Document and Entity Information
Document and Entity Information Document - shares | 9 Months Ended | |
Sep. 30, 2017 | Oct. 31, 2017 | |
Document and Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
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 | 42,631,596 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
ASSETS | |||
Cash and due from banks | $ 8,383 | $ 8,737 | |
Interest-bearing deposits | 154 | 129 | |
Securities purchased under agreements to resell | 1,804,271 | 5,229,487 | |
Federal funds sold | 10,410,000 | 4,257,000 | |
Investment securities: | |||
Trading securities | 835 | 970 | |
Available-for-sale securities | 550,017 | 1,300,023 | |
Held-to-maturity securities (includes $0 and $0 pledged as collateral at September 30, 2017 and December 31, 2016, respectively, that may be repledged) | [1] | 14,809,839 | 14,546,979 |
Total investment securities | 15,360,691 | 15,847,972 | |
Advances (includes $15,052 and $15,093 at fair value under fair value option at September 30, 2017 and December 31, 2016, respectively) | 67,943,456 | 69,882,074 | |
Mortgage loans held for portfolio: | |||
Mortgage loans held for portfolio | 9,504,556 | 9,149,860 | |
Less: allowance for credit losses on mortgage loans | 1,300 | 1,142 | |
Mortgage loans held for portfolio, net | 9,503,256 | 9,148,718 | |
Accrued interest receivable | 126,411 | 109,886 | |
Premises, software, and equipment, net | 8,461 | 9,187 | |
Derivative assets | 79,510 | 104,753 | |
Other assets | 5,922 | 37,338 | |
TOTAL ASSETS | 105,250,515 | 104,635,281 | |
LIABILITIES | |||
Deposits | 617,674 | 765,879 | |
Consolidated Obligations: | |||
Discount Notes | 49,539,728 | 44,689,662 | |
Bonds (includes $5,810,798 and $7,895,510 at fair value under fair value option at September 30, 2017 and December 31, 2016, respectively) | 49,298,385 | 53,190,866 | |
Total Consolidated Obligations | 98,838,113 | 97,880,528 | |
Mandatorily redeemable capital stock | 31,414 | 34,782 | |
Accrued interest payable | 137,272 | 119,322 | |
Affordable Housing Program payable | 106,600 | 104,883 | |
Derivative liabilities | 3,669 | 17,874 | |
Other Liabilities | 383,625 | 733,918 | |
Total liabilities | 100,118,367 | 99,657,186 | |
Commitments and contingencies | |||
CAPITAL | |||
Capital stock Class B putable ($100 par value); issued and outstanding shares: 42,296 shares at September 30, 2017 and 41,569 shares at December 31, 2016 | 4,229,550 | 4,156,944 | |
Retained earnings: | |||
Unrestricted | 608,393 | 574,122 | |
Restricted | 306,187 | 260,285 | |
Total retained earnings | 914,580 | 834,407 | |
Accumulated other comprehensive loss | (11,982) | (13,256) | |
Total capital | 5,132,148 | 4,978,095 | |
TOTAL LIABILITIES AND CAPITAL | $ 105,250,515 | $ 104,635,281 | |
[1] | Fair values: $14,757,413 and $14,413,231 at September 30, 2017 and December 31, 2016, respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |||
Held-to-maturity Securities Pledged as Collateral | $ 0 | $ 0 | |||
Advances, Fair Value Disclosure | [1] | $ 15,052 | $ 15,093 | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | |||
Common Stock, Shares, Issued | 42,296 | 41,569 | |||
Common Stock, Shares, Outstanding | 42,296 | 41,569 | |||
Held-to-maturity Securities, Fair Value | $ 14,757,413 | $ 14,413,231 | |||
Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | 5,810,798 | 7,895,510 | |||
Fair Value | |||||
Held-to-maturity Securities, Fair Value | 14,757,413 | 14,413,231 | |||
Fair Value | Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | $ 49,435,599 | [2] | $ 53,278,571 | [3] | |
[1] | At September 30, 2017 and December 31, 2016, none of the Advances were 90 days or more past due or had been placed on non-accrual status. | ||||
[2] | Includes (in thousands) $5,810,798 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2017. | ||||
[3] | Includes (in thousands) $7,895,510 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2016. |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
INTEREST INCOME: | ||||
Advances | $ 251,094 | $ 146,600 | $ 647,538 | $ 418,608 |
Prepayment fees on Advances, net | 761 | 5,136 | 1,206 | 9,211 |
Interest-bearing deposits | 66 | 82 | 107 | 238 |
Securities purchased under agreements to resell | 6,005 | 2,388 | 17,364 | 6,145 |
Federal funds sold | 24,402 | 8,189 | 46,167 | 27,049 |
Investment securities: | ||||
Trading securities | 4 | 4 | 14 | 15 |
Available-for-sale securities | 1,754 | 1,708 | 4,503 | 3,997 |
Held-to-maturity securities | 78,526 | 80,173 | 227,430 | 247,387 |
Total investment securities | 80,284 | 81,885 | 231,947 | 251,399 |
Mortgage loans held for portfolio | 74,716 | 64,254 | 221,432 | 196,146 |
Total interest income | 437,328 | 308,534 | 1,165,761 | 908,796 |
Consolidated Obligations: | ||||
Discount Notes | 124,116 | 37,773 | 260,452 | 137,072 |
Bonds | 200,519 | 176,190 | 580,705 | 503,026 |
Total Consolidated Obligations | 324,635 | 213,963 | 841,157 | 640,098 |
Deposits | 1,339 | 301 | 3,124 | 881 |
Loans from other FHLBanks | 0 | 0 | 6 | 0 |
Mandatorily redeemable capital stock | 956 | 877 | 2,035 | 2,969 |
Total interest expense | 326,930 | 215,141 | 846,322 | 643,948 |
NET INTEREST INCOME | 110,398 | 93,393 | 319,439 | 264,848 |
Provision for credit losses | 500 | 0 | 500 | 0 |
NET INTEREST INCOME AFTER PROVISION FOR CREDIT LOSSES | 109,898 | 93,393 | 318,939 | 264,848 |
NON-INTEREST (LOSS) INCOME: | ||||
Net losses on trading securities | (1) | (3) | (5) | (2) |
Net gain (losses) on financial instruments held under fair value option | 87 | 9,734 | (12,371) | (23,213) |
Net (losses) gains on derivatives and hedging activities | (6,685) | (17,627) | (1,541) | 10,403 |
Standby Letters of Credit fees | 2,815 | 3,039 | 8,494 | 9,269 |
Other, net | 574 | 670 | 1,556 | 1,783 |
Total non-interest (loss) income | (3,210) | (4,187) | (3,867) | (1,760) |
NON-INTEREST EXPENSE: | ||||
Compensation and benefits | 12,105 | 10,722 | 34,349 | 31,500 |
Other operating expenses | 4,821 | 6,053 | 14,395 | 17,905 |
Finance Agency | 1,640 | 1,535 | 4,921 | 4,604 |
Office of Finance | 1,037 | 1,062 | 3,157 | 3,280 |
Other | 627 | 2,100 | 3,014 | 6,830 |
Total non-interest expense | 20,230 | 21,472 | 59,836 | 64,119 |
INCOME BEFORE ASSESSMENTS | 86,458 | 67,734 | 255,236 | 198,969 |
Affordable Housing Program assessments | 8,741 | 6,861 | 25,727 | 20,194 |
NET INCOME | $ 77,717 | $ 60,873 | $ 229,509 | $ 178,775 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Net income | $ 77,717 | $ 60,873 | $ 229,509 | $ 178,775 |
Other comprehensive income adjustments: | ||||
Net unrealized gains (losses) on available-for-sale securities | 13 | 161 | (6) | 147 |
Pension and postretirement benefits | 427 | 591 | 1,280 | 1,772 |
Total other comprehensive income adjustments | 440 | 752 | 1,274 | 1,919 |
Comprehensive income | $ 78,157 | $ 61,625 | $ 230,783 | $ 180,694 |
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, 2015 | 44,288 | |||||
Beginning balance at Dec. 31, 2015 | $ 5,153,125 | $ 4,428,756 | $ 530,998 | $ 206,648 | $ 737,646 | $ (13,277) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income | 180,694 | 143,020 | 35,755 | 178,775 | 1,919 | |
Proceeds from sale of capital stock, shares | 548 | |||||
Proceeds from sale of capital stock, par value | 54,844 | $ 54,844 | ||||
Net shares reclassified to mandatorily redeemable capital stock, shares | (3,605) | |||||
Net shares reclassified to mandatorily redeemable capital stock, par value | (360,516) | $ (360,516) | ||||
Cash dividends on capital stock | (128,974) | (128,974) | (128,974) | |||
Shares, Issued ending balance at Sep. 30, 2016 | 41,231 | |||||
Ending balance at Sep. 30, 2016 | 4,899,173 | $ 4,123,084 | 545,044 | 242,403 | 787,447 | (11,358) |
Shares, Issued beginning balance at Dec. 31, 2016 | 41,569 | |||||
Beginning balance at Dec. 31, 2016 | 4,978,095 | $ 4,156,944 | 574,122 | 260,285 | 834,407 | (13,256) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income | 230,783 | 183,607 | 45,902 | 229,509 | 1,274 | |
Proceeds from sale of capital stock, shares | 3,421 | |||||
Proceeds from sale of capital stock, par value | 342,009 | $ 342,009 | ||||
Net shares reclassified to mandatorily redeemable capital stock, shares | (2,694) | |||||
Net shares reclassified to mandatorily redeemable capital stock, par value | (269,403) | $ (269,403) | ||||
Cash dividends on capital stock | (149,336) | (149,336) | (149,336) | |||
Shares, Issued ending balance at Sep. 30, 2017 | 42,296 | |||||
Ending balance at Sep. 30, 2017 | $ 5,132,148 | $ 4,229,550 | $ 608,393 | $ 306,187 | $ 914,580 | $ (11,982) |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
OPERATING ACTIVITIES: | ||
Net income | $ 229,509 | $ 178,775 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Depreciation and amortization | 52,482 | 35,038 |
Net change in derivative and hedging activities | 3,071 | (21,517) |
Net change in fair value adjustments on trading securities | 5 | 2 |
Net change in fair value adjustments on financial instruments held under fair value option | 12,371 | 23,213 |
Other adjustments | 492 | 0 |
Net change in: | ||
Accrued interest receivable | (16,542) | (13,774) |
Other assets | 31,416 | 6,786 |
Accrued interest payable | 13,885 | 17,614 |
Other liabilities | 9,034 | 14,532 |
Total adjustments | 106,214 | 61,894 |
Net cash provided by operating activities | 335,723 | 240,669 |
Net change in: | ||
Interest-bearing deposits | 32,613 | (85,378) |
Securities purchased under agreements to resell | 3,425,216 | 8,243,008 |
Federal funds sold | (6,153,000) | 5,350,000 |
Premises, software, and equipment | (1,474) | (1,375) |
Trading securities: | ||
Proceeds from maturities of long-term | 130 | 129 |
Available-for-sale securities: | ||
Net decrease in short-term | 750,000 | 0 |
Held-to-maturity securities: | ||
Net (increase) decrease in short-term | (2,659) | 1,439 |
Proceeds from maturities of long-term | 1,689,076 | 2,116,533 |
Purchases of long-term | (2,308,841) | (1,985,981) |
Advances: | ||
Proceeds | 1,723,659,537 | 958,525,955 |
Made | (1,721,727,743) | (954,096,510) |
Mortgage loans held for portfolio: | ||
Principal collected | 910,123 | 1,148,622 |
Purchases | (1,294,430) | (2,021,080) |
Net cash (used in) provided by investing activities | (1,021,452) | 17,195,362 |
FINANCING ACTIVITIES: | ||
Net change in deposits and pass-through reserves | (159,879) | (38,879) |
Net payments on derivative contracts with financing elements | (3,700) | (14,343) |
Net proceeds from issuance of Consolidated Obligations: | ||
Discount Notes | 376,963,718 | 242,299,316 |
Bonds | 16,837,655 | 44,356,127 |
Payments for maturing and retiring Consolidated Obligations: | ||
Discount Notes | (372,154,571) | (281,005,147) |
Bonds | (20,717,750) | (22,726,053) |
Proceeds from issuance of capital stock | 342,009 | 54,844 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (272,771) | (229,119) |
Cash dividends paid | (149,336) | (128,974) |
Net cash provided by (used in) financing activities | 685,375 | (17,432,228) |
Net (decrease) increase in cash and cash equivalents | (354) | 3,803 |
Cash and cash equivalents at beginning of the period | 8,737 | 10,136 |
Cash and cash equivalents at end of the period | 8,383 | 13,939 |
Supplemental Disclosures: | ||
Interest paid | 810,434 | 645,493 |
Affordable Housing Program payments, net | $ 24,010 | $ 27,638 |
Background Information
Background Information | 9 Months Ended |
Sep. 30, 2017 | |
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 (Notes) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2016 filed with the Securities and Exchange Commission (SEC). Results for the nine months ended September 30, 2017 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 2016 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. Change in Accounting Principle. Effective October 1, 2016, the FHLB changed its method of accounting for the amortization and accretion of premiums and discounts and hedging basis adjustments on mortgage loans held for portfolio to the contractual interest method (contractual method). Historically, the FHLB deferred and amortized premiums and accreted discounts into interest income using the retrospective interest method (retrospective method), which used both actual prepayment experience and estimates of future principal repayments in calculating the estimated lives of the loans. While both the retrospective and contractual methods are acceptable under GAAP, the contractual method has become preferable for recognizing net unamortized premiums on mortgage loans held for portfolio because (i) it reduces the FHLB's reliance on subjective assumptions and estimates that affected the reported amounts of assets, capital and income in the financial statements and (ii) it represents the base accounting model articulated in GAAP applicable to accounting for the amortization of premiums and the accretion of discounts, whereas the retrospective method is only permitted by the guidance in narrowly defined circumstances. The change to the contractual method for amortizing premiums and accreting discounts and hedging basis adjustments on mortgage loans has been reported through retroactive application of the change in accounting principle to all periods presented. For the three and nine months ended September 30, 2016 , the effect of this change was an increase to net income (in thousands) of $3,486 and $16,665 , respectively. The following tables illustrate the effect of the change in amortization and accretion method on the FHLB's financial statements as of and for the three and nine months ended September 30, 2016 . As of and for the Three Months Ended September 30, 2016 (In thousands) Previous Method New Method Effect of Change Statements of Income: Interest income - mortgage loans held for portfolio $ 60,381 $ 64,254 $ 3,873 Net interest income 89,520 93,393 3,873 Income before assessments 63,861 67,734 3,873 Affordable Housing Program assessments 6,474 6,861 387 Net income 57,387 60,873 3,486 Statements of Comprehensive Income: Net income $ 57,387 $ 60,873 $ 3,486 Comprehensive income 58,139 61,625 3,486 As of and for the Nine Months Ended September 30, 2016 (In thousands) Previous Method New Method Effect of Change Statements of Condition: Mortgage loans held for portfolio, net $ 8,820,321 $ 8,810,907 $ (9,414 ) Total assets 101,556,057 101,546,643 (9,414 ) Affordable Housing Program payable 98,056 99,908 1,852 Total liabilities 96,645,618 96,647,470 1,852 Retained earnings: Unrestricted 556,853 545,044 (11,809 ) Restricted 241,860 242,403 543 Total retained earnings 798,713 787,447 (11,266 ) Total capital 4,910,439 4,899,173 (11,266 ) Total liabilities and capital 101,556,057 101,546,643 (9,414 ) Statements of Income: Interest income - mortgage loans held for portfolio $ 177,629 $ 196,146 $ 18,517 Net interest income 246,331 264,848 18,517 Income before assessments 180,452 198,969 18,517 Affordable Housing Program assessments 18,342 20,194 1,852 Net income 162,110 178,775 16,665 Statements of Comprehensive Income: Net income $ 162,110 $ 178,775 $ 16,665 Comprehensive income 164,029 180,694 16,665 Statements of Capital: Total retained earnings, as of December 31, 2015 $ 765,577 $ 737,646 $ (27,931 ) Total comprehensive income 164,029 180,694 16,665 Total retained earnings, as of September 30, 2016 798,713 787,447 (11,266 ) Total capital 4,910,439 4,899,173 (11,266 ) Statements of Cash Flows: Operating activities: Net income $ 162,110 $ 178,775 $ 16,665 Adjustments to reconcile net income to net cash provided by operating activities: Depreciation and amortization 53,555 35,038 (18,517 ) Changes in: Other liabilities 12,680 14,532 1,852 Total adjustments 78,559 61,894 (16,665 ) Net cash provided by operating activities 240,669 240,669 — |
Recently Issued Accounting Stan
Recently Issued Accounting Standards and Interpretations | 9 Months Ended |
Sep. 30, 2017 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued Accounting Standards and Interpretations [Text Block] | Recently Issued Accounting Standards and Interpretations Targeted Improvements to Accounting for Hedging Activities. On August 28, 2017, the Financial Accounting Standards Board (FASB) issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. For cash flow hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness must be recorded in other comprehensive income. In addition, the amendments include certain targeted improvements to the assessment of hedge effectiveness. This guidance becomes effective for the FHLB for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. The amended presentation and disclosure guidance is required only prospectively. The 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. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance is effective for the FHLB for interim and annual periods beginning on January 1, 2019, and early adoption is permitted. This guidance should be applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The FHLB does not intend to adopt this guidance early. The FHLB is in the process of evaluating this guidance, but its effect on the FHLB’s financial condition, results of operations, and cash flows is not expected to be material. Improving the Presentation of Net Periodic Pension and Postretirement Benefit Cost. On March 10, 2017, the FASB issued amended guidance that requires an employer to disaggregate the service cost component from the other components of net periodic pension and postretirement benefit costs (net benefit costs). The amendments also provide explicit guidance on how to present the service cost component and the other components of net benefit costs in the income statement and allow only the service cost component of net benefit cost to be eligible for capitalization. This guidance is effective for the FHLB for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied retrospectively for the presentation of the service cost component and the other components of net benefit costs in the income statement. For the capitalization of the service cost component of net benefit costs, this guidance should be applied prospectively on and after the effective date. The adoption of this guidance is not expected to have a material impact on the FHLB's financial condition, results of operations, and cash flows. Classification of Certain Cash Receipts and Cash Payments. On August 26, 2016, the FASB issued amendments to clarify guidance on the classification of certain cash receipts and payments in the Statement of Cash Flows. This guidance is intended to reduce existing diversity in practice in how certain cash receipts and cash payments are presented and classified on the Statement of Cash Flows. This guidance is effective for the FHLB for interim and annual periods beginning on January 1, 2018, and early adoption is permitted. This guidance should be applied using a retrospective transition method to each period presented. The FHLB does not intend to adopt the new guidance early. At this time, the FHLB does not expect the new guidance to have any impact on the FHLB’s cash flows. Measurement of Credit Losses on Financial Instruments. On June 16, 2016, the FASB issued amended guidance for the accounting of credit losses on financial instruments. The amendments require entities to immediately record the full amount of expected credit losses in their loan portfolios. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. The guidance also requires, among other things, credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses and expanded disclosure requirements. The guidance is effective for the FHLB for interim and annual periods beginning on January 1, 2020. Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the effective date. The FHLB does not intend to adopt the new guidance early. While the FHLB is still in the process of evaluating this guidance, the FHLB expects the guidance will result in an increase in the allowance for credit losses given the requirement to estimate losses for the entire estimated life of the financial asset. The extent of the impact on the FHLB’s financial condition, results of operations, and cash flows will depend upon the composition of the FHLB’s financial assets at the adoption date and the economic conditions and forecasts at that time. Contingent Put and Call Options in Debt Instruments. On March 14, 2016, the 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 became effective for the FHLB for the interim and annual periods beginning on January 1, 2017. 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 months 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 on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The FHLB does not intend to adopt the new guidance early. Upon adoption, the FHLB expects to report higher assets and liabilities as a result of including right-of-use assets and lease liabilities on its Statement of Condition. While the FHLB is still in the process of evaluating this guidance, the FHLB does not expect the new guidance to have a material impact on its financial condition, results of operations, and cash flows. 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 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 Statement of Condition 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 Statement of Condition. The guidance becomes effective for the FHLB for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the Statement of Condition as of the beginning of the period of adoption. The FHLB does not intend to adopt the new guidance early. While this guidance will affect the FHLB's disclosures, the FHLB does not expect the requirement to present the instrument-specific credit risk in other comprehensive income to have any effect on the FHLB's financial condition, results of operations, and cash flows. |
Trading Securities
Trading Securities | 9 Months Ended |
Sep. 30, 2017 | |
Trading Securities [Abstract] | |
Trading Securities [Text Block] | Trading Securities Table 3.1 - Trading Securities by Major Security Types (in thousands) Fair Value September 30, 2017 December 31, 2016 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 835 $ 970 Total $ 835 $ 970 Table 3.2 - Net Losses on Trading Securities (in thousands) Nine Months Ended September 30, 2017 2016 Net losses on trading securities held at period end $ (5 ) $ (2 ) Net losses on trading securities $ (5 ) $ (2 ) |
Available-for-Sale Securities
Available-for-Sale Securities | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 550,000 $ 17 $ — $ 550,017 Total $ 550,000 $ 17 $ — $ 550,017 December 31, 2016 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 1,300,000 $ 38 $ (15 ) $ 1,300,023 Total $ 1,300,000 $ 38 $ (15 ) $ 1,300,023 All securities outstanding with gross unrealized losses at December 31, 2016 were in a continuous unrealized loss position for less than 12 months. Table 4.2 - Available-for-Sale Securities by Contractual Maturity (in thousands) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 550,000 $ 550,017 $ 1,300,000 $ 1,300,023 Table 4.3 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) September 30, 2017 December 31, 2016 Amortized cost of available-for-sale securities: Fixed-rate $ 550,000 $ 1,300,000 Realized Gains and Losses. The FHLB had no sales of securities out of its available-for-sale portfolio for the nine months ended September 30, 2017 or 2016 . |
Held-to-Maturity Securities
Held-to-Maturity Securities | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: U.S. Treasury obligations $ 33,938 $ 1 $ — $ 33,939 Total non-mortgage-backed securities 33,938 1 — 33,939 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 2,720,628 5,538 (11,312 ) 2,714,854 Government-sponsored enterprises (GSE) single-family mortgage-backed securities 7,058,885 44,276 (93,744 ) 7,009,417 GSE multi-family mortgage-backed securities 4,996,388 4,111 (1,296 ) 4,999,203 Total mortgage-backed securities 14,775,901 53,925 (106,352 ) 14,723,474 Total $ 14,809,839 $ 53,926 $ (106,352 ) $ 14,757,413 December 31, 2016 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: GSE $ 31,279 $ 1 $ — $ 31,280 Total non-mortgage-backed securities 31,279 1 — 31,280 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 3,183,219 3,653 (23,151 ) 3,163,721 GSE single-family mortgage-backed securities 8,186,733 36,161 (147,494 ) 8,075,400 GSE multi-family mortgage-backed securities 3,145,748 988 (3,906 ) 3,142,830 Total mortgage-backed securities 14,515,700 40,802 (174,551 ) 14,381,951 Total $ 14,546,979 $ 40,803 $ (174,551 ) $ 14,413,231 (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) September 30, 2017 December 31, 2016 Premiums $ 51,801 $ 60,519 Discounts (25,469 ) (31,474 ) Net purchased premiums $ 26,332 $ 29,045 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) September 30, 2017 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 $ 1,453,423 $ (11,312 ) $ — $ — $ 1,453,423 $ (11,312 ) GSE single-family mortgage-backed securities 2,689,985 (31,828 ) 2,034,942 (61,916 ) 4,724,927 (93,744 ) GSE multi-family mortgage-backed securities 1,823,696 (1,043 ) 135,816 (253 ) 1,959,512 (1,296 ) Total $ 5,967,104 $ (44,183 ) $ 2,170,758 $ (62,169 ) $ 8,137,862 $ (106,352 ) December 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 $ 2,151,584 $ (23,151 ) $ — $ — $ 2,151,584 $ (23,151 ) GSE single-family mortgage-backed securities 4,548,897 (90,119 ) 1,193,241 (57,375 ) 5,742,138 (147,494 ) GSE multi-family mortgage-backed securities 1,897,043 (3,906 ) — — 1,897,043 (3,906 ) Total $ 8,597,524 $ (117,176 ) $ 1,193,241 $ (57,375 ) $ 9,790,765 $ (174,551 ) Table 5.4 - Held-to-Maturity Securities by Contractual Maturity (in thousands) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost (1) Fair Value Amortized Cost (1) Fair Value Non-mortgage-backed securities: Due in 1 year or less $ 33,938 $ 33,939 $ 31,279 $ 31,280 Due after 1 year through 5 years — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — Total non-mortgage-backed securities 33,938 33,939 31,279 31,280 Mortgage-backed securities (2) 14,775,901 14,723,474 14,515,700 14,381,951 Total $ 14,809,839 $ 14,757,413 $ 14,546,979 $ 14,413,231 (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) September 30, 2017 December 31, 2016 Amortized cost of non-mortgage-backed securities: Fixed-rate $ 33,938 $ 31,279 Total amortized cost of non-mortgage-backed securities 33,938 31,279 Amortized cost of mortgage-backed securities: Fixed-rate 8,414,225 9,706,072 Variable-rate 6,361,676 4,809,628 Total amortized cost of mortgage-backed securities 14,775,901 14,515,700 Total $ 14,809,839 $ 14,546,979 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 nine months ended September 30, 2017 and 2016 , the FHLB did not sell any held-to-maturity securities. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment Analysis | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 , 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 September 30, 2017 . The FHLB did not consider any of its investments to be other-than-temporarily impaired at December 31, 2016 . |
Advances
Advances | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 December 31, 2016 Redemption Term Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 35,855,761 1.35 % $ 23,129,060 0.85 % Due after 1 year through 2 years 14,742,828 1.52 21,503,138 1.06 Due after 2 years through 3 years 9,489,896 1.60 14,292,353 1.12 Due after 3 years through 4 years 2,542,579 1.92 5,322,050 1.26 Due after 4 years through 5 years 836,921 2.04 963,105 1.78 Thereafter 4,507,257 2.06 4,697,315 1.75 Total par value 67,975,242 1.50 69,907,021 1.07 Commitment fees (516 ) (534 ) Discount on Affordable Housing Program (AHP) Advances (6,182 ) (7,435 ) Premiums 1,858 2,061 Discounts (4,590 ) (5,994 ) Hedging adjustments (22,408 ) (13,138 ) Fair value option valuation adjustments and accrued interest 52 93 Total $ 67,943,456 $ 69,882,074 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 to members. 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 September 30, 2017 December 31, 2016 Due in 1 year or less $ 42,309,016 $ 33,831,156 Due after 1 year through 2 years 13,945,871 15,901,805 Due after 2 years through 3 years 6,891,163 13,608,214 Due after 3 years through 4 years 2,946,784 2,982,425 Due after 4 years through 5 years 552,151 2,243,105 Thereafter 1,330,257 1,340,316 Total par value $ 67,975,242 $ 69,907,021 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. 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 September 30, 2017 December 31, 2016 Due in 1 year or less $ 36,071,261 $ 23,499,560 Due after 1 year through 2 years 14,637,328 21,248,138 Due after 2 years through 3 years 9,489,896 14,286,853 Due after 3 years through 4 years 2,542,579 5,322,050 Due after 4 years through 5 years 836,921 963,105 Thereafter 4,397,257 4,587,315 Total par value $ 67,975,242 $ 69,907,021 Table 7.4 - Advances by Interest Rate Payment Terms (in thousands) September 30, 2017 December 31, 2016 Total fixed-rate (1) $ 31,512,306 $ 24,700,450 Total variable-rate (1) 36,462,936 45,206,571 Total par value $ 67,975,242 $ 69,907,021 (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) September 30, 2017 December 31, 2016 Principal % of Total Par Value of Advances Principal % of Total Par Value of Advances JPMorgan Chase Bank, N.A. $ 25,850 38 % JPMorgan Chase Bank, N.A. $ 32,300 46 % U.S. Bank, N.A. 7,453 11 U.S. Bank, N.A. 8,563 12 Fifth Third Bank 4,717 7 Total $ 40,863 58 % Third Federal Savings and Loan Association 3,669 5 Total $ 41,689 61 % |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 December 31, 2016 Unpaid principal balance: Fixed rate medium-term single-family mortgage loans (1) $ 1,175,946 $ 1,320,585 Fixed rate long-term single-family mortgage loans 8,103,587 7,605,088 Total unpaid principal balance 9,279,533 8,925,673 Premiums 215,517 211,058 Discounts (3,374 ) (3,740 ) Hedging basis adjustments (2) 12,880 16,869 Total mortgage loans held for portfolio $ 9,504,556 $ 9,149,860 (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) September 30, 2017 December 31, 2016 Unpaid principal balance: Conventional mortgage loans $ 8,939,890 $ 8,534,542 Federal Housing Administration (FHA) mortgage loans 339,643 391,131 Total unpaid principal balance $ 9,279,533 $ 8,925,673 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) September 30, 2017 December 31, 2016 Principal % of Total Principal % of Total Union Savings Bank $ 3,150 34 % Union Savings Bank $ 2,886 32 % Guardian Savings Bank FSB 910 10 Guardian Savings Bank FSB 855 10 PNC Bank, N.A. (1) 549 6 PNC Bank, N.A. (1) 660 7 (1) Former member. |
Allowance for Credit Losses
Allowance for Credit Losses | 9 Months Ended |
Sep. 30, 2017 | |
Receivables [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, ongoing review of each borrower's financial condition, 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 law, 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 September 30, 2017 and December 31, 2016 , 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 September 30, 2017 and December 31, 2016 , 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 the nine months ended September 30, 2017 or 2016 . 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 September 30, 2017 or December 31, 2016 . Accordingly, the FHLB did not record any allowance for credit losses on Advances. At September 30, 2017 and December 31, 2016 , 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 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 September 30, 2017 2016 Balance, beginning of period $ 970 $ 1,217 Net charge offs (170 ) (78 ) Provision for credit losses 500 — Balance, end of period $ 1,300 $ 1,139 Nine Months Ended September 30, 2017 2016 Balance, beginning of period $ 1,142 $ 1,686 Net charge offs (342 ) (547 ) Provision for credit losses 500 — Balance, end of period $ 1,300 $ 1,139 Table 9.2 - Allowance for Credit Losses and Recorded Investment on Conventional Mortgage Loans by Impairment Methodology (in thousands) September 30, 2017 December 31, 2016 Allowance for credit losses: Collectively evaluated for impairment $ 1,300 $ 1,142 Individually evaluated for impairment — — Total allowance for credit losses $ 1,300 $ 1,142 Recorded investment: Collectively evaluated for impairment $ 9,180,476 $ 8,772,681 Individually evaluated for impairment 10,230 9,889 Total recorded investment $ 9,190,706 $ 8,782,570 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) Nine Months Ended September 30, 2017 LRA at beginning of year $ 187,684 Additions 14,842 Claims (427 ) Scheduled distributions (6,243 ) LRA at end of period $ 195,856 Credit Quality Indicators. Key credit quality indicators for mortgage loans include the migration of past due loans, loans in process of foreclosure, and non-accrual loans. 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) September 30, 2017 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 31,345 $ 21,224 $ 52,569 Past due 60-89 days delinquent 8,386 5,628 14,014 Past due 90 days or more delinquent 17,795 10,412 28,207 Total past due 57,526 37,264 94,790 Total current mortgage loans 9,133,180 307,223 9,440,403 Total mortgage loans $ 9,190,706 $ 344,487 $ 9,535,193 Other delinquency statistics: In process of foreclosure, included above (1) $ 10,979 $ 5,699 $ 16,678 Serious delinquency rate (2) 0.20 % 3.06 % 0.31 % Past due 90 days or more still accruing interest (3) $ 16,312 $ 10,412 $ 26,724 Loans on non-accrual status, included above $ 3,045 $ — $ 3,045 December 31, 2016 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 39,409 $ 23,206 $ 62,615 Past due 60-89 days delinquent 9,350 8,275 17,625 Past due 90 days or more delinquent 21,773 14,054 35,827 Total past due 70,532 45,535 116,067 Total current mortgage loans 8,712,038 351,299 9,063,337 Total mortgage loans $ 8,782,570 $ 396,834 $ 9,179,404 Other delinquency statistics: In process of foreclosure, included above (1) $ 15,412 $ 5,841 $ 21,253 Serious delinquency rate (2) 0.26 % 3.59 % 0.40 % Past due 90 days or more still accruing interest (3) $ 19,408 $ 14,054 $ 33,462 Loans on non-accrual status, included above $ 3,908 $ — $ 3,908 (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 September 30, 2017 or December 31, 2016 . 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) September 30, 2017 December 31, 2016 Conventional MPP loans Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 10,230 $ 10,034 $ — $ 9,889 $ 9,708 $ — With an allowance — — — — — — Total $ 10,230 $ 10,034 $ — $ 9,889 $ 9,708 $ — Table 9.6 - Average Recorded Investment of Individually Evaluated Impaired Loans and Related Interest Income Recognized (in thousands) Three Months Ended September 30, 2017 2016 Individually impaired loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Conventional MPP Loans $ 9,771 $ 114 $ 9,620 $ 122 Nine Months Ended September 30, 2017 2016 Individually impaired loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Conventional MPP Loans $ 8,952 $ 316 $ 9,343 $ 357 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 estimating expected cash shortfalls incurred as of the reporting date. The FHLB's recorded investment in modified loans considered troubled debt restructurings was (in thousands) $10,230 and $9,889 at September 30, 2017 and December 31, 2016 , 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 | 9 Months Ended |
Sep. 30, 2017 | |
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 2016 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 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 counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Table 10.1 summarizes the notional amount, fair value of derivative instruments (excluding fair value adjustments related to variation margin on settled daily contracts), and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments, cash collateral and variation margin for daily settled contracts. 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) September 30, 2017 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,846,399 $ 36,184 $ 15,380 Derivatives not designated as hedging instruments: Interest rate swaps 6,032,265 1,401 56,482 Interest rate swaptions 1,800,000 5,675 — Forward rate agreements 361,000 1,863 1 Mortgage delivery commitments 361,482 1,918 419 Total derivatives not designated as hedging instruments 8,554,747 10,857 56,902 Total derivatives before adjustments $ 14,401,146 47,041 72,282 Netting adjustments, cash collateral and variation margin for daily settled contracts (1) 32,469 (68,613 ) Total derivative assets and total derivative liabilities $ 79,510 $ 3,669 December 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,660,420 $ 37,379 $ 26,610 Derivatives not designated as hedging instruments: Interest rate swaps 8,199,000 2,135 64,661 Interest rate swaptions 2,346,000 13,335 — Forward rate agreements 511,000 681 166 Mortgage delivery commitments 440,849 319 10,628 Total derivatives not designated as hedging instruments 11,496,849 16,470 75,455 Total derivatives before adjustments $ 17,157,269 53,849 102,065 Netting adjustments and cash collateral (1) 50,904 (84,191 ) Total derivative assets and total derivative liabilities $ 104,753 $ 17,874 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $78,424 and $180,169 at September 30, 2017 and December 31, 2016 . Cash collateral received and related accrued interest was (in thousands) $33,399 and $45,074 at September 30, 2017 and December 31, 2016 . Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 and $ 0 at December 31, 2016 . Table 10.2 presents the components of net (losses) gains on derivatives and hedging activities as presented in the Statements of Income. Table 10.2 - Net (Losses) Gains on Derivatives and Hedging Activities (in thousands) Three Months Ended September 30, 2017 2016 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 86 $ 245 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps (621 ) (20,584 ) Interest rate swaptions (3,579 ) (1,318 ) Forward rate agreements (2,581 ) (5,824 ) Net interest settlements (3,338 ) 4,166 Mortgage delivery commitments 3,212 5,688 Total net losses related to derivatives not designated as hedging instruments (6,907 ) (17,872 ) Other (1) 136 — Net losses on derivatives and hedging activities $ (6,685 ) $ (17,627 ) Nine Months Ended September 30, 2017 2016 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 226 $ (2,625 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 12,212 3,889 Interest rate swaptions (13,948 ) (2,601 ) Forward rate agreements (6,094 ) (24,856 ) Net interest settlements (4,421 ) 9,981 Mortgage delivery commitments 10,089 26,615 Total net (losses) gains related to derivatives not designated as hedging instruments (2,162 ) 13,028 Other (1) 395 — Net (losses) gains on derivatives and hedging activities $ (1,541 ) $ 10,403 (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settled contract. 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 September 30, 2017 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 $ 7,664 $ (7,596 ) $ 68 $ (3,575 ) Consolidated Bonds 559 (541 ) 18 (604 ) Total $ 8,223 $ (8,137 ) $ 86 $ (4,179 ) 2016 Hedged Item Type: Advances $ 42,213 $ (41,856 ) $ 357 $ (15,340 ) Consolidated Bonds (4,453 ) 4,341 (112 ) 1,383 Total $ 37,760 $ (37,515 ) $ 245 $ (13,957 ) Nine Months Ended September 30, 2017 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 $ 7,365 $ (7,486 ) $ (121 ) $ (15,020 ) Consolidated Bonds 295 52 347 (338 ) Total $ 7,660 $ (7,434 ) $ 226 $ (15,358 ) 2016 Hedged Item Type: Advances $ (12,012 ) $ 9,615 $ (2,397 ) $ (48,736 ) Consolidated Bonds (2,199 ) 1,971 (228 ) 6,821 Total $ (14,211 ) $ 11,586 $ (2,625 ) $ (41,915 ) (1) For fair value hedge relationships, the net effect of derivatives 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) $(497) and $(582) of (amortization)/accretion related to fair value hedging activities for the three months ended September 30, 2017 and 2016 and (in thousands) $(1,784) and $(2,264) for the nine months ended September 30, 2017 and 2016 . 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 FHLB utilizes two Clearinghouses for all cleared derivative transactions, LCH.Clearnet LLC and CME Clearing. Effective January 3, 2017, CME Clearing made certain amendments to its rulebook changing the legal characterization of variation margin payments to be daily settlement payments, rather than collateral. Variation margin related to LCH.Clearnet LLC contracts continues to be presented as cash collateral. At both Clearinghouses, initial margin continues to be considered collateral. 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/payments for changes in the value of cleared derivatives is posted daily through a clearing agent. 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. At September 30, 2017 , the FHLB would not have been required to deliver any additional collateral if the FHLB's credit ratings had been lowered to the next lower rating. 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 September 30, 2017 was (in thousands) $7,035 , for which the FHLB had posted collateral with a fair value of (in thousands) $3,884 in the normal course of business. 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 September 30, 2017 , 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 any initial and certain 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. 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. 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 and variation margin for daily settled contracts. At September 30, 2017 and December 31, 2016 , 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) September 30, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 6,685 $ 11,255 $ 15,506 $ 21,378 Cleared derivatives 36,575 60,607 37,343 69,893 Total gross recognized amount 43,260 71,862 52,849 91,271 Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (1) : Uncleared derivatives (6,544 ) (8,006 ) (14,737 ) (14,298 ) Cleared derivatives 39,013 (60,607 ) 65,641 (69,893 ) Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (1) 32,469 (68,613 ) 50,904 (84,191 ) Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts: Uncleared derivatives 141 3,249 769 7,080 Cleared derivatives 75,588 — 102,984 — Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts 75,729 3,249 103,753 7,080 Derivative instruments not meeting netting requirements (2) : Uncleared derivatives 3,781 420 1,000 10,794 Total derivative instruments not meeting netting requirements (2) 3,781 420 1,000 10,794 Total derivative assets and total derivative liabilities: Uncleared derivatives 3,922 3,669 1,769 17,874 Cleared derivatives 75,588 — 102,984 — Total derivative assets and total derivative liabilities $ 79,510 $ 3,669 $ 104,753 $ 17,874 (1) Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits
Deposits | 9 Months Ended |
Sep. 30, 2017 | |
Deposits [Abstract] | |
Deposit [Text Block] | Deposits Table 11.1- Deposits (in thousands) September 30, 2017 December 31, 2016 Interest bearing: Demand and overnight $ 568,802 $ 611,432 Term 40,900 149,350 Other 5,912 4,521 Total interest bearing 615,614 765,303 Non-interest bearing: Other 2,060 576 Total non-interest bearing 2,060 576 Total deposits $ 617,674 $ 765,879 The average interest rate paid on interest bearing deposits was 0.82 percent and 0.14 percent in the three months ended September 30, 2017 and 2016 , respectively, and 0.59 percent and 0.14 percent in the nine months ended September 30, 2017 and 2016 , respectively. |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 $ 49,539,728 $ 49,604,987 1.04 % December 31, 2016 $ 44,689,662 $ 44,710,521 0.46 % (1) Represents an implied rate without consideration of concessions. Table 12.2 - Consolidated Bonds Outstanding by Contractual Maturity (dollars in thousands) September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 20,586,265 1.25 % $ 20,970,750 0.87 % Due after 1 year through 2 years 8,827,800 1.37 12,811,000 1.12 Due after 2 years through 3 years 5,127,065 1.94 4,359,000 1.81 Due after 3 years through 4 years 5,572,500 1.85 3,566,000 1.95 Due after 4 years through 5 years 3,119,000 2.27 4,970,000 1.87 Thereafter 6,036,000 2.71 6,496,000 2.65 Total par value 49,268,630 1.66 53,172,750 1.39 Premiums 86,825 84,275 Discounts (30,687 ) (32,804 ) Hedging adjustments (2,916 ) (2,865 ) Fair value option valuation adjustment and accrued interest (23,467 ) (30,490 ) Total $ 49,298,385 $ 53,190,866 Table 12.3 - Consolidated Bonds Outstanding by Call Features (in thousands) September 30, 2017 December 31, 2016 Par value of Consolidated Bonds: Non-callable $ 41,913,630 $ 46,007,750 Callable 7,355,000 7,165,000 Total par value $ 49,268,630 $ 53,172,750 Table 12.4 - Consolidated Bonds Outstanding by Contractual Maturity or Next Call Date (in thousands) Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016 Due in 1 year or less $ 27,281,265 $ 26,489,750 Due after 1 year through 2 years 8,078,800 12,006,000 Due after 2 years through 3 years 4,171,065 3,894,000 Due after 3 years through 4 years 3,657,500 2,805,000 Due after 4 years through 5 years 2,456,000 3,964,000 Thereafter 3,624,000 4,014,000 Total par value $ 49,268,630 $ 53,172,750 Table 12.5 - Consolidated Bonds by Interest-rate Payment Type (in thousands) September 30, 2017 December 31, 2016 Par value of Consolidated Bonds: Fixed-rate $ 34,058,630 $ 34,682,750 Variable-rate 15,210,000 18,290,000 Step-up — 200,000 Total par value $ 49,268,630 $ 53,172,750 |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2016 $ 104,883 Assessments (current year additions) 25,727 Subsidy uses, net (24,010 ) Balance at September 30, 2017 $ 106,600 |
Capital
Capital | 9 Months Ended |
Sep. 30, 2017 | |
Capital [Abstract] | |
Capital [Text Block] | Capital Table 14.1 - Capital Requirements (dollars in thousands) September 30, 2017 December 31, 2016 Minimum Requirement Actual Minimum Requirement Actual Risk-based capital $ 857,807 $ 5,175,544 $ 579,629 $ 5,026,133 Capital-to-assets ratio (regulatory) 4.00 % 4.92 % 4.00 % 4.80 % Regulatory capital $ 4,210,021 $ 5,175,544 $ 4,185,411 $ 5,026,133 Leverage capital-to-assets ratio (regulatory) 5.00 % 7.38 % 5.00 % 7.21 % Leverage capital $ 5,262,526 $ 7,763,316 $ 5,231,764 $ 7,539,200 Restricted Retained Earnings. At September 30, 2017 and December 31, 2016 the FHLB had (in thousands) $306,187 and $ 260,285 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, 2016 $ 34,782 Capital stock subject to mandatory redemption reclassified from equity 269,403 Redemption (or other reduction) of mandatorily redeemable capital stock (272,771 ) Balance, September 30, 2017 $ 31,414 Table 14.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands) Contractual Year of Redemption September 30, 2017 December 31, 2016 Year 1 $ 23 $ — Year 2 1,819 29 Year 3 421 2,264 Year 4 2,790 865 Year 5 5,577 6,307 Thereafter (1) 610 623 Past contractual redemption date due to remaining activity (2) 20,174 24,694 Total $ 31,414 $ 34,782 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, will have their membership terminated no later than February 19, 2021. Captive insurance companies that were admitted as FHLB members on or after September 12, 2014, had their membership terminated no later than February 19, 2017. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. (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 | 9 Months Ended |
Sep. 30, 2017 | |
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 and nine months ended September 30, 2017 and 2016 . Table 15.1 - Accumulated Other Comprehensive (Loss) Income (in thousands) Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive (loss) income BALANCE, JUNE 30, 2016 $ 67 $ (12,177 ) $ (12,110 ) Other comprehensive income before reclassification: Net unrealized gains 161 — 161 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 591 591 Net current period other comprehensive income 161 591 752 BALANCE, SEPTEMBER 30, 2016 $ 228 $ (11,586 ) $ (11,358 ) BALANCE, JUNE 30, 2017 $ 4 $ (12,426 ) $ (12,422 ) Other comprehensive income before reclassification: Net unrealized gains 13 — 13 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 427 427 Net current period other comprehensive income 13 427 440 BALANCE, SEPTEMBER 30, 2017 $ 17 $ (11,999 ) $ (11,982 ) Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive (loss) income BALANCE, DECEMBER 31, 2015 $ 81 $ (13,358 ) $ (13,277 ) Other comprehensive income before reclassification: Net unrealized gains 147 — 147 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 1,772 1,772 Net current period other comprehensive income 147 1,772 1,919 BALANCE, SEPTEMBER 30, 2016 $ 228 $ (11,586 ) $ (11,358 ) BALANCE, DECEMBER 31, 2016 $ 23 $ (13,279 ) $ (13,256 ) Other comprehensive income before reclassification: Net unrealized losses (6 ) — (6 ) Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 1,280 1,280 Net current period other comprehensive (loss) income (6 ) 1,280 1,274 BALANCE, SEPTEMBER 30, 2017 $ 17 $ (11,999 ) $ (11,982 ) |
Pension and Postretirement Bene
Pension and Postretirement Benefit Plans | 9 Months Ended |
Sep. 30, 2017 | |
Retirement Benefits [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 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 $2,750,000 and $1,685,000 in the three months ended September 30, 2017 and 2016 , respectively, and $6,039,000 and $5,055,000 in the nine months ended September 30, 2017 and 2016 , 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 $225,000 and $193,000 in the three months ended September 30, 2017 and 2016 , respectively, and $946,000 and $817,000 in the nine months ended September 30, 2017 and 2016 , respectively. Nonqualified Supplemental Defined Benefit Retirement Plan (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 September 30, Defined Benefit Retirement Plan Postretirement Benefits Plan 2017 2016 2017 2016 Net Periodic Benefit Cost Service cost $ 220 $ 182 $ 7 $ 12 Interest cost 342 329 50 55 Amortization of net loss 426 579 1 12 Net periodic benefit cost $ 988 $ 1,090 $ 58 $ 79 Nine Months Ended September 30, Defined Benefit Postretirement Benefits Plan 2017 2016 2017 2016 Net Periodic Benefit Cost Service cost $ 661 $ 547 $ 21 $ 37 Interest cost 1,026 988 148 164 Amortization of net loss 1,276 1,737 4 35 Net periodic benefit cost $ 2,963 $ 3,272 $ 173 $ 236 |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, Traditional Member Finance MPP Total 2017 Net interest income $ 86,617 $ 23,781 $ 110,398 Provision for credit losses — 500 500 Net interest income after provision for credit losses 86,617 23,281 109,898 Non-interest (loss) income (1,988 ) (1,222 ) (3,210 ) Non-interest expense 17,370 2,860 20,230 Income before assessments 67,259 19,199 86,458 Affordable Housing Program assessments 6,821 1,920 8,741 Net income $ 60,438 $ 17,279 $ 77,717 2016 Net interest income after provision for credit losses $ 74,280 $ 19,113 $ 93,393 Non-interest (loss) income (3,489 ) (698 ) (4,187 ) Non-interest expense 18,728 2,744 21,472 Income before assessments 52,063 15,671 67,734 Affordable Housing Program assessments 5,294 1,567 6,861 Net income $ 46,769 $ 14,104 $ 60,873 Nine Months Ended September 30, Traditional Member Finance MPP Total 2017 Net interest income $ 248,607 $ 70,832 $ 319,439 Provision for credit losses — 500 500 Net interest income after provision for credit losses 248,607 70,332 318,939 Non-interest (loss) income (914 ) (2,953 ) (3,867 ) Non-interest expense 51,490 8,346 59,836 Income before assessments 196,203 59,033 255,236 Affordable Housing Program assessments 19,823 5,904 25,727 Net income $ 176,380 $ 53,129 $ 229,509 2016 Net interest income after provision for credit losses $ 209,994 $ 54,854 $ 264,848 Non-interest (loss) income (2,447 ) 687 (1,760 ) Non-interest expense 55,978 8,141 64,119 Income before assessments 151,569 47,400 198,969 Affordable Housing Program assessments 15,454 4,740 20,194 Net income $ 136,115 $ 42,660 $ 178,775 Table 17.2 - Asset Balances by Operating Segment (in thousands) Assets Traditional Member MPP Total September 30, 2017 $ 94,564,865 $ 10,685,650 $ 105,250,515 December 31, 2016 95,456,372 9,178,909 104,635,281 |
Fair Value Disclosures
Fair Value Disclosures | 9 Months Ended |
Sep. 30, 2017 | |
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 nine months ended September 30, 2017 or 2016 . Table 18.1 presents the carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. Table 18.1 - Fair Value Summary (in thousands) September 30, 2017 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Assets: Cash and due from banks $ 8,383 $ 8,383 $ 8,383 $ — $ — $ — Interest-bearing deposits 154 154 — 154 — — Securities purchased under agreements to resell 1,804,271 1,804,270 — 1,804,270 — — Federal funds sold 10,410,000 10,410,000 — 10,410,000 — — Trading securities 835 835 — 835 — — Available-for-sale securities 550,017 550,017 — 550,017 — — Held-to-maturity securities 14,809,839 14,757,413 — 14,757,413 — — Advances (2) 67,943,456 67,993,978 — 67,993,978 — — Mortgage loans held for portfolio, net 9,503,256 9,593,354 — 9,574,805 18,549 — Accrued interest receivable 126,411 126,411 — 126,411 — — Derivative assets 79,510 79,510 — 47,041 — 32,469 Liabilities: Deposits 617,674 617,579 — 617,579 — — Consolidated Obligations: Discount Notes 49,539,728 49,542,272 — 49,542,272 — — Bonds (3) 49,298,385 49,435,599 — 49,435,599 — — Mandatorily redeemable capital stock 31,414 31,414 31,414 — — — Accrued interest payable 137,272 137,272 — 137,272 — — Derivative liabilities 3,669 3,669 — 72,282 — (68,613 ) Other: Standby bond purchase agreements — 354 — 354 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) Includes (in thousands) $15,052 of Advances recorded under the fair value option at September 30, 2017 . (3) Includes (in thousands) $5,810,798 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2017 . December 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 $ 8,737 $ 8,737 $ 8,737 $ — $ — $ — Interest-bearing deposits 129 129 — 129 — — Securities purchased under agreements to resell 5,229,487 5,229,487 — 5,229,487 — — Federal funds sold 4,257,000 4,257,000 — 4,257,000 — — Trading securities 970 970 — 970 — — Available-for-sale securities 1,300,023 1,300,023 — 1,300,023 — — Held-to-maturity securities 14,546,979 14,413,231 — 14,413,231 — — Advances (2) 69,882,074 69,842,730 — 69,842,730 — — Mortgage loans held for portfolio, net 9,148,718 9,174,790 — 9,152,186 22,604 — Accrued interest receivable 109,886 109,886 — 109,886 — — Derivative assets 104,753 104,753 — 53,849 — 50,904 Liabilities: Deposits 765,879 765,628 — 765,628 — — Consolidated Obligations: Discount Notes 44,689,662 44,689,594 — 44,689,594 — — Bonds (3) 53,190,866 53,278,571 — 53,278,571 — — Mandatorily redeemable capital stock 34,782 34,782 34,782 — — — Accrued interest payable 119,322 119,322 — 119,322 — — Derivative liabilities 17,874 17,874 — 102,065 — (84,191 ) Other: Standby bond purchase agreements — 708 — 708 — — (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) $15,093 of Advances recorded under the fair value option at December 31, 2016 . (3) Includes (in thousands) $7,895,510 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2016 . 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 2016 Annual Report on Form 10-K. There have been no significant changes in the valuation methodologies during 2017 . 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 September 30, 2017 and December 31, 2016 , 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 September 30, 2017 Total Level 1 Level 2 Level 3 Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Recurring fair value measurements - Assets Trading securities: Other U.S. obligation single-family mortgage-backed securities $ 835 $ — $ 835 $ — $ — Available-for-sale securities: Certificates of deposit 550,017 — 550,017 — — Advances 15,052 — 15,052 — — Derivative assets: Interest rate related 75,729 — 43,260 — 32,469 Forward rate agreements 1,863 — 1,863 — — Mortgage delivery commitments 1,918 — 1,918 — — Total derivative assets 79,510 — 47,041 — 32,469 Total assets at fair value $ 645,414 $ — $ 612,945 $ — $ 32,469 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 5,810,798 $ — $ 5,810,798 $ — $ — Derivative liabilities: Interest rate related 3,249 — 71,862 — (68,613 ) Forward rate agreement 1 — 1 — — Mortgage delivery commitments 419 — 419 — — Total derivative liabilities 3,669 — 72,282 — (68,613 ) Total liabilities at fair value $ 5,814,467 $ — $ 5,883,080 $ — $ (68,613 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 496 $ — $ — $ 496 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2017 . Fair Value Measurements at December 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 $ 970 $ — $ 970 $ — $ — Available-for-sale securities: Certificates of deposit 1,300,023 — 1,300,023 — — Advances 15,093 — 15,093 — — Derivative assets: Interest rate related 103,753 — 52,849 — 50,904 Forward rate agreements 681 — 681 — — Mortgage delivery commitments 319 — 319 — — Total derivative assets 104,753 — 53,849 — 50,904 Total assets at fair value $ 1,420,839 $ — $ 1,369,935 $ — $ 50,904 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 7,895,510 $ — $ 7,895,510 $ — $ — Derivative liabilities: Interest rate related 7,080 — 91,271 — (84,191 ) Forward rate agreements 166 — 166 — — Mortgage delivery commitments 10,628 — 10,628 — — Total derivative liabilities 17,874 — 102,065 — (84,191 ) Total liabilities at fair value $ 7,913,384 $ — $ 7,997,575 $ — $ (84,191 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 1,388 $ — $ — $ 1,388 (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, 2016 . 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. 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 gains (losses) on financial instruments held under fair value option” in the Statements of Income. The net gains (losses) on financial instruments held under the fair value option were (in thousands) $87 and $9,734 for the three months ended September 30, 2017 and 2016 , and (in thousands) $(12,371) and $(23,213) for the nine months ended September 30, 2017 and 2016 . 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 September 30, 2017 or December 31, 2016 . 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 18.3 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) September 30, 2017 December 31, 2016 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 $ 15,052 $ 52 $ 15,000 $ 15,093 $ 93 Consolidated Bonds 5,834,265 5,810,798 (23,467 ) 7,926,000 7,895,510 (30,490 ) (1) At September 30, 2017 and December 31, 2016 , 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 | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies Table 19.1 - Off-Balance Sheet Commitments (in thousands) September 30, 2017 December 31, 2016 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 $ 16,618,345 $ 177,902 $ 16,796,247 $ 17,029,024 $ 479,119 $ 17,508,143 Commitments for standby bond purchases 27,230 44,645 71,875 28,810 77,240 106,050 Commitments to purchase mortgage loans 361,482 — 361,482 440,849 — 440,849 Unsettled Consolidated Discount Notes, at par (1) 22,827 — 22,827 5,500 — 5,500 (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. Legal Proceedings . From time to time, the FHLB is subject to 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 could be reasonably estimated. After consultation with legal counsel, management does not anticipate that ultimate liability, if any, arising out of any matters will have a material effect on the FHLB's financial condition or results of operations. |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 or December 31, 2016 . The following table details the average daily balance of lending and borrowing between the FHLB and other FHLBanks for the nine months ended September 30, 2017 and 2016 . Table 20.1 - Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands) Average Daily Balances for the Nine Months Ended September 30, 2017 2016 Loans to other FHLBanks $ 18 $ — Borrowings from other FHLBanks 916 — 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 nine months ended September 30, 2017 or 2016 . The FHLB had no Consolidated Obligations transferred to other FHLBanks during these periods. |
Transactions with Stockholders
Transactions with Stockholders | 9 Months Ended |
Sep. 30, 2017 | |
Transactions with Stockholders [Abstract] | |
Transactions with Stockholders [Text Block] | Transactions with Stockholders As a cooperative, the FHLB's capital stock is owned by its members, by former members that retain the stock as provided in the FHLB's Capital Plan and by nonmember institutions that have acquired members and must retain the stock to support Advances or other activities with the FHLB. All Advances are issued to members and all mortgage loans held for portfolio are purchased from members. The FHLB also maintains demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to Advances and mortgage loan purchases. Additionally, the FHLB may enter into interest rate swaps with its stockholders. The FHLB may not invest in any equity securities issued by its stockholders and it has not purchased any mortgage-backed securities securitized by, or other direct long-term investments in, its stockholders. For financial statement purposes, the FHLB defines related parties as those members with more than 10 percent of the voting interests of the FHLB capital stock outstanding. Federal statute prescribes the voting rights of members in the election of both member and independent directors. For member directorships, the Finance Agency designates the number of member directorships in a given year and an eligible voting member may vote only for candidates seeking election in its respective state. For independent directors, the FHLB's Board of Directors nominates candidates to be placed on the ballot in an at-large election. For both member and independent director elections, a member is entitled to vote one share of required capital stock, subject to a statutory limitation, for each applicable directorship. Under this limitation, the total number of votes that a member may cast is limited to the average number of shares of the FHLB's capital stock that were required to be held by all members in that state as of the record date for voting. Nonmember stockholders are not eligible to vote in director elections. Due to these statutory limitations, no member owned more than 10 percent of the voting interests of the FHLB at September 30, 2017 or December 31, 2016 . All transactions with stockholders are entered into in the ordinary course of business. Finance Agency regulations require the FHLB to offer the same pricing for Advances and other services to all members regardless of asset or transaction size, charter type, or geographic location. However, the FHLB may, in pricing its Advances, distinguish among members based upon its assessment of the credit and other risks to the FHLB of lending to any particular member or upon other reasonable criteria that may be applied equally to all members. The FHLB's policies and procedures require that such standards and criteria be applied consistently and without discrimination to all members applying for Advances. 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 September 30, 2017 or December 31, 2016 . Table 21.1 - Transactions with Directors' Financial Institutions (dollars in millions) September 30, 2017 December 31, 2016 Balance % of Total (1) Balance % of Total (1) Advances $ 3,444 5.1 % $ 3,947 5.6 % MPP 111 1.2 234 2.6 Regulatory capital stock 185 4.3 166 4.0 (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 of stockholders holding five percent or more of regulatory capital stock and includes 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 September 30, 2017 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,059 25 % $ 25,850 $ — U.S. Bank, N.A. 593 14 7,453 24 The Huntington National Bank 282 7 307 423 Fifth Third Bank 248 6 4,717 2 Regulatory Capital Stock Advance MPP Unpaid December 31, 2016 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,317 31 % $ 32,300 $ — U.S. Bank, N.A. 475 11 8,563 27 Fifth Third Bank 248 6 2,517 2 The Huntington National Bank 244 6 2,433 388 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 September 30, 2017 or December 31, 2016 . 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 nine months of 2017 and 2016 , 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) | 9 Months Ended |
Sep. 30, 2017 | |
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 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 estimating expected cash shortfalls incurred 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. |
Summary of Significant Accoun31
Summary of Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Schedule of New Accounting Pronouncements and Changes in Accounting Principles [Table Text Block] | As of and for the Three Months Ended September 30, 2016 (In thousands) Previous Method New Method Effect of Change Statements of Income: Interest income - mortgage loans held for portfolio $ 60,381 $ 64,254 $ 3,873 Net interest income 89,520 93,393 3,873 Income before assessments 63,861 67,734 3,873 Affordable Housing Program assessments 6,474 6,861 387 Net income 57,387 60,873 3,486 Statements of Comprehensive Income: Net income $ 57,387 $ 60,873 $ 3,486 Comprehensive income 58,139 61,625 3,486 As of and for the Nine Months Ended September 30, 2016 (In thousands) Previous Method New Method Effect of Change Statements of Condition: Mortgage loans held for portfolio, net $ 8,820,321 $ 8,810,907 $ (9,414 ) Total assets 101,556,057 101,546,643 (9,414 ) Affordable Housing Program payable 98,056 99,908 1,852 Total liabilities 96,645,618 96,647,470 1,852 Retained earnings: Unrestricted 556,853 545,044 (11,809 ) Restricted 241,860 242,403 543 Total retained earnings 798,713 787,447 (11,266 ) Total capital 4,910,439 4,899,173 (11,266 ) Total liabilities and capital 101,556,057 101,546,643 (9,414 ) Statements of Income: Interest income - mortgage loans held for portfolio $ 177,629 $ 196,146 $ 18,517 Net interest income 246,331 264,848 18,517 Income before assessments 180,452 198,969 18,517 Affordable Housing Program assessments 18,342 20,194 1,852 Net income 162,110 178,775 16,665 Statements of Comprehensive Income: Net income $ 162,110 $ 178,775 $ 16,665 Comprehensive income 164,029 180,694 16,665 Statements of Capital: Total retained earnings, as of December 31, 2015 $ 765,577 $ 737,646 $ (27,931 ) Total comprehensive income 164,029 180,694 16,665 Total retained earnings, as of September 30, 2016 798,713 787,447 (11,266 ) Total capital 4,910,439 4,899,173 (11,266 ) Statements of Cash Flows: Operating activities: Net income $ 162,110 $ 178,775 $ 16,665 Adjustments to reconcile net income to net cash provided by operating activities: Depreciation and amortization 53,555 35,038 (18,517 ) Changes in: Other liabilities 12,680 14,532 1,852 Total adjustments 78,559 61,894 (16,665 ) Net cash provided by operating activities 240,669 240,669 — |
Trading Securities (Tables)
Trading Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 December 31, 2016 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities $ 835 $ 970 Total $ 835 $ 970 |
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) Nine Months Ended September 30, 2017 2016 Net losses on trading securities held at period end $ (5 ) $ (2 ) Net losses on trading securities $ (5 ) $ (2 ) |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 550,000 $ 17 $ — $ 550,017 Total $ 550,000 $ 17 $ — $ 550,017 December 31, 2016 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Certificates of deposit $ 1,300,000 $ 38 $ (15 ) $ 1,300,023 Total $ 1,300,000 $ 38 $ (15 ) $ 1,300,023 |
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) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 550,000 $ 550,017 $ 1,300,000 $ 1,300,023 |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) September 30, 2017 December 31, 2016 Amortized cost of available-for-sale securities: Fixed-rate $ 550,000 $ 1,300,000 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: U.S. Treasury obligations $ 33,938 $ 1 $ — $ 33,939 Total non-mortgage-backed securities 33,938 1 — 33,939 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 2,720,628 5,538 (11,312 ) 2,714,854 Government-sponsored enterprises (GSE) single-family mortgage-backed securities 7,058,885 44,276 (93,744 ) 7,009,417 GSE multi-family mortgage-backed securities 4,996,388 4,111 (1,296 ) 4,999,203 Total mortgage-backed securities 14,775,901 53,925 (106,352 ) 14,723,474 Total $ 14,809,839 $ 53,926 $ (106,352 ) $ 14,757,413 December 31, 2016 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value Non-mortgage-backed securities: GSE $ 31,279 $ 1 $ — $ 31,280 Total non-mortgage-backed securities 31,279 1 — 31,280 Mortgage-backed securities: Other U.S. obligation single-family mortgage-backed securities 3,183,219 3,653 (23,151 ) 3,163,721 GSE single-family mortgage-backed securities 8,186,733 36,161 (147,494 ) 8,075,400 GSE multi-family mortgage-backed securities 3,145,748 988 (3,906 ) 3,142,830 Total mortgage-backed securities 14,515,700 40,802 (174,551 ) 14,381,951 Total $ 14,546,979 $ 40,803 $ (174,551 ) $ 14,413,231 (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) September 30, 2017 December 31, 2016 Premiums $ 51,801 $ 60,519 Discounts (25,469 ) (31,474 ) Net purchased premiums $ 26,332 $ 29,045 |
Schedule of Unrealized Loss on Investments [Table Text Block] | Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands) September 30, 2017 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 $ 1,453,423 $ (11,312 ) $ — $ — $ 1,453,423 $ (11,312 ) GSE single-family mortgage-backed securities 2,689,985 (31,828 ) 2,034,942 (61,916 ) 4,724,927 (93,744 ) GSE multi-family mortgage-backed securities 1,823,696 (1,043 ) 135,816 (253 ) 1,959,512 (1,296 ) Total $ 5,967,104 $ (44,183 ) $ 2,170,758 $ (62,169 ) $ 8,137,862 $ (106,352 ) December 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 $ 2,151,584 $ (23,151 ) $ — $ — $ 2,151,584 $ (23,151 ) GSE single-family mortgage-backed securities 4,548,897 (90,119 ) 1,193,241 (57,375 ) 5,742,138 (147,494 ) GSE multi-family mortgage-backed securities 1,897,043 (3,906 ) — — 1,897,043 (3,906 ) Total $ 8,597,524 $ (117,176 ) $ 1,193,241 $ (57,375 ) $ 9,790,765 $ (174,551 ) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Held-to-Maturity Securities by Contractual Maturity (in thousands) September 30, 2017 December 31, 2016 Year of Maturity Amortized Cost (1) Fair Value Amortized Cost (1) Fair Value Non-mortgage-backed securities: Due in 1 year or less $ 33,938 $ 33,939 $ 31,279 $ 31,280 Due after 1 year through 5 years — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — Total non-mortgage-backed securities 33,938 33,939 31,279 31,280 Mortgage-backed securities (2) 14,775,901 14,723,474 14,515,700 14,381,951 Total $ 14,809,839 $ 14,757,413 $ 14,546,979 $ 14,413,231 (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) September 30, 2017 December 31, 2016 Amortized cost of non-mortgage-backed securities: Fixed-rate $ 33,938 $ 31,279 Total amortized cost of non-mortgage-backed securities 33,938 31,279 Amortized cost of mortgage-backed securities: Fixed-rate 8,414,225 9,706,072 Variable-rate 6,361,676 4,809,628 Total amortized cost of mortgage-backed securities 14,775,901 14,515,700 Total $ 14,809,839 $ 14,546,979 |
Advances Advances (Tables)
Advances Advances (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Advances [Abstract] | |
Schedule Of Federal Home Loan Bank Advances By Year Of Contractual Maturity [Table Text Block] | Advance Redemption Terms (dollars in thousands) September 30, 2017 December 31, 2016 Redemption Term Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 35,855,761 1.35 % $ 23,129,060 0.85 % Due after 1 year through 2 years 14,742,828 1.52 21,503,138 1.06 Due after 2 years through 3 years 9,489,896 1.60 14,292,353 1.12 Due after 3 years through 4 years 2,542,579 1.92 5,322,050 1.26 Due after 4 years through 5 years 836,921 2.04 963,105 1.78 Thereafter 4,507,257 2.06 4,697,315 1.75 Total par value 67,975,242 1.50 69,907,021 1.07 Commitment fees (516 ) (534 ) Discount on Affordable Housing Program (AHP) Advances (6,182 ) (7,435 ) Premiums 1,858 2,061 Discounts (4,590 ) (5,994 ) Hedging adjustments (22,408 ) (13,138 ) Fair value option valuation adjustments and accrued interest 52 93 Total $ 67,943,456 $ 69,882,074 Advances by Year of Contractual Maturity or Next Call Date (in thousands) Year of Contractual Maturity or Next Call Date September 30, 2017 December 31, 2016 Due in 1 year or less $ 42,309,016 $ 33,831,156 Due after 1 year through 2 years 13,945,871 15,901,805 Due after 2 years through 3 years 6,891,163 13,608,214 Due after 3 years through 4 years 2,946,784 2,982,425 Due after 4 years through 5 years 552,151 2,243,105 Thereafter 1,330,257 1,340,316 Total par value $ 67,975,242 $ 69,907,021 Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions) September 30, 2017 December 31, 2016 Principal % of Total Par Value of Advances Principal % of Total Par Value of Advances JPMorgan Chase Bank, N.A. $ 25,850 38 % JPMorgan Chase Bank, N.A. $ 32,300 46 % U.S. Bank, N.A. 7,453 11 U.S. Bank, N.A. 8,563 12 Fifth Third Bank 4,717 7 Total $ 40,863 58 % Third Federal Savings and Loan Association 3,669 5 Total $ 41,689 61 % Advances by Interest Rate Payment Terms (in thousands) September 30, 2017 December 31, 2016 Total fixed-rate (1) $ 31,512,306 $ 24,700,450 Total variable-rate (1) 36,462,936 45,206,571 Total par value $ 67,975,242 $ 69,907,021 (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 by Year of Contractual Maturity or Next Put Date for Putable Advances (in thousands) Year of Contractual Maturity or Next Put Date September 30, 2017 December 31, 2016 Due in 1 year or less $ 36,071,261 $ 23,499,560 Due after 1 year through 2 years 14,637,328 21,248,138 Due after 2 years through 3 years 9,489,896 14,286,853 Due after 3 years through 4 years 2,542,579 5,322,050 Due after 4 years through 5 years 836,921 963,105 Thereafter 4,397,257 4,587,315 Total par value $ 67,975,242 $ 69,907,021 |
Mortgage Loans Held for Portf36
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands) September 30, 2017 December 31, 2016 Unpaid principal balance: Conventional mortgage loans $ 8,939,890 $ 8,534,542 Federal Housing Administration (FHA) mortgage loans 339,643 391,131 Total unpaid principal balance $ 9,279,533 $ 8,925,673 Mortgage Loans Held for Portfolio (in thousands) September 30, 2017 December 31, 2016 Unpaid principal balance: Fixed rate medium-term single-family mortgage loans (1) $ 1,175,946 $ 1,320,585 Fixed rate long-term single-family mortgage loans 8,103,587 7,605,088 Total unpaid principal balance 9,279,533 8,925,673 Premiums 215,517 211,058 Discounts (3,374 ) (3,740 ) Hedging basis adjustments (2) 12,880 16,869 Total mortgage loans held for portfolio $ 9,504,556 $ 9,149,860 (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. |
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) September 30, 2017 December 31, 2016 Principal % of Total Principal % of Total Union Savings Bank $ 3,150 34 % Union Savings Bank $ 2,886 32 % Guardian Savings Bank FSB 910 10 Guardian Savings Bank FSB 855 10 PNC Bank, N.A. (1) 549 6 PNC Bank, N.A. (1) 660 7 (1) Former member. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Receivables [Abstract] | |
Allowance for Credit Losses on Financing Receivables [Table Text Block] | Allowance for Credit Losses and Recorded Investment on Conventional Mortgage Loans by Impairment Methodology (in thousands) September 30, 2017 December 31, 2016 Allowance for credit losses: Collectively evaluated for impairment $ 1,300 $ 1,142 Individually evaluated for impairment — — Total allowance for credit losses $ 1,300 $ 1,142 Recorded investment: Collectively evaluated for impairment $ 9,180,476 $ 8,772,681 Individually evaluated for impairment 10,230 9,889 Total recorded investment $ 9,190,706 $ 8,782,570 Rollforward of Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) Three Months Ended September 30, 2017 2016 Balance, beginning of period $ 970 $ 1,217 Net charge offs (170 ) (78 ) Provision for credit losses 500 — Balance, end of period $ 1,300 $ 1,139 Nine Months Ended September 30, 2017 2016 Balance, beginning of period $ 1,142 $ 1,686 Net charge offs (342 ) (547 ) Provision for credit losses 500 — Balance, end of period $ 1,300 $ 1,139 |
Changes in LRA [Table Text Block] | Changes in the LRA (in thousands) Nine Months Ended September 30, 2017 LRA at beginning of year $ 187,684 Additions 14,842 Claims (427 ) Scheduled distributions (6,243 ) LRA at end of period $ 195,856 |
Past Due Financing Receivables [Table Text Block] | Recorded Investment in Delinquent Mortgage Loans (dollars in thousands) September 30, 2017 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 31,345 $ 21,224 $ 52,569 Past due 60-89 days delinquent 8,386 5,628 14,014 Past due 90 days or more delinquent 17,795 10,412 28,207 Total past due 57,526 37,264 94,790 Total current mortgage loans 9,133,180 307,223 9,440,403 Total mortgage loans $ 9,190,706 $ 344,487 $ 9,535,193 Other delinquency statistics: In process of foreclosure, included above (1) $ 10,979 $ 5,699 $ 16,678 Serious delinquency rate (2) 0.20 % 3.06 % 0.31 % Past due 90 days or more still accruing interest (3) $ 16,312 $ 10,412 $ 26,724 Loans on non-accrual status, included above $ 3,045 $ — $ 3,045 December 31, 2016 Conventional MPP Loans FHA Loans Total Past due 30-59 days delinquent $ 39,409 $ 23,206 $ 62,615 Past due 60-89 days delinquent 9,350 8,275 17,625 Past due 90 days or more delinquent 21,773 14,054 35,827 Total past due 70,532 45,535 116,067 Total current mortgage loans 8,712,038 351,299 9,063,337 Total mortgage loans $ 8,782,570 $ 396,834 $ 9,179,404 Other delinquency statistics: In process of foreclosure, included above (1) $ 15,412 $ 5,841 $ 21,253 Serious delinquency rate (2) 0.26 % 3.59 % 0.40 % Past due 90 days or more still accruing interest (3) $ 19,408 $ 14,054 $ 33,462 Loans on non-accrual status, included above $ 3,908 $ — $ 3,908 (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. |
Impaired Financing Receivables [Table Text Block] | Average Recorded Investment of Individually Evaluated Impaired Loans and Related Interest Income Recognized (in thousands) Three Months Ended September 30, 2017 2016 Individually impaired loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Conventional MPP Loans $ 9,771 $ 114 $ 9,620 $ 122 Nine Months Ended September 30, 2017 2016 Individually impaired loans Average Recorded Investment Interest Income Recognized Average Recorded Investment Interest Income Recognized Conventional MPP Loans $ 8,952 $ 316 $ 9,343 $ 357 Individually Evaluated Impaired Loan Statistics by Product Class Level (in thousands) September 30, 2017 December 31, 2016 Conventional MPP loans Recorded Investment Unpaid Principal Balance Related Allowance Recorded Investment Unpaid Principal Balance Related Allowance With no related allowance $ 10,230 $ 10,034 $ — $ 9,889 $ 9,708 $ — With an allowance — — — — — — Total $ 10,230 $ 10,034 $ — $ 9,889 $ 9,708 $ — |
Derivatives and Hedging Activ38
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,846,399 $ 36,184 $ 15,380 Derivatives not designated as hedging instruments: Interest rate swaps 6,032,265 1,401 56,482 Interest rate swaptions 1,800,000 5,675 — Forward rate agreements 361,000 1,863 1 Mortgage delivery commitments 361,482 1,918 419 Total derivatives not designated as hedging instruments 8,554,747 10,857 56,902 Total derivatives before adjustments $ 14,401,146 47,041 72,282 Netting adjustments, cash collateral and variation margin for daily settled contracts (1) 32,469 (68,613 ) Total derivative assets and total derivative liabilities $ 79,510 $ 3,669 December 31, 2016 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 5,660,420 $ 37,379 $ 26,610 Derivatives not designated as hedging instruments: Interest rate swaps 8,199,000 2,135 64,661 Interest rate swaptions 2,346,000 13,335 — Forward rate agreements 511,000 681 166 Mortgage delivery commitments 440,849 319 10,628 Total derivatives not designated as hedging instruments 11,496,849 16,470 75,455 Total derivatives before adjustments $ 17,157,269 53,849 102,065 Netting adjustments and cash collateral (1) 50,904 (84,191 ) Total derivative assets and total derivative liabilities $ 104,753 $ 17,874 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $78,424 and $180,169 at September 30, 2017 and December 31, 2016 . Cash collateral received and related accrued interest was (in thousands) $33,399 and $45,074 at September 30, 2017 and December 31, 2016 . Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 and $ 0 at December 31, 2016 . |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Net (Losses) Gains on Derivatives and Hedging Activities (in thousands) Three Months Ended September 30, 2017 2016 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 86 $ 245 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps (621 ) (20,584 ) Interest rate swaptions (3,579 ) (1,318 ) Forward rate agreements (2,581 ) (5,824 ) Net interest settlements (3,338 ) 4,166 Mortgage delivery commitments 3,212 5,688 Total net losses related to derivatives not designated as hedging instruments (6,907 ) (17,872 ) Other (1) 136 — Net losses on derivatives and hedging activities $ (6,685 ) $ (17,627 ) Nine Months Ended September 30, 2017 2016 Derivatives and hedged items in fair value hedging relationships: Interest rate swaps $ 226 $ (2,625 ) Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps 12,212 3,889 Interest rate swaptions (13,948 ) (2,601 ) Forward rate agreements (6,094 ) (24,856 ) Net interest settlements (4,421 ) 9,981 Mortgage delivery commitments 10,089 26,615 Total net (losses) gains related to derivatives not designated as hedging instruments (2,162 ) 13,028 Other (1) 395 — Net (losses) gains on derivatives and hedging activities $ (1,541 ) $ 10,403 (1) Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settled contract. |
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 September 30, 2017 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 $ 7,664 $ (7,596 ) $ 68 $ (3,575 ) Consolidated Bonds 559 (541 ) 18 (604 ) Total $ 8,223 $ (8,137 ) $ 86 $ (4,179 ) 2016 Hedged Item Type: Advances $ 42,213 $ (41,856 ) $ 357 $ (15,340 ) Consolidated Bonds (4,453 ) 4,341 (112 ) 1,383 Total $ 37,760 $ (37,515 ) $ 245 $ (13,957 ) Nine Months Ended September 30, 2017 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 $ 7,365 $ (7,486 ) $ (121 ) $ (15,020 ) Consolidated Bonds 295 52 347 (338 ) Total $ 7,660 $ (7,434 ) $ 226 $ (15,358 ) 2016 Hedged Item Type: Advances $ (12,012 ) $ 9,615 $ (2,397 ) $ (48,736 ) Consolidated Bonds (2,199 ) 1,971 (228 ) 6,821 Total $ (14,211 ) $ 11,586 $ (2,625 ) $ (41,915 ) (1) For fair value hedge relationships, the net effect of derivatives 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) $(497) and $(582) of (amortization)/accretion related to fair value hedging activities for the three months ended September 30, 2017 and 2016 and (in thousands) $(1,784) and $(2,264) for the nine months ended September 30, 2017 and 2016 . |
Offsetting Assets [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands) September 30, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 6,685 $ 11,255 $ 15,506 $ 21,378 Cleared derivatives 36,575 60,607 37,343 69,893 Total gross recognized amount 43,260 71,862 52,849 91,271 Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (1) : Uncleared derivatives (6,544 ) (8,006 ) (14,737 ) (14,298 ) Cleared derivatives 39,013 (60,607 ) 65,641 (69,893 ) Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (1) 32,469 (68,613 ) 50,904 (84,191 ) Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts: Uncleared derivatives 141 3,249 769 7,080 Cleared derivatives 75,588 — 102,984 — Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts 75,729 3,249 103,753 7,080 Derivative instruments not meeting netting requirements (2) : Uncleared derivatives 3,781 420 1,000 10,794 Total derivative instruments not meeting netting requirements (2) 3,781 420 1,000 10,794 Total derivative assets and total derivative liabilities: Uncleared derivatives 3,922 3,669 1,769 17,874 Cleared derivatives 75,588 — 102,984 — Total derivative assets and total derivative liabilities $ 79,510 $ 3,669 $ 104,753 $ 17,874 (1) Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Offsetting Liabilities [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands) September 30, 2017 December 31, 2016 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 6,685 $ 11,255 $ 15,506 $ 21,378 Cleared derivatives 36,575 60,607 37,343 69,893 Total gross recognized amount 43,260 71,862 52,849 91,271 Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (1) : Uncleared derivatives (6,544 ) (8,006 ) (14,737 ) (14,298 ) Cleared derivatives 39,013 (60,607 ) 65,641 (69,893 ) Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts (1) 32,469 (68,613 ) 50,904 (84,191 ) Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts: Uncleared derivatives 141 3,249 769 7,080 Cleared derivatives 75,588 — 102,984 — Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts 75,729 3,249 103,753 7,080 Derivative instruments not meeting netting requirements (2) : Uncleared derivatives 3,781 420 1,000 10,794 Total derivative instruments not meeting netting requirements (2) 3,781 420 1,000 10,794 Total derivative assets and total derivative liabilities: Uncleared derivatives 3,922 3,669 1,769 17,874 Cleared derivatives 75,588 — 102,984 — Total derivative assets and total derivative liabilities $ 79,510 $ 3,669 $ 104,753 $ 17,874 (1) Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits (Tables)
Deposits (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component [Table Text Block] | Deposits (in thousands) September 30, 2017 December 31, 2016 Interest bearing: Demand and overnight $ 568,802 $ 611,432 Term 40,900 149,350 Other 5,912 4,521 Total interest bearing 615,614 765,303 Non-interest bearing: Other 2,060 576 Total non-interest bearing 2,060 576 Total deposits $ 617,674 $ 765,879 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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) September 30, 2017 $ 49,539,728 $ 49,604,987 1.04 % December 31, 2016 $ 44,689,662 $ 44,710,521 0.46 % (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) September 30, 2017 December 31, 2016 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 20,586,265 1.25 % $ 20,970,750 0.87 % Due after 1 year through 2 years 8,827,800 1.37 12,811,000 1.12 Due after 2 years through 3 years 5,127,065 1.94 4,359,000 1.81 Due after 3 years through 4 years 5,572,500 1.85 3,566,000 1.95 Due after 4 years through 5 years 3,119,000 2.27 4,970,000 1.87 Thereafter 6,036,000 2.71 6,496,000 2.65 Total par value 49,268,630 1.66 53,172,750 1.39 Premiums 86,825 84,275 Discounts (30,687 ) (32,804 ) Hedging adjustments (2,916 ) (2,865 ) Fair value option valuation adjustment and accrued interest (23,467 ) (30,490 ) Total $ 49,298,385 $ 53,190,866 |
Schedule Of Consolidated Obligation Bonds By Call Feature [Table Text Block] | Consolidated Bonds Outstanding by Call Features (in thousands) September 30, 2017 December 31, 2016 Par value of Consolidated Bonds: Non-callable $ 41,913,630 $ 46,007,750 Callable 7,355,000 7,165,000 Total par value $ 49,268,630 $ 53,172,750 |
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 September 30, 2017 December 31, 2016 Due in 1 year or less $ 27,281,265 $ 26,489,750 Due after 1 year through 2 years 8,078,800 12,006,000 Due after 2 years through 3 years 4,171,065 3,894,000 Due after 3 years through 4 years 3,657,500 2,805,000 Due after 4 years through 5 years 2,456,000 3,964,000 Thereafter 3,624,000 4,014,000 Total par value $ 49,268,630 $ 53,172,750 |
Schedule Of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | Consolidated Bonds by Interest-rate Payment Type (in thousands) September 30, 2017 December 31, 2016 Par value of Consolidated Bonds: Fixed-rate $ 34,058,630 $ 34,682,750 Variable-rate 15,210,000 18,290,000 Step-up — 200,000 Total par value $ 49,268,630 $ 53,172,750 |
Affordable Housing Program (A41
Affordable Housing Program (AHP) (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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, 2016 $ 104,883 Assessments (current year additions) 25,727 Subsidy uses, net (24,010 ) Balance at September 30, 2017 $ 106,600 |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | Capital Requirements (dollars in thousands) September 30, 2017 December 31, 2016 Minimum Requirement Actual Minimum Requirement Actual Risk-based capital $ 857,807 $ 5,175,544 $ 579,629 $ 5,026,133 Capital-to-assets ratio (regulatory) 4.00 % 4.92 % 4.00 % 4.80 % Regulatory capital $ 4,210,021 $ 5,175,544 $ 4,185,411 $ 5,026,133 Leverage capital-to-assets ratio (regulatory) 5.00 % 7.38 % 5.00 % 7.21 % Leverage capital $ 5,262,526 $ 7,763,316 $ 5,231,764 $ 7,539,200 |
Schedule of Mandatorily Redeemable Capital Stock [Table Text Block] | Mandatorily Redeemable Capital Stock Roll Forward (in thousands) Balance, December 31, 2016 $ 34,782 Capital stock subject to mandatory redemption reclassified from equity 269,403 Redemption (or other reduction) of mandatorily redeemable capital stock (272,771 ) Balance, September 30, 2017 $ 31,414 |
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 September 30, 2017 December 31, 2016 Year 1 $ 23 $ — Year 2 1,819 29 Year 3 421 2,264 Year 4 2,790 865 Year 5 5,577 6,307 Thereafter (1) 610 623 Past contractual redemption date due to remaining activity (2) 20,174 24,694 Total $ 31,414 $ 34,782 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, will have their membership terminated no later than February 19, 2021. Captive insurance companies that were admitted as FHLB members on or after September 12, 2014, had their membership terminated no later than February 19, 2017. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. (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 Comprehensi43
Accumulated Other Comprehensive (Loss) Income (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive (loss) income BALANCE, JUNE 30, 2016 $ 67 $ (12,177 ) $ (12,110 ) Other comprehensive income before reclassification: Net unrealized gains 161 — 161 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 591 591 Net current period other comprehensive income 161 591 752 BALANCE, SEPTEMBER 30, 2016 $ 228 $ (11,586 ) $ (11,358 ) BALANCE, JUNE 30, 2017 $ 4 $ (12,426 ) $ (12,422 ) Other comprehensive income before reclassification: Net unrealized gains 13 — 13 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 427 427 Net current period other comprehensive income 13 427 440 BALANCE, SEPTEMBER 30, 2017 $ 17 $ (11,999 ) $ (11,982 ) Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive (loss) income BALANCE, DECEMBER 31, 2015 $ 81 $ (13,358 ) $ (13,277 ) Other comprehensive income before reclassification: Net unrealized gains 147 — 147 Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 1,772 1,772 Net current period other comprehensive income 147 1,772 1,919 BALANCE, SEPTEMBER 30, 2016 $ 228 $ (11,586 ) $ (11,358 ) BALANCE, DECEMBER 31, 2016 $ 23 $ (13,279 ) $ (13,256 ) Other comprehensive income before reclassification: Net unrealized losses (6 ) — (6 ) Reclassifications from other comprehensive income to net income: Amortization - pension and postretirement benefits — 1,280 1,280 Net current period other comprehensive (loss) income (6 ) 1,280 1,274 BALANCE, SEPTEMBER 30, 2017 $ 17 $ (11,999 ) $ (11,982 ) |
Pension and Postretirement Be44
Pension and Postretirement Benefit Plans (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Retirement Benefits [Abstract] | |
Schedule of Defined Benefit Plans Disclosures [Table Text Block] | Net Periodic Benefit Cost (in thousands) Three Months Ended September 30, Defined Benefit Retirement Plan Postretirement Benefits Plan 2017 2016 2017 2016 Net Periodic Benefit Cost Service cost $ 220 $ 182 $ 7 $ 12 Interest cost 342 329 50 55 Amortization of net loss 426 579 1 12 Net periodic benefit cost $ 988 $ 1,090 $ 58 $ 79 Nine Months Ended September 30, Defined Benefit Postretirement Benefits Plan 2017 2016 2017 2016 Net Periodic Benefit Cost Service cost $ 661 $ 547 $ 21 $ 37 Interest cost 1,026 988 148 164 Amortization of net loss 1,276 1,737 4 35 Net periodic benefit cost $ 2,963 $ 3,272 $ 173 $ 236 |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment [Table Text Block] | Asset Balances by Operating Segment (in thousands) Assets Traditional Member MPP Total September 30, 2017 $ 94,564,865 $ 10,685,650 $ 105,250,515 December 31, 2016 95,456,372 9,178,909 104,635,281 Financial Performance by Operating Segment (in thousands) Three Months Ended September 30, Traditional Member Finance MPP Total 2017 Net interest income $ 86,617 $ 23,781 $ 110,398 Provision for credit losses — 500 500 Net interest income after provision for credit losses 86,617 23,281 109,898 Non-interest (loss) income (1,988 ) (1,222 ) (3,210 ) Non-interest expense 17,370 2,860 20,230 Income before assessments 67,259 19,199 86,458 Affordable Housing Program assessments 6,821 1,920 8,741 Net income $ 60,438 $ 17,279 $ 77,717 2016 Net interest income after provision for credit losses $ 74,280 $ 19,113 $ 93,393 Non-interest (loss) income (3,489 ) (698 ) (4,187 ) Non-interest expense 18,728 2,744 21,472 Income before assessments 52,063 15,671 67,734 Affordable Housing Program assessments 5,294 1,567 6,861 Net income $ 46,769 $ 14,104 $ 60,873 Nine Months Ended September 30, Traditional Member Finance MPP Total 2017 Net interest income $ 248,607 $ 70,832 $ 319,439 Provision for credit losses — 500 500 Net interest income after provision for credit losses 248,607 70,332 318,939 Non-interest (loss) income (914 ) (2,953 ) (3,867 ) Non-interest expense 51,490 8,346 59,836 Income before assessments 196,203 59,033 255,236 Affordable Housing Program assessments 19,823 5,904 25,727 Net income $ 176,380 $ 53,129 $ 229,509 2016 Net interest income after provision for credit losses $ 209,994 $ 54,854 $ 264,848 Non-interest (loss) income (2,447 ) 687 (1,760 ) Non-interest expense 55,978 8,141 64,119 Income before assessments 151,569 47,400 198,969 Affordable Housing Program assessments 15,454 4,740 20,194 Net income $ 136,115 $ 42,660 $ 178,775 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Fair Value Summary (in thousands) September 30, 2017 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Assets: Cash and due from banks $ 8,383 $ 8,383 $ 8,383 $ — $ — $ — Interest-bearing deposits 154 154 — 154 — — Securities purchased under agreements to resell 1,804,271 1,804,270 — 1,804,270 — — Federal funds sold 10,410,000 10,410,000 — 10,410,000 — — Trading securities 835 835 — 835 — — Available-for-sale securities 550,017 550,017 — 550,017 — — Held-to-maturity securities 14,809,839 14,757,413 — 14,757,413 — — Advances (2) 67,943,456 67,993,978 — 67,993,978 — — Mortgage loans held for portfolio, net 9,503,256 9,593,354 — 9,574,805 18,549 — Accrued interest receivable 126,411 126,411 — 126,411 — — Derivative assets 79,510 79,510 — 47,041 — 32,469 Liabilities: Deposits 617,674 617,579 — 617,579 — — Consolidated Obligations: Discount Notes 49,539,728 49,542,272 — 49,542,272 — — Bonds (3) 49,298,385 49,435,599 — 49,435,599 — — Mandatorily redeemable capital stock 31,414 31,414 31,414 — — — Accrued interest payable 137,272 137,272 — 137,272 — — Derivative liabilities 3,669 3,669 — 72,282 — (68,613 ) Other: Standby bond purchase agreements — 354 — 354 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) Includes (in thousands) $15,052 of Advances recorded under the fair value option at September 30, 2017 . (3) Includes (in thousands) $5,810,798 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2017 . December 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 $ 8,737 $ 8,737 $ 8,737 $ — $ — $ — Interest-bearing deposits 129 129 — 129 — — Securities purchased under agreements to resell 5,229,487 5,229,487 — 5,229,487 — — Federal funds sold 4,257,000 4,257,000 — 4,257,000 — — Trading securities 970 970 — 970 — — Available-for-sale securities 1,300,023 1,300,023 — 1,300,023 — — Held-to-maturity securities 14,546,979 14,413,231 — 14,413,231 — — Advances (2) 69,882,074 69,842,730 — 69,842,730 — — Mortgage loans held for portfolio, net 9,148,718 9,174,790 — 9,152,186 22,604 — Accrued interest receivable 109,886 109,886 — 109,886 — — Derivative assets 104,753 104,753 — 53,849 — 50,904 Liabilities: Deposits 765,879 765,628 — 765,628 — — Consolidated Obligations: Discount Notes 44,689,662 44,689,594 — 44,689,594 — — Bonds (3) 53,190,866 53,278,571 — 53,278,571 — — Mandatorily redeemable capital stock 34,782 34,782 34,782 — — — Accrued interest payable 119,322 119,322 — 119,322 — — Derivative liabilities 17,874 17,874 — 102,065 — (84,191 ) Other: Standby bond purchase agreements — 708 — 708 — — (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) $15,093 of Advances recorded under the fair value option at December 31, 2016 . (3) Includes (in thousands) $7,895,510 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2016 . |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | Fair Value Measurements (in thousands) Fair Value Measurements at September 30, 2017 Total Level 1 Level 2 Level 3 Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts (1) Recurring fair value measurements - Assets Trading securities: Other U.S. obligation single-family mortgage-backed securities $ 835 $ — $ 835 $ — $ — Available-for-sale securities: Certificates of deposit 550,017 — 550,017 — — Advances 15,052 — 15,052 — — Derivative assets: Interest rate related 75,729 — 43,260 — 32,469 Forward rate agreements 1,863 — 1,863 — — Mortgage delivery commitments 1,918 — 1,918 — — Total derivative assets 79,510 — 47,041 — 32,469 Total assets at fair value $ 645,414 $ — $ 612,945 $ — $ 32,469 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 5,810,798 $ — $ 5,810,798 $ — $ — Derivative liabilities: Interest rate related 3,249 — 71,862 — (68,613 ) Forward rate agreement 1 — 1 — — Mortgage delivery commitments 419 — 419 — — Total derivative liabilities 3,669 — 72,282 — (68,613 ) Total liabilities at fair value $ 5,814,467 $ — $ 5,883,080 $ — $ (68,613 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 496 $ — $ — $ 496 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 . (2) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2017 . Fair Value Measurements at December 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 $ 970 $ — $ 970 $ — $ — Available-for-sale securities: Certificates of deposit 1,300,023 — 1,300,023 — — Advances 15,093 — 15,093 — — Derivative assets: Interest rate related 103,753 — 52,849 — 50,904 Forward rate agreements 681 — 681 — — Mortgage delivery commitments 319 — 319 — — Total derivative assets 104,753 — 53,849 — 50,904 Total assets at fair value $ 1,420,839 $ — $ 1,369,935 $ — $ 50,904 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 7,895,510 $ — $ 7,895,510 $ — $ — Derivative liabilities: Interest rate related 7,080 — 91,271 — (84,191 ) Forward rate agreements 166 — 166 — — Mortgage delivery commitments 10,628 — 10,628 — — Total derivative liabilities 17,874 — 102,065 — (84,191 ) Total liabilities at fair value $ 7,913,384 $ — $ 7,997,575 $ — $ (84,191 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 1,388 $ — $ — $ 1,388 (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, 2016 . |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) September 30, 2017 December 31, 2016 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 $ 15,052 $ 52 $ 15,000 $ 15,093 $ 93 Consolidated Bonds 5,834,265 5,810,798 (23,467 ) 7,926,000 7,895,510 (30,490 ) (1) At September 30, 2017 and December 31, 2016 , 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) | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Off-Balance Sheet Commitments (in thousands) September 30, 2017 December 31, 2016 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 $ 16,618,345 $ 177,902 $ 16,796,247 $ 17,029,024 $ 479,119 $ 17,508,143 Commitments for standby bond purchases 27,230 44,645 71,875 28,810 77,240 106,050 Commitments to purchase mortgage loans 361,482 — 361,482 440,849 — 440,849 Unsettled Consolidated Discount Notes, at par (1) 22,827 — 22,827 5,500 — 5,500 (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Transactions with Other FHLBa48
Transactions with Other FHLBanks Transactions with Other FHLBanks (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Other FHLBanks [Member] | |
Schedule of Other Transactions [Line Items] | |
Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands) Average Daily Balances for the Nine Months Ended September 30, 2017 2016 Loans to other FHLBanks $ 18 $ — Borrowings from other FHLBanks 916 — |
Transactions with Stockholders
Transactions with Stockholders (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
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 September 30, 2017 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,059 25 % $ 25,850 $ — U.S. Bank, N.A. 593 14 7,453 24 The Huntington National Bank 282 7 307 423 Fifth Third Bank 248 6 4,717 2 Regulatory Capital Stock Advance MPP Unpaid December 31, 2016 Balance % of Total Principal Principal Balance JPMorgan Chase Bank, N.A. $ 1,317 31 % $ 32,300 $ — U.S. Bank, N.A. 475 11 8,563 27 Fifth Third Bank 248 6 2,517 2 The Huntington National Bank 244 6 2,433 388 |
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) September 30, 2017 December 31, 2016 Balance % of Total (1) Balance % of Total (1) Advances $ 3,444 5.1 % $ 3,947 5.6 % MPP 111 1.2 234 2.6 Regulatory capital stock 185 4.3 166 4.0 (1) Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Background Information (Details
Background Information (Details) | Sep. 30, 2017Banks |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Summary of Significant Accoun51
Summary of Significant Accounting Policies Change in Accounting Principle (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Mortgage loans held for portfolio, net | $ 9,503,256 | $ 9,503,256 | $ 9,148,718 | |||
Total assets | 105,250,515 | 105,250,515 | 104,635,281 | |||
Affordable Housing Program payable | 106,600 | 106,600 | 104,883 | |||
Total liabilities | 100,118,367 | 100,118,367 | 99,657,186 | |||
Retained Earnings, Unrestricted | 608,393 | 608,393 | 574,122 | |||
Retained Earnings, Appropriated | 306,187 | 306,187 | 260,285 | |||
Total retained earnings | 914,580 | 914,580 | 834,407 | |||
Total capital | 5,132,148 | $ 4,899,173 | 5,132,148 | $ 4,899,173 | 4,978,095 | $ 5,153,125 |
Total liabilities and capital | 105,250,515 | 105,250,515 | $ 104,635,281 | |||
Interest income - mortgage loans held for portfolio | 74,716 | 64,254 | 221,432 | 196,146 | ||
Net interest income | 110,398 | 93,393 | 319,439 | 264,848 | ||
Income before assessments | 86,458 | 67,734 | 255,236 | 198,969 | ||
Affordable Housing Program assessments | 8,741 | 6,861 | 25,727 | 20,194 | ||
Net income | 77,717 | 60,873 | 229,509 | 178,775 | ||
Comprehensive Income | $ 78,157 | 61,625 | 230,783 | 180,694 | ||
Depreciation, Amortization and Accretion, Net | 52,482 | 35,038 | ||||
Increase (Decrease) in Other Operating Liabilities | 9,034 | 14,532 | ||||
Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities | 106,214 | 61,894 | ||||
Net Cash Provided by (Used in) Operating Activities, Continuing Operations | $ 335,723 | 240,669 | ||||
Change in Amortization and Accretion Method [Member] | ||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Mortgage loans held for portfolio, net | 8,810,907 | 8,810,907 | ||||
Total assets | 101,546,643 | 101,546,643 | ||||
Affordable Housing Program payable | 99,908 | 99,908 | ||||
Total liabilities | 96,647,470 | 96,647,470 | ||||
Retained Earnings, Unrestricted | 545,044 | 545,044 | ||||
Retained Earnings, Appropriated | 242,403 | 242,403 | ||||
Total retained earnings | 787,447 | 787,447 | 737,646 | |||
Total capital | 4,899,173 | 4,899,173 | ||||
Total liabilities and capital | 101,546,643 | 101,546,643 | ||||
Interest income - mortgage loans held for portfolio | 64,254 | 196,146 | ||||
Net interest income | 93,393 | 264,848 | ||||
Income before assessments | 67,734 | 198,969 | ||||
Affordable Housing Program assessments | 6,861 | 20,194 | ||||
Net income | 60,873 | 178,775 | ||||
Comprehensive Income | 61,625 | 180,694 | ||||
Depreciation, Amortization and Accretion, Net | 35,038 | |||||
Increase (Decrease) in Other Operating Liabilities | 14,532 | |||||
Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities | 61,894 | |||||
Net Cash Provided by (Used in) Operating Activities, Continuing Operations | 240,669 | |||||
Change in Amortization and Accretion Method [Member] | Scenario, Previously Reported [Member] | ||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Mortgage loans held for portfolio, net | 8,820,321 | 8,820,321 | ||||
Total assets | 101,556,057 | 101,556,057 | ||||
Affordable Housing Program payable | 98,056 | 98,056 | ||||
Total liabilities | 96,645,618 | 96,645,618 | ||||
Retained Earnings, Unrestricted | 556,853 | 556,853 | ||||
Retained Earnings, Appropriated | 241,860 | 241,860 | ||||
Total retained earnings | 798,713 | 798,713 | 765,577 | |||
Total capital | 4,910,439 | 4,910,439 | ||||
Total liabilities and capital | 101,556,057 | 101,556,057 | ||||
Interest income - mortgage loans held for portfolio | 60,381 | 177,629 | ||||
Net interest income | 89,520 | 246,331 | ||||
Income before assessments | 63,861 | 180,452 | ||||
Affordable Housing Program assessments | 6,474 | 18,342 | ||||
Net income | 57,387 | 162,110 | ||||
Comprehensive Income | 58,139 | 164,029 | ||||
Depreciation, Amortization and Accretion, Net | 53,555 | |||||
Increase (Decrease) in Other Operating Liabilities | 12,680 | |||||
Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities | 78,559 | |||||
Net Cash Provided by (Used in) Operating Activities, Continuing Operations | 240,669 | |||||
Change in Amortization and Accretion Method [Member] | Restatement Adjustment [Member] | ||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Mortgage loans held for portfolio, net | (9,414) | (9,414) | ||||
Total assets | (9,414) | (9,414) | ||||
Affordable Housing Program payable | 1,852 | 1,852 | ||||
Total liabilities | 1,852 | 1,852 | ||||
Retained Earnings, Unrestricted | (11,809) | (11,809) | ||||
Retained Earnings, Appropriated | 543 | 543 | ||||
Total retained earnings | (11,266) | (11,266) | $ (27,931) | |||
Total capital | (11,266) | (11,266) | ||||
Total liabilities and capital | (9,414) | (9,414) | ||||
Interest income - mortgage loans held for portfolio | 3,873 | 18,517 | ||||
Net interest income | 3,873 | 18,517 | ||||
Income before assessments | 3,873 | 18,517 | ||||
Affordable Housing Program assessments | 387 | 1,852 | ||||
Change in Accounting Principle, Effect of Change on Net Income | 3,486 | 16,665 | ||||
Comprehensive Income | $ 3,486 | 16,665 | ||||
Depreciation, Amortization and Accretion, Net | (18,517) | |||||
Increase (Decrease) in Other Operating Liabilities | 1,852 | |||||
Adjustments to Reconcile Net Income (Loss) to Cash Provided by (Used in) Operating Activities | (16,665) | |||||
Net Cash Provided by (Used in) Operating Activities, Continuing Operations | $ 0 |
Trading Securities (Trading Sec
Trading Securities (Trading Securities by Major Type) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 835 | $ 970 |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 835 | $ 970 |
Trading Securities (Net (Losses
Trading Securities (Net (Losses) Gains on Trading Securities) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Trading Securities [Abstract] | ||||
Net losses on trading securities held at period end | $ (5) | $ (2) | ||
Net losses on trading securities | $ (1) | $ (3) | $ (5) | $ (2) |
Available-for-Sale Securities54
Available-for-Sale Securities (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Debt Securities, Amortized Cost Basis | $ 550,000,000 | $ 1,300,000,000 | |
Available For Sale Debt Securities Gross Unrealized Gain Accumulated In Investments | 17,000 | 38,000 | |
Available-for-sale Securities, Gross Unrealized Losses | 0 | (15,000) | |
Available-for-sale securities | 550,017,000 | 1,300,023,000 | |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Amortized Cost Basis | 550,000,000 | 1,300,000,000 | |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 550,017,000 | 1,300,023,000 | |
Available-for-sale Securities, Gross Realized Gain (Loss), Excluding Other than Temporary Impairments | 0 | $ 0 | |
Fixed-rate [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Debt Securities, Amortized Cost Basis | 550,000,000 | 1,300,000,000 | |
Certificates of Deposit [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Debt Securities, Amortized Cost Basis | 550,000,000 | 1,300,000,000 | |
Available For Sale Debt Securities Gross Unrealized Gain Accumulated In Investments | 17,000 | 38,000 | |
Available-for-sale Securities, Gross Unrealized Losses | 0 | (15,000) | |
Available-for-sale securities | $ 550,017,000 | $ 1,300,023,000 |
Held-to-Maturity Securities Nar
Held-to-Maturity Securities Narrative (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Held-to-maturity Securities, Unclassified [Abstract] | ||
Held-to-maturity Securities, Sold Security, Realized Gain (Loss), Excluding Other than Temporary Impairments | $ 0 | $ 0 |
Held-to-Maturity Securities (Ma
Held-to-Maturity Securities (Major Security Types) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | $ 14,809,839 | $ 14,546,979 |
Held-to-maturity Securities | [3] | 14,809,839 | 14,546,979 |
Held-to-maturity Securities, Unrecognized Holding Gain | 53,926 | 40,803 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (106,352) | (174,551) | |
Held-to-maturity Securities, Fair Value | 14,757,413 | 14,413,231 | |
US Treasury Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [2] | 33,938 | |
Held-to-maturity Securities | 33,938 | 0 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 1 | ||
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | ||
Held-to-maturity Securities, Fair Value | 33,939 | ||
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 | [2] | 31,279 | |
Held-to-maturity Securities | 0 | 31,279 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 1 | ||
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | ||
Held-to-maturity Securities, Fair Value | 31,280 | ||
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] | 33,938 | 31,279 |
Held-to-maturity Securities | 33,938 | 31,279 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 1 | 1 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Held-to-maturity Securities, Fair Value | 33,939 | 31,280 | |
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 | [2] | 2,720,628 | 3,183,219 |
Held-to-maturity Securities | 2,720,628 | 3,183,219 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 5,538 | 3,653 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (11,312) | (23,151) | |
Held-to-maturity Securities, Fair Value | 2,714,854 | 3,163,721 | |
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] | 14,775,901 | 14,515,700 |
Held-to-maturity Securities | [4] | 14,775,901 | 14,515,700 |
Held-to-maturity Securities, Unrecognized Holding Gain | 53,925 | 40,802 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (106,352) | (174,551) | |
Held-to-maturity Securities, Fair Value | [4] | 14,723,474 | 14,381,951 |
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 | [2] | 7,058,885 | 8,186,733 |
Held-to-maturity Securities | 7,058,885 | 8,186,733 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 44,276 | 36,161 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (93,744) | (147,494) | |
Held-to-maturity Securities, Fair Value | 7,009,417 | 8,075,400 | |
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 | [2] | 4,996,388 | 3,145,748 |
Held-to-maturity Securities | 4,996,388 | 3,145,748 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 4,111 | 988 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (1,296) | (3,906) | |
Held-to-maturity Securities, Fair Value | $ 4,999,203 | $ 3,142,830 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. | ||
[3] | Fair values: $14,757,413 and $14,413,231 at September 30, 2017 and December 31, 2016, respectively. | ||
[4] | Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities (Ne
Held-to-Maturity Securities (Net Premuims) (Details) - Collateralized Mortgage Backed Securities [Member] - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held To Maturity Securities, Premiums | $ 51,801 | $ 60,519 |
Held-to-maturity Securities, Discounts | (25,469) | (31,474) |
Held-to-maturity Securities, Premiums (Discounts), Net | $ 26,332 | $ 29,045 |
Held-to-Maturity Securities (Co
Held-to-Maturity Securities (Continuous Unrealized Loss Position) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-maturity Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 5,967,104 | $ 8,597,524 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (44,183) | (117,176) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 2,170,758 | 1,193,241 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (62,169) | (57,375) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 8,137,862 | 9,790,765 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | (106,352) | (174,551) |
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 | 1,453,423 | 2,151,584 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (11,312) | (23,151) |
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 | 1,453,423 | 2,151,584 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | (11,312) | (23,151) |
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 | 2,689,985 | 4,548,897 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (31,828) | (90,119) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 2,034,942 | 1,193,241 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (61,916) | (57,375) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 4,724,927 | 5,742,138 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | (93,744) | (147,494) |
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 | 1,823,696 | 1,897,043 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (1,043) | (3,906) |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 135,816 | 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (253) | 0 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Fair Value | 1,959,512 | 1,897,043 |
Held-to-maturity Securities, Continuous Unrealized Loss Position, Accumulated Loss | $ (1,296) | $ (3,906) |
Held-to-Maturity Securities (59
Held-to-Maturity Securities (Contractual Maturity) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | $ 14,809,839 | $ 14,546,979 |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | 14,809,839 | 14,546,979 |
Held-to-maturity Securities | [3] | 14,809,839 | 14,546,979 |
Held-to-maturity Securities, Fair Value | 14,757,413 | 14,413,231 | |
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 | [1] | 33,938 | 31,279 |
Held-to-maturity Securities, Debt Maturities, After One Through Five Years Amortized Cost | [1] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, After Five Through Ten Years Amortized Cost | [1] | 0 | 0 |
Held-to-maturity Securities, Debt Maturities, After Ten Years Amortized Cost | [1] | 0 | 0 |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | 33,938 | 31,279 |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | 33,938 | 31,279 |
Held-to-maturity Securities, Debt Maturities, within One Year, Net Carrying Amount | 33,938 | 31,279 | |
Held-to-maturity Securities, Debt Maturities, after One Through Five Years, Net Carrying Amount | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, after Five Through Ten Years, Net Carrying Amount | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, after Ten Years, Net Carrying Amount | 0 | 0 | |
Held-to-maturity Securities | 33,938 | 31,279 | |
Held-to-maturity Securities, Debt Maturities, within One Year, Fair Value | 33,939 | 31,280 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 0 | 0 | |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Fair Value | 0 | 0 | |
Held-to-maturity Securities, Fair Value | 33,939 | 31,280 | |
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] | 14,775,901 | 14,515,700 |
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2],[4] | 14,775,901 | 14,515,700 |
Held-to-maturity Securities | [4] | 14,775,901 | 14,515,700 |
Held-to-maturity Securities, Fair Value | [4] | $ 14,723,474 | $ 14,381,951 |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. | ||
[3] | Fair values: $14,757,413 and $14,413,231 at September 30, 2017 and December 31, 2016, respectively. | ||
[4] | Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Held-to-Maturity Securities (In
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity Securities, Amortized Cost before Other than Temporary Impairment | [1],[2] | $ 14,809,839 | $ 14,546,979 |
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] | 33,938 | 31,279 |
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] | 14,775,901 | 14,515,700 |
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 | 33,938 | 31,279 | |
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 | 8,414,225 | 9,706,072 | |
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 | $ 6,361,676 | $ 4,809,628 | |
[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 (Advance Redemption Te
Advances (Advance Redemption Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Advances [Abstract] | |||
Due in 1 year or less | $ 35,855,761 | $ 23,129,060 | |
Due after 1 year through 2 years | 14,742,828 | 21,503,138 | |
Due after 2 years through 3 years | 9,489,896 | 14,292,353 | |
Due after 3 years through 4 years | 2,542,579 | 5,322,050 | |
Due after 4 years through 5 years | 836,921 | 963,105 | |
Thereafter | 4,507,257 | 4,697,315 | |
Federal Home Loan Bank, Advances, Par Value, Total | 67,975,242 | 69,907,021 | |
Commitment Fees on Advances | (516) | (534) | |
Discount on Affordable Housing Program Advances | (6,182) | (7,435) | |
Federal Home Loan Bank Advances, Premium | 1,858 | 2,061 | |
Federal Home Loan Bank Advances, Discount | (4,590) | (5,994) | |
Hedging adjustments | (22,408) | (13,138) | |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | [1] | 52 | 93 |
Advances | $ 67,943,456 | $ 69,882,074 | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing Within One Year of Balance Sheet Date | 1.35% | 0.85% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From One To Two Years of Balance Sheet Date | 1.52% | 1.06% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Two To Three Years of Balance Sheet Date | 1.60% | 1.12% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Three To Four Years of Balance Sheet Date | 1.92% | 1.26% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Four To Five Years of Balance Sheet Date | 2.04% | 1.78% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing After Five Years of Balance Sheet Date | 2.06% | 1.75% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate As Of Balance Sheet Date | 1.50% | 1.07% | |
[1] | At September 30, 2017 and December 31, 2016, 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 | Sep. 30, 2017 | Dec. 31, 2016 |
Advances [Abstract] | ||
Federal Home Loan Bank Advances, Earlier of Contractual Maturity or Next Call Date, Due With in Next Rolling Twelve Months | $ 42,309,016 | $ 33,831,156 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Two | 13,945,871 | 15,901,805 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Three | 6,891,163 | 13,608,214 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Four | 2,946,784 | 2,982,425 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Five | 552,151 | 2,243,105 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due After Rolling Year Five | 1,330,257 | 1,340,316 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 67,975,242 | $ 69,907,021 |
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 | Sep. 30, 2017 | Dec. 31, 2016 |
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due within One Year of Balance Sheet Date | $ 36,071,261 | $ 23,499,560 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From One To Two Years of Balance Sheet Date | 14,637,328 | 21,248,138 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Two To Three Years of Balance Sheet Date | 9,489,896 | 14,286,853 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Three To Four Years of Balance Sheet Date | 2,542,579 | 5,322,050 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Four To Five Years of Balance Sheet Date | 836,921 | 963,105 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due After Five Years of Balance Sheet Date | 4,397,257 | 4,587,315 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 67,975,242 | $ 69,907,021 |
Advances (Advances by Interest
Advances (Advances by Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Advances [Abstract] | |||
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Fixed Rate | [1] | $ 31,512,306 | $ 24,700,450 |
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Floating Rate | [1] | 36,462,936 | 45,206,571 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 67,975,242 | $ 69,907,021 | |
[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 | Sep. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 67,975,242 | $ 69,907,021 |
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 | $ 41,689,000 | $ 40,863,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 61.00% | 58.00% |
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 | $ 25,850,000 | $ 32,300,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 38.00% | 46.00% |
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 | $ 7,453,000 | $ 8,563,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 11.00% | 12.00% |
Fifth Third Bank [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 | $ 4,717,000 | |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 7.00% | |
Third Federal Savings and Loan 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 | $ 3,669,000 | |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 5.00% |
Mortgage Loans Held for Portf66
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 9,279,533 | $ 8,925,673 | |
Loans and Leases Receivable, Unamortized Premiums | 215,517 | 211,058 | |
Loans and Leases Receivable, Unamortized Discounts | (3,374) | (3,740) | |
Loans and Leases Receivable, Hedging Basis Adjustment | [1] | 12,880 | 16,869 |
Loans and Leases Receivable, Gross, Consumer, Mortgage | 9,504,556 | 9,149,860 | |
Conventional Loan [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | 8,939,890 | 8,534,542 | |
Federal Housing Administration Loan [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | 339,643 | 391,131 | |
Single Family [Member] | Fixed rates medium-term single-family mortgages [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | [2] | 1,175,946 | 1,320,585 |
Single Family [Member] | Fixed rates Long-term single-family mortgages [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 8,103,587 | $ 7,605,088 | |
[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 Portf67
Mortgage Loans Held for Portfolio (Details 2) - USD ($) $ in Millions | Sep. 30, 2017 | Dec. 31, 2016 | |
Union Savings Bank [Member] | |||
Participating Mortgage Loans [Line Items] | |||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 3,150 | $ 2,886 | |
Percent of Total | 34.00% | 32.00% | |
Guardian Saving Bank FSB [Member] | |||
Participating Mortgage Loans [Line Items] | |||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 910 | $ 855 | |
Percent of Total | 10.00% | 10.00% | |
PNC Bank, N.A. [Member] | |||
Participating Mortgage Loans [Line Items] | |||
Unpaid Principal Balances Greater Than Five Percent of Total | [1] | $ 549 | $ 660 |
Percent of Total | [1] | 6.00% | 7.00% |
[1] | Former member. |
Allowance for Credit Losses Nar
Allowance for Credit Losses Narrative (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Receivables [Abstract] | ||
Real Estate Acquired Through Foreclosure | $ 0 | $ 0 |
Allowance for Credit Losses (De
Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Dec. 31, 2016 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Loans and Leases Receivable, Allowance | $ 1,300 | $ 1,142 | $ 1,300 | $ 1,142 | ||
Total recorded investment | 9,535,193 | 9,179,404 | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 1,142 | |||||
Provision for Loan Losses Expensed | 500 | $ 0 | 500 | $ 0 | ||
Balance, end of period | 1,300 | 1,300 | ||||
Conventional Loan [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Allowance for Credit Losses, Collectively Evaluated for Impairment | 1,300 | 1,142 | ||||
Allowance for Credit Losses, Individually Evaluated for Impairment | 0 | 0 | ||||
Loans and Leases Receivable, Allowance | 970 | 1,217 | 1,142 | 1,686 | 1,300 | 1,142 |
Recorded Investment, Collectively Evaluated for Impairment | 9,180,476 | 8,772,681 | ||||
Recorded Investment, Individually Evaluated for Impairment | 10,230 | 9,889 | ||||
Total recorded investment | $ 9,190,706 | $ 8,782,570 | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 970 | 1,217 | 1,142 | 1,686 | ||
Allowance for Loan and Lease Losses Write-offs, Net | (170) | (78) | (342) | (547) | ||
Provision for Loan Losses Expensed | 500 | 0 | 500 | 0 | ||
Balance, end of period | $ 1,300 | $ 1,139 | $ 1,300 | $ 1,139 |
Allowance for Credit Losses Rol
Allowance for Credit Losses Rollforward of LRA (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Change in Lender Risk Account Balance [Roll Forward] | |
Lender Risk Account, Beginning Balance | $ 187,684 |
Lender Risk Account, Additions | 14,842 |
Lender Risk Account, Claims | (427) |
Lender Risk Account, Distributions | (6,243) |
Lender Risk Account, Ending Balance | $ 195,856 |
Allowance for Credit Losses Sch
Allowance for Credit Losses Schedule of Loans Outstanding and Past Due (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | $ 94,790 | $ 116,067 | |
Financing Receivable, Recorded Investment, Current | 9,440,403 | 9,063,337 | |
Total recorded investment | 9,535,193 | 9,179,404 | |
Mortgage Loans In Process Of Foreclosure | [1] | $ 16,678 | $ 21,253 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.31% | 0.40% |
Financing Receivable, Recorded Investment, 90 Days Past Due and Still Accruing | [3] | $ 26,724 | $ 33,462 |
Financing Receivable, Recorded Investment, Nonaccrual Status | 3,045 | 3,908 | |
Financing Receivable, Modifications, Recorded Investment | 10,230 | 9,889 | |
Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 57,526 | 70,532 | |
Financing Receivable, Recorded Investment, Current | 9,133,180 | 8,712,038 | |
Total recorded investment | 9,190,706 | 8,782,570 | |
Mortgage Loans In Process Of Foreclosure | [1] | $ 10,979 | $ 15,412 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.20% | 0.26% |
Financing Receivable, Recorded Investment, 90 Days Past Due and Still Accruing | [3] | $ 16,312 | $ 19,408 |
Financing Receivable, Recorded Investment, Nonaccrual Status | 3,045 | 3,908 | |
Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 37,264 | 45,535 | |
Financing Receivable, Recorded Investment, Current | 307,223 | 351,299 | |
Total recorded investment | 344,487 | 396,834 | |
Mortgage Loans In Process Of Foreclosure | [1] | $ 5,699 | $ 5,841 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 3.06% | 3.59% |
Financing Receivable, Recorded Investment, 90 Days Past Due and Still Accruing | [3] | $ 10,412 | $ 14,054 |
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 | 52,569 | 62,615 | |
Past due 30-59 days delinquent | Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 31,345 | 39,409 | |
Past due 30-59 days delinquent | Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 21,224 | 23,206 | |
Past due 60-89 days delinquent | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 14,014 | 17,625 | |
Past due 60-89 days delinquent | Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 8,386 | 9,350 | |
Past due 60-89 days delinquent | Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 5,628 | 8,275 | |
Past due 90 days or more delinquent | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 28,207 | 35,827 | |
Past due 90 days or more delinquent | Conventional Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | 17,795 | 21,773 | |
Past due 90 days or more delinquent | Federal Housing Administration Loan [Member] | |||
Financing Receivable, Recorded Investment [Line Items] | |||
Financing Receivable, Recorded Investment, Past Due | $ 10,412 | $ 14,054 | |
[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 | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Financing Receivable, Impaired [Line Items] | |||||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | $ 10,230 | $ 10,230 | $ 9,889 | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 10,034 | 10,034 | 9,708 | ||
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 0 | 0 | 0 | ||
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 0 | 0 | 0 | ||
Impaired Financing Receivable, Related Allowance | 0 | 0 | 0 | ||
Impaired Financing Receivable, Recorded Investment | 10,230 | 10,230 | 9,889 | ||
Impaired Financing Receivable, Unpaid Principal Balance | 10,034 | 10,034 | $ 9,708 | ||
Impaired Financing Receivable, Average Recorded Investment | 9,771 | $ 9,620 | 8,952 | $ 9,343 | |
Impaired Financing Receivable, Interest Income, Accrual Method | $ 114 | $ 122 | $ 316 | $ 357 |
Derivatives and Hedging Activ73
Derivatives and Hedging Activities Narrative (Details) | Sep. 30, 2017USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Additional Collateral, Aggregate Fair Value | $ 0 |
Derivative, Net Liability Position, Aggregate Fair Value | 7,035,000 |
Collateral Already Posted, Aggregate Fair Value | $ 3,884,000 |
Derivatives and Hedging Activ74
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | $ 14,401,146 | $ 17,157,269 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 47,041 | 53,849 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 72,282 | 102,065 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [1],[3] | 32,469 | [2] | 50,904 | [4] |
Derivative Liability, Netting Adjustments And Cash Collateral | [1],[3] | (68,613) | [2] | (84,191) | [4] |
Derivative assets | 79,510 | 104,753 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Derivative, Collateral, Cash Posted And Related Accrued Interest | 78,424 | 180,169 | |||
Derivative, Collateral, Cash Received And Related Accrued Interest | 33,399 | 45,074 | |||
Variation Margin for Daily Settled Contracts, Net | 56,057 | 0 | |||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 5,846,399 | 5,660,420 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 36,184 | 37,379 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 15,380 | 26,610 | |||
Not Designated as Hedging Instrument [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 8,554,747 | 11,496,849 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 10,857 | 16,470 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 56,902 | 75,455 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 6,032,265 | 8,199,000 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,401 | 2,135 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 56,482 | 64,661 | |||
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 1,800,000 | 2,346,000 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 5,675 | 13,335 | |||
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 | 361,482 | 440,849 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,918 | 319 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 419 | 10,628 | |||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 361,000 | 511,000 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,863 | 681 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 1 | $ 166 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $78,424 and $180,169 at September 30, 2017 and December 31, 2016. Cash collateral received and related accrued interest was (in thousands) $33,399 and $45,074 at September 30, 2017 and December 31, 2016. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 and $0 at December 31, 2016. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[3] | Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
Derivatives and Hedging Activ75
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ 86 | $ 245 | $ 226 | $ (2,625) | |
Gain (Loss) on Derivatives not designated as hedging instruments | (6,907) | (17,872) | (2,162) | 13,028 | |
Derivative Instruments, Other Gain (Loss) | [1] | 136 | 0 | 395 | 0 |
Net (losses) gains on derivatives and hedging activities | (6,685) | (17,627) | (1,541) | 10,403 | |
Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | 86 | 245 | 226 | (2,625) | |
Gain (Loss) on Derivatives not designated as hedging instruments | (621) | (20,584) | 12,212 | 3,889 | |
Interest Rate Swaption [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | (3,579) | (1,318) | (13,948) | (2,601) | |
Forward Contracts [Member] | Mortgages [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | 3,212 | 5,688 | 10,089 | 26,615 | |
Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | (2,581) | (5,824) | (6,094) | (24,856) | |
Net Interest Settlements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | $ (3,338) | $ 4,166 | $ (4,421) | $ 9,981 | |
[1] | Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settled contract. |
Derivatives and Hedging Activ76
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivative | $ 8,223 | $ 37,760 | $ 7,660 | $ (14,211) | |
Gain (Loss) on Hedged Item | (8,137) | (37,515) | (7,434) | 11,586 | |
Net Fair Value Hedge Ineffectiveness | 86 | 245 | 226 | (2,625) | |
Effect of Derivatives on Net Interest Income | [1] | (4,179) | (13,957) | (15,358) | (41,915) |
Amortization and Accretion of Hedged Items | (497) | (582) | (1,784) | (2,264) | |
Advances [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivative | 7,664 | 42,213 | 7,365 | (12,012) | |
Gain (Loss) on Hedged Item | (7,596) | (41,856) | (7,486) | 9,615 | |
Net Fair Value Hedge Ineffectiveness | 68 | 357 | (121) | (2,397) | |
Effect of Derivatives on Net Interest Income | [1] | (3,575) | (15,340) | (15,020) | (48,736) |
Consolidated Obligation Bonds [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivative | 559 | (4,453) | 295 | (2,199) | |
Gain (Loss) on Hedged Item | (541) | 4,341 | 52 | 1,971 | |
Net Fair Value Hedge Ineffectiveness | 18 | (112) | 347 | (228) | |
Effect of Derivatives on Net Interest Income | [1] | $ (604) | $ 1,383 | $ (338) | $ 6,821 |
[1] | For fair value hedge relationships, the net effect of derivatives 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) $(497) and $(582) of (amortization)/accretion related to fair value hedging activities for the three months ended September 30, 2017 and 2016 and (in thousands) $(1,784) and $(2,264) for the nine months ended September 30, 2017 and 2016. |
Derivatives and Hedging Activ77
Derivatives and Hedging Activities Offsetting of Derivative Assets and Derivative Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | $ 43,260 | $ 52,849 | |||
Derivative Liability, Total Gross Amount | 71,862 | 91,271 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [1],[3] | 32,469 | [2] | 50,904 | [4] |
Derivative Liability, Netting Adjustments And Cash Collateral | [1],[3] | (68,613) | [2] | (84,191) | [4] |
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 75,729 | 103,753 | |||
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 3,249 | 7,080 | |||
Derivative Asset, Not Subject to Master Netting Arrangement | [5] | 3,781 | 1,000 | ||
Derivative Liability, Not Subject to Master Netting Arrangement | [5] | 420 | 10,794 | ||
Derivative assets | 79,510 | 104,753 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Variation Margin for Daily Settled Contracts, Net | 56,057 | 0 | |||
Uncleared derivatives | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | 6,685 | 15,506 | |||
Derivative Liability, Total Gross Amount | 11,255 | 21,378 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [3] | (6,544) | (14,737) | ||
Derivative Liability, Netting Adjustments And Cash Collateral | [3] | (8,006) | (14,298) | ||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 141 | 769 | |||
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 3,249 | 7,080 | |||
Derivative Asset, Not Subject to Master Netting Arrangement | [5] | 3,781 | 1,000 | ||
Derivative Liability, Not Subject to Master Netting Arrangement | [5] | 420 | 10,794 | ||
Derivative assets | 3,922 | 1,769 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Cleared derivatives | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | 36,575 | 37,343 | |||
Derivative Liability, Total Gross Amount | 60,607 | 69,893 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [3] | 39,013 | 65,641 | ||
Derivative Liability, Netting Adjustments And Cash Collateral | [3] | (60,607) | (69,893) | ||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 75,588 | 102,984 | |||
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 | |||
Derivative assets | 75,588 | 102,984 | |||
Derivative liabilities | $ 0 | $ 0 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $78,424 and $180,169 at September 30, 2017 and December 31, 2016. Cash collateral received and related accrued interest was (in thousands) $33,399 and $45,074 at September 30, 2017 and December 31, 2016. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 and $0 at December 31, 2016. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[3] | Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[5] | Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
Deposits Deposits (Details)
Deposits Deposits (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Deposits [Abstract] | |||||
Interest bearing, demand and overnight | $ 568,802 | $ 568,802 | $ 611,432 | ||
Interest bearing, term | 40,900 | 40,900 | 149,350 | ||
Interest bearing, other | 5,912 | 5,912 | 4,521 | ||
Total interest-bearing | 615,614 | 615,614 | 765,303 | ||
Non-interest bearing, other | 2,060 | 2,060 | 576 | ||
Total non-interest bearing | 2,060 | 2,060 | 576 | ||
Total deposits | $ 617,674 | $ 617,674 | $ 765,879 | ||
Weighted Average Rate, Interest-bearing Domestic Deposits, over Time | 0.82% | 0.14% | 0.59% | 0.14% |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Discount Notes | $ 49,539,728 | $ 44,689,662 | |
Consolidated Obligations Bonds Total | 49,298,385 | 53,190,866 | |
Discount Notes [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt Instrument, Face Amount | $ 49,604,987 | $ 44,710,521 | |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 1.04% | 0.46% |
Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Maturities, Repayments of Principal in Twelve Months | $ 20,586,265 | $ 20,970,750 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 8,827,800 | 12,811,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 5,127,065 | 4,359,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 5,572,500 | 3,566,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 3,119,000 | 4,970,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 6,036,000 | 6,496,000 | |
Debt, Gross | 49,268,630 | 53,172,750 | |
Debt Instrument, Unamortized Premium | 86,825 | 84,275 | |
Debt Instrument, Unamortized Discount | (30,687) | (32,804) | |
Debt Valuation Adjustment for Hedging Activities | (2,916) | (2,865) | |
Fair value option valuation adjustment and accrued interest | (23,467) | (30,490) | |
Consolidated Obligations Bonds Total | $ 49,298,385 | $ 53,190,866 | |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.25% | 0.87% | |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.37% | 1.12% | |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 1.94% | 1.81% | |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1.85% | 1.95% | |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.27% | 1.87% | |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.71% | 2.65% | |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 1.66% | 1.39% | |
Non Callable [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | $ 41,913,630 | $ 46,007,750 | |
Callable [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | 7,355,000 | 7,165,000 | |
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 | 27,281,265 | 26,489,750 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 8,078,800 | 12,006,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 4,171,065 | 3,894,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 3,657,500 | 2,805,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 2,456,000 | 3,964,000 | |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,624,000 | 4,014,000 | |
Fixed-rate [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | 34,058,630 | 34,682,750 | |
Variable-rate [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | 15,210,000 | 18,290,000 | |
Step-up [Member] | Consolidated Obligation Bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Debt, Gross | $ 0 | $ 200,000 | |
[1] | Represents an implied rate without consideration of concessions. |
Affordable Housing Program (A80
Affordable Housing Program (AHP) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Affordable Housing Program [Roll Forward] | ||||
AHP Obligation, Beginning Balance | $ 104,883 | |||
AHP, Expense (Current Year Additions) | $ 8,741 | $ 6,861 | 25,727 | $ 20,194 |
AHP, Subsidy Uses, Net | (24,010) | $ (27,638) | ||
AHP Obligation, Ending Balance | $ 106,600 | $ 106,600 |
Capital (Details)
Capital (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Capital [Abstract] | ||
Risk Based Capital Required | $ 857,807 | $ 579,629 |
Risk Based Capital Actual | $ 5,175,544 | $ 5,026,133 |
Regulatory Capital Ratio, Actual | 4.92% | 4.80% |
Regulatory Capital, Required | $ 4,210,021 | $ 4,185,411 |
Regulatory Capital, Actual | $ 5,175,544 | $ 5,026,133 |
Leverage Ratio, Actual | 7.38% | 7.21% |
Leverage Capital, Required | $ 5,262,526 | $ 5,231,764 |
Leverage Capital, Actual | 7,763,316 | 7,539,200 |
Retained Earnings, Appropriated | $ 306,187 | $ 260,285 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | ||
Balance at beginning period | $ 34,782 | |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 269,403 | $ 360,516 |
Repayments of Mandatory Redeemable Capital Securities | (272,771) | $ (229,119) |
Balance at end of period | $ 31,414 |
Capital (Mandatorily Redeemab83
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Capital [Abstract] | |||
Due in 1 year or less | $ 23 | $ 0 | |
Due after 1 year through 2 years | 1,819 | 29 | |
Due after 2 years through 3 years | 421 | 2,264 | |
Due after 3 years through 4 years | 2,790 | 865 | |
Due after 4 years through 5 years | 5,577 | 6,307 | |
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | [1] | 610 | 623 |
Past contractual redemption date due to remaining activity | [2] | 20,174 | 24,694 |
Total par value | $ 31,414 | $ 34,782 | |
[1] | Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, will have their membership terminated no later than February 19, 2021. Captive insurance companies that were admitted as FHLB members on or after September 12, 2014, had their membership terminated no later than February 19, 2017. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. | ||
[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 Comprehensi84
Accumulated Other Comprehensive (Loss) Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive loss, beginning of period | $ (13,256) | |||
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | $ 13 | $ 161 | (6) | $ 147 |
Total other comprehensive income adjustments | 440 | 752 | 1,274 | 1,919 |
Accumulated other comprehensive loss, end of period | (11,982) | (11,982) | ||
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 | 4 | 67 | 23 | 81 |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 13 | 161 | (6) | 147 |
Amortization - Pension and postretirement benefits | 0 | 0 | 0 | 0 |
Total other comprehensive income adjustments | 13 | 161 | (6) | 147 |
Accumulated other comprehensive loss, end of period | 17 | 228 | 17 | 228 |
Accumulated Defined Benefit Plans Adjustment [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive loss, beginning of period | (12,426) | (12,177) | (13,279) | (13,358) |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 0 | 0 | 0 | 0 |
Amortization - Pension and postretirement benefits | 427 | 591 | 1,280 | 1,772 |
Total other comprehensive income adjustments | 427 | 591 | 1,280 | 1,772 |
Accumulated other comprehensive loss, end of period | (11,999) | (11,586) | (11,999) | (11,586) |
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Accumulated other comprehensive loss, beginning of period | (12,422) | (12,110) | (13,256) | (13,277) |
Other Comprehensive Income (Loss), Unrealized Holding Gain (Loss) on Securities Arising During Period, before Tax | 13 | 161 | (6) | 147 |
Amortization - Pension and postretirement benefits | 427 | 591 | 1,280 | 1,772 |
Total other comprehensive income adjustments | 440 | 752 | 1,274 | 1,919 |
Accumulated other comprehensive loss, end of period | $ (11,982) | $ (11,358) | $ (11,982) | $ (11,358) |
Pension and Postretirement Be85
Pension and Postretirement Benefit Plans Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Multiemployer Plans [Line Items] | ||||
Defined Contribution Plan, Cost | $ 225,000 | $ 193,000 | $ 946,000 | $ 817,000 |
Pentegra Defined Benefit Plan [Member] | ||||
Multiemployer Plans [Line Items] | ||||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 2,750,000 | $ 1,685,000 | $ 6,039,000 | $ 5,055,000 |
Pension and Postretirement Be86
Pension and Postretirement Benefit Plans Net Periodic Benefit Cost (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Supplemental Employee Retirement Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Service Cost | $ 220 | $ 182 | $ 661 | $ 547 |
Defined Benefit Plan, Interest Cost | 342 | 329 | 1,026 | 988 |
Defined Benefit Plan, Amortization of Gain (Loss) | 426 | 579 | 1,276 | 1,737 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | 988 | 1,090 | 2,963 | 3,272 |
Other Postretirement Benefits Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Service Cost | 7 | 12 | 21 | 37 |
Defined Benefit Plan, Interest Cost | 50 | 55 | 148 | 164 |
Defined Benefit Plan, Amortization of Gain (Loss) | 1 | 12 | 4 | 35 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 58 | $ 79 | $ 173 | $ 236 |
Segment Information Financial P
Segment Information Financial Performance (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)Segment | Sep. 30, 2016USD ($) | |
Segment Reporting Information [Line Items] | ||||
Number of Operating Segments | Segment | 2 | |||
Net interest income | $ 110,398 | $ 93,393 | $ 319,439 | $ 264,848 |
Provision for Loan Losses Expensed | 500 | 0 | 500 | 0 |
Interest Income (Expense), after Provision for Loan Loss | 109,898 | 93,393 | 318,939 | 264,848 |
Non-interest income (loss) | (3,210) | (4,187) | (3,867) | (1,760) |
Non-interest expense | 20,230 | 21,472 | 59,836 | 64,119 |
Income before assessments | 86,458 | 67,734 | 255,236 | 198,969 |
Affordable Housing Program assessments | 8,741 | 6,861 | 25,727 | 20,194 |
Net income | 77,717 | 60,873 | 229,509 | 178,775 |
Traditional Member Finance [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Net interest income | 86,617 | 248,607 | ||
Provision for Loan Losses Expensed | 0 | 0 | ||
Interest Income (Expense), after Provision for Loan Loss | 86,617 | 74,280 | 248,607 | 209,994 |
Non-interest income (loss) | (1,988) | (3,489) | (914) | (2,447) |
Non-interest expense | 17,370 | 18,728 | 51,490 | 55,978 |
Income before assessments | 67,259 | 52,063 | 196,203 | 151,569 |
Affordable Housing Program assessments | 6,821 | 5,294 | 19,823 | 15,454 |
Net income | 60,438 | 46,769 | 176,380 | 136,115 |
Mortgage Purchase Program [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Net interest income | 23,781 | 70,832 | ||
Provision for Loan Losses Expensed | 500 | 500 | ||
Interest Income (Expense), after Provision for Loan Loss | 23,281 | 19,113 | 70,332 | 54,854 |
Non-interest income (loss) | (1,222) | (698) | (2,953) | 687 |
Non-interest expense | 2,860 | 2,744 | 8,346 | 8,141 |
Income before assessments | 19,199 | 15,671 | 59,033 | 47,400 |
Affordable Housing Program assessments | 1,920 | 1,567 | 5,904 | 4,740 |
Net income | $ 17,279 | $ 14,104 | $ 53,129 | $ 42,660 |
Segment Information Asset Balan
Segment Information Asset Balances (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Segment Reporting Information [Line Items] | ||
Total assets | $ 105,250,515 | $ 104,635,281 |
Traditional Member Finance [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | 94,564,865 | 95,456,372 |
Mortgage Purchase Program [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | $ 10,685,650 | $ 9,178,909 |
Fair Value Disclosures Fair V89
Fair Value Disclosures Fair Value Summary (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |||
Assets | |||||
Cash and Due from Banks | $ 8,383 | $ 8,737 | |||
Trading securities | 835 | 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Held-to-maturity Securities | [1] | 14,809,839 | 14,546,979 | ||
Held-to-maturity Securities, Fair Value | 14,757,413 | 14,413,231 | |||
Accrued interest receivable | 126,411 | 109,886 | |||
Derivative assets | 79,510 | 104,753 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2],[4] | 32,469 | [3] | 50,904 | [5] |
Advances, Fair Value Disclosure | [6] | 15,052 | 15,093 | ||
Liabilities | |||||
Mandatorily redeemable capital stock | 31,414 | 34,782 | |||
Accrued Interest Payable, Fair Value Disclosure | 137,272 | 119,322 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2],[4] | (68,613) | [3] | (84,191) | [5] |
Variation Margin for Daily Settled Contracts, Net | 56,057 | 0 | |||
Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 5,810,798 | 7,895,510 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Assets | |||||
Cash and Due from Banks | 8,383 | 8,737 | |||
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 | [7] | 0 | [8] | |
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 | 31,414 | 34,782 | |||
Accrued Interest Payable, Fair Value Disclosure | 0 | 0 | |||
Derivative liabilities | 0 | 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 | [9] | 0 | [10] | |
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 | 154 | 129 | |||
Securities purchased under resale agreements | 1,804,270 | 5,229,487 | |||
Federal funds sold | 10,410,000 | 4,257,000 | |||
Trading securities | 835 | 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Held-to-maturity Securities, Fair Value | 14,757,413 | 14,413,231 | |||
Advances | 67,993,978 | [7] | 69,842,730 | [8] | |
Mortgage loans held for portfolio, net | 9,574,805 | 9,152,186 | |||
Accrued interest receivable | 126,411 | 109,886 | |||
Derivative assets | 47,041 | 53,849 | |||
Liabilities | |||||
Deposits | 617,579 | 765,628 | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued Interest Payable, Fair Value Disclosure | 137,272 | 119,322 | |||
Derivative liabilities | 72,282 | 102,065 | |||
Fair Value, Inputs, Level 2 [Member] | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 354 | 708 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 49,435,599 | [9] | 53,278,571 | [10] | |
Fair Value, Inputs, Level 2 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 49,542,272 | 44,689,594 | |||
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 | [7] | 0 | [8] | |
Mortgage loans held for portfolio, net | 18,549 | 22,604 | |||
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] | 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 | [9] | 0 | [10] | |
Fair Value, Inputs, Level 3 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 0 | 0 | |||
Carrying Value | |||||
Assets | |||||
Cash and Due from Banks | 8,383 | 8,737 | |||
Interest-bearing deposits | 154 | 129 | |||
Securities purchased under resale agreements | 1,804,271 | 5,229,487 | |||
Federal funds sold | 10,410,000 | 4,257,000 | |||
Trading securities | 835 | 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Held-to-maturity Securities | 14,809,839 | 14,546,979 | |||
Advances | 67,943,456 | [7] | 69,882,074 | [8] | |
Mortgage loans held for portfolio, net | 9,503,256 | 9,148,718 | |||
Accrued interest receivable | 126,411 | 109,886 | |||
Derivative assets | 79,510 | 104,753 | |||
Liabilities | |||||
Deposits | 617,674 | 765,879 | |||
Mandatorily redeemable capital stock | 31,414 | 34,782 | |||
Accrued Interest Payable, Fair Value Disclosure | 137,272 | 119,322 | |||
Derivative liabilities | 3,669 | 17,874 | |||
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 | 49,298,385 | [9] | 53,190,866 | [10] | |
Carrying Value | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 49,539,728 | 44,689,662 | |||
Fair Value | |||||
Assets | |||||
Cash and Due from Banks | 8,383 | 8,737 | |||
Interest-bearing deposits | 154 | 129 | |||
Securities purchased under resale agreements | 1,804,270 | 5,229,487 | |||
Federal funds sold | 10,410,000 | 4,257,000 | |||
Trading securities | 835 | 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Held-to-maturity Securities, Fair Value | 14,757,413 | 14,413,231 | |||
Advances | 67,993,978 | [7] | 69,842,730 | [8] | |
Mortgage loans held for portfolio, net | 9,593,354 | 9,174,790 | |||
Accrued interest receivable | 126,411 | 109,886 | |||
Derivative assets | 79,510 | 104,753 | |||
Liabilities | |||||
Deposits | 617,579 | 765,628 | |||
Mandatorily redeemable capital stock | 31,414 | 34,782 | |||
Accrued Interest Payable, Fair Value Disclosure | 137,272 | 119,322 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Fair Value | Financial Standby Letter of Credit [Member] | |||||
Other [Abstract] | |||||
Commitments, Fair Value Disclosure | 354 | 708 | |||
Fair Value | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 49,435,599 | [9] | 53,278,571 | [10] | |
Fair Value | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | $ 49,542,272 | $ 44,689,594 | |||
[1] | Fair values: $14,757,413 and $14,413,231 at September 30, 2017 and December 31, 2016, respectively. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $78,424 and $180,169 at September 30, 2017 and December 31, 2016. Cash collateral received and related accrued interest was (in thousands) $33,399 and $45,074 at September 30, 2017 and December 31, 2016. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 and $0 at December 31, 2016. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[4] | Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[5] | 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. | ||||
[6] | At September 30, 2017 and December 31, 2016, none of the Advances were 90 days or more past due or had been placed on non-accrual status. | ||||
[7] | Includes (in thousands) $15,052 of Advances recorded under the fair value option at September 30, 2017. | ||||
[8] | Includes (in thousands) $15,093 of Advances recorded under the fair value option at December 31, 2016. | ||||
[9] | Includes (in thousands) $5,810,798 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2017. | ||||
[10] | Includes (in thousands) $7,895,510 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2016. |
Fair Value Disclosures Fair V90
Fair Value Disclosures Fair Value Measured on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | $ 835 | $ 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Advances, Fair Value Disclosure | [1] | 15,052 | 15,093 | ||
Derivative assets | 79,510 | 104,753 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2],[4] | 32,469 | [3] | 50,904 | [5] |
Derivative liabilities | 3,669 | 17,874 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2],[4] | (68,613) | [3] | (84,191) | [5] |
Variation Margin for Daily Settled Contracts, Net | 56,057 | 0 | |||
Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 5,810,798 | 7,895,510 | |||
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 835 | 970 | |||
Certificates of Deposit [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 15,052 | 15,093 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | 32,469 | [6] | 50,904 | [7] | |
Derivative Liability, Netting Adjustments And Cash Collateral | (68,613) | [6] | (84,191) | [7] | |
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 | 5,810,798 | 7,895,510 | |||
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 | 32,469 | [6] | 50,904 | [7] | |
Derivative Liability, Netting Adjustments And Cash Collateral | (68,613) | [6] | (84,191) | [7] | |
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 | [8] | 0 | [9] | |
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 | [10] | 0 | [11] | |
Fair Value, Inputs, Level 2 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 835 | 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Derivative assets | 47,041 | 53,849 | |||
Derivative liabilities | 72,282 | 102,065 | |||
Mortgage loans held for portfolio, net | 9,574,805 | 9,152,186 | |||
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 | 49,435,599 | [8] | 53,278,571 | [9] | |
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 | 15,052 | 15,093 | |||
Derivative assets | 47,041 | 53,849 | |||
Total assests at fair value | 612,945 | 1,369,935 | |||
Derivative liabilities | 72,282 | 102,065 | |||
Total liabilities at fair value | 5,883,080 | 7,997,575 | |||
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 | 5,810,798 | 7,895,510 | |||
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 | 43,260 | 52,849 | |||
Derivative liabilities | 71,862 | 91,271 | |||
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 | 1,918 | 319 | |||
Derivative liabilities | 419 | 10,628 | |||
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 | 1,863 | 681 | |||
Derivative liabilities | 1 | 166 | |||
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 | 835 | 970 | |||
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 | 550,017 | 1,300,023 | |||
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 | [10] | 0 | [11] | |
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 | 18,549 | 22,604 | |||
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 | [8] | 0 | [9] | |
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 | 496 | [10] | 1,388 | [11] | |
Fair Value | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 835 | 970 | |||
Available-for-sale securities | 550,017 | 1,300,023 | |||
Derivative assets | 79,510 | 104,753 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Mortgage loans held for portfolio, net | 9,593,354 | 9,174,790 | |||
Fair Value | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 49,435,599 | [8] | 53,278,571 | [9] | |
Fair Value | Fair Value, Measurements, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 79,510 | 104,753 | |||
Total assests at fair value | 645,414 | 1,420,839 | |||
Derivative liabilities | 3,669 | 17,874 | |||
Total liabilities at fair value | 5,814,467 | 7,913,384 | |||
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 | 75,729 | 103,753 | |||
Derivative liabilities | 3,249 | 7,080 | |||
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 | 1,918 | 319 | |||
Derivative liabilities | 419 | 10,628 | |||
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 | 1,863 | 681 | |||
Derivative liabilities | 1 | 166 | |||
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 | 835 | 970 | |||
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 | 550,017 | 1,300,023 | |||
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 | $ 496 | [10] | $ 1,388 | [11] | |
[1] | At September 30, 2017 and December 31, 2016, 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, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $78,424 and $180,169 at September 30, 2017 and December 31, 2016. Cash collateral received and related accrued interest was (in thousands) $33,399 and $45,074 at September 30, 2017 and December 31, 2016. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017 and $0 at December 31, 2016. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[4] | Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[5] | 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. | ||||
[6] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $56,057 at September 30, 2017. | ||||
[7] | 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. | ||||
[8] | Includes (in thousands) $5,810,798 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2017. | ||||
[9] | Includes (in thousands) $7,895,510 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2016. | ||||
[10] | The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2017. | ||||
[11] | The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2016. |
Fair Value Disclosures Fair V91
Fair Value Disclosures Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 87 | $ 9,734 | $ (12,371) | $ (23,213) | ||
Federal Home Loan Bank, Advances, Par Value | [1] | 15,000 | 15,000 | $ 15,000 | ||
Advances, Fair Value Disclosure | [1] | 15,052 | 15,052 | 15,093 | ||
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | [1] | 52 | 52 | 93 | ||
Consolidated Obligation Bonds [Member] | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Aggregate Unpaid Principal Balance | 5,834,265 | 5,834,265 | 7,926,000 | |||
Aggregate Fair Value | 5,810,798 | 5,810,798 | 7,895,510 | |||
Fair value option valuation adjustment and accrued interest | $ (23,467) | $ (23,467) | $ (30,490) | |||
[1] | At September 30, 2017 and December 31, 2016, none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
Commitments and Contingencies92
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | $ 16,618,345 | $ 17,029,024 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 177,902 | 479,119 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 16,796,247 | 17,508,143 | |
Financial Standby Letter of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 27,230 | 28,810 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 44,645 | 77,240 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 71,875 | 106,050 | |
Forward Contracts [Member] | Mortgages [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 361,482 | 440,849 | |
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 | 361,482 | 440,849 | |
Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 22,827 | 5,500 |
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] | $ 22,827 | $ 5,500 |
[1] | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Transactions with Other FHLBa93
Transactions with Other FHLBanks (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Schedule of Other Transactions [Line Items] | ||
Proceeds from Bonds Transferred from Other Federal Home Loan Banks | $ 0 | $ 0 |
Payments for Bonds Transferred to Other Federal Home Loan Banks | 0 | 0 |
Other FHLBanks [Member] | ||
Schedule of Other Transactions [Line Items] | ||
Loans Receivable, Average Outstanding Amount | 18 | 0 |
Other FHLBanks [Member] | ||
Schedule of Other Transactions [Line Items] | ||
Short-term Debt, Average Outstanding Amount | $ 916 | $ 0 |
Transactions with Stockholder94
Transactions with Stockholders (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Schedule of Other Transactions [Line Items] | |||
Advances | $ 67,975,242 | $ 69,907,021 | |
Loans And Leases Receivable, Unpaid Principal Balance | 9,279,533 | 8,925,673 | |
Director [Member] | |||
Schedule of Other Transactions [Line Items] | |||
Advances | $ 3,444,000 | $ 3,947,000 | |
Federal Home Loan Bank Advances, Percent of Principal | [1] | 5.10% | 5.60% |
Loans And Leases Receivable, Unpaid Principal Balance | $ 111,000 | $ 234,000 | |
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance, Percent of Total | [1] | 1.20% | 2.60% |
Regulatory Capital Stock, Value | $ 185,000 | $ 166,000 | |
Regulatory Capital Stock, Percent of Total | [1] | 4.30% | 4.00% |
[1] | Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Transactions with Stockholder95
Transactions with Stockholders (Concentrations) (Details) $ in Thousands | Sep. 30, 2017USD ($)Banks | Dec. 31, 2016USD ($) |
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 67,975,242 | $ 69,907,021 |
JPMorgan Chase Bank National Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 1,059,000 | $ 1,317,000 |
Concentration Risk, Percentage | 25.00% | 31.00% |
JPMorgan Chase Bank National Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 25,850,000 | $ 32,300,000 |
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 | $ 593,000 | $ 475,000 |
Concentration Risk, Percentage | 14.00% | 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 | $ 7,453,000 | $ 8,563,000 |
U.S. Bank, N.A. [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 24,000 | 27,000 |
The Huntington National Bank [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 282,000 | $ 244,000 |
Concentration Risk, Percentage | 7.00% | 6.00% |
The Huntington National Bank [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 307,000 | $ 2,433,000 |
The Huntington National Bank [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 423,000 | 388,000 |
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 | $ 4,717,000 | $ 2,517,000 |
Fifth Third Bank [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | $ 2,000 | $ 2,000 |
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 |