 | |||
Accrued interest receivable | 104,316 | 94,855 | |||
Derivative assets | 69,966 | 26,996 | |||
Liabilities | |||||
Deposits | 670,114 | 804,342 | |||
Mandatorily redeemable capital stock | 102,851 | 37,895 | |||
Accrued Interest Payable, Fair Value Disclosure | 122,021 | 118,823 | |||
Derivative liabilities | 32,027 | 31,087 | |||
Carrying Value | Loan Origination Commitments [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 0 | ||||
Carrying Value | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 0 | 0 | |||
Carrying Value | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 43,956,738 | [7] | 35,091,722 | [8] | |
Carrying Value | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 53,671,550 | 77,199,208 | |||
Fair Value | |||||
Assets | |||||
Cash and Due from Banks | 7,507 | 10,136 | |||
Interest-bearing deposits | 185 | 99 | |||
Securities purchased under resale agreements | 4,194,934 | 10,531,979 | |||
Federal funds sold | 6,310,000 | 10,845,000 | |||
Trading securities | 1,114 | 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Held-to-maturity Securities, Fair Value | 15,573,477 | 15,229,965 | |||
Advances | 68,716,536 | [5] | 73,089,912 | [6] | |
Mortgage loans held for portfolio, net | 8,516,690 | 8,106,224 | |||
Accrued interest receivable | 104,316 | 94,855 | |||
Derivative assets | 69,966 | 26,996 | |||
Liabilities | |||||
Deposits | 670,074 | 804,140 | |||
Mandatorily redeemable capital stock | 102,851 | 37,895 | |||
Accrued Interest Payable, Fair Value Disclosure | 122,021 | 118,823 | |||
Derivative liabilities | 32,027 | 31,087 | |||
Fair Value | Loan Origination Commitments [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 8 | ||||
Fair Value | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 897 | 698 | |||
Fair Value | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 44,603,426 | [7] | 35,317,688 | [8] | |
Fair Value | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | $ 53,663,685 | $ 77,183,854 | |||
[1] | Fair values: $15,573,477 and $15,229,965 at March 31, 2016 and December 31, 2015, respectively. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $134,567 and $66,685 at March 31, 2016 and December 31, 2015. Cash collateral received and related accrued interest was (in thousands) $3,671 and $3,039 at March 31, 2016 and December 31, 2015. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[4] | At March 31, 2016 and December 31, 2015, none of the Advances were 90 days or more past due or had been placed on non-accrual status. | ||||
[5] | Includes (in thousands) $15,227 of Advances recorded under the fair value option at March 31, 2016. | ||||
[6] | Includes (in thousands) $15,057 of Advances recorded under the fair value option at December 31, 2015. | ||||
[7] | Includes (in thousands) $5,048,740 of Consolidated Obligation Bonds recorded under the fair value option at March 31, 2016. | ||||
[8] | Includes (in thousands) $2,214,590 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2015. |
Fair Value Disclosures Fair V87
Fair Value Disclosures Fair Value Measured on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | $ 1,114 | $ 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Advances, Fair Value Disclosure | [1] | 15,227 | 15,057 | ||
Derivative assets | 69,966 | 26,996 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2],[3] | 47,484 | 11,035 | ||
Derivative liabilities | 32,027 | 31,087 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2],[3] | (83,411) | (52,611) | ||
Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 5,048,740 | 2,214,590 | |||
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,114 | 1,159 | |||
Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 800,225 | 700,081 | |||
Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 15,227 | 15,057 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [4] | 47,484 | 11,035 | ||
Derivative Liability, Netting Adjustments And Cash Collateral | [4] | (83,411) | (52,611) | ||
Fair Value, Measurements, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 5,048,740 | 2,214,590 | |||
Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | [4] | 47,484 | 11,035 | ||
Derivative Liability, Netting Adjustments And Cash Collateral | [4] | (83,411) | (52,611) | ||
Fair Value, Inputs, Level 1 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | [5] | 0 | [6] | |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Total assests at fair value | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Total liabilities at fair value | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Mortgages [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Nonrecurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | 0 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 2 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,114 | 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Derivative assets | 22,482 | 15,961 | |||
Derivative liabilities | 115,438 | 83,698 | |||
Mortgage loans held for portfolio, net | 8,486,289 | 8,075,390 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 44,603,426 | [5] | 35,317,688 | [6] | |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 15,227 | 15,057 | |||
Derivative assets | 22,482 | 15,961 | |||
Total assests at fair value | 839,048 | 732,258 | |||
Derivative liabilities | 115,438 | 83,698 | |||
Total liabilities at fair value | 5,164,178 | 2,298,288 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 5,048,740 | 2,214,590 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 17,137 | 13,939 | |||
Derivative liabilities | 114,859 | 81,979 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Mortgages [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 4,277 | 342 | |||
Derivative liabilities | 3 | 1,650 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 1,068 | 1,680 | |||
Derivative liabilities | 576 | 69 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,114 | 1,159 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 800,225 | 700,081 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Nonrecurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | 0 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 3 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Mortgage loans held for portfolio, net | 30,401 | 30,834 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | [5] | 0 | [6] | |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Total assests at fair value | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Total liabilities at fair value | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Mortgages [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Nonrecurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | 1,065 | [7] | 6,270 | [8] | |
Fair Value | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,114 | 1,159 | |||
Available-for-sale securities | 800,225 | 700,081 | |||
Derivative assets | 69,966 | 26,996 | |||
Derivative liabilities | 32,027 | 31,087 | |||
Mortgage loans held for portfolio, net | 8,516,690 | 8,106,224 | |||
Fair Value | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 44,603,426 | [5] | 35,317,688 | [6] | |
Fair Value | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 69,966 | 26,996 | |||
Total assests at fair value | 886,532 | 743,293 | |||
Derivative liabilities | 32,027 | 31,087 | |||
Total liabilities at fair value | 5,080,767 | 2,245,677 | |||
Fair Value | Fair Value, Measurements, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 64,621 | 24,974 | |||
Derivative liabilities | 31,448 | 29,368 | |||
Fair Value | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Mortgages [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 4,277 | 342 | |||
Derivative liabilities | 3 | 1,650 | |||
Fair Value | Fair Value, Measurements, Recurring [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 1,068 | 1,680 | |||
Derivative liabilities | 576 | 69 | |||
Fair Value | Fair Value, Measurements, Recurring [Member] | Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,114 | 1,159 | |||
Fair Value | Fair Value, Measurements, Recurring [Member] | Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 800,225 | 700,081 | |||
Fair Value | Fair Value, Measurements, Nonrecurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | $ 1,065 | [7] | $ 6,270 | [8] | |
[1] | At March 31, 2016 and December 31, 2015, none of the Advances were 90 days or more past due or had been placed on non-accrual status. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $134,567 and $66,685 at March 31, 2016 and December 31, 2015. Cash collateral received and related accrued interest was (in thousands) $3,671 and $3,039 at March 31, 2016 and December 31, 2015. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[5] | Includes (in thousands) $5,048,740 of Consolidated Obligation Bonds recorded under the fair value option at March 31, 2016. | ||||
[6] | Includes (in thousands) $2,214,590 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2015. | ||||
[7] | The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2016. | ||||
[8] | The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2015. |
Fair Value Disclosures Fair V88
Fair Value Disclosures Fair Value Impact on Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest Income | $ 293,323 | $ 225,309 |
Interest Expense | (213,547) | (147,948) |
Net gains (losses) on instruments held under the fair value option | (13,657) | (1,169) |
Advances [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest Income | 63 | 63 |
Net gains (losses) on instruments held under the fair value option | 171 | 140 |
Fair Value Option, Total Change in Fair Value Included in Earnings | 234 | 203 |
Consolidated Obligation Bonds [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Interest Expense | (5,758) | (3,693) |
Net gains (losses) on instruments held under the fair value option | (13,828) | (1,309) |
Fair Value Option, Total Change in Fair Value Included in Earnings | $ (19,586) | $ (5,002) |
Fair Value Disclosures Fair V89
Fair Value Disclosures Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value Option, Principal Balance, Assets | [1] | $ 15,000 | $ 15,000 |
Advances, Fair Value Disclosure | [1] | 15,227 | 15,057 |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | [1] | 227 | 57 |
Consolidated Obligation Bonds [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Aggregate Unpaid Principal Balance | 5,039,609 | 2,216,000 | |
Aggregate Fair Value | 5,048,740 | 2,214,590 | |
Fair value option valuation adjustment and accrued interest | $ 9,131 | $ (1,410) | |
[1] | At March 31, 2016 and December 31, 2015, none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
Commitments and Contingencies90
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | $ 16,554,705 | $ 19,417,093 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 201,945 | 137,995 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 16,756,650 | 19,555,088 | |
Financial Standby Letter of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 54,455 | 85,865 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 61,085 | 36,510 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 115,540 | 122,375 | |
Loan Origination Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 56,000 | 0 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 0 | 0 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 56,000 | 0 | |
Forward Contracts [Member] | Mortgages [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 439,620 | 449,856 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 0 | 0 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 439,620 | 449,856 | |
Consolidated Obligation Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1],[2] | 510,000 | 60,000 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [1],[2] | 0 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [1],[2] | 510,000 | 60,000 |
Consolidated Obligation Bonds [Member] | Interest Rate Swap [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 150,000 | 0 | |
Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 198,122 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [1] | 0 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [1] | $ 198,122 | $ 0 |
[1] | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. | ||
[2] | Of the total unsettled Consolidated Bonds, $150,000 and $0 (in thousands) were hedged with associated interest rate swaps at March 31, 2016 and December 31, 2015, respectively. |
Commitments and Contingencies L
Commitments and Contingencies Legal Proceedings (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2008 | May. 01, 2010 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Estimated Unjust Gain to the Bank on Lehman Swaps Automatically Terminated and Related to Lehmans 2008 Bankruptcy | $ 43 | |
Loss Contingency, Damages Sought Through Derivative Alternative Dispute Resolution Notice From Lehman Bankruptcy Estate, Value | $ 65.8 | |
Percent Over LIBOR That Settlement Demand Sought by Lehman Bankruptcy Estate is Accruing Interest | 14.50% |
Transactions with Other FHLBa92
Transactions with Other FHLBanks (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Transactions with Other FHLBanks [Abstract] | ||
Proceeds from Bonds Transferred from Other Federal Home Loan Banks | $ 0 | $ 0 |
Payments for Bonds Transferred to Other Federal Home Loan Banks | $ 0 | $ 0 |
Transactions with Stockholder93
Transactions with Stockholders (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Other Transactions [Line Items] | |||
Advances | $ 68,627,320 | $ 73,242,269 | |
Loans And Leases Receivable, Unpaid Principal Balance | 8,038,299 | 7,757,684 | |
Director [Member] | |||
Schedule of Other Transactions [Line Items] | |||
Advances | $ 3,378,000 | $ 3,867,000 | |
Federal Home Loan Bank Advances, Percent of Principal | [1] | 4.90% | 5.30% |
Loans And Leases Receivable, Unpaid Principal Balance | $ 222,000 | $ 186,000 | |
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance, Percent of Total | [1] | 2.80% | 2.40% |
Regulatory Capital Stock, Value | $ 151,000 | $ 236,000 | |
Regulatory Capital Stock, Percent of Total | [1] | 3.50% | 5.30% |
[1] | Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Transactions with Stockholder94
Transactions with Stockholders (Concentrations) (Details) $ in Thousands | Mar. 31, 2016USD ($)Banks | Dec. 31, 2015USD ($) |
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 68,627,320 | $ 73,242,269 |
JPMorgan Chase Bank National Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 1,439,000 | $ 1,533,000 |
Concentration Risk, Percentage | 33.00% | 34.00% |
JPMorgan Chase Bank National Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 33,300,000 | $ 35,350,000 |
JPMorgan Chase Bank National Association [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 0 | 0 |
U.S. Bank, N.A. [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 475,000 | $ 475,000 |
Concentration Risk, Percentage | 11.00% | 11.00% |
U.S. Bank, N.A. [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 10,743,000 | $ 10,086,000 |
U.S. Bank, N.A. [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 31,000 | 33,000 |
Fifth Third Bank [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 248,000 | $ 248,000 |
Concentration Risk, Percentage | 6.00% | 6.00% |
Fifth Third Bank [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 2,019,000 | $ 20,000 |
Fifth Third Bank [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | $ 2,000 | $ 3,000 |
Kentucky Housing Corporation, Ohio Housing Finance Agency, Tennessee Housing Development Agency [Member] | ||
Concentration Risk [Line Items] | ||
Number of Relationships With Non Member Affiliates | Banks | 3 |