Document and Entity Information
Document and Entity Information Document - shares | 9 Months Ended | |
Sep. 30, 2021 | Oct. 31, 2021 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 000-51399 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF CINCINNATI | |
Entity Incorporation, State or Country Code | X1 | |
Entity Tax Identification Number | 31-6000228 | |
Entity Address, Address Line One | 600 Atrium Two, P.O. Box 598 | |
Entity Address, City or Town | Cincinnati | |
Entity Address, State or Province | OH | |
Entity Address, Postal Zip Code | 45201-0598 | |
City Area Code | 513 | |
Local Phone Number | 852-7500 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 24,705,101 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0001326771 | |
Current Fiscal Year End Date | --12-31 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
ASSETS | |||
Cash and due from banks | $ 20,295 | $ 2,984,073 | |
Interest-bearing deposits | 335,075 | 555,104 | |
Securities purchased under agreements to resell | 289,600 | 1,818,268 | |
Federal funds sold | 5,715,000 | 4,240,000 | |
Investment securities: | |||
Trading securities | 7,108,446 | 10,488,124 | |
Available-for-sale securities (amortized cost of $3,826,002 and $286,869 at September 30, 2021 and December 31, 2020, respectively) | 3,853,974 | 291,587 | |
Held-to-maturity securities (includes $0 and $0 pledged as collateral at September 30, 2021 and December 31, 2020, respectively, that may be repledged) (a) | [1] | 10,004,477 | 9,648,171 |
Total investment securities | 20,966,897 | 20,427,882 | |
Advances (includes $25,918 and $27,202 at fair value under fair value option at September 30, 2021 and December 31, 2020, respectively) | [2] | 22,792,786 | 25,362,003 |
Mortgage loans held for portfolio, net of allowance for credit losses of $248 and $248 at September 30, 2021 and December 31, 2020, respectively | 7,687,610 | 9,548,506 | |
Accrued interest receivable | 105,684 | 113,701 | |
Derivative assets | 245,787 | 215,888 | |
Other assets, net | 22,808 | 30,814 | |
TOTAL ASSETS | 58,181,542 | 65,296,239 | |
LIABILITIES | |||
Deposits | 1,525,337 | 1,327,202 | |
Consolidated Obligations: | |||
Discount Notes (includes $4,873,353 and $0 at fair value under fair value option at September 30, 2021 and December 31, 2020, respectively) | 26,609,080 | 27,500,244 | |
Bonds (includes $2,152,204 and $2,262,388 at fair value under fair value option at September 30, 2021 and December 31, 2020, respectively) | 24,686,178 | 31,996,311 | |
Total Consolidated Obligations | 51,295,258 | 59,496,555 | |
Mandatorily redeemable capital stock | 12,855 | 19,454 | |
Accrued interest payable | 62,900 | 77,521 | |
Affordable Housing Program payable | 89,868 | 110,772 | |
Derivative liabilities | 3,197 | 3,813 | |
Other liabilities | 1,464,610 | 331,008 | |
Total liabilities | 54,454,025 | 61,366,325 | |
Commitments and contingencies | |||
CAPITAL | |||
Capital stock Class B putable ($100 par value); issued and outstanding shares: 24,287 shares at September 30, 2021 and 26,409 shares at December 31, 2020 | 2,428,747 | 2,640,863 | |
Retained earnings: | |||
Unrestricted | 782,159 | 802,715 | |
Restricted | 506,294 | 501,321 | |
Total retained earnings | 1,288,453 | 1,304,036 | |
Accumulated other comprehensive loss | 10,317 | (14,985) | |
Total capital | 3,727,517 | 3,929,914 | |
TOTAL LIABILITIES AND CAPITAL | $ 58,181,542 | $ 65,296,239 | |
[1] | Fair values: $10,098,282 and $9,792,136 at September 30, 2021 and December 31, 2020, respectively. | ||
[2] | Carrying values exclude accrued interest receivable of (in thousands) $18,821 and $26,426 as of September 30, 2021 and December 31, 2020. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 3,826,002 | $ 286,869 | ||
Debt Securities, Held-to-maturity, Restricted | 0 | 0 | |||
Allowance for credit losses on mortgage loans | $ 248 | $ 248 | |||
Common Stock, Par or Stated Value Per Share | $ 100 | ||||
Common Stock, Shares, Issued | 24,287 | 26,409 | |||
Common Stock, Shares, Outstanding | 24,287 | 26,409 | |||
Debt Securities, Held-to-maturity, Fair Value | $ 10,098,282 | $ 9,792,136 | |||
Debt Securities, Held-to-maturity, Restricted [Extensible List] | us-gaap:CollateralPledgedMember | us-gaap:CollateralPledgedMember | |||
Fair Value Option Election | |||||
Advances, Fair Value Disclosure | $ 25,918 | $ 27,202 | |||
Fair Value Option Election | Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | 2,152,204 | 2,262,388 | |||
Fair Value Option Election | Discount Notes [Member] | |||||
Consolidated Obligations, Discount Notes | 4,873,353 | 0 | |||
Estimate of Fair Value Measurement [Member] | |||||
Debt Securities, Held-to-maturity, Fair Value | 10,098,282 | 9,792,136 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Consolidated Obligations, Bonds | 25,144,280 | [2] | 32,785,647 | [3] | |
Estimate of Fair Value Measurement [Member] | Discount Notes [Member] | |||||
Consolidated Obligations, Discount Notes | $ 26,609,275 | [4] | $ 27,501,296 | ||
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $7,114 and $1,242 at September 30, 2021 and December 31, 2020. | ||||
[2] | Includes (in thousands) $2,152,204 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2021. | ||||
[3] | Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. | ||||
[4] | Includes (in thousands) $4,873,353 of Consolidated Obligation Discount Notes recorded under the fair value option at September 30, 2021. |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
INTEREST INCOME: | ||||
Advances | $ 30,688 | $ 63,974 | $ 103,219 | $ 394,578 |
Prepayment fees on Advances, net | 2,229 | 7,509 | 8,629 | 25,103 |
Interest-bearing deposits | 154 | 442 | 535 | 4,202 |
Securities purchased under agreements to resell | 72 | 290 | 339 | 10,680 |
Federal funds sold | 1,436 | 1,541 | 3,982 | 30,621 |
Investment securities: | ||||
Trading securities | 47,260 | 66,281 | 158,982 | 201,876 |
Available-for-sale securities | 2,296 | 271 | 3,975 | 4,286 |
Held-to-maturity securities | 23,796 | 36,516 | 77,939 | 153,199 |
Total investment securities | 73,352 | 103,068 | 240,896 | 359,361 |
Mortgage loans held for portfolio | 42,515 | 62,429 | 125,359 | 225,837 |
Loans to other FHLBanks | 0 | 0 | 0 | 60 |
Total interest income | 150,446 | 239,253 | 482,959 | 1,050,442 |
Consolidated Obligations: | ||||
Discount Notes | 2,624 | 26,299 | 9,853 | 285,755 |
Bonds | 83,704 | 119,748 | 266,479 | 435,543 |
Total Consolidated Obligations | 86,328 | 146,047 | 276,332 | 721,298 |
Deposits | 100 | 174 | 348 | 3,348 |
Mandatorily redeemable capital stock | 70 | 274 | 978 | |
Mandatorily redeemable capital stock | (76) | |||
Total interest expense | 86,498 | 146,145 | 276,954 | 725,624 |
NET INTEREST INCOME | 63,948 | 93,108 | 206,005 | 324,818 |
NON-INTEREST INCOME (LOSS): | ||||
Net gains (losses) on investment securities | (50,642) | (42,136) | (204,891) | 319,866 |
Net gains (losses) on financial instruments held under fair value option | 1,301 | 10,687 | 7,808 | (14,402) |
Net gains (losses) on derivatives and hedging activities | 5,924 | 19,708 | 66,989 | (308,230) |
Letters of Credit fees | 6,475 | 3,726 | 18,918 | 9,430 |
Other, net | 478 | 544 | 1,307 | 1,529 |
Total non-interest income (loss) | (36,464) | (7,471) | (109,869) | 8,193 |
NON-INTEREST EXPENSE: | ||||
Compensation and benefits | 10,698 | 12,356 | 35,687 | 37,647 |
Other operating expenses | 5,522 | 4,789 | 16,706 | 15,860 |
Finance Agency | 1,879 | 1,629 | 5,637 | 4,886 |
Office of Finance | 1,315 | 1,331 | 3,757 | 4,034 |
Other | 1,629 | 1,766 | 6,690 | 7,742 |
Total non-interest expense | 21,043 | 21,871 | 68,477 | 70,169 |
INCOME BEFORE ASSESSMENTS | 6,441 | 63,766 | 27,659 | 262,842 |
Affordable Housing Program assessments | 651 | 6,369 | 2,793 | 26,382 |
NET INCOME | $ 5,790 | $ 57,397 | $ 24,866 | $ 236,460 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Net income | $ 5,790 | $ 57,397 | $ 24,866 | $ 236,460 |
Other comprehensive income adjustments: | ||||
Net unrealized gains (losses) on available-for-sale securities | 11,607 | 3,504 | 23,254 | 2,621 |
Pension and postretirement benefits | 696 | 572 | 2,048 | 1,716 |
Total other comprehensive income (loss) adjustments | 12,303 | 4,076 | 25,302 | 4,337 |
Comprehensive income | $ 18,093 | $ 61,473 | $ 50,168 | $ 240,797 |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | $ 4,012,970 | $ 5,043,922 | $ 3,929,914 | $ 4,444,456 |
Comprehensive Income (loss) | 18,093 | 61,473 | 50,168 | 240,797 |
Proceeds from sale of capital stock, par value | 30,896 | 21,389 | 1,035,868 | 2,125,590 |
Repurchase of capital stock, par value | (320,000) | (900,000) | (1,186,402) | (2,000,000) |
Net shares reclassified to mandatorily redeemable capital stock, par value | (579) | (61,582) | (557,519) | |
Partial recovery of prior capital distribution to Financing Corporation | 0 | 16,533 | ||
Cash dividends on capital stock | (13,863) | (22,051) | (40,449) | (65,490) |
Ending balance | $ 3,727,517 | $ 4,204,733 | $ 3,727,517 | 4,204,733 |
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | $ 366 | |||
Capital Stock Class B - Putable [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Shares, Issued beginning balance | 27,184 | 38,131 | 26,409 | 33,664 |
Proceeds from sale of capital stock, shares | 309 | 214 | 10,358 | 21,256 |
Repurchase of capital stock, shares | (3,200) | (9,000) | (11,864) | (20,000) |
Net shares reclassified to mandatorily redeemable capital stock, shares | (6) | (616) | (5,575) | |
Shares, Issued ending balance | 24,287 | 29,345 | 24,287 | 29,345 |
Beginning balance | $ 2,718,430 | $ 3,813,110 | $ 2,640,863 | $ 3,366,428 |
Proceeds from sale of capital stock, par value | 30,896 | 21,389 | 1,035,868 | 2,125,590 |
Repurchase of capital stock, par value | (320,000) | (900,000) | (1,186,402) | (2,000,000) |
Net shares reclassified to mandatorily redeemable capital stock, par value | (579) | (61,582) | (557,519) | |
Ending balance | 2,428,747 | 2,934,499 | 2,428,747 | 2,934,499 |
Retained Earnings, Unrestricted [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | 791,390 | 765,084 | 802,715 | 648,374 |
Comprehensive Income (loss) | 4,632 | 45,918 | 19,893 | 189,168 |
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | |||
Cash dividends on capital stock | (13,863) | (22,051) | (40,449) | (65,490) |
Ending balance | 782,159 | 788,951 | 782,159 | 788,951 |
Retained Earnings, Unrestricted [Member] | Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | 366 | |||
Retained Earnings, Restricted [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | 505,136 | 481,861 | 501,321 | 446,048 |
Comprehensive Income (loss) | 1,158 | 11,479 | 4,973 | 47,292 |
Ending balance | 506,294 | 493,340 | 506,294 | 493,340 |
Retained Earnings, Total [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | 1,296,526 | 1,246,945 | 1,304,036 | 1,094,422 |
Comprehensive Income (loss) | 5,790 | 57,397 | 24,866 | 236,460 |
Partial recovery of prior capital distribution to Financing Corporation | 16,533 | |||
Cash dividends on capital stock | (13,863) | (22,051) | (40,449) | (65,490) |
Ending balance | 1,288,453 | 1,282,291 | 1,288,453 | 1,282,291 |
Retained Earnings, Total [Member] | Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | 366 | |||
Accumulated Other Comprehensive Loss [Member] | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning balance | (1,986) | (16,133) | (14,985) | (16,394) |
Comprehensive Income (loss) | 12,303 | 4,076 | 25,302 | 4,337 |
Ending balance | $ 10,317 | $ (12,057) | $ 10,317 | $ (12,057) |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
OPERATING ACTIVITIES: | ||
Net income | $ 24,866 | $ 236,460 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Depreciation and amortization | 68,026 | 37,313 |
Net change in derivative and hedging activities | 155,958 | (183,733) |
Net change in fair value adjustments on trading securities | 204,891 | (319,866) |
Net change in fair value adjustments on financial instruments held under fair value option | (7,808) | 14,402 |
Other adjustments, net | 667 | 798 |
Net change in: | ||
Accrued interest receivable | 8,024 | 38,140 |
Other assets | 6,353 | 3,135 |
Accrued interest payable | (23,656) | (56,937) |
Other liabilities | (22,601) | 17,125 |
Total adjustments | 389,854 | (449,623) |
Net cash provided by (used in) operating activities | 414,720 | (213,163) |
Net change in: | ||
Interest-bearing deposits | 244,522 | (260,047) |
Securities purchased under agreements to resell | 1,528,668 | (105,110) |
Federal funds sold | (1,475,000) | (3,872,000) |
Premises, software, and equipment | (833) | (1,265) |
Trading securities: | ||
Proceeds from maturities | 1,000,097 | 5,135,034 |
Proceeds from sale | 2,174,690 | 0 |
Purchases | 0 | (4,499,939) |
Available-for-sale securities: | ||
Proceeds from maturities | 0 | 1,810,000 |
Purchases | (3,301,754) | (550,267) |
Held-to-maturity securities: | ||
Proceeds from maturities | 2,270,257 | 2,437,476 |
Purchases | (1,768,566) | (75,604) |
Advances: | ||
Repaid | 307,504,422 | 470,292,647 |
Originated | (305,113,614) | (449,675,012) |
Mortgage loans held for portfolio: | ||
Principal collected | 2,927,342 | 2,942,372 |
Purchases | (1,138,756) | (2,432,823) |
Net cash provided by (used in) investing activities | 4,851,475 | 21,145,462 |
FINANCING ACTIVITIES: | ||
Net change in deposits and pass-through reserves | 198,285 | 284,032 |
Net proceeds (payments) on derivative contracts with financing elements | 0 | (1,394) |
Net proceeds from issuance of Consolidated Obligations: | ||
Discount Notes | 147,066,103 | 232,873,177 |
Bonds | 26,224,969 | 35,649,162 |
Payments for maturing and retiring Consolidated Obligations: | ||
Discount Notes | (147,951,166) | (255,247,967) |
Bonds | (33,509,000) | (32,661,065) |
Proceeds from issuance of capital stock | 1,035,868 | 2,125,590 |
Payments for repurchase of capital stock | (1,186,402) | (2,000,000) |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (68,181) | (561,527) |
Cash dividends paid | (40,449) | (65,490) |
Partial recovery of prior capital distribution to Financing Corporation | 0 | 16,533 |
Net cash provided by (used in) financing activities | (8,229,973) | (19,588,949) |
Net increase (decrease) in cash and due from banks | (2,963,778) | 1,343,350 |
Cash and due from banks at beginning of the period | 2,984,073 | 20,608 |
Cash and due from banks at end of the period | 20,295 | 1,363,958 |
Supplemental Disclosures: | ||
Interest paid | 306,978 | 830,682 |
Affordable Housing Program payments, net | $ 23,697 | $ 25,922 |
Background Information
Background Information | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | Background Information |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements 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, 2020 filed with the Securities and Exchange Commission (SEC). Results for the nine months ended September 30, 2021 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 6. 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 2020 Annual Report on Form 10-K. Subsequent Events The FHLB has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements. |
Recently Issued Accounting Stan
Recently Issued Accounting Standards and Interpretations | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Issued Accounting Standards and Interpretations [Text Block] | Recently Issued and Adopted Accounting Guidance Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended. On March 12, 2020, the Financial Accounting Standards Board (FASB) issued temporary, optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying GAAP to transactions affected by reference rate reform if certain criteria are met. The transactions primarily include (1) contract modifications, (2) hedging relationships, and (3) sale and/or transfer of debt securities classified as held-to-maturity. This guidance became effective immediately, and the FHLB may elect to apply the amendments through December 31, 2022. The FHLB either elected or plans to elect the majority of the optional expedients and exceptions provided; however, the full effect on the FHLB's financial condition, results of operations and cash flows has not yet been determined. In particular, during the fourth quarter of |
Investments
Investments | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Investments The FHLB makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold and may make other investments in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold The FHLB invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are transacted with counterparties that have received a credit rating of single-A or greater by a nationally recognized statistical rating organization (NRSRO). The FHLB’s internal ratings of these counterparties may differ from those issued by an NRSRO. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the FHLB may extend to a counterparty. At September 30, 2021 and December 31, 2020, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of (in thousands) $38 and $10 as of September 30, 2021, and $72 and $10 as of December 31, 2020. Securities purchased under agreements to resell are short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e., subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with counterparties, the FHLB determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at September 30, 2021 and December 31, 2020. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of (in thousands) $9 and $13 as of September 30, 2021 and December 31, 2020. Debt Securities The FHLB invests in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. The FHLB is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities and instruments that experienced credit deterioration after their purchase by the FHLB. As of September 30, 2021, the FHLB had debt securities that were purchased, but not yet settled. The related payable for these securities of (in thousands) $1,137,344 was included in other liabilities on the Statements of Condition. Trading Securities Table 3.1 - Trading Securities by Major Security Types (in thousands) Fair Value September 30, 2021 December 31, 2020 Non-mortgage-backed securities (non-MBS): U.S. Treasury obligations $ 5,338,124 $ 8,362,211 GSE obligations 1,770,088 2,125,580 Total non-MBS 7,108,212 10,487,791 Mortgage-backed securities (MBS): U.S. obligation single-family MBS 234 333 Total $ 7,108,446 $ 10,488,124 Table 3.2 - Net Gains (Losses) on Trading Securities (in thousands) Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Net unrealized gains (losses) on trading securities held at period end $ (19,324) $ (38,866) $ (163,166) $ 323,136 Net gains (losses) on trading securities sold/matured during the period (31,318) (3,270) (41,725) (3,270) Net gains (losses) on trading securities $ (50,642) $ (42,136) $ (204,891) $ 319,866 Available-for-Sale Securities Table 3.3 - Available-for-Sale Securities by Major Security Types (in thousands) September 30, 2021 Amortized Cost (1) Gross Gross Fair Non-MBS: U.S. Treasury obligations $ 3,474,069 $ 21,982 $ — $ 3,496,051 GSE obligations 134,743 2,347 — 137,090 Total non-MBS 3,608,812 24,329 — 3,633,141 MBS: GSE multi-family MBS 217,190 3,651 (8) 220,833 Total MBS 217,190 3,651 (8) 220,833 Total $ 3,826,002 $ 27,980 $ (8) $ 3,853,974 December 31, 2020 Amortized Cost (1) Gross Gross Fair Non-MBS: GSE obligations $ 140,600 $ 1,802 $ — $ 142,402 Total non-MBS 140,600 1,802 — 142,402 MBS: GSE multi-family MBS 146,269 2,916 — 149,185 Total MBS 146,269 2,916 — 149,185 Total $ 286,869 $ 4,718 $ — $ 291,587 (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $7,114 and $1,242 at September 30, 2021 and December 31, 2020. Table 3.4 summarizes the available-for-sale 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 3.4 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (in thousands) September 30, 2021 Less than 12 Months 12 Months or more Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses GSE multi-family MBS $ 47,334 $ (8) $ — $ — $ 47,334 $ (8) Total $ 47,334 $ (8) $ — $ — $ 47,334 $ (8) All securities outstanding at December 31, 2020 had gross unrealized gains. Table 3.5 - Available-for-Sale Securities by Contractual Maturity (in thousands) September 30, 2021 December 31, 2020 Year of Maturity Amortized Fair Amortized Fair Non-MBS: Due in 1 year or less $ — $ — $ — $ — Due after 1 year through 5 years 82,467 83,608 11,248 11,309 Due after 5 years through 10 years 3,513,889 3,536,530 116,096 117,507 Due after 10 years 12,456 13,003 13,256 13,586 Total non-MBS 3,608,812 3,633,141 140,600 142,402 MBS (1) 217,190 220,833 146,269 149,185 Total $ 3,826,002 $ 3,853,974 $ 286,869 $ 291,587 (1) MBS 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 3.6 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands) September 30, 2021 December 31, 2020 Amortized cost of non-MBS: Fixed-rate $ 3,608,812 $ 140,600 Total amortized cost of non-MBS 3,608,812 140,600 Amortized cost of MBS: Fixed-rate 217,190 146,269 Total amortized cost of MBS 217,190 146,269 Total $ 3,826,002 $ 286,869 The FHLB had no sales of securities out of its available-for-sale portfolio for the nine months ended September 30, 2021 or 2020. Held-to-Maturity Securities Table 3.7 - Held-to-Maturity Securities by Major Security Types (in thousands) September 30, 2021 Amortized Cost (1) Gross Unrecognized Holding Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 46,874 $ — $ — $ 46,874 Total non-MBS 46,874 — — 46,874 MBS: U.S. obligation single-family MBS 1,133,473 23,880 (3,980) 1,153,373 GSE single-family MBS 2,072,946 71,465 — 2,144,411 GSE multi-family MBS 6,751,184 6,000 (3,560) 6,753,624 Total MBS 9,957,603 101,345 (7,540) 10,051,408 Total $ 10,004,477 $ 101,345 $ (7,540) $ 10,098,282 December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 41,398 $ 1 $ — $ 41,399 Total non-MBS 41,398 1 — 41,399 MBS: U.S. obligation single-family MBS 986,399 41,218 — 1,027,617 GSE single-family MBS 3,013,326 105,657 (2) 3,118,981 GSE multi-family MBS 5,607,048 5,146 (8,055) 5,604,139 Total MBS 9,606,773 152,021 (8,057) 9,750,737 Total $ 9,648,171 $ 152,022 $ (8,057) $ 9,792,136 (1) Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $7,674 and $9,609 as of September 30, 2021 and December 31, 2020. Table 3.8 - Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands) September 30, 2021 December 31, 2020 Premiums $ 17,403 $ 18,299 Discounts (5,450) (7,269) Net purchased premiums $ 11,953 $ 11,030 Table 3.9 - Held-to-Maturity Securities by Contractual Maturity (in thousands) September 30, 2021 December 31, 2020 Year of Maturity Amortized Cost (1) Fair Value Amortized Cost (1) Fair Value Non-MBS: Due in 1 year or less $ 46,874 $ 46,874 $ 41,398 $ 41,399 Due after 1 year through 5 years — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — Total non-MBS 46,874 46,874 41,398 41,399 MBS (2) 9,957,603 10,051,408 9,606,773 9,750,737 Total $ 10,004,477 $ 10,098,282 $ 9,648,171 $ 9,792,136 (1) Carrying value equals amortized cost. (2) MBS 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 3.10 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands) September 30, 2021 December 31, 2020 Amortized cost of non-MBS: Fixed-rate $ 46,874 $ 41,398 Total amortized cost of non-MBS 46,874 41,398 Amortized cost of MBS: Fixed-rate 2,985,407 3,677,199 Variable-rate 6,972,196 5,929,574 Total amortized cost of MBS 9,957,603 9,606,773 Total $ 10,004,477 $ 9,648,171 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, 2021 and 2020, the FHLB did not sell any held-to-maturity securities. Allowance for Credit Losses on Available-for-Sale and Held-to-Maturity Securities The FHLB evaluates available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. The FHLB’s available-for-sale and held-to-maturity securities are U.S. Treasury obligations, GSE obligations, and MBS issued by Fannie Mae, Freddie Mac and Ginnie Mae that are backed by single-family or multi-family mortgage loans. The FHLB only purchases securities considered investment quality. At September 30, 2021 and December 31, 2020, all available-for-sale and held-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security used by the FHLB. The FHLB’s internal ratings of these securities may differ from those obtained from an NRSRO. The FHLB evaluates individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). At September 30, 2021, one available-for-sale security was in an unrealized loss position. This loss is considered temporary as the FHLB expects to recover the entire amortized cost basis on this available-for-sale investment security and does not intend to sell this security nor considers it more likely than not that it will be required to sell this security before the anticipated recovery of its remaining amortized cost basis. Further, the FHLB has not experienced any payment defaults on the instrument. At December 31, 2020, no available-for-sale securities were in an unrealized loss position. As a result, no allowance for credit losses was recorded on these available-for-sale securities at September 30, 2021 and December 31, 2020. The FHLB evaluates its held-to-maturity securities for impairment on a collective, or pooled basis, unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. As of September 30, 2021 and December 31, 2020, the FHLB had not established an allowance for credit loss on any held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor did the FHLB |
Advances
Advances | 9 Months Ended |
Sep. 30, 2021 | |
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 4.1 - Advances by Redemption Term (dollars in thousands) September 30, 2021 December 31, 2020 Redemption Term Amount Weighted Average Interest Amount Weighted Average Interest Due in 1 year or less $ 11,036,755 0.50 % $ 12,064,753 0.75 % Due after 1 year through 2 years 1,564,121 1.98 1,986,446 1.88 Due after 2 years through 3 years 1,652,202 2.04 1,445,139 2.15 Due after 3 years through 4 years 2,742,514 0.98 1,809,523 1.97 Due after 4 years through 5 years 2,078,476 0.95 2,361,604 1.02 Thereafter 3,542,521 1.51 5,339,932 1.34 Total principal amount 22,616,589 0.97 25,007,397 1.16 Commitment fees (158) (170) Discount on Affordable Housing Program (AHP) Advances (1,522) (2,053) Discounts (1,541) (2,046) Hedging adjustments 180,000 358,173 Fair value option valuation adjustments and accrued interest (582) 702 Total (1) $ 22,792,786 $ 25,362,003 (1) Carrying values exclude accrued interest receivable of (in thousands) $18,821 and $26,426 as of September 30, 2021 and December 31, 2020. 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 4.2 - Advances by Redemption Term or Next Call Date (in thousands) Redemption Term or Next Call Date September 30, 2021 December 31, 2020 Due in 1 year or less $ 14,168,589 $ 15,375,354 Due after 1 year through 2 years 1,460,538 1,716,058 Due after 2 years through 3 years 1,629,502 1,434,377 Due after 3 years through 4 years 1,258,463 1,785,672 Due after 4 years through 5 years 578,476 877,504 Thereafter 3,521,021 3,818,432 Total principal amount $ 22,616,589 $ 25,007,397 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 4.3 - Advances by Redemption Term or Next Put Date for Putable Advances (in thousands) Redemption Term or Next Put Date September 30, 2021 December 31, 2020 Due in 1 year or less $ 13,474,005 $ 14,407,003 Due after 1 year through 2 years 1,634,121 2,146,446 Due after 2 years through 3 years 1,647,952 1,485,139 Due after 3 years through 4 years 2,727,514 1,855,273 Due after 4 years through 5 years 2,070,476 2,346,604 Thereafter 1,062,521 2,766,932 Total principal amount $ 22,616,589 $ 25,007,397 Table 4.4 - Advances by Interest Rate Payment Terms (in thousands) September 30, 2021 December 31, 2020 Total fixed-rate (1) $ 17,537,445 $ 19,195,790 Total variable-rate (1) 5,079,144 5,811,607 Total principal amount $ 22,616,589 $ 25,007,397 (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. Credit Risk Exposure and Security Terms The FHLB's Advances are made to member financial institutions. The FHLB manages its credit exposure to Advances through an integrated approach that includes establishing a credit limit for each borrower and 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 and Finance Agency regulations, which require the FHLB to obtain sufficient collateral to fully secure credit products. Under regulation, collateral eligible to secure new or renewed Advances includes: ▪ one-to-four family loans (delinquent for no more than 60 days) and multi-family mortgage loans (delinquent for no more than 30 days) and securities representing such mortgages; ▪ loans and securities issued and insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae); ▪ cash or deposits in the FHLB; ▪ certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that the FHLB can perfect a security interest in it; and ▪ certain qualifying securities representing undivided equity interests in eligible Advance collateral. Residential mortgage loans are the principal form of collateral for Advances. 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. In addition, community financial institutions are eligible to utilize expanded statutory collateral provisions for small business and agribusiness 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. The FHLB also has policies and procedures for validating the reasonableness of its collateral valuations and makes changes to its collateral guidelines, as necessary, based on current market conditions. In addition, collateral verifications and reviews are performed by the FHLB based on the risk profile of the borrower. Management of the FHLB believes that these policies effectively manage the FHLB's credit risk from Advances. 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 over-collateralization, 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, or may be required to provide details on those 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 otherwise be entitled to priority under 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, 2021 and December 31, 2020, the FHLB did not have any Advances that were past due, in non-accrual status or considered impaired. In addition, there were no troubled debt restructurings related to Advances of the FHLB during the nine months ended September 30, 2021 or 2020. At September 30, 2021 and December 31, 2020, the FHLB had rights to collateral on a member-by-member basis with an estimated value in excess of its outstanding extensions of credit. Based upon the collateral held as security, its credit extension and collateral policies and the repayment history on Advances, the FHLB did not expect any credit losses on Advances as of September 30, 2021 and, therefore, no allowance for credit losses on Advances was recorded. For the same reasons, the FHLB did not record any allowance for credit losses on Advances at December 31, 2020. Advance Concentrations The FHLB's Advances are concentrated in commercial banks, savings institutions, and insurance companies. Advance borrower concentrations can change significantly due to members' ability to quickly increase or decrease their amount of Advances based on their current funding needs. Table 4.5 - Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions) September 30, 2021 December 31, 2020 Principal % of Total Principal Amount of Advances Principal % of Total Principal Amount of Advances U.S. Bank, N.A. $ 3,272 14 % U.S. Bank, N.A. $ 4,273 17 % Third Federal Savings and Loan Association 3,090 14 Third Federal Savings and Loan Association 3,443 14 Nationwide Life Insurance Company 2,555 11 Nationwide Life Insurance Company 2,062 8 Protective Life Insurance Company 2,200 10 Protective Life Insurance Company 1,955 8 Western-Southern Life Assurance Co. 1,514 7 Western-Southern Life Assurance Co. 1,344 5 Total $ 12,631 56 % Total $ 13,077 52 % |
Mortgage Loans
Mortgage Loans | 9 Months Ended |
Sep. 30, 2021 | |
Receivables [Abstract] | |
Financing Receivables [Text Block] | Mortgage Loans Total mortgage loans held for portfolio represent residential mortgage loans under the Mortgage Purchase Program (MPP) that the FHLB's members originate, credit enhance, and then sell to the FHLB. The FHLB does not service any of these loans. The FHLB plans to retain its existing portfolio of mortgage loans. Table 5.1 - Mortgage Loans Held for Portfolio (in thousands) September 30, 2021 December 31, 2020 Fixed rate medium-term single-family mortgage loans (1) $ 670,931 $ 731,756 Fixed rate long-term single-family mortgage loans 6,824,625 8,584,239 Total unpaid principal balance 7,495,556 9,315,995 Premiums 172,057 208,281 Discounts (1,198) (1,636) Hedging basis adjustments (2) 21,443 26,114 Total mortgage loans held for portfolio (3) 7,687,858 9,548,754 Allowance for credit losses on mortgage loans (248) (248) Mortgage loans held for portfolio, net $ 7,687,610 $ 9,548,506 (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. (3) Excludes accrued interest receivable of (in thousands) $23,430 and $30,109 at September 30, 2021 and December 31, 2020. Table 5.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (in thousands) September 30, 2021 December 31, 2020 Conventional mortgage loans $ 7,346,936 $ 9,133,942 Federal Housing Administration (FHA) mortgage loans 148,620 182,053 Total unpaid principal balance $ 7,495,556 $ 9,315,995 Table 5.3 - 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, 2021 December 31, 2020 Principal % of Total Principal % of Total Union Savings Bank $ 1,981 26 % Union Savings Bank $ 2,826 30 % Guardian Savings Bank FSB 560 7 Guardian Savings Bank FSB 796 9 FirstBank 402 5 Credit Risk Exposure The FHLB manages credit risk exposure for conventional mortgage loans primarily though conservative underwriting and purchasing loans with characteristics consistent with favorable expected credit performance and by applying various credit enhancements. 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). 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 upfront as a portion of the purchase proceeds. The LRA is recorded in other liabilities in the Statement of Condition. Excess funds from the LRA are released to the member in accordance with the terms of the Master Commitment Contract, which is typically after five years, 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. Because the FHA makes an explicit guarantee on FHA mortgage loans, the FHLB does not require any credit enhancements on these loans beyond primary mortgage insurance. Table 5.4 - Changes in the LRA (in thousands) Nine Months Ended September 30, 2021 LRA at beginning of year $ 246,435 Additions 13,488 Claims (3) Scheduled distributions (13,194) LRA at end of period $ 246,726 Mortgage Loans Forbearance Plans. In response to the COVID-19 pandemic, which has caused economic strain on many home loan borrowers, the FHLB’s mortgage loan servicers may grant a forbearance period to borrowers who have had COVID-19 related hardships regardless of the payment status of the loan at the time of the request. Based on the most recent information received from mortgage servicers, as of September 30, 2021, there was approximately (in thousands) $24,876 in unpaid principal balance of conventional mortgage loans under a forbearance plan as a result of COVID-19, which represented less than one percent of conventional mortgage loans held for portfolio. Payment Status of Mortgage Loans. The key credit quality indicator for conventional mortgage loans is payment status, which allows the FHLB to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make a full payment of principal and interest within one month of its due date. For loans that have been granted a forbearance period as noted above, there have been no permanent changes in the contractual terms of these loans. Accordingly, when a borrower fails to make a full payment of principal and interest within one month of its due date for loans under forbearance, they are considered past due. Table 5.5 presents the payment status of conventional mortgage loans. As of September 30, 2021, (in thousands) $2,104 in unpaid principal balance of conventional loans under forbearance had a current payment status, (in thousands) $1,743 was 30 to 59 days past due, (in thousands) $1,534 was 60 to 89 days past due, and (in thousands) $19,495 was greater than 90 days past due. Table 5.5 - Credit Quality Indicator of Conventional Mortgage Loans (in thousands) September 30, 2021 Origination Year Payment status, at amortized cost: Prior to 2017 2017 to September 30, 2021 Total Past due 30-59 days $ 13,494 $ 10,006 $ 23,500 Past due 60-89 days 3,378 1,621 4,999 Past due 90 days or more 15,460 17,849 33,309 Total past due mortgage loans 32,332 29,476 61,808 Current mortgage loans 2,824,937 4,651,308 7,476,245 Total conventional mortgage loans $ 2,857,269 $ 4,680,784 $ 7,538,053 December 31, 2020 Origination Year Payment status, at amortized cost: Prior to 2016 2016 to 2020 Total Past due 30-59 days $ 16,812 $ 19,036 $ 35,848 Past due 60-89 days 7,245 7,553 14,798 Past due 90 days or more 24,651 39,921 64,572 Total past due mortgage loans 48,708 66,510 115,218 Current mortgage loans 2,555,139 6,694,837 9,249,976 Total conventional mortgage loans $ 2,603,847 $ 6,761,347 $ 9,365,194 Other delinquency statistics include loans in process of foreclosure, serious delinquency rates, loans past due 90 days or more and still accruing interest, and non-accrual loans. Table 5.6 presents other delinquency statistics of mortgage loans. Table 5.6 - Other Delinquency Statistics (dollars in thousands) September 30, 2021 Amortized Cost: Conventional MPP Loans FHA Loans Total In process of foreclosure (1) $ 4,135 $ 427 $ 4,562 Serious delinquency rate (2) 0.44 % 1.93 % 0.47 % Past due 90 days or more still accruing interest (3) $ 31,747 $ 2,891 $ 34,638 Loans on non-accrual status $ 2,607 $ — $ 2,607 December 31, 2020 Amortized Cost: Conventional MPP Loans FHA Loans Total In process of foreclosure (1) $ 5,031 $ 617 $ 5,648 Serious delinquency rate (2) 0.69 % 3.28 % 0.74 % Past due 90 days or more still accruing interest (3) $ 58,881 $ 5,961 $ 64,842 Loans on non-accrual status $ 6,721 $ — $ 6,721 (1) Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. During the nine months ended September 30, 2021 and year ended December 31, 2020, there were foreclosure moratoriums in effect in response to the COVID-19 pandemic. (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. (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, 2021 or December 31, 2020. Evaluation of Current Expected Credit Losses Mortgage Loans - 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 caused by 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 record 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 - Conventional MPP. Conventional loans are evaluated collectively when similar risk characteristics exist; loans that do not share risk characteristics with other pools are removed from the collective evaluation and evaluated for expected credit losses on an individual basis. For loans with similar risk characteristics, the FHLB determines the allowance for credit losses through analyses that include considering various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The FHLB uses a model that employs a variety of methods, such as projected cash flows to estimate expected credit losses over the life of the loans. This model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior experience. The FHLB’s calculation of expected credit losses includes a forecast of home prices over the entire contractual terms of its conventional loans rather than a reversion to historical home price trends after an initial forecast period. The FHLB also incorporates associated credit enhancements to determine estimated expected credit losses. Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The FHLB may estimate the fair value of this collateral by either applying an appropriate loss severity rate, using third-party estimates, or using a property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The FHLB will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit losses. 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, which is intended to cover other expected losses that may not otherwise be captured in the methodology described above. Allowance for Credit Losses on Conventional Mortgage Loans. The FHLB established an allowance for credit losses on its conventional mortgage loans held for portfolio. The following table presents a rollforward of the allowance for credit losses on conventional mortgage loans. Table 5.7 - Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) Three Months Ended September 30, 2021 2020 Balance, beginning of period $ 248 $ 264 Net charge offs — (22) Balance, end of period $ 248 $ 242 Nine Months Ended September 30, 2021 2020 Balance, beginning of period $ 248 $ 711 Adjustment for cumulative effect of accounting change — (366) Net charge offs — (103) Balance, end of period $ 248 $ 242 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2021 | |
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 changes in interest rates. 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. 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. See Note 7 - Derivatives and Hedging Activities in the FHLB's 2020 Annual Report on Form 10-K for additional information on the FHLB's derivative transactions. 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 executed either with a counterparty, referred to as uncleared derivatives, or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivative Clearing Organization, referred to as 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 6.1 summarizes the notional amount and fair value of derivative instruments and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. Table 6.1 - Fair Value of Derivative Instruments (in thousands) September 30, 2021 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 12,216,993 $ 28 $ 107,414 Derivatives not designated as hedging instruments: Interest rate swaps 13,755,964 1,339 2,623 Interest rate swaptions 1,219,000 870 — Mortgage delivery commitments 264,587 435 476 Total derivatives not designated as hedging instruments 15,239,551 2,644 3,099 Total derivatives before adjustments $ 27,456,544 2,672 110,513 Netting adjustments and cash collateral (1) 243,115 (107,316) Total derivative assets and total derivative liabilities $ 245,787 $ 3,197 December 31, 2020 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 10,477,703 $ 272 $ 163,174 Derivatives not designated as hedging instruments: Interest rate swaps 13,267,539 691 2,563 Interest rate swaptions 2,175,000 713 — Mortgage delivery commitments 137,352 1,056 — Total derivatives not designated as hedging instruments 15,579,891 2,460 2,563 Total derivatives before adjustments $ 26,057,594 2,732 165,737 Netting adjustments and cash collateral (1) 213,156 (161,924) Total derivative assets and total derivative liabilities $ 215,888 $ 3,813 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $350,891 and $375,390 at September 30, 2021 and December 31, 2020. Cash collateral received, including accrued interest, was (in thousands) $460 and $310 at September 30, 2021 and December 31, 2020. Table 6.2 presents the impact of qualifying fair value hedging relationships on net interest income as well as the total interest income (expense) by product. Table 6.2 - Impact of Fair Value Hedging Relationships on Net Interest Income (in thousands) Three Months Ended September 30, 2021 Advances Available-for-Sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 30,688 $ 2,296 $ (83,704) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (24,885) $ (6,317) $ 270 Gain (loss) on derivatives 31,492 35,549 (208) Gain (loss) on hedged items (32,371) (35,356) 201 Effect on net interest income $ (25,764) $ (6,124) $ 263 Three Months Ended September 30, 2020 Advances Available-for-Sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 63,974 $ 271 $ (119,748) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (34,448) $ (813) $ 477 Gain (loss) on derivatives 51,956 2,402 (591) Gain (loss) on hedged items (54,369) (2,573) 591 Effect on net interest income $ (36,861) $ (984) $ 477 Nine Months Ended September 30, 2021 Advances Available-for-sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 103,219 $ 3,975 $ (266,479) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (85,580) $ (10,025) $ 790 Gain (loss) on derivatives 177,912 40,265 (1,034) Gain (loss) on hedged items (178,173) (39,835) 1,016 Effect on net interest income $ (85,841) $ (9,595) $ 772 Nine Months Ended September 30, 2020 Advances Available-for-Sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 394,578 $ 4,286 $ (435,543) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (55,405) $ (1,611) $ 1,290 Gain (loss) on derivatives (359,963) (9,800) 1,949 Gain (loss) on hedged items 345,831 9,440 (1,852) Effect on net interest income $ (69,537) $ (1,971) $ 1,387 Table 6.3 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. Table 6.3 - Cumulative Basis Adjustments for Fair Value Hedges (in thousands) September 30, 2021 Advances Available-for-Sale Securities Consolidated Bonds Amortized cost of hedged asset or liability (1) $ 8,212,671 $ 3,826,002 $ 374,527 Fair value hedging adjustments Basis adjustments for active hedging relationships included in amortized cost $ 178,838 $ (28,054) $ 1,070 Basis adjustments for discontinued hedging relationships included in amortized cost 1,162 360 — Total amount of fair value hedging basis adjustments $ 180,000 $ (27,694) $ 1,070 December 31, 2020 Advances Available-for-Sale Securities Consolidated Bonds Amortized cost of hedged asset or liability (1) $ 10,483,218 $ 286,869 $ 132,852 Fair value hedging adjustments Basis adjustments for active hedging relationships included in amortized cost $ 356,624 $ 11,751 $ 2,086 Basis adjustments for discontinued hedging relationships included in amortized cost 1,549 389 — Total amount of fair value hedging basis adjustments $ 358,173 $ 12,140 $ 2,086 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. Table 6.4 presents net gains (losses) recorded in non-interest income (loss) on derivatives not designated as hedging instruments. Table 6.4 - Net Gains (Losses) Recorded in Non-interest Income (Loss) on Derivatives Not Designated as Hedging Instruments (in thousands) Three Months Ended September 30, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 42,661 $ 60,667 Interest rate swaptions (257) 110 Forward rate agreements — — Net interest settlements (40,467) (44,242) Mortgage delivery commitments 3,947 3,033 Total net gains (losses) related to derivatives not designated as hedging instruments 5,884 19,568 Price alignment amount (1) 40 140 Net gains (losses) on derivatives and hedging activities $ 5,924 $ 19,708 Nine Months Ended September 30, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 191,507 $ (305,565) Interest rate swaptions 157 90,626 Forward rate agreements — (31,935) Net interest settlements (129,262) (82,239) Mortgage delivery commitments 4,487 19,627 Total net gains (losses) related to derivatives not designated as hedging instruments 66,889 (309,486) Price alignment amount (1) 100 1,256 Net gains (losses) on derivatives and hedging activities $ 66,989 $ (308,230) (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. 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 on its uncleared derivatives with the collateral delivery threshold set to zero. 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 Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments, while initial margin is considered to be 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. On the Statements of Cash Flows, the variation margin cash payments, or daily settlement payments, are included in net change in derivative and hedging activities, as an operating activity. 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, 2021, 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 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 it expects that the exercise of those offsetting rights by a non-defaulting party under these transactions would 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 6.5 presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral. At September 30, 2021 and December 31, 2020, the FHLB did not receive or pledge any non-cash collateral. Any over-collateralization under an individual clearing agent and/or counterparty level is not included in the determination of the net unsecured amount. Table 6.5 - Offsetting of Derivative Assets and Derivative Liabilities (in thousands) September 30, 2021 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amount of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets: Uncleared $ 2,071 $ (1,953) $ 435 $ 553 Cleared 166 245,068 — 245,234 Total $ 245,787 Derivative Liabilities: Uncleared $ 99,201 $ (96,480) $ 476 $ 3,197 Cleared 10,836 (10,836) — — Total $ 3,197 December 31, 2020 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amount of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets: Uncleared $ 1,047 $ (1,047) $ 1,056 $ 1,056 Cleared 629 214,203 — 214,832 Total $ 215,888 Derivative Liabilities: Uncleared $ 161,633 $ (157,820) $ — $ 3,813 Cleared 4,104 (4,104) — — Total $ 3,813 (1) Represents mortgage delivery commitments that are not subject to an enforceable netting agreement. |
Deposits
Deposits | 9 Months Ended |
Sep. 30, 2021 | |
Deposits [Abstract] | |
Deposit [Text Block] | Deposits Table 7.1 - Deposits (in thousands) September 30, 2021 December 31, 2020 Interest-bearing: Demand and overnight $ 1,439,472 $ 1,190,508 Term 72,650 123,675 Other 13,215 13,019 Total interest-bearing deposits $ 1,525,337 $ 1,327,202 |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations Table 8.1 - Consolidated Discount Notes Outstanding (dollars in thousands) Book Value Principal Amount Weighted Average Interest Rate (1) September 30, 2021 $ 26,609,080 $ 26,610,366 0.04 % December 31, 2020 $ 27,500,244 $ 27,502,730 0.11 % (1) Represents an implied rate without consideration of concessions. Table 8.2 - Consolidated Bonds Outstanding by Original Contractual Maturity (dollars in thousands) September 30, 2021 December 31, 2020 Year of Original Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 12,741,015 0.74 % $ 18,676,595 0.72 % Due after 1 year through 2 years 2,919,465 2.00 2,728,885 2.38 Due after 2 years through 3 years 2,502,795 2.07 3,388,120 2.09 Due after 3 years through 4 years 2,006,730 1.81 1,793,405 2.21 Due after 4 years through 5 years 1,467,000 1.38 1,910,000 1.45 Thereafter 3,032,000 2.25 3,454,000 2.39 Total principal amount 24,669,005 1.33 31,951,005 1.32 Premiums 31,225 43,235 Discounts (18,326) (21,403) Hedging adjustments 1,070 2,086 Fair value option valuation adjustment and accrued interest 3,204 21,388 Total $ 24,686,178 $ 31,996,311 Table 8.3 - Consolidated Bonds Outstanding by Call Features (in thousands) September 30, 2021 December 31, 2020 Principal Amount of Consolidated Bonds: Non-callable $ 19,939,005 $ 26,539,005 Callable 4,730,000 5,412,000 Total principal amount $ 24,669,005 $ 31,951,005 Table 8.4 - Consolidated Bonds Outstanding by Original Contractual Maturity or Next Call Date (in thousands) Year of Original Contractual Maturity or Next Call Date September 30, 2021 December 31, 2020 Due in 1 year or less $ 17,261,015 $ 22,968,595 Due after 1 year through 2 years 2,608,465 2,823,885 Due after 2 years through 3 years 1,699,795 2,452,120 Due after 3 years through 4 years 1,055,730 1,253,405 Due after 4 years through 5 years 551,000 728,000 Thereafter 1,493,000 1,725,000 Total principal amount $ 24,669,005 $ 31,951,005 Table 8.5 - Consolidated Bonds by Interest-rate Payment Type (in thousands) September 30, 2021 December 31, 2020 Principal Amount of Consolidated Bonds: Fixed-rate $ 21,219,005 $ 21,312,005 Variable-rate 3,450,000 10,639,000 Total principal amount $ 24,669,005 $ 31,951,005 |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 9 Months Ended |
Sep. 30, 2021 | |
Affordable Housing Program (AHP) [Abstract] | |
Affordable Housing Program (AHP) [Text Block] | Affordable Housing Program (AHP) The FHLBank Act requires each FHLBank to establish an AHP. Each FHLBank provides subsidies in the form of direct grants and below-market interest rate AHP Advances to members who use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Each FHLBank is required to contribute to its AHP the greater of 10 percent of its previous year's income subject to assessment, or the prorated sum required to ensure the aggregate contribution by the FHLBanks is no less than $100 million for each year. For purposes of the AHP calculation, income subject to assessment is defined as net income before assessments, plus interest expense related to mandatorily redeemable capital stock. The FHLB accrues AHP expense monthly based on its income subject to assessment. The FHLB reduces the AHP liability as members use subsidies. Table 9.1 - Analysis of AHP Liability (in thousands) Balance at December 31, 2020 $ 110,772 Assessments (current year additions) 2,793 Subsidy uses, net (23,697) Balance at September 30, 2021 $ 89,868 |
Capital
Capital | 9 Months Ended |
Sep. 30, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Capital [Text Block] | Capital Table 10.1 - Capital Requirements (dollars in thousands) September 30, 2021 December 31, 2020 Minimum Requirement Actual Minimum Requirement Actual Risk-based capital $ 727,875 $ 3,730,055 $ 539,321 $ 3,964,353 Capital-to-assets ratio (regulatory) 4.00 % 6.41 % 4.00 % 6.07 % Regulatory capital $ 2,327,262 $ 3,730,055 $ 2,611,850 $ 3,964,353 Leverage capital-to-assets ratio (regulatory) 5.00 % 9.62 % 5.00 % 9.11 % Leverage capital $ 2,909,077 $ 5,595,083 $ 3,264,812 $ 5,946,530 Restricted Retained Earnings. At September 30, 2021 and December 31, 2020 the FHLB had (in thousands) $506,294 and $501,321 in restricted retained earnings. These restricted retained earnings are not available to pay dividends but are available to absorb unexpected losses, if any, that an FHLBank may experience. Table 10.2 - Mandatorily Redeemable Capital Stock Rollforward (in thousands) Balance, December 31, 2020 $ 19,454 Capital stock subject to mandatory redemption reclassified from equity 61,582 Repurchase/redemption of mandatorily redeemable capital stock (68,181) Balance, September 30, 2021 $ 12,855 Table 10.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands) Contractual Year of Redemption September 30, 2021 December 31, 2020 Year 1 $ 1,124 $ 156 Year 2 736 1,124 Year 3 1,063 2,167 Year 4 15 391 Year 5 1,626 3,142 Thereafter (1) — 650 Past contractual redemption date due to remaining activity (2) 8,291 11,824 Total $ 12,855 $ 19,454 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. 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, 2021 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive (Loss) Income [Text Block] | Accumulated Other Comprehensive Income (Loss) The following tables summarize the changes in accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2021 and 2020. Table 11.1 - Accumulated Other Comprehensive Income (Loss) (in thousands) Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive income (loss) BALANCE, JUNE 30, 2020 $ (513) $ (15,620) $ (16,133) Other comprehensive income before reclassification: Net unrealized gains (losses) 3,504 — 3,504 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 572 572 Net current period other comprehensive income (loss) 3,504 572 4,076 BALANCE, SEPTEMBER 30, 2020 $ 2,991 $ (15,048) $ (12,057) BALANCE, JUNE 30, 2021 $ 16,365 $ (18,351) $ (1,986) Other comprehensive income before reclassification: Net unrealized gains (losses) 11,607 — 11,607 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 696 696 Net current period other comprehensive income (loss) 11,607 696 12,303 BALANCE, SEPTEMBER 30, 2021 $ 27,972 $ (17,655) $ 10,317 Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive income (loss) BALANCE, DECEMBER 31, 2019 $ 370 $ (16,764) $ (16,394) Other comprehensive income before reclassification: Net unrealized gains (losses) 2,621 — 2,621 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 1,716 1,716 Net current period other comprehensive income (loss) 2,621 1,716 4,337 BALANCE, SEPTEMBER 30, 2020 $ 2,991 $ (15,048) $ (12,057) BALANCE, DECEMBER 31, 2020 $ 4,718 $ (19,703) $ (14,985) Other comprehensive income before reclassification: Net unrealized gains (losses) 23,254 — 23,254 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 2,048 2,048 Net current period other comprehensive income (loss) 23,254 2,048 25,302 BALANCE, SEPTEMBER 30, 2021 $ 27,972 $ (17,655) $ 10,317 |
Pension and Postretirement Bene
Pension and Postretirement Benefit Plans | 9 Months Ended |
Sep. 30, 2021 | |
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 $1,413,000 and $1,594,000 in the three months ended September 30, 2021 and 2020, respectively, and $4,806,000 and $4,630,000 in the nine months ended September 30, 2021 and 2020. Qualified Defined Contribution Plan. The FHLB also participates in the Fidelity Defined Contribution Plan, a tax-qualified, defined contribution 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 IRS limitations. The FHLB contributed $324,000 and $271,000 in the three months ended September 30, 2021 and 2020, respectively, and $1,266,000 and $1,133,000 in the nine months ended September 30, 2021 and 2020. Non-qualified Supplemental Defined Benefit Retirement Plan (Defined Benefit Retirement Plan) . The FHLB maintains a non-qualified, 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 12.1 - Net Periodic Benefit Cost (in thousands) Three Months Ended September 30, Defined Benefit Postretirement Benefits Plan 2021 2020 2021 2020 Net Periodic Benefit Cost Service cost $ 87 $ 282 $ 2 $ 3 Interest cost 319 331 28 35 Amortization of prior service benefit (90) — — — Amortization of net loss 772 572 14 — Net periodic benefit cost $ 1,088 $ 1,185 $ 44 $ 38 Nine Months Ended September 30, Defined Benefit Postretirement Benefits Plan 2021 2020 2021 2020 Net Periodic Benefit Cost Service cost $ 739 $ 847 $ 6 $ 7 Interest cost 867 993 86 106 Amortization of prior service benefit (90) — — — Amortization of net loss 2,098 1,716 40 — Net periodic benefit cost $ 3,614 $ 3,556 $ 132 $ 113 |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2021 | |
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 13.1 - Financial Performance by Operating Segment (in thousands) Three Months Ended September 30, Traditional Member MPP Total 2021 Net interest income (loss) $ 72,657 $ (8,709) $ 63,948 Non-interest income (loss) (40,228) 3,764 (36,464) Non-interest expense 18,822 2,221 21,043 Income (loss) before assessments 13,607 (7,166) 6,441 Affordable Housing Program assessments 1,368 (717) 651 Net income (loss) $ 12,239 $ (6,449) $ 5,790 2020 Net interest income $ 91,957 $ 1,151 $ 93,108 Non-interest income (loss) (10,582) 3,111 (7,471) Non-interest expense 18,918 2,953 21,871 Income before assessments 62,457 1,309 63,766 Affordable Housing Program assessments 6,238 131 6,369 Net income $ 56,219 $ 1,178 $ 57,397 Nine Months Ended September 30, Traditional Member MPP Total 2021 Net interest income (loss) $ 240,902 $ (34,897) $ 206,005 Non-interest income (loss) (114,459) 4,590 (109,869) Non-interest expense 60,888 7,589 68,477 Income (loss) before assessments 65,555 (37,896) 27,659 Affordable Housing Program assessments 6,583 (3,790) 2,793 Net income (loss) $ 58,972 $ (34,106) $ 24,866 2020 Net interest income $ 295,920 $ 28,898 $ 324,818 Non-interest income (loss) (41,540) 49,733 8,193 Non-interest expense 61,379 8,790 70,169 Income before assessments 193,001 69,841 262,842 Affordable Housing Program assessments 19,398 6,984 26,382 Net income $ 173,603 $ 62,857 $ 236,460 Table 13.2 - Asset Balances by Operating Segment (in thousands) Assets Traditional Member MPP Total September 30, 2021 $ 46,897,505 $ 11,284,037 $ 58,181,542 December 31, 2020 53,356,209 11,940,030 65,296,239 |
Fair Value Disclosures
Fair Value Disclosures | 9 Months Ended |
Sep. 30, 2021 | |
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. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. Fair Value Hierarchy . 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. 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. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs - 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, which are supported by limited to no market activity and reflect the FHLB's own assumptions. 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. The FHLB did not have any transfers of assets or liabilities into or out of Level 3 of the fair value hierarchy during the nine months ended September 30, 2021 or 2020. Table 14.1 presents the net carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. The FHLB records trading securities, available-for-sale securities, derivative assets, derivative liabilities, certain Advances and certain Consolidated Obligations at fair value on a recurring basis, and on occasion, certain mortgage loans held for portfolio on a nonrecurring basis. The FHLB records all other financial assets and liabilities at amortized cost. Refer to Table 14.2 for further details about the financial assets and liabilities held at fair value on either a recurring or nonrecurring basis. Table 14.1 - Fair Value Summary (in thousands) September 30, 2021 Fair Value Financial Instruments Net Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 20,295 $ 20,295 $ 20,295 $ — $ — $ — Interest-bearing deposits 335,075 335,075 — 335,075 — — Securities purchased under agreements to resell 289,600 289,600 — 289,600 — — Federal funds sold 5,715,000 5,715,000 — 5,715,000 — — Trading securities 7,108,446 7,108,446 — 7,108,446 — — Available-for-sale securities 3,853,974 3,853,974 — 3,853,974 — — Held-to-maturity securities 10,004,477 10,098,282 — 10,098,282 — — Advances (2) 22,792,786 22,972,042 — 22,972,042 — — Mortgage loans held for portfolio 7,687,610 7,918,027 — 7,885,250 32,777 — Accrued interest receivable 105,684 105,684 — 105,684 — — Derivative assets 245,787 245,787 — 2,672 — 243,115 Liabilities: Deposits 1,525,337 1,525,292 — 1,525,292 — — Consolidated Obligations: Discount Notes (3) 26,609,080 26,609,275 — 26,609,275 — — Bonds (4) 24,686,178 25,144,280 — 25,144,280 — — Mandatorily redeemable capital stock 12,855 12,855 12,855 — — — Accrued interest payable 62,900 62,900 — 62,900 — — Derivative liabilities 3,197 3,197 — 110,513 — (107,316) (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) $25,918 of Advances recorded under the fair value option at September 30, 2021. (3) Includes (in thousands) $4,873,353 of Consolidated Obligation Discount Notes recorded under the fair value option at September 30, 2021. (4) Includes (in thousands) $2,152,204 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2021. December 31, 2020 Fair Value Financial Instruments Net Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 2,984,073 $ 2,984,073 $ 2,984,073 $ — $ — $ — Interest-bearing deposits 555,104 555,104 — 555,104 — — Securities purchased under agreements to resell 1,818,268 1,818,268 — 1,818,268 — — Federal funds sold 4,240,000 4,240,000 — 4,240,000 — — Trading securities 10,488,124 10,488,124 — 10,488,124 — — Available-for-sale securities 291,587 291,587 — 291,587 — — Held-to-maturity securities 9,648,171 9,792,136 — 9,792,136 — — Advances (2) 25,362,003 25,573,785 — 25,573,785 — — Mortgage loans held for portfolio 9,548,506 9,861,802 — 9,798,019 63,783 — Accrued interest receivable 113,701 113,701 — 113,701 — — Derivative assets 215,888 215,888 — 2,732 — 213,156 Liabilities: Deposits 1,327,202 1,327,267 — 1,327,267 — — Consolidated Obligations: Discount Notes 27,500,244 27,501,296 — 27,501,296 — — Bonds (3) 31,996,311 32,785,647 — 32,785,647 — — Mandatorily redeemable capital stock 19,454 19,454 19,454 — — — Accrued interest payable 77,521 77,521 — 77,521 — — Derivative liabilities 3,813 3,813 — 165,737 — (161,924) (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) $27,202 of Advances recorded under the fair value option at December 31, 2020. (3) Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. Summary of Valuation Methodologies and Primary Inputs . The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are disclosed in Note 15 - Fair Value Disclosures in the FHLB's 2020 Annual Report on Form 10-K. There have been no significant changes in the valuation methodologies during 2021. Fair Value Measurements . Table 14.2 presents the fair value of financial assets and liabilities that are recorded on a recurring or nonrecurring basis at September 30, 2021 and December 31, 2020, by level within the fair value hierarchy. The FHLB records nonrecurring fair value adjustments to reflect partial write-downs on certain mortgage loans. Table 14.2 - Fair Value Measurements (in thousands) Fair Value Measurements at September 30, 2021 Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: U.S. Treasury obligations $ 5,338,124 $ — $ 5,338,124 $ — $ — GSE obligations 1,770,088 — 1,770,088 — — U.S. obligation single-family MBS 234 — 234 — — Total trading securities 7,108,446 — 7,108,446 — — Available-for-sale securities: U.S. Treasury obligations 3,496,051 — 3,496,051 — — GSE obligations 137,090 — 137,090 — — GSE multi-family MBS 220,833 — 220,833 — — Total available-for-sale securities 3,853,974 — 3,853,974 — — Advances 25,918 — 25,918 — — Derivative assets: Interest rate related 245,352 — 2,237 — 243,115 Mortgage delivery commitments 435 — 435 — — Total derivative assets 245,787 — 2,672 — 243,115 Total assets at fair value $ 11,234,125 $ — $ 10,991,010 $ — $ 243,115 Recurring fair value measurements - Liabilities Consolidated Obligations: Discount Notes $ 4,873,353 $ — $ 4,873,353 $ — $ — Bonds 2,152,204 — 2,152,204 — — Total Consolidated Obligations 7,025,557 — 7,025,557 — — Derivative liabilities: Interest rate related 2,721 — 110,037 — (107,316) Mortgage delivery commitments 476 — 476 — — Total derivative liabilities 3,197 — 110,513 — (107,316) Total liabilities at fair value $ 7,028,754 $ — $ 7,136,070 $ — $ (107,316) (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. Fair Value Measurements at December 31, 2020 Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: U.S. Treasury obligations $ 8,362,211 $ — $ 8,362,211 $ — $ — GSE obligations 2,125,580 — 2,125,580 — — U.S. obligation single-family MBS 333 — 333 — — Total trading securities 10,488,124 — 10,488,124 — — Available-for-sale securities: GSE obligations 142,402 — 142,402 — — GSE multi-family MBS 149,185 — 149,185 — — Total available-for-sale securities 291,587 — 291,587 — — Advances 27,202 — 27,202 — — Derivative assets: Interest rate related 214,832 — 1,676 — 213,156 Mortgage delivery commitments 1,056 — 1,056 — — Total derivative assets 215,888 — 2,732 — 213,156 Total assets at fair value $ 11,022,801 $ — $ 10,809,645 $ — $ 213,156 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 2,262,388 $ — $ 2,262,388 $ — $ — Derivative liabilities: Interest rate related 3,813 — 165,737 — (161,924) Total derivative liabilities 3,813 — 165,737 — (161,924) Total liabilities at fair value $ 2,266,201 $ — $ 2,428,125 $ — $ (161,924) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 108 $ — $ — $ 108 (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, 2020. 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 Obligations carried at fair value are recognized based solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into other non-interest income or other non-interest expense. The FHLB has elected the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. These fair value elections were made primarily in an effort to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. Table 14.3 presents net gains (losses) recognized in earnings related to financial assets and liabilities in which the fair value option was elected during the three and nine months ended September 30, 2021 and 2020. Table 14.3 – Fair Value Option - Financial Assets and Liabilities (in thousands) Three Months Ended September 30, Nine Months Ended September 30, Net Gains (Losses) from Changes in Fair Value Recognized in Earnings 2021 2020 2021 2020 Advances $ (148) $ 526 $ (1,283) $ 704 Consolidated Discount Notes (108) 1,222 (58) 1,060 Consolidated Bonds 1,557 8,939 9,149 (16,166) Total net gains (losses) $ 1,301 $ 10,687 $ 7,808 $ (14,402) For instruments recorded under the fair value option, the related contractual interest income, contractual interest expense and the discount amortization on Discount Notes 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, except for changes in fair value related to instrument specific credit risk, which are recorded in accumulated other comprehensive income in the Statement of Condition. The FHLB has determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the nine months ended September 30, 2021 or 2020. In determining that there has been no change in instrument-specific credit risk period to period, the FHLB primarily considered the following factors: ▪ The FHLB is a federally chartered GSE, and as a result of this status, the FHLB’s Consolidated Obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States. ▪ The FHLB is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all Consolidated Obligations of each of the other FHLBanks. The following table reflects the difference between the aggregate unpaid principal balance outstanding and the aggregate fair value for Advances and Consolidated Obligations for which the fair value option has been elected. Table 14.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) September 30, 2021 December 31, 2020 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 $ 26,500 $ 25,918 $ (582) $ 26,500 $ 27,202 $ 702 Consolidated Discount Notes 4,873,700 4,873,353 (347) — — — Consolidated Bonds 2,149,000 2,152,204 3,204 2,241,000 2,262,388 21,388 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies Off-Balance Sheet Commitments. Table 15.1 represents off-balance sheet commitments at September 30, 2021 and December 31, 2020. The FHLB has deemed it unnecessary to record any liabilities for credit losses on these commitments at September 30, 2021 and December 31, 2020. Table 15.1 - Off-Balance Sheet Commitments (in thousands) September 30, 2021 December 31, 2020 Notional Amount Expire within one year Expire after one year Total Expire within one year Expire after one year Total Letters of Credit $ 32,946,853 $ 507,236 $ 33,454,089 $ 27,741,220 $ 1,071,029 $ 28,812,249 Commitments for standby bond purchases 14,635 13,435 28,070 — 35,030 35,030 Commitments to purchase mortgage loans 264,587 — 264,587 137,352 — 137,352 Unsettled Consolidated Bonds, principal amount (1) 300,000 — 300,000 — — — Unsettled Consolidated Discount Notes, principal amount (1) 1,016,000 — 1,016,000 321,551 — 321,551 (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. The carrying value of guarantees related to Letters of Credit are recorded in other liabilities and were (in thousands) $7,948 and $8,675 at September 30, 2021 and December 31, 2020. 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, 2021 | |
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, 2021 or December 31, 2020. 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, 2021 and 2020. Table 16.1 - Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands) Average Daily Balances for the Nine Months Ended September 30, 2021 2020 Loans to other FHLBanks $ — $ 6,569 Borrowings from other FHLBanks 183 182 |
Transactions with Stockholders
Transactions with Stockholders | 9 Months Ended |
Sep. 30, 2021 | |
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 MBS 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, 2021 or December 31, 2020. 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 provides 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 MBS or derivatives transactions with Directors' Financial Institutions at September 30, 2021 or December 31, 2020. Table 17.1 - Transactions with Directors' Financial Institutions (dollars in millions) September 30, 2021 December 31, 2020 Balance % of Total (1) Balance % of Total (1) Advances $ 6,195 27.4 % $ 7,048 28.2 % MPP 164 2.2 159 1.7 Regulatory capital stock 393 16.1 467 17.6 (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 17.2 - Stockholders Holding Five Percent or more of Regulatory Capital Stock (dollars in millions) Regulatory Capital Stock Advance MPP Unpaid September 30, 2021 Balance % of Total Principal Principal Balance U.S. Bank, N.A. $ 186 8 % $ 3,272 $ 10 Third Federal Savings & Loan Association 163 7 3,090 31 Nationwide Life Insurance Company 138 6 2,555 — Regulatory Capital Stock Advance MPP Unpaid December 31, 2020 Balance % of Total Principal Principal Balance U.S. Bank, N.A. $ 288 11 % $ 4,273 $ 13 JPMorgan Chase Bank, N.A. 163 6 — — Third Federal Savings & Loan Association 137 5 3,443 42 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, 2021 or December 31, 2020. The FHLB has executed standby bond purchase agreements with the Ohio Housing Finance Agency 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 2021 and 2020, the FHLB was not required to purchase any bonds under these agreements. |
Recently Issued Accounting St_2
Recently Issued Accounting Standards and Interpretations (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Credit Loss, Financial Instrument [Policy Text Block] | Mortgage Loans - 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 caused by 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 record 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 - Conventional MPP. Conventional loans are evaluated collectively when similar risk characteristics exist; loans that do not share risk characteristics with other pools are removed from the collective evaluation and evaluated for expected credit losses on an individual basis. For loans with similar risk characteristics, the FHLB determines the allowance for credit losses through analyses that include considering various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The FHLB uses a model that employs a variety of methods, such as projected cash flows to estimate expected credit losses over the life of the loans. This model relies on a number of inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior experience. The FHLB’s calculation of expected credit losses includes a forecast of home prices over the entire contractual terms of its conventional loans rather than a reversion to historical home price trends after an initial forecast period. The FHLB also incorporates associated credit enhancements to determine estimated expected credit losses. Certain conventional loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The FHLB may estimate the fair value of this collateral by either applying an appropriate loss severity rate, using third-party estimates, or using a property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated |
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. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. |
Fair Value Transfer, Policy | 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. |
Investments (Tables)
Investments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block] | Trading Securities by Major Security Types (in thousands) Fair Value September 30, 2021 December 31, 2020 Non-mortgage-backed securities (non-MBS): U.S. Treasury obligations $ 5,338,124 $ 8,362,211 GSE obligations 1,770,088 2,125,580 Total non-MBS 7,108,212 10,487,791 Mortgage-backed securities (MBS): U.S. obligation single-family MBS 234 333 Total $ 7,108,446 $ 10,488,124 |
Gain (Loss) on Securities [Table Text Block] | Net Gains (Losses) on Trading Securities (in thousands) Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Net unrealized gains (losses) on trading securities held at period end $ (19,324) $ (38,866) $ (163,166) $ 323,136 Net gains (losses) on trading securities sold/matured during the period (31,318) (3,270) (41,725) (3,270) Net gains (losses) on trading securities $ (50,642) $ (42,136) $ (204,891) $ 319,866 |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-Sale Securities by Major Security Types (in thousands) September 30, 2021 Amortized Cost (1) Gross Gross Fair Non-MBS: U.S. Treasury obligations $ 3,474,069 $ 21,982 $ — $ 3,496,051 GSE obligations 134,743 2,347 — 137,090 Total non-MBS 3,608,812 24,329 — 3,633,141 MBS: GSE multi-family MBS 217,190 3,651 (8) 220,833 Total MBS 217,190 3,651 (8) 220,833 Total $ 3,826,002 $ 27,980 $ (8) $ 3,853,974 December 31, 2020 Amortized Cost (1) Gross Gross Fair Non-MBS: GSE obligations $ 140,600 $ 1,802 $ — $ 142,402 Total non-MBS 140,600 1,802 — 142,402 MBS: GSE multi-family MBS 146,269 2,916 — 149,185 Total MBS 146,269 2,916 — 149,185 Total $ 286,869 $ 4,718 $ — $ 291,587 (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $7,114 and $1,242 at September 30, 2021 and December 31, 2020. |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | Available-for-Sale Securities in a Continuous Unrealized Loss Position (in thousands) September 30, 2021 Less than 12 Months 12 Months or more Total Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses GSE multi-family MBS $ 47,334 $ (8) $ — $ — $ 47,334 $ (8) Total $ 47,334 $ (8) $ — $ — $ 47,334 $ (8) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Available-for-Sale Securities by Contractual Maturity (in thousands) September 30, 2021 December 31, 2020 Year of Maturity Amortized Fair Amortized Fair Non-MBS: Due in 1 year or less $ — $ — $ — $ — Due after 1 year through 5 years 82,467 83,608 11,248 11,309 Due after 5 years through 10 years 3,513,889 3,536,530 116,096 117,507 Due after 10 years 12,456 13,003 13,256 13,586 Total non-MBS 3,608,812 3,633,141 140,600 142,402 MBS (1) 217,190 220,833 146,269 149,185 Total $ 3,826,002 $ 3,853,974 $ 286,869 $ 291,587 (1) MBS 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. September 30, 2021 December 31, 2020 Year of Maturity Amortized Cost (1) Fair Value Amortized Cost (1) Fair Value Non-MBS: Due in 1 year or less $ 46,874 $ 46,874 $ 41,398 $ 41,399 Due after 1 year through 5 years — — — — Due after 5 years through 10 years — — — — Due after 10 years — — — — Total non-MBS 46,874 46,874 41,398 41,399 MBS (2) 9,957,603 10,051,408 9,606,773 9,750,737 Total $ 10,004,477 $ 10,098,282 $ 9,648,171 $ 9,792,136 (1) Carrying value equals amortized cost. (2) MBS 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 Available-for-Sale Securities (in thousands) September 30, 2021 December 31, 2020 Amortized cost of non-MBS: Fixed-rate $ 3,608,812 $ 140,600 Total amortized cost of non-MBS 3,608,812 140,600 Amortized cost of MBS: Fixed-rate 217,190 146,269 Total amortized cost of MBS 217,190 146,269 Total $ 3,826,002 $ 286,869 September 30, 2021 December 31, 2020 Amortized cost of non-MBS: Fixed-rate $ 46,874 $ 41,398 Total amortized cost of non-MBS 46,874 41,398 Amortized cost of MBS: Fixed-rate 2,985,407 3,677,199 Variable-rate 6,972,196 5,929,574 Total amortized cost of MBS 9,957,603 9,606,773 Total $ 10,004,477 $ 9,648,171 |
Debt Securities, Held-to-maturity [Table Text Block] | Held-to-Maturity Securities by Major Security Types (in thousands) September 30, 2021 Amortized Cost (1) Gross Unrecognized Holding Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 46,874 $ — $ — $ 46,874 Total non-MBS 46,874 — — 46,874 MBS: U.S. obligation single-family MBS 1,133,473 23,880 (3,980) 1,153,373 GSE single-family MBS 2,072,946 71,465 — 2,144,411 GSE multi-family MBS 6,751,184 6,000 (3,560) 6,753,624 Total MBS 9,957,603 101,345 (7,540) 10,051,408 Total $ 10,004,477 $ 101,345 $ (7,540) $ 10,098,282 December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gross Unrecognized Holding Losses Fair Value Non-MBS: U.S. Treasury obligations $ 41,398 $ 1 $ — $ 41,399 Total non-MBS 41,398 1 — 41,399 MBS: U.S. obligation single-family MBS 986,399 41,218 — 1,027,617 GSE single-family MBS 3,013,326 105,657 (2) 3,118,981 GSE multi-family MBS 5,607,048 5,146 (8,055) 5,604,139 Total MBS 9,606,773 152,021 (8,057) 9,750,737 Total $ 9,648,171 $ 152,022 $ (8,057) $ 9,792,136 (1) Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $7,674 and $9,609 as of September 30, 2021 and December 31, 2020. |
Premiums (Discounts) Included in Amortized Cost of Securities [Table Text Block] | Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands) September 30, 2021 December 31, 2020 Premiums $ 17,403 $ 18,299 Discounts (5,450) (7,269) Net purchased premiums $ 11,953 $ 11,030 |
Advances Advances (Tables)
Advances Advances (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Advances [Abstract] | |
Schedule Of Federal Home Loan Bank Advances By Year Of Contractual Maturity [Table Text Block] | Advances by Redemption Term (dollars in thousands) September 30, 2021 December 31, 2020 Redemption Term Amount Weighted Average Interest Amount Weighted Average Interest Due in 1 year or less $ 11,036,755 0.50 % $ 12,064,753 0.75 % Due after 1 year through 2 years 1,564,121 1.98 1,986,446 1.88 Due after 2 years through 3 years 1,652,202 2.04 1,445,139 2.15 Due after 3 years through 4 years 2,742,514 0.98 1,809,523 1.97 Due after 4 years through 5 years 2,078,476 0.95 2,361,604 1.02 Thereafter 3,542,521 1.51 5,339,932 1.34 Total principal amount 22,616,589 0.97 25,007,397 1.16 Commitment fees (158) (170) Discount on Affordable Housing Program (AHP) Advances (1,522) (2,053) Discounts (1,541) (2,046) Hedging adjustments 180,000 358,173 Fair value option valuation adjustments and accrued interest (582) 702 Total (1) $ 22,792,786 $ 25,362,003 (1) Carrying values exclude accrued interest receivable of (in thousands) $18,821 and $26,426 as of September 30, 2021 and December 31, 2020. Redemption Term or Next Call Date September 30, 2021 December 31, 2020 Due in 1 year or less $ 14,168,589 $ 15,375,354 Due after 1 year through 2 years 1,460,538 1,716,058 Due after 2 years through 3 years 1,629,502 1,434,377 Due after 3 years through 4 years 1,258,463 1,785,672 Due after 4 years through 5 years 578,476 877,504 Thereafter 3,521,021 3,818,432 Total principal amount $ 22,616,589 $ 25,007,397 Redemption Term or Next Put Date September 30, 2021 December 31, 2020 Due in 1 year or less $ 13,474,005 $ 14,407,003 Due after 1 year through 2 years 1,634,121 2,146,446 Due after 2 years through 3 years 1,647,952 1,485,139 Due after 3 years through 4 years 2,727,514 1,855,273 Due after 4 years through 5 years 2,070,476 2,346,604 Thereafter 1,062,521 2,766,932 Total principal amount $ 22,616,589 $ 25,007,397 September 30, 2021 December 31, 2020 Total fixed-rate (1) $ 17,537,445 $ 19,195,790 Total variable-rate (1) 5,079,144 5,811,607 Total principal amount $ 22,616,589 $ 25,007,397 (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. September 30, 2021 December 31, 2020 Principal % of Total Principal Amount of Advances Principal % of Total Principal Amount of Advances U.S. Bank, N.A. $ 3,272 14 % U.S. Bank, N.A. $ 4,273 17 % Third Federal Savings and Loan Association 3,090 14 Third Federal Savings and Loan Association 3,443 14 Nationwide Life Insurance Company 2,555 11 Nationwide Life Insurance Company 2,062 8 Protective Life Insurance Company 2,200 10 Protective Life Insurance Company 1,955 8 Western-Southern Life Assurance Co. 1,514 7 Western-Southern Life Assurance Co. 1,344 5 Total $ 12,631 56 % Total $ 13,077 52 % |
Mortgage Loans (Tables)
Mortgage Loans (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Mortgage Loans Held for Portfolio (in thousands) September 30, 2021 December 31, 2020 Fixed rate medium-term single-family mortgage loans (1) $ 670,931 $ 731,756 Fixed rate long-term single-family mortgage loans 6,824,625 8,584,239 Total unpaid principal balance 7,495,556 9,315,995 Premiums 172,057 208,281 Discounts (1,198) (1,636) Hedging basis adjustments (2) 21,443 26,114 Total mortgage loans held for portfolio (3) 7,687,858 9,548,754 Allowance for credit losses on mortgage loans (248) (248) Mortgage loans held for portfolio, net $ 7,687,610 $ 9,548,506 (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. (3) Excludes accrued interest receivable of (in thousands) $23,430 and $30,109 at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Conventional mortgage loans $ 7,346,936 $ 9,133,942 Federal Housing Administration (FHA) mortgage loans 148,620 182,053 Total unpaid principal balance $ 7,495,556 $ 9,315,995 |
Members Holding 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, 2021 December 31, 2020 Principal % of Total Principal % of Total Union Savings Bank $ 1,981 26 % Union Savings Bank $ 2,826 30 % Guardian Savings Bank FSB 560 7 Guardian Savings Bank FSB 796 9 FirstBank 402 5 |
Changes in LRA [Table Text Block] | Changes in the LRA (in thousands) Nine Months Ended September 30, 2021 LRA at beginning of year $ 246,435 Additions 13,488 Claims (3) Scheduled distributions (13,194) LRA at end of period $ 246,726 |
Financing Receivable Credit Quality Indicators [Table Text Block] | Credit Quality Indicator of Conventional Mortgage Loans (in thousands) September 30, 2021 Origination Year Payment status, at amortized cost: Prior to 2017 2017 to September 30, 2021 Total Past due 30-59 days $ 13,494 $ 10,006 $ 23,500 Past due 60-89 days 3,378 1,621 4,999 Past due 90 days or more 15,460 17,849 33,309 Total past due mortgage loans 32,332 29,476 61,808 Current mortgage loans 2,824,937 4,651,308 7,476,245 Total conventional mortgage loans $ 2,857,269 $ 4,680,784 $ 7,538,053 December 31, 2020 Origination Year Payment status, at amortized cost: Prior to 2016 2016 to 2020 Total Past due 30-59 days $ 16,812 $ 19,036 $ 35,848 Past due 60-89 days 7,245 7,553 14,798 Past due 90 days or more 24,651 39,921 64,572 Total past due mortgage loans 48,708 66,510 115,218 Current mortgage loans 2,555,139 6,694,837 9,249,976 Total conventional mortgage loans $ 2,603,847 $ 6,761,347 $ 9,365,194 |
Financing Receivable, Past Due [Table Text Block] | Other Delinquency Statistics (dollars in thousands) September 30, 2021 Amortized Cost: Conventional MPP Loans FHA Loans Total In process of foreclosure (1) $ 4,135 $ 427 $ 4,562 Serious delinquency rate (2) 0.44 % 1.93 % 0.47 % Past due 90 days or more still accruing interest (3) $ 31,747 $ 2,891 $ 34,638 Loans on non-accrual status $ 2,607 $ — $ 2,607 December 31, 2020 Amortized Cost: Conventional MPP Loans FHA Loans Total In process of foreclosure (1) $ 5,031 $ 617 $ 5,648 Serious delinquency rate (2) 0.69 % 3.28 % 0.74 % Past due 90 days or more still accruing interest (3) $ 58,881 $ 5,961 $ 64,842 Loans on non-accrual status $ 6,721 $ — $ 6,721 (1) Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. During the nine months ended September 30, 2021 and year ended December 31, 2020, there were foreclosure moratoriums in effect in response to the COVID-19 pandemic. (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. (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. |
Financing Receivable, Allowance for Credit Loss [Table Text Block] | Allowance for Credit Losses on Conventional Mortgage Loans (in thousands) Three Months Ended September 30, 2021 2020 Balance, beginning of period $ 248 $ 264 Net charge offs — (22) Balance, end of period $ 248 $ 242 Nine Months Ended September 30, 2021 2020 Balance, beginning of period $ 248 $ 711 Adjustment for cumulative effect of accounting change — (366) Net charge offs — (103) Balance, end of period $ 248 $ 242 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 12,216,993 $ 28 $ 107,414 Derivatives not designated as hedging instruments: Interest rate swaps 13,755,964 1,339 2,623 Interest rate swaptions 1,219,000 870 — Mortgage delivery commitments 264,587 435 476 Total derivatives not designated as hedging instruments 15,239,551 2,644 3,099 Total derivatives before adjustments $ 27,456,544 2,672 110,513 Netting adjustments and cash collateral (1) 243,115 (107,316) Total derivative assets and total derivative liabilities $ 245,787 $ 3,197 December 31, 2020 Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as fair value hedging instruments: Interest rate swaps $ 10,477,703 $ 272 $ 163,174 Derivatives not designated as hedging instruments: Interest rate swaps 13,267,539 691 2,563 Interest rate swaptions 2,175,000 713 — Mortgage delivery commitments 137,352 1,056 — Total derivatives not designated as hedging instruments 15,579,891 2,460 2,563 Total derivatives before adjustments $ 26,057,594 2,732 165,737 Netting adjustments and cash collateral (1) 213,156 (161,924) Total derivative assets and total derivative liabilities $ 215,888 $ 3,813 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $350,891 and $375,390 at September 30, 2021 and December 31, 2020. Cash collateral received, including accrued interest, was (in thousands) $460 and $310 at September 30, 2021 and December 31, 2020. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Impact of Fair Value Hedging Relationships on Net Interest Income (in thousands) Three Months Ended September 30, 2021 Advances Available-for-Sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 30,688 $ 2,296 $ (83,704) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (24,885) $ (6,317) $ 270 Gain (loss) on derivatives 31,492 35,549 (208) Gain (loss) on hedged items (32,371) (35,356) 201 Effect on net interest income $ (25,764) $ (6,124) $ 263 Three Months Ended September 30, 2020 Advances Available-for-Sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 63,974 $ 271 $ (119,748) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (34,448) $ (813) $ 477 Gain (loss) on derivatives 51,956 2,402 (591) Gain (loss) on hedged items (54,369) (2,573) 591 Effect on net interest income $ (36,861) $ (984) $ 477 Nine Months Ended September 30, 2021 Advances Available-for-sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 103,219 $ 3,975 $ (266,479) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (85,580) $ (10,025) $ 790 Gain (loss) on derivatives 177,912 40,265 (1,034) Gain (loss) on hedged items (178,173) (39,835) 1,016 Effect on net interest income $ (85,841) $ (9,595) $ 772 Nine Months Ended September 30, 2020 Advances Available-for-Sale Securities Consolidated Bonds Total interest income (expense) recorded in the Statements of Income $ 394,578 $ 4,286 $ (435,543) Impact of Fair Value Hedging Relationships Interest rate swaps: Net interest settlements $ (55,405) $ (1,611) $ 1,290 Gain (loss) on derivatives (359,963) (9,800) 1,949 Gain (loss) on hedged items 345,831 9,440 (1,852) Effect on net interest income $ (69,537) $ (1,971) $ 1,387 Three Months Ended September 30, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 42,661 $ 60,667 Interest rate swaptions (257) 110 Forward rate agreements — — Net interest settlements (40,467) (44,242) Mortgage delivery commitments 3,947 3,033 Total net gains (losses) related to derivatives not designated as hedging instruments 5,884 19,568 Price alignment amount (1) 40 140 Net gains (losses) on derivatives and hedging activities $ 5,924 $ 19,708 Nine Months Ended September 30, 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 191,507 $ (305,565) Interest rate swaptions 157 90,626 Forward rate agreements — (31,935) Net interest settlements (129,262) (82,239) Mortgage delivery commitments 4,487 19,627 Total net gains (losses) related to derivatives not designated as hedging instruments 66,889 (309,486) Price alignment amount (1) 100 1,256 Net gains (losses) on derivatives and hedging activities $ 66,989 $ (308,230) (1) This amount is for 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] | Cumulative Basis Adjustments for Fair Value Hedges (in thousands) September 30, 2021 Advances Available-for-Sale Securities Consolidated Bonds Amortized cost of hedged asset or liability (1) $ 8,212,671 $ 3,826,002 $ 374,527 Fair value hedging adjustments Basis adjustments for active hedging relationships included in amortized cost $ 178,838 $ (28,054) $ 1,070 Basis adjustments for discontinued hedging relationships included in amortized cost 1,162 360 — Total amount of fair value hedging basis adjustments $ 180,000 $ (27,694) $ 1,070 December 31, 2020 Advances Available-for-Sale Securities Consolidated Bonds Amortized cost of hedged asset or liability (1) $ 10,483,218 $ 286,869 $ 132,852 Fair value hedging adjustments Basis adjustments for active hedging relationships included in amortized cost $ 356,624 $ 11,751 $ 2,086 Basis adjustments for discontinued hedging relationships included in amortized cost 1,549 389 — Total amount of fair value hedging basis adjustments $ 358,173 $ 12,140 $ 2,086 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Offsetting Assets [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands) September 30, 2021 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amount of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets: Uncleared $ 2,071 $ (1,953) $ 435 $ 553 Cleared 166 245,068 — 245,234 Total $ 245,787 Derivative Liabilities: Uncleared $ 99,201 $ (96,480) $ 476 $ 3,197 Cleared 10,836 (10,836) — — Total $ 3,197 December 31, 2020 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amount of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets: Uncleared $ 1,047 $ (1,047) $ 1,056 $ 1,056 Cleared 629 214,203 — 214,832 Total $ 215,888 Derivative Liabilities: Uncleared $ 161,633 $ (157,820) $ — $ 3,813 Cleared 4,104 (4,104) — — Total $ 3,813 (1) Represents mortgage delivery commitments 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, 2021 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amount of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets: Uncleared $ 2,071 $ (1,953) $ 435 $ 553 Cleared 166 245,068 — 245,234 Total $ 245,787 Derivative Liabilities: Uncleared $ 99,201 $ (96,480) $ 476 $ 3,197 Cleared 10,836 (10,836) — — Total $ 3,197 December 31, 2020 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amount of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets: Uncleared $ 1,047 $ (1,047) $ 1,056 $ 1,056 Cleared 629 214,203 — 214,832 Total $ 215,888 Derivative Liabilities: Uncleared $ 161,633 $ (157,820) $ — $ 3,813 Cleared 4,104 (4,104) — — Total $ 3,813 (1) Represents mortgage delivery commitments that are not subject to an enforceable netting agreement. |
Deposits (Tables)
Deposits (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Deposits [Abstract] | |
Deposit Liabilities, Type [Table Text Block] | Deposits (in thousands) September 30, 2021 December 31, 2020 Interest-bearing: Demand and overnight $ 1,439,472 $ 1,190,508 Term 72,650 123,675 Other 13,215 13,019 Total interest-bearing deposits $ 1,525,337 $ 1,327,202 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [Table Text Block] | Consolidated Discount Notes Outstanding (dollars in thousands) Book Value Principal Amount Weighted Average Interest Rate (1) September 30, 2021 $ 26,609,080 $ 26,610,366 0.04 % December 31, 2020 $ 27,500,244 $ 27,502,730 0.11 % (1) Represents an implied rate without consideration of concessions. |
Schedule of Maturities of Long-term Debt [Table Text Block] | Consolidated Bonds Outstanding by Original Contractual Maturity (dollars in thousands) September 30, 2021 December 31, 2020 Year of Original Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 12,741,015 0.74 % $ 18,676,595 0.72 % Due after 1 year through 2 years 2,919,465 2.00 2,728,885 2.38 Due after 2 years through 3 years 2,502,795 2.07 3,388,120 2.09 Due after 3 years through 4 years 2,006,730 1.81 1,793,405 2.21 Due after 4 years through 5 years 1,467,000 1.38 1,910,000 1.45 Thereafter 3,032,000 2.25 3,454,000 2.39 Total principal amount 24,669,005 1.33 31,951,005 1.32 Premiums 31,225 43,235 Discounts (18,326) (21,403) Hedging adjustments 1,070 2,086 Fair value option valuation adjustment and accrued interest 3,204 21,388 Total $ 24,686,178 $ 31,996,311 Year of Original Contractual Maturity or Next Call Date September 30, 2021 December 31, 2020 Due in 1 year or less $ 17,261,015 $ 22,968,595 Due after 1 year through 2 years 2,608,465 2,823,885 Due after 2 years through 3 years 1,699,795 2,452,120 Due after 3 years through 4 years 1,055,730 1,253,405 Due after 4 years through 5 years 551,000 728,000 Thereafter 1,493,000 1,725,000 Total principal amount $ 24,669,005 $ 31,951,005 |
Schedule Of Consolidated Obligation Bonds By Call Feature [Table Text Block] | Consolidated Bonds Outstanding by Call Features (in thousands) September 30, 2021 December 31, 2020 Principal Amount of Consolidated Bonds: Non-callable $ 19,939,005 $ 26,539,005 Callable 4,730,000 5,412,000 Total principal amount $ 24,669,005 $ 31,951,005 September 30, 2021 December 31, 2020 Principal Amount of Consolidated Bonds: Fixed-rate $ 21,219,005 $ 21,312,005 Variable-rate 3,450,000 10,639,000 Total principal amount $ 24,669,005 $ 31,951,005 |
Affordable Housing Program (A_2
Affordable Housing Program (AHP) (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2020 $ 110,772 Assessments (current year additions) 2,793 Subsidy uses, net (23,697) Balance at September 30, 2021 $ 89,868 |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | Capital Requirements (dollars in thousands) September 30, 2021 December 31, 2020 Minimum Requirement Actual Minimum Requirement Actual Risk-based capital $ 727,875 $ 3,730,055 $ 539,321 $ 3,964,353 Capital-to-assets ratio (regulatory) 4.00 % 6.41 % 4.00 % 6.07 % Regulatory capital $ 2,327,262 $ 3,730,055 $ 2,611,850 $ 3,964,353 Leverage capital-to-assets ratio (regulatory) 5.00 % 9.62 % 5.00 % 9.11 % Leverage capital $ 2,909,077 $ 5,595,083 $ 3,264,812 $ 5,946,530 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block] | Mandatorily Redeemable Capital Stock Rollforward (in thousands) Balance, December 31, 2020 $ 19,454 Capital stock subject to mandatory redemption reclassified from equity 61,582 Repurchase/redemption of mandatorily redeemable capital stock (68,181) Balance, September 30, 2021 $ 12,855 Contractual Year of Redemption September 30, 2021 December 31, 2020 Year 1 $ 1,124 $ 156 Year 2 736 1,124 Year 3 1,063 2,167 Year 4 15 391 Year 5 1,626 3,142 Thereafter (1) — 650 Past contractual redemption date due to remaining activity (2) 8,291 11,824 Total $ 12,855 $ 19,454 (1) Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. 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 Comprehensi_2
Accumulated Other Comprehensive (Loss) Income (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated Other Comprehensive Income (Loss) (in thousands) Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive income (loss) BALANCE, JUNE 30, 2020 $ (513) $ (15,620) $ (16,133) Other comprehensive income before reclassification: Net unrealized gains (losses) 3,504 — 3,504 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 572 572 Net current period other comprehensive income (loss) 3,504 572 4,076 BALANCE, SEPTEMBER 30, 2020 $ 2,991 $ (15,048) $ (12,057) BALANCE, JUNE 30, 2021 $ 16,365 $ (18,351) $ (1,986) Other comprehensive income before reclassification: Net unrealized gains (losses) 11,607 — 11,607 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 696 696 Net current period other comprehensive income (loss) 11,607 696 12,303 BALANCE, SEPTEMBER 30, 2021 $ 27,972 $ (17,655) $ 10,317 Net unrealized gains (losses) on available-for-sale securities Pension and postretirement benefits Total accumulated other comprehensive income (loss) BALANCE, DECEMBER 31, 2019 $ 370 $ (16,764) $ (16,394) Other comprehensive income before reclassification: Net unrealized gains (losses) 2,621 — 2,621 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 1,716 1,716 Net current period other comprehensive income (loss) 2,621 1,716 4,337 BALANCE, SEPTEMBER 30, 2020 $ 2,991 $ (15,048) $ (12,057) BALANCE, DECEMBER 31, 2020 $ 4,718 $ (19,703) $ (14,985) Other comprehensive income before reclassification: Net unrealized gains (losses) 23,254 — 23,254 Reclassifications from other comprehensive income (loss) to net income: Amortization - pension and postretirement benefits — 2,048 2,048 Net current period other comprehensive income (loss) 23,254 2,048 25,302 BALANCE, SEPTEMBER 30, 2021 $ 27,972 $ (17,655) $ 10,317 |
Pension and Postretirement Be_2
Pension and Postretirement Benefit Plans (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 Postretirement Benefits Plan 2021 2020 2021 2020 Net Periodic Benefit Cost Service cost $ 87 $ 282 $ 2 $ 3 Interest cost 319 331 28 35 Amortization of prior service benefit (90) — — — Amortization of net loss 772 572 14 — Net periodic benefit cost $ 1,088 $ 1,185 $ 44 $ 38 Nine Months Ended September 30, Defined Benefit Postretirement Benefits Plan 2021 2020 2021 2020 Net Periodic Benefit Cost Service cost $ 739 $ 847 $ 6 $ 7 Interest cost 867 993 86 106 Amortization of prior service benefit (90) — — — Amortization of net loss 2,098 1,716 40 — Net periodic benefit cost $ 3,614 $ 3,556 $ 132 $ 113 |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Segment Reporting [Abstract] | |
Schedule of Segment Reporting Information, by Segment [Table Text Block] | Financial Performance by Operating Segment (in thousands) Three Months Ended September 30, Traditional Member MPP Total 2021 Net interest income (loss) $ 72,657 $ (8,709) $ 63,948 Non-interest income (loss) (40,228) 3,764 (36,464) Non-interest expense 18,822 2,221 21,043 Income (loss) before assessments 13,607 (7,166) 6,441 Affordable Housing Program assessments 1,368 (717) 651 Net income (loss) $ 12,239 $ (6,449) $ 5,790 2020 Net interest income $ 91,957 $ 1,151 $ 93,108 Non-interest income (loss) (10,582) 3,111 (7,471) Non-interest expense 18,918 2,953 21,871 Income before assessments 62,457 1,309 63,766 Affordable Housing Program assessments 6,238 131 6,369 Net income $ 56,219 $ 1,178 $ 57,397 Nine Months Ended September 30, Traditional Member MPP Total 2021 Net interest income (loss) $ 240,902 $ (34,897) $ 206,005 Non-interest income (loss) (114,459) 4,590 (109,869) Non-interest expense 60,888 7,589 68,477 Income (loss) before assessments 65,555 (37,896) 27,659 Affordable Housing Program assessments 6,583 (3,790) 2,793 Net income (loss) $ 58,972 $ (34,106) $ 24,866 2020 Net interest income $ 295,920 $ 28,898 $ 324,818 Non-interest income (loss) (41,540) 49,733 8,193 Non-interest expense 61,379 8,790 70,169 Income before assessments 193,001 69,841 262,842 Affordable Housing Program assessments 19,398 6,984 26,382 Net income $ 173,603 $ 62,857 $ 236,460 Assets Traditional Member MPP Total September 30, 2021 $ 46,897,505 $ 11,284,037 $ 58,181,542 December 31, 2020 53,356,209 11,940,030 65,296,239 |
Fair Value Disclosures Fair Val
Fair Value Disclosures Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Fair Value Summary (in thousands) September 30, 2021 Fair Value Financial Instruments Net Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 20,295 $ 20,295 $ 20,295 $ — $ — $ — Interest-bearing deposits 335,075 335,075 — 335,075 — — Securities purchased under agreements to resell 289,600 289,600 — 289,600 — — Federal funds sold 5,715,000 5,715,000 — 5,715,000 — — Trading securities 7,108,446 7,108,446 — 7,108,446 — — Available-for-sale securities 3,853,974 3,853,974 — 3,853,974 — — Held-to-maturity securities 10,004,477 10,098,282 — 10,098,282 — — Advances (2) 22,792,786 22,972,042 — 22,972,042 — — Mortgage loans held for portfolio 7,687,610 7,918,027 — 7,885,250 32,777 — Accrued interest receivable 105,684 105,684 — 105,684 — — Derivative assets 245,787 245,787 — 2,672 — 243,115 Liabilities: Deposits 1,525,337 1,525,292 — 1,525,292 — — Consolidated Obligations: Discount Notes (3) 26,609,080 26,609,275 — 26,609,275 — — Bonds (4) 24,686,178 25,144,280 — 25,144,280 — — Mandatorily redeemable capital stock 12,855 12,855 12,855 — — — Accrued interest payable 62,900 62,900 — 62,900 — — Derivative liabilities 3,197 3,197 — 110,513 — (107,316) (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) $25,918 of Advances recorded under the fair value option at September 30, 2021. (3) Includes (in thousands) $4,873,353 of Consolidated Obligation Discount Notes recorded under the fair value option at September 30, 2021. (4) Includes (in thousands) $2,152,204 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2021. December 31, 2020 Fair Value Financial Instruments Net Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 2,984,073 $ 2,984,073 $ 2,984,073 $ — $ — $ — Interest-bearing deposits 555,104 555,104 — 555,104 — — Securities purchased under agreements to resell 1,818,268 1,818,268 — 1,818,268 — — Federal funds sold 4,240,000 4,240,000 — 4,240,000 — — Trading securities 10,488,124 10,488,124 — 10,488,124 — — Available-for-sale securities 291,587 291,587 — 291,587 — — Held-to-maturity securities 9,648,171 9,792,136 — 9,792,136 — — Advances (2) 25,362,003 25,573,785 — 25,573,785 — — Mortgage loans held for portfolio 9,548,506 9,861,802 — 9,798,019 63,783 — Accrued interest receivable 113,701 113,701 — 113,701 — — Derivative assets 215,888 215,888 — 2,732 — 213,156 Liabilities: Deposits 1,327,202 1,327,267 — 1,327,267 — — Consolidated Obligations: Discount Notes 27,500,244 27,501,296 — 27,501,296 — — Bonds (3) 31,996,311 32,785,647 — 32,785,647 — — Mandatorily redeemable capital stock 19,454 19,454 19,454 — — — Accrued interest payable 77,521 77,521 — 77,521 — — Derivative liabilities 3,813 3,813 — 165,737 — (161,924) (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) $27,202 of Advances recorded under the fair value option at December 31, 2020. (3) Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | Fair Value Measurements (in thousands) Fair Value Measurements at September 30, 2021 Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: U.S. Treasury obligations $ 5,338,124 $ — $ 5,338,124 $ — $ — GSE obligations 1,770,088 — 1,770,088 — — U.S. obligation single-family MBS 234 — 234 — — Total trading securities 7,108,446 — 7,108,446 — — Available-for-sale securities: U.S. Treasury obligations 3,496,051 — 3,496,051 — — GSE obligations 137,090 — 137,090 — — GSE multi-family MBS 220,833 — 220,833 — — Total available-for-sale securities 3,853,974 — 3,853,974 — — Advances 25,918 — 25,918 — — Derivative assets: Interest rate related 245,352 — 2,237 — 243,115 Mortgage delivery commitments 435 — 435 — — Total derivative assets 245,787 — 2,672 — 243,115 Total assets at fair value $ 11,234,125 $ — $ 10,991,010 $ — $ 243,115 Recurring fair value measurements - Liabilities Consolidated Obligations: Discount Notes $ 4,873,353 $ — $ 4,873,353 $ — $ — Bonds 2,152,204 — 2,152,204 — — Total Consolidated Obligations 7,025,557 — 7,025,557 — — Derivative liabilities: Interest rate related 2,721 — 110,037 — (107,316) Mortgage delivery commitments 476 — 476 — — Total derivative liabilities 3,197 — 110,513 — (107,316) Total liabilities at fair value $ 7,028,754 $ — $ 7,136,070 $ — $ (107,316) (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. Fair Value Measurements at December 31, 2020 Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: U.S. Treasury obligations $ 8,362,211 $ — $ 8,362,211 $ — $ — GSE obligations 2,125,580 — 2,125,580 — — U.S. obligation single-family MBS 333 — 333 — — Total trading securities 10,488,124 — 10,488,124 — — Available-for-sale securities: GSE obligations 142,402 — 142,402 — — GSE multi-family MBS 149,185 — 149,185 — — Total available-for-sale securities 291,587 — 291,587 — — Advances 27,202 — 27,202 — — Derivative assets: Interest rate related 214,832 — 1,676 — 213,156 Mortgage delivery commitments 1,056 — 1,056 — — Total derivative assets 215,888 — 2,732 — 213,156 Total assets at fair value $ 11,022,801 $ — $ 10,809,645 $ — $ 213,156 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 2,262,388 $ — $ 2,262,388 $ — $ — Derivative liabilities: Interest rate related 3,813 — 165,737 — (161,924) Total derivative liabilities 3,813 — 165,737 — (161,924) Total liabilities at fair value $ 2,266,201 $ — $ 2,428,125 $ — $ (161,924) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 108 $ — $ — $ 108 (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, 2020. |
Fair Value Option, Disclosures [Table Text Block] | Fair Value Option - Financial Assets and Liabilities (in thousands) Three Months Ended September 30, Nine Months Ended September 30, Net Gains (Losses) from Changes in Fair Value Recognized in Earnings 2021 2020 2021 2020 Advances $ (148) $ 526 $ (1,283) $ 704 Consolidated Discount Notes (108) 1,222 (58) 1,060 Consolidated Bonds 1,557 8,939 9,149 (16,166) Total net gains (losses) $ 1,301 $ 10,687 $ 7,808 $ (14,402) September 30, 2021 December 31, 2020 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 $ 26,500 $ 25,918 $ (582) $ 26,500 $ 27,202 $ 702 Consolidated Discount Notes 4,873,700 4,873,353 (347) — — — Consolidated Bonds 2,149,000 2,152,204 3,204 2,241,000 2,262,388 21,388 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Off-Balance Sheet Commitments (in thousands) September 30, 2021 December 31, 2020 Notional Amount Expire within one year Expire after one year Total Expire within one year Expire after one year Total Letters of Credit $ 32,946,853 $ 507,236 $ 33,454,089 $ 27,741,220 $ 1,071,029 $ 28,812,249 Commitments for standby bond purchases 14,635 13,435 28,070 — 35,030 35,030 Commitments to purchase mortgage loans 264,587 — 264,587 137,352 — 137,352 Unsettled Consolidated Bonds, principal amount (1) 300,000 — 300,000 — — — Unsettled Consolidated Discount Notes, principal amount (1) 1,016,000 — 1,016,000 321,551 — 321,551 (1) Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Transactions with Other FHLBa_2
Transactions with Other FHLBanks (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 2020 Loans to other FHLBanks $ — $ 6,569 Borrowings from other FHLBanks 183 182 |
Transactions with Stockholders
Transactions with Stockholders (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 Balance % of Total Principal Principal Balance U.S. Bank, N.A. $ 186 8 % $ 3,272 $ 10 Third Federal Savings & Loan Association 163 7 3,090 31 Nationwide Life Insurance Company 138 6 2,555 — Regulatory Capital Stock Advance MPP Unpaid December 31, 2020 Balance % of Total Principal Principal Balance U.S. Bank, N.A. $ 288 11 % $ 4,273 $ 13 JPMorgan Chase Bank, N.A. 163 6 — — Third Federal Savings & Loan Association 137 5 3,443 42 |
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, 2021 December 31, 2020 Balance % of Total (1) Balance % of Total (1) Advances $ 6,195 27.4 % $ 7,048 28.2 % MPP 164 2.2 159 1.7 Regulatory capital stock 393 16.1 467 17.6 |
Background Information (Details
Background Information (Details) | Sep. 30, 2021Banks |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Securities Purchased under Agreements to Resell, Allowance for Credit Loss | $ 0 | $ 0 | |
Debt Securities, Available-for-sale, Realized Gain (Loss) | 0 | $ 0 | |
Debt Securities, Held-to-maturity, Sold, Realized Gain (Loss), Excluding Other-than-temporary Impairment | 0 | $ 0 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 8 | 0 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss | 0 | 0 | |
Debt Securities, Held-to-maturity, Allowance for Credit Loss | 0 | 0 | |
Commitments | Fixed Income Investments | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Accounts Payable | 1,137,344 | ||
Interest-bearing Deposits [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | 0 | 0 | |
Financial Asset, Amortized Cost, Accrued Interest, after Allowance for Credit Loss | 38 | 72 | |
Federal Funds Sold [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | 0 | 0 | |
Financial Asset, Amortized Cost, Accrued Interest, after Allowance for Credit Loss | 10 | 10 | |
Securities Borrowed or Purchased under Agreements to Resell [Member] | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Financial Asset, Amortized Cost, Accrued Interest, after Allowance for Credit Loss | $ 9 | $ 13 |
Investments Trading Securities
Investments Trading Securities by Major Security Type (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 7,108,446 | $ 10,488,124 |
US Treasury Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 5,338,124 | 8,362,211 |
US Government-sponsored Enterprises Debt Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 1,770,088 | 2,125,580 |
Other Than Mortgage Backed Securities [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | 7,108,212 | 10,487,791 |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 234 | $ 333 |
Investments Trading Securitie_2
Investments Trading Securities Net Gains (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Debt Securities, Trading, Unrealized Gain (Loss) | $ (19,324) | $ (38,866) | $ (163,166) | $ 323,136 |
Debt Securities, Trading, Realized Gain (Loss) | (31,318) | (3,270) | (41,725) | (3,270) |
Debt Securities, Trading, Gain (Loss) | $ (50,642) | $ (42,136) | $ (204,891) | $ 319,866 |
Investments AFS Securities by M
Investments AFS Securities by Major Security Type (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 3,826,002 | $ 286,869 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 27,980 | 4,718 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (8) | 0 | |
Available-for-sale securities | 3,853,974 | 291,587 | |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 7,114 | $ 1,242 | |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible List] | Accrued interest receivable | Accrued interest receivable | |
US Treasury Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 3,474,069 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 21,982 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | ||
Available-for-sale securities | 3,496,051 | ||
US Government-sponsored Enterprises Debt Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 134,743 | $ 140,600 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 2,347 | 1,802 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 | |
Available-for-sale securities | 137,090 | 142,402 | |
Other Than Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 3,608,812 | 140,600 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 24,329 | 1,802 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 | |
Available-for-sale securities | 3,633,141 | 142,402 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 217,190 | 146,269 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 3,651 | 2,916 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (8) | 0 | |
Available-for-sale securities | 220,833 | 149,185 | |
Collateralized Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 217,190 | 146,269 |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 3,651 | 2,916 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | (8) | 0 | |
Available-for-sale securities | $ 220,833 | $ 149,185 | |
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $7,114 and $1,242 at September 30, 2021 and December 31, 2020. |
Investments AFS Securities in a
Investments AFS Securities in a Continuous Unrealized Loss Position (Details) $ in Thousands | Sep. 30, 2021USD ($) |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 47,334 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (8) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 47,334 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (8) |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 47,334 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (8) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 47,334 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ (8) |
Investments AFS Securities by C
Investments AFS Securities by Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 3,826,002 | $ 286,869 |
Available-for-sale securities | 3,853,974 | 291,587 | |
Other Than Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost | 0 | 0 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 82,467 | 11,248 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost | 3,513,889 | 116,096 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 12,456 | 13,256 | |
Debt Securities, Available-for-sale, Amortized Cost | [1] | 3,608,812 | 140,600 |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value | 0 | 0 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 83,608 | 11,309 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 3,536,530 | 117,507 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 13,003 | 13,586 | |
Available-for-sale securities | 3,633,141 | 142,402 | |
Collateralized Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 217,190 | 146,269 |
Debt Securities, Available-for-sale, Maturity, without Single Maturity Date, Amortized Cost | [2] | 217,190 | 146,269 |
Available-for-sale securities | 220,833 | 149,185 | |
Debt Securities, Available-for-sale, Maturity, without Single Maturity Date, Fair Value | [2] | $ 220,833 | $ 149,185 |
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $7,114 and $1,242 at September 30, 2021 and December 31, 2020. | ||
[2] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Investments AFS Securities by I
Investments AFS Securities by Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 3,826,002 | $ 286,869 |
Other Than Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 3,608,812 | 140,600 |
Collateralized Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | [1] | 217,190 | 146,269 |
Fixed-rate [Member] | Other Than Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 3,608,812 | 140,600 | |
Fixed-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | $ 217,190 | $ 146,269 | |
[1] | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $7,114 and $1,242 at September 30, 2021 and December 31, 2020. |
Investments HTM Securities by M
Investments HTM Securities by Major Security Type (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | $ 10,004,477 | $ 9,648,171 |
Debt Securities, Held-to-maturity | [3] | 10,004,477 | 9,648,171 |
Held-to-maturity Securities, Unrecognized Holding Gain | 101,345 | 152,022 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (7,540) | (8,057) | |
Debt Securities, Held-to-maturity, Fair Value | 10,098,282 | 9,792,136 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | $ 7,674 | $ 9,609 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible List] | Accrued interest receivable | Accrued interest receivable | |
US Treasury Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | $ 46,874 | $ 41,398 |
Debt Securities, Held-to-maturity | 46,874 | 41,398 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 0 | 1 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 46,874 | 41,399 | |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | 46,874 | 41,398 |
Debt Securities, Held-to-maturity | 46,874 | 41,398 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 0 | 1 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 46,874 | 41,399 | |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 1,133,473 | 986,399 |
Debt Securities, Held-to-maturity | 1,133,473 | 986,399 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 23,880 | 41,218 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (3,980) | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 1,153,373 | 1,027,617 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 9,957,603 | 9,606,773 |
Debt Securities, Held-to-maturity | [4] | 9,957,603 | 9,606,773 |
Held-to-maturity Securities, Unrecognized Holding Gain | 101,345 | 152,021 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (7,540) | (8,057) | |
Debt Securities, Held-to-maturity, Fair Value | 10,051,408 | 9,750,737 | |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 2,072,946 | 3,013,326 |
Debt Securities, Held-to-maturity | 2,072,946 | 3,013,326 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 71,465 | 105,657 | |
Held-to-maturity Securities, Unrecognized Holding Loss | 0 | (2) | |
Debt Securities, Held-to-maturity, Fair Value | 2,144,411 | 3,118,981 | |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 6,751,184 | 5,607,048 |
Debt Securities, Held-to-maturity | 6,751,184 | 5,607,048 | |
Held-to-maturity Securities, Unrecognized Holding Gain | 6,000 | 5,146 | |
Held-to-maturity Securities, Unrecognized Holding Loss | (3,560) | (8,055) | |
Debt Securities, Held-to-maturity, Fair Value | $ 6,753,624 | $ 5,604,139 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $7,674 and $9,609 as of September 30, 2021 and December 31, 2020. | ||
[3] | Fair values: $10,098,282 and $9,792,136 at September 30, 2021 and December 31, 2020, respectively. | ||
[4] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Investments HTM Securities Net
Investments HTM Securities Net Premuims (Discounts) (Details) - Collateralized Mortgage Backed Securities [Member] - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held To Maturity Securities, Premiums | $ 17,403 | $ 18,299 |
Held-to-maturity Securities, Discounts | (5,450) | (7,269) |
Held-to-maturity Securities, Premiums (Discounts), Net | $ 11,953 | $ 11,030 |
Investments HTM Securitites by
Investments HTM Securitites by Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | $ 10,004,477 | $ 9,648,171 |
Debt Securities, Held-to-maturity | [3] | 10,004,477 | 9,648,171 |
Debt Securities, Held-to-maturity, Fair Value | 10,098,282 | 9,792,136 | |
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] | 46,874 | 41,398 |
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 |
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | 46,874 | 41,398 |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, within One Year, Amortized Cost | 46,874 | 41,398 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after One Through Five Years, Amortized Cost | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after Five Through Ten Years, Amortized Cost | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after 10 Years, Amortized Cost | 0 | 0 | |
Debt Securities, Held-to-maturity | 46,874 | 41,398 | |
Held-to-maturity Securities, Debt Maturities, within One Year, Fair Value | 46,874 | 41,399 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 0 | 0 | |
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 46,874 | 41,399 | |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 9,957,603 | 9,606,773 |
Debt Securities, Held-to-maturity, Maturity, without Single Maturity Date, Amortized Cost | [1],[4] | 9,957,603 | 9,606,773 |
Debt Securities, Held-to-maturity | [4] | 9,957,603 | 9,606,773 |
Debt Securities, Held-to-maturity, Fair Value | 10,051,408 | 9,750,737 | |
Debt Securities, Held-to-maturity, Maturity, without Single Maturity Date, Fair Value | [4] | $ 10,051,408 | $ 9,750,737 |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $7,674 and $9,609 as of September 30, 2021 and December 31, 2020. | ||
[3] | Fair values: $10,098,282 and $9,792,136 at September 30, 2021 and December 31, 2020, respectively. | ||
[4] | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
Investments HTM Securities by I
Investments HTM Securities by Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | $ 10,004,477 | $ 9,648,171 |
Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [1],[2] | 46,874 | 41,398 |
Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | [2] | 9,957,603 | 9,606,773 |
Fixed-rate [Member] | Other Than Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 46,874 | 41,398 | |
Fixed-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 2,985,407 | 3,677,199 | |
Variable-rate [Member] | Collateralized Mortgage Backed Securities [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 6,972,196 | $ 5,929,574 | |
[1] | Carrying value equals amortized cost. | ||
[2] | Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $7,674 and $9,609 as of September 30, 2021 and December 31, 2020. |
Advances Narrative (Details)
Advances Narrative (Details) - Federal Home Loan Bank Advances Receivable [Member] - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 |
Federal Home Loan Bank, Advances [Line Items] | |||
Financing Receivable, Past Due | $ 0 | $ 0 | |
Financing Receivable, Nonaccrual | 0 | 0 | |
Impaired Financing Receivable, Unpaid Principal Balance | 0 | 0 | |
Financing Receivable, Troubled Debt Restructuring | 0 | $ 0 | |
Financing Receivable, Allowance for Credit Loss | $ 0 | $ 0 |
Advances (Advance Redemption Te
Advances (Advance Redemption Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Federal Home Loan Bank, Advances [Line Items] | |||
Due in 1 year or less | $ 11,036,755 | $ 12,064,753 | |
Due after 1 year through 2 years | 1,564,121 | 1,986,446 | |
Due after 2 years through 3 years | 1,652,202 | 1,445,139 | |
Due after 3 years through 4 years | 2,742,514 | 1,809,523 | |
Due after 4 years through 5 years | 2,078,476 | 2,361,604 | |
Thereafter | 3,542,521 | 5,339,932 | |
Federal Home Loan Bank, Advances, Par Value, Total | 22,616,589 | 25,007,397 | |
Commitment Fees on Advances | (158) | (170) | |
Discount on Affordable Housing Program Advances | (1,522) | (2,053) | |
Federal Home Loan Bank Advances, Discount | (1,541) | (2,046) | |
Hedging adjustments | 180,000 | 358,173 | |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | (582) | 702 | |
Advances | [1] | $ 22,792,786 | $ 25,362,003 |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing Within One Year of Balance Sheet Date | 0.50% | 0.75% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From One To Two Years of Balance Sheet Date | 1.98% | 1.88% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Two To Three Years of Balance Sheet Date | 2.04% | 2.15% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Three To Four Years of Balance Sheet Date | 0.98% | 1.97% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing From Four To Five Years of Balance Sheet Date | 0.95% | 1.02% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate of Amounts Maturing After Five Years of Balance Sheet Date | 1.51% | 1.34% | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate As Of Balance Sheet Date | 0.97% | 1.16% | |
Federal Home Loan Bank Advances Receivable [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 18,821 | $ 26,426 | |
[1] | Carrying values exclude accrued interest receivable of (in thousands) $18,821 and $26,426 as of September 30, 2021 and December 31, 2020. |
Advances (Year of Contractual M
Advances (Year of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Advances [Abstract] | ||
Federal Home Loan Bank Advances, Earlier of Contractual Maturity or Next Call Date, Due With in Next Rolling Twelve Months | $ 14,168,589 | $ 15,375,354 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Two | 1,460,538 | 1,716,058 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Three | 1,629,502 | 1,434,377 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Four | 1,258,463 | 1,785,672 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Five | 578,476 | 877,504 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due After Rolling Year Five | 3,521,021 | 3,818,432 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 22,616,589 | $ 25,007,397 |
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, 2021 | Dec. 31, 2020 |
Advances [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due within One Year of Balance Sheet Date | $ 13,474,005 | $ 14,407,003 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From One To Two Years of Balance Sheet Date | 1,634,121 | 2,146,446 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Two To Three Years of Balance Sheet Date | 1,647,952 | 1,485,139 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Three To Four Years of Balance Sheet Date | 2,727,514 | 1,855,273 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due From Four To Five Years of Balance Sheet Date | 2,070,476 | 2,346,604 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put Date, Due After Five Years of Balance Sheet Date | 1,062,521 | 2,766,932 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 22,616,589 | $ 25,007,397 |
Advances (Advances by Interest
Advances (Advances by Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Advances [Abstract] | |||
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Fixed Rate | [1] | $ 17,537,445 | $ 19,195,790 |
Federal Home Loan Bank Advances, Maturities by Interest Rate Type, Floating Rate | [1] | 5,079,144 | 5,811,607 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 22,616,589 | $ 25,007,397 | |
[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, 2021 | Dec. 31, 2020 |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 22,616,589 | $ 25,007,397 |
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 | $ 12,631,000 | $ 13,077,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 56.00% | 52.00% |
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 | $ 3,272,000 | $ 4,273,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 14.00% | 17.00% |
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 | $ 3,090,000 | $ 3,443,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 14.00% | 14.00% |
Nationwide Life Insurance Company [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 | $ 2,555,000 | $ 2,062,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 11.00% | 8.00% |
Protective Life Insurance Company [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 | $ 2,200,000 | $ 1,955,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 10.00% | 8.00% |
Western-Southern Life Assurance Co. [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 | $ 1,514,000 | $ 1,344,000 |
Concentration Risk, Percentage, Five Percent or More Of Principal Balance | 7.00% | 5.00% |
Mortgage Loans Narrative (Detai
Mortgage Loans Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | $ 7,495,556 | $ 9,315,995 |
Real Estate Acquired Through Foreclosure | 0 | 0 |
Conventional Mortgage Loan [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | 7,346,936 | $ 9,133,942 |
Conventional Mortgage Loan [Member] | COVID 19 Forbearance Plan [Member] | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Loans and Leases Receivable, before Fees, Gross | $ 24,876 |
Mortgage Loans Mortgage Loans H
Mortgage Loans Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Loans and Leases Receivable, before Fees, Gross | $ 7,495,556 | $ 9,315,995 | |||||
Loans and Leases Receivable, Unamortized Premiums | 172,057 | 208,281 | |||||
Loans and Leases Receivable, Unamortized Discounts | (1,198) | (1,636) | |||||
Loans and Leases Receivable, Hedging Basis Adjustment | [1] | 21,443 | 26,114 | ||||
Loans and Leases Receivable, Net of Deferred Income | [2] | 7,687,858 | 9,548,754 | ||||
Loans and Leases Receivable, Allowance | (248) | (248) | |||||
Loans and Leases Receivable, Net Amount | 7,687,610 | 9,548,506 | |||||
Conventional Mortgage Loan [Member] | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Loans and Leases Receivable, before Fees, Gross | 7,346,936 | 9,133,942 | |||||
Loans and Leases Receivable, Net of Deferred Income | 7,538,053 | 9,365,194 | |||||
Loans and Leases Receivable, Allowance | (248) | $ (248) | (248) | $ (242) | $ (264) | $ (711) | |
Federal Housing Administration Loan [Member] | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Loans and Leases Receivable, before Fees, Gross | 148,620 | 182,053 | |||||
Mortgage Purchase Program [Member] | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 23,430 | 30,109 | |||||
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Loans and Leases Receivable, before Fees, Gross | [3] | 670,931 | 731,756 | ||||
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member] | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Loans and Leases Receivable, before Fees, Gross | $ 6,824,625 | $ 8,584,239 | |||||
[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] | Excludes accrued interest receivable of (in thousands) $23,430 and $30,109 at September 30, 2021 and December 31, 2020. | ||||||
[3] | Medium-term is defined as a term of 15 years or less. |
Mortgage Loans Members with Fiv
Mortgage Loans Members with Five Percent or More of Mortgage Loans (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Union Savings Bank [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 1,981 | $ 2,826 |
Percent of Total | 26.00% | 30.00% |
Guardian Saving Bank FSB [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 560 | $ 796 |
Percent of Total | 7.00% | 9.00% |
FirstBank [Member] | ||
Participating Mortgage Loans [Line Items] | ||
Unpaid Principal Balances Greater Than Five Percent of Total | $ 402 | |
Percent of Total | 5.00% |
Mortgage Loans Mortgage Loans R
Mortgage Loans Mortgage Loans Rollforward of LRA (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2021USD ($) | |
Receivables [Abstract] | |
Lender Risk Account, Beginning Balance | $ 246,435 |
Lender Risk Account, Additions | 13,488 |
Lender Risk Account, Claims | (3) |
Lender Risk Account, Distributions | (13,194) |
Lender Risk Account, Ending Balance | $ 246,726 |
Mortgage Loans Mortgage Loans P
Mortgage Loans Mortgage Loans Past Due (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, Net of Deferred Income | [1] | $ 7,687,858 | $ 9,548,754 |
Loans and Leases Receivable, before Fees, Gross | 7,495,556 | 9,315,995 | |
Conventional Mortgage Loan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 2,857,269 | 2,603,847 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 4,680,784 | 6,761,347 | |
Loans and Leases Receivable, Net of Deferred Income | 7,538,053 | 9,365,194 | |
Loans and Leases Receivable, before Fees, Gross | 7,346,936 | 9,133,942 | |
Conventional Mortgage Loan [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 24,876 | ||
Conventional Mortgage Loan [Member] | Nonperforming Financial Instruments [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 32,332 | 48,708 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 29,476 | 66,510 | |
Loans and Leases Receivable, Net of Deferred Income | 61,808 | 115,218 | |
Conventional Mortgage Loan [Member] | Performing Financial Instruments [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 2,824,937 | 2,555,139 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 4,651,308 | 6,694,837 | |
Loans and Leases Receivable, Net of Deferred Income | 7,476,245 | 9,249,976 | |
Conventional Mortgage Loan [Member] | Performing Financial Instruments [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 2,104 | ||
Conventional Mortgage Loan [Member] | Past due 30-59 days delinquent | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 13,494 | 16,812 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 10,006 | 19,036 | |
Loans and Leases Receivable, Net of Deferred Income | 23,500 | 35,848 | |
Conventional Mortgage Loan [Member] | Past due 30-59 days delinquent | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 1,743 | ||
Conventional Mortgage Loan [Member] | Financial Asset, 60 to 89 Days Past Due [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 3,378 | 7,245 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 1,621 | 7,553 | |
Loans and Leases Receivable, Net of Deferred Income | 4,999 | 14,798 | |
Conventional Mortgage Loan [Member] | Financial Asset, 60 to 89 Days Past Due [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | 1,534 | ||
Conventional Mortgage Loan [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 15,460 | 24,651 | |
Financing Receivable, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 17,849 | 39,921 | |
Loans and Leases Receivable, Net of Deferred Income | 33,309 | $ 64,572 | |
Conventional Mortgage Loan [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | COVID 19 Forbearance Plan [Member] | |||
Financing Receivable, Past Due [Line Items] | |||
Loans and Leases Receivable, before Fees, Gross | $ 19,495 | ||
[1] | Excludes accrued interest receivable of (in thousands) $23,430 and $30,109 at September 30, 2021 and December 31, 2020. |
Mortgage Loans Mortgage Loans O
Mortgage Loans Mortgage Loans Other Delinquency Status (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Financing Receivable, Nonaccrual [Line Items] | |||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 4,562 | $ 5,648 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.47% | 0.74% |
Mortgage Purchase Program [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Financing Receivable, 90 Days or More Past Due, Still Accruing | [3] | $ 34,638 | $ 64,842 |
Financing Receivable, Nonaccrual | 2,607 | 6,721 | |
Conventional Mortgage Loan [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 4,135 | $ 5,031 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 0.44% | 0.69% |
Conventional Mortgage Loan [Member] | Mortgage Purchase Program [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Financing Receivable, 90 Days or More Past Due, Still Accruing | [3] | $ 31,747 | $ 58,881 |
Financing Receivable, Nonaccrual | 2,607 | 6,721 | |
Federal Housing Administration Loan [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Mortgage Loans in Process of Foreclosure, Amount | [1] | $ 427 | $ 617 |
Loans and Leases Receivable, Serious Delinquencies Ratio | [2] | 1.93% | 3.28% |
Federal Housing Administration Loan [Member] | Mortgage Purchase Program [Member] | |||
Financing Receivable, Nonaccrual [Line Items] | |||
Financing Receivable, 90 Days or More Past Due, Still Accruing | [3] | $ 2,891 | $ 5,961 |
Financing Receivable, Nonaccrual | $ 0 | $ 0 | |
[1] | Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. During the nine months ended September 30, 2021 and year ended December 31, 2020, there were foreclosure moratoriums in effect in response to the COVID-19 pandemic. | ||
[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. | ||
[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. |
Mortgage Loans Mortgage Loans A
Mortgage Loans Mortgage Loans Allowance Rollforward (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of period | $ 248 | |||
Balance, end of period | $ 248 | 248 | ||
Conventional Mortgage Loan [Member] | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of period | 248 | $ 264 | 248 | $ 711 |
Financing Receivable, Change in Method, Credit Loss Expense (Reversal) | 0 | (366) | ||
Allowance for Loan and Lease Losses Write-offs, Net | 0 | (22) | 0 | (103) |
Balance, end of period | $ 248 | $ 242 | $ 248 | $ 242 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | $ 27,456,544 | $ 26,057,594 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,672 | 2,732 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 110,513 | 165,737 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | 243,115 | [1] | 213,156 | [3] |
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (107,316) | [1] | (161,924) | [3] |
Derivative assets | 245,787 | 215,888 | |||
Derivative liabilities | 3,197 | 3,813 | |||
Derivative, Collateral, Cash Posted And Related Accrued Interest | 350,891 | 375,390 | |||
Derivative, Collateral, Cash Received And Related Accrued Interest | 460 | 310 | |||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 12,216,993 | 10,477,703 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 28 | 272 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 107,414 | 163,174 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 13,755,964 | 13,267,539 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,339 | 691 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,623 | 2,563 | |||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 1,219,000 | 2,175,000 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 870 | 713 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |||
Not Designated as Hedging Instrument [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 15,239,551 | 15,579,891 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,644 | 2,460 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 3,099 | 2,563 | |||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional Amount of Derivatives | 264,587 | 137,352 | |||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 435 | 1,056 | |||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 476 | $ 0 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $350,891 and $375,390 at September 30, 2021 and December 31, 2020. Cash collateral received, including accrued interest, was (in thousands) $460 and $310 at September 30, 2021 and December 31, 2020. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Income, Federal Home Loan Bank Advances | $ 30,688 | $ 63,974 | $ 103,219 | $ 394,578 |
Interest Income, Debt Securities, Available-for-sale, Operating | 2,296 | 271 | 3,975 | 4,286 |
Interest Expense, Consolidated Bonds | (83,704) | (119,748) | (266,479) | (435,543) |
Interest Income [Member] | Advances [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Interest Settlements On Fair Value Hedges | (24,885) | (34,448) | (85,580) | (55,405) |
Gain (Loss) on Derivative | 31,492 | 51,956 | 177,912 | (359,963) |
Gain (Loss) on Hedged Item | (32,371) | (54,369) | (178,173) | 345,831 |
Gain (Loss) on Fair Value Hedges Recognized in Earnings | (25,764) | (36,861) | (85,841) | (69,537) |
Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Interest Settlements On Fair Value Hedges | (6,317) | (813) | (10,025) | (1,611) |
Gain (Loss) on Derivative | 35,549 | 2,402 | 40,265 | (9,800) |
Gain (Loss) on Hedged Item | (35,356) | (2,573) | (39,835) | 9,440 |
Gain (Loss) on Fair Value Hedges Recognized in Earnings | (6,124) | (984) | (9,595) | (1,971) |
Interest Expense [Member] | Consolidated Obligation Bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net Interest Settlements On Fair Value Hedges | 270 | 477 | 790 | 1,290 |
Gain (Loss) on Derivative | (208) | (591) | (1,034) | 1,949 |
Gain (Loss) on Hedged Item | 201 | 591 | 1,016 | (1,852) |
Gain (Loss) on Fair Value Hedges Recognized in Earnings | $ 263 | $ 477 | $ 772 | $ 1,387 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Derivative Fair Value Hedges (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Advances [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | [1] | $ 8,212,671 | $ 10,483,218 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 178,838 | 356,624 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 1,162 | 1,549 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 180,000 | 358,173 | |
Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | [1] | 3,826,002 | 286,869 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | (28,054) | 11,751 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 360 | 389 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (27,694) | 12,140 | |
Consolidated Obligation Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Liability, Fair Value Hedge | [1] | 374,527 | 132,852 |
Hedged Liability, Active Fair Value Hedge, Cumulative Increase (Decrease) | 1,070 | 2,086 | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | 0 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | $ 1,070 | $ 2,086 | |
[1] | Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | $ 5,924 | $ 19,708 | $ 66,989 | $ (308,230) | |
Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | 42,661 | 60,667 | 191,507 | (305,565) | |
Interest Rate Swaption [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | (257) | 110 | 157 | 90,626 | |
Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | 3,947 | 3,033 | 4,487 | 19,627 | |
Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | 0 | 0 | 0 | (31,935) | |
Net Interest Settlements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | (40,467) | (44,242) | (129,262) | (82,239) | |
Derivatives Not Designated As Hedging Before Price Alignment [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | 5,884 | 19,568 | 66,889 | (309,486) | |
Price Alignment Amount [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Gain (Loss) on Derivatives not designated as hedging instruments | [1] | $ 40 | $ 140 | $ 100 | $ 1,256 |
[1] | This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Offsetting of Derivative Assets and Derivative Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | $ 243,115 | [1] | $ 213,156 | [3] |
Derivative assets | 245,787 | 215,888 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (107,316) | [1] | (161,924) | [3] |
Derivative liabilities | 3,197 | 3,813 | |||
Uncleared derivatives | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | 2,071 | 1,047 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | (1,953) | (1,047) | |||
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 435 | 1,056 | ||
Derivative assets | 553 | 1,056 | |||
Derivative Liability, Total Gross Amount | 99,201 | 161,633 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | (96,480) | (157,820) | |||
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 476 | 0 | ||
Derivative liabilities | 3,197 | 3,813 | |||
Cleared derivatives | |||||
Offsetting Assets [Line Items] | |||||
Derivative Asset, Total Gross Amount | 166 | 629 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | 245,068 | 214,203 | |||
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 0 | 0 | ||
Derivative assets | 245,234 | 214,832 | |||
Derivative Liability, Total Gross Amount | 10,836 | 4,104 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | (10,836) | (4,104) | |||
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 0 | 0 | ||
Derivative liabilities | $ 0 | $ 0 | |||
[1] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $350,891 and $375,390 at September 30, 2021 and December 31, 2020. Cash collateral received, including accrued interest, was (in thousands) $460 and $310 at September 30, 2021 and December 31, 2020. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[4] | Represents mortgage delivery commitments that are not subject to an enforceable netting agreement. |
Deposits (Details)
Deposits (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Deposits [Abstract] | ||
Interest bearing, demand and overnight | $ 1,439,472 | $ 1,190,508 |
Interest bearing, term | 72,650 | 123,675 |
Interest bearing, other | 13,215 | 13,019 |
Total interest-bearing | $ 1,525,337 | $ 1,327,202 |
Consolidated Obligations Discou
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Short-term Debt [Line Items] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 26,609,080 | $ 27,500,244 | |
Discount Notes [Member] | |||
Short-term Debt [Line Items] | |||
Debt Instrument, Face Amount | $ 26,610,366 | $ 27,502,730 | |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 0.04% | 0.11% |
[1] | Represents an implied rate without consideration of concessions. |
Consolidated Obligations Bonds
Consolidated Obligations Bonds by Original Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 24,686,178 | $ 31,996,311 |
Consolidated Obligation Bonds [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 12,741,015 | 18,676,595 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,919,465 | 2,728,885 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 2,502,795 | 3,388,120 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 2,006,730 | 1,793,405 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 1,467,000 | 1,910,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,032,000 | 3,454,000 |
Long-term Debt, Gross | 24,669,005 | 31,951,005 |
Debt Instrument, Unamortized Premium | 31,225 | 43,235 |
Debt Instrument, Unamortized Discount | (18,326) | (21,403) |
Debt Valuation Adjustment for Hedging Activities | 1,070 | 2,086 |
Fair Value, Option, Aggregate Differences, Consolidated Obligation Bonds | 3,204 | 21,388 |
Federal Home Loan Bank, Consolidated Obligations, Bonds | $ 24,686,178 | $ 31,996,311 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 0.74% | 0.72% |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 2.00% | 2.38% |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.07% | 2.09% |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1.81% | 2.21% |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.38% | 1.45% |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.25% | 2.39% |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 1.33% | 1.32% |
Consolidated Obligations Bond_2
Consolidated Obligations Bonds by Call Feature (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 24,669,005 | $ 31,951,005 |
Noncallable or Nonputable [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | 19,939,005 | 26,539,005 |
Callable [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 4,730,000 | $ 5,412,000 |
Consolidated Obligations Bond_3
Consolidated Obligations Bonds by Contractual Maturity or Next Call Date (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 12,741,015 | $ 18,676,595 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,919,465 | 2,728,885 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 2,502,795 | 3,388,120 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 2,006,730 | 1,793,405 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 1,467,000 | 1,910,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,032,000 | 3,454,000 |
Long-term Debt, Gross | 24,669,005 | 31,951,005 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 17,261,015 | 22,968,595 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,608,465 | 2,823,885 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,699,795 | 2,452,120 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,055,730 | 1,253,405 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 551,000 | 728,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,493,000 | $ 1,725,000 |
Consolidated Obligations Bond_4
Consolidated Obligations Bonds by Interest-Rate Type (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 24,669,005 | $ 31,951,005 |
Fixed-rate [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | 21,219,005 | 21,312,005 |
Adjustable Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Long-term Debt, Gross | $ 3,450,000 | $ 10,639,000 |
Affordable Housing Program (A_3
Affordable Housing Program (AHP) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Affordable Housing Program [Roll Forward] | ||||
AHP Obligation, Beginning Balance | $ 110,772 | |||
AHP, Expense (Current Year Additions) | $ 651 | $ 6,369 | 2,793 | $ 26,382 |
AHP, Subsidy Uses, Net | (23,697) | $ (25,922) | ||
AHP Obligation, Ending Balance | $ 89,868 | $ 89,868 |
Capital Narrative (Details)
Capital Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Banking Regulation, Total Capital [Abstract] | ||
Retained Earnings, Appropriated | $ 506,294 | $ 501,321 |
Capital (Details)
Capital (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Banking Regulation, Total Capital [Abstract] | ||
Risk Based Capital Required | $ 727,875 | $ 539,321 |
Risk Based Capital Actual | $ 3,730,055 | $ 3,964,353 |
Regulatory Capital Ratio, Actual | 6.41% | 6.07% |
Regulatory Capital, Required | $ 2,327,262 | $ 2,611,850 |
Regulatory Capital, Actual | $ 3,730,055 | $ 3,964,353 |
Leverage Ratio, Actual | 9.62% | 9.11% |
Leverage Capital, Required | $ 2,909,077 | $ 3,264,812 |
Leverage Capital, Actual | $ 5,595,083 | $ 5,946,530 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | ||
Balance at beginning period | $ 19,454 | |
Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 61,582 | |
Repayments of Mandatory Redeemable Capital Securities | (68,181) | $ (561,527) |
Balance at end of period | $ 12,855 |
Capital (Mandatorily Redeemab_2
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |||
Due in 1 year or less | $ 1,124 | $ 156 | |
Due after 1 year through 2 years | 736 | 1,124 | |
Due after 2 years through 3 years | 1,063 | 2,167 | |
Due after 3 years through 4 years | 15 | 391 | |
Due after 4 years through 5 years | 1,626 | 3,142 | |
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | [1] | 0 | 650 |
Past contractual redemption date due to remaining activity | [2] | 8,291 | 11,824 |
Total par value | $ 12,855 | $ 19,454 | |
[1] | Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, had their membership terminated no later than February 19, 2021. 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 Comprehensi_3
Accumulated Other Comprehensive (Loss) Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | $ 4,012,970 | $ 5,043,922 | $ 3,929,914 | $ 4,444,456 |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 11,607 | 3,504 | 23,254 | 2,621 |
Total other comprehensive income (loss) adjustments | 12,303 | 4,076 | 25,302 | 4,337 |
Ending balance | 3,727,517 | 4,204,733 | 3,727,517 | 4,204,733 |
Accumulated Net Unrealized Investment Gain (Loss) [Member] | Available-for-sale Securities [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | 16,365 | (513) | 4,718 | 370 |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 11,607 | 3,504 | 23,254 | 2,621 |
Amortization - Pension and postretirement benefits | 0 | 0 | 0 | 0 |
Total other comprehensive income (loss) adjustments | 11,607 | 3,504 | 23,254 | 2,621 |
Ending balance | 27,972 | 2,991 | 27,972 | 2,991 |
Accumulated Defined Benefit Plans Adjustment [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (18,351) | (15,620) | (19,703) | (16,764) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 0 | 0 | 0 | 0 |
Amortization - Pension and postretirement benefits | 696 | 572 | 2,048 | 1,716 |
Total other comprehensive income (loss) adjustments | 696 | 572 | 2,048 | 1,716 |
Ending balance | (17,655) | (15,048) | (17,655) | (15,048) |
Accumulated Other Comprehensive Income (Loss) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Beginning balance | (1,986) | (16,133) | (14,985) | (16,394) |
Other Comprehensive Income (Loss), Securities, Available-for-Sale, Unrealized Holding Gain (Loss) Arising During Period, before Tax | 11,607 | 3,504 | 23,254 | 2,621 |
Amortization - Pension and postretirement benefits | 696 | 572 | 2,048 | 1,716 |
Total other comprehensive income (loss) adjustments | 12,303 | 4,076 | 25,302 | 4,337 |
Ending balance | $ 10,317 | $ (12,057) | $ 10,317 | $ (12,057) |
Pension and Postretirement Be_3
Pension and Postretirement Benefit Plans Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Contribution Plan, Cost | $ 324,000 | $ 271,000 | $ 1,266,000 | $ 1,133,000 |
Pentegra Defined Benefit Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 1,413,000 | $ 1,594,000 | $ 4,806,000 | $ 4,630,000 |
Net Periodic Benefit Cost (Deta
Net Periodic Benefit Cost (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible List] | Other | Other | Other | Other |
Defined Benefit Plan, Net Periodic Benefit (Cost) Credit, Amortization of Gain (Loss), Statement of Income or Comprehensive Income [Extensible List] | Other | Other | Other | Other |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Amortization of Prior Service Cost (Credit), Statement of Income or Comprehensive Income [Extensible List] | Other | Other | Other | Other |
Supplemental Employee Retirement Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Service Cost | $ 87 | $ 282 | $ 739 | $ 847 |
Defined Benefit Plan, Interest Cost | 319 | 331 | 867 | 993 |
Defined Benefit Plan, Amortization of Prior Service Cost (Credit) | (90) | 0 | (90) | 0 |
Defined Benefit Plan, Amortization of Gain (Loss) | 772 | 572 | 2,098 | 1,716 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | 1,088 | 1,185 | 3,614 | 3,556 |
Other Postretirement Benefits Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Service Cost | 2 | 3 | 6 | 7 |
Defined Benefit Plan, Interest Cost | 28 | 35 | 86 | 106 |
Defined Benefit Plan, Amortization of Prior Service Cost (Credit) | 0 | 0 | 0 | 0 |
Defined Benefit Plan, Amortization of Gain (Loss) | 14 | 0 | 40 | 0 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 44 | $ 38 | $ 132 | $ 113 |
Segment Information Financial P
Segment Information Financial Performance (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($)Segment | Sep. 30, 2020USD ($) | |
Segment Reporting Information [Line Items] | ||||
Number of Operating Segments | Segment | 2 | |||
Net interest income | $ 63,948 | $ 93,108 | $ 206,005 | $ 324,818 |
Non-interest income (loss) | (36,464) | (7,471) | (109,869) | 8,193 |
Non-interest expense | 21,043 | 21,871 | 68,477 | 70,169 |
Income (loss) before assessments | 6,441 | 63,766 | 27,659 | 262,842 |
Affordable Housing Program assessments | 651 | 6,369 | 2,793 | 26,382 |
Net income | 5,790 | 57,397 | 24,866 | 236,460 |
Traditional Member Finance [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Net interest income | 72,657 | 91,957 | 240,902 | 295,920 |
Non-interest income (loss) | (40,228) | (10,582) | (114,459) | (41,540) |
Non-interest expense | 18,822 | 18,918 | 60,888 | 61,379 |
Income (loss) before assessments | 13,607 | 62,457 | 65,555 | 193,001 |
Affordable Housing Program assessments | 1,368 | 6,238 | 6,583 | 19,398 |
Net income | 12,239 | 56,219 | 58,972 | 173,603 |
Mortgage Purchase Program [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Net interest income | (8,709) | 1,151 | (34,897) | 28,898 |
Non-interest income (loss) | 3,764 | 3,111 | 4,590 | 49,733 |
Non-interest expense | 2,221 | 2,953 | 7,589 | 8,790 |
Income (loss) before assessments | (7,166) | 1,309 | (37,896) | 69,841 |
Affordable Housing Program assessments | (717) | 131 | (3,790) | 6,984 |
Net income | $ (6,449) | $ 1,178 | $ (34,106) | $ 62,857 |
Segment Information Asset Balan
Segment Information Asset Balances (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Segment Reporting Information [Line Items] | ||
Total assets | $ 58,181,542 | $ 65,296,239 |
Traditional Member Finance [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | 46,897,505 | 53,356,209 |
Mortgage Purchase Program [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | $ 11,284,037 | $ 11,940,030 |
Fair Value Disclosures Fair V_2
Fair Value Disclosures Fair Value Summary (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |||
Assets | |||||
Cash and Due from Banks | $ 20,295 | $ 2,984,073 | |||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Debt Securities, Held-to-maturity | [1] | 10,004,477 | 9,648,171 | ||
Debt Securities, Held-to-maturity, Fair Value | 10,098,282 | 9,792,136 | |||
Accrued interest receivable | 105,684 | 113,701 | |||
Derivative assets | 245,787 | 215,888 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [3] | 243,115 | [2] | 213,156 | [4] |
Liabilities | |||||
Mandatorily redeemable capital stock | 12,855 | 19,454 | |||
Accrued Interest Payable, Fair Value Disclosure | 62,900 | 77,521 | |||
Derivative liabilities | 3,197 | 3,813 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [3] | (107,316) | [2] | (161,924) | [4] |
Fair Value Option Election | |||||
Assets | |||||
Advances, Fair Value Disclosure | 25,918 | 27,202 | |||
Consolidated Obligation Bonds [Member] | Fair Value Option Election | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 2,152,204 | 2,262,388 | |||
Discount Notes [Member] | Fair Value Option Election | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 4,873,353 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Assets | |||||
Cash and Due from Banks | 20,295 | 2,984,073 | |||
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 | |||
Debt Securities, Held-to-maturity, Fair Value | 0 | 0 | |||
Advances | 0 | [5] | 0 | [6] | |
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Liabilities | |||||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock | 12,855 | 19,454 | |||
Accrued Interest Payable, Fair Value Disclosure | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 0 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 1 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 0 | [9] | 0 | ||
Fair Value, Inputs, Level 2 [Member] | |||||
Assets | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 335,075 | 555,104 | |||
Securities purchased under resale agreements | 289,600 | 1,818,268 | |||
Federal funds sold | 5,715,000 | 4,240,000 | |||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Debt Securities, Held-to-maturity, Fair Value | 10,098,282 | 9,792,136 | |||
Advances | 22,972,042 | [5] | 25,573,785 | [6] | |
Mortgage loans held for portfolio, net | 7,885,250 | 9,798,019 | |||
Accrued interest receivable | 105,684 | 113,701 | |||
Derivative assets | 2,672 | 2,732 | |||
Liabilities | |||||
Deposits | 1,525,292 | 1,327,267 | |||
Mandatorily redeemable capital stock | 0 | 0 | |||
Accrued Interest Payable, Fair Value Disclosure | 62,900 | 77,521 | |||
Derivative liabilities | 110,513 | 165,737 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 25,144,280 | [7] | 32,785,647 | [8] | |
Fair Value, Inputs, Level 2 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 26,609,275 | [9] | 27,501,296 | ||
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 | |||
Debt Securities, Held-to-maturity, Fair Value | 0 | 0 | |||
Advances | 0 | [5] | 0 | [6] | |
Mortgage loans held for portfolio, net | 32,777 | 63,783 | |||
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] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 0 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 3 [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 0 | [9] | 0 | ||
Carrying Value | |||||
Assets | |||||
Cash and Due from Banks | 20,295 | 2,984,073 | |||
Interest-bearing deposits | 335,075 | 555,104 | |||
Securities purchased under resale agreements | 289,600 | 1,818,268 | |||
Federal funds sold | 5,715,000 | 4,240,000 | |||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Debt Securities, Held-to-maturity | 10,004,477 | 9,648,171 | |||
Advances | 22,792,786 | [5] | 25,362,003 | [6] | |
Mortgage loans held for portfolio, net | 7,687,610 | 9,548,506 | |||
Accrued interest receivable | 105,684 | 113,701 | |||
Derivative assets | 245,787 | 215,888 | |||
Liabilities | |||||
Deposits | 1,525,337 | 1,327,202 | |||
Mandatorily redeemable capital stock | 12,855 | 19,454 | |||
Accrued Interest Payable, Fair Value Disclosure | 62,900 | 77,521 | |||
Derivative liabilities | 3,197 | 3,813 | |||
Carrying Value | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 24,686,178 | [7] | 31,996,311 | [8] | |
Carrying Value | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | 26,609,080 | [9] | 27,500,244 | ||
Estimate of Fair Value Measurement [Member] | |||||
Assets | |||||
Cash and Due from Banks | 20,295 | 2,984,073 | |||
Interest-bearing deposits | 335,075 | 555,104 | |||
Securities purchased under resale agreements | 289,600 | 1,818,268 | |||
Federal funds sold | 5,715,000 | 4,240,000 | |||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Debt Securities, Held-to-maturity, Fair Value | 10,098,282 | 9,792,136 | |||
Advances | 22,972,042 | [5] | 25,573,785 | [6] | |
Mortgage loans held for portfolio, net | 7,918,027 | 9,861,802 | |||
Accrued interest receivable | 105,684 | 113,701 | |||
Derivative assets | 245,787 | 215,888 | |||
Liabilities | |||||
Deposits | 1,525,292 | 1,327,267 | |||
Mandatorily redeemable capital stock | 12,855 | 19,454 | |||
Accrued Interest Payable, Fair Value Disclosure | 62,900 | 77,521 | |||
Derivative liabilities | 3,197 | 3,813 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Bonds | 25,144,280 | [7] | 32,785,647 | [8] | |
Estimate of Fair Value Measurement [Member] | Discount Notes [Member] | |||||
Liabilities | |||||
Consolidated Obligations, Discount Notes | $ 26,609,275 | [9] | $ 27,501,296 | ||
[1] | Fair values: $10,098,282 and $9,792,136 at September 30, 2021 and December 31, 2020, respectively. | ||||
[2] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $350,891 and $375,390 at September 30, 2021 and December 31, 2020. Cash collateral received, including accrued interest, was (in thousands) $460 and $310 at September 30, 2021 and December 31, 2020. | ||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[5] | Includes (in thousands) $25,918 of Advances recorded under the fair value option at September 30, 2021. | ||||
[6] | Includes (in thousands) $27,202 of Advances recorded under the fair value option at December 31, 2020. | ||||
[7] | Includes (in thousands) $2,152,204 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2021. | ||||
[8] | Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. | ||||
[9] | Includes (in thousands) $4,873,353 of Consolidated Obligation Discount Notes recorded under the fair value option at September 30, 2021. |
Fair Value Disclosures Fair V_3
Fair Value Disclosures Fair Value Measured on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | $ 7,108,446 | $ 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Derivative assets | 245,787 | 215,888 | |||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | 243,115 | [1] | 213,156 | [3] |
Derivative liabilities | 3,197 | 3,813 | |||
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (107,316) | [1] | (161,924) | [3] |
US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,338,124 | 8,362,211 | |||
Available-for-sale securities | 3,496,051 | ||||
US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,770,088 | 2,125,580 | |||
Available-for-sale securities | 137,090 | 142,402 | |||
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 234 | 333 | |||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 220,833 | 149,185 | |||
Fair Value Option Election | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 25,918 | 27,202 | |||
Fair Value Option Election | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 4,873,353 | 0 | |||
Fair Value Option Election | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 2,152,204 | 2,262,388 | |||
Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative Asset, Netting Adjustments And Cash Collateral | 243,115 | [4] | 213,156 | [5] | |
Derivative Liability, Netting Adjustments And Cash Collateral | (107,316) | [4] | (161,924) | [5] | |
Fair Value, 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 | 243,115 | [4] | 213,156 | [5] | |
Derivative Liability, Netting Adjustments And Cash Collateral | (107,316) | [4] | (161,924) | [5] | |
Fair Value, Recurring [Member] | Fair Value Option Election | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Advances, Fair Value Disclosure | 25,918 | 27,202 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 7,025,557 | ||||
Fair Value, Recurring [Member] | Fair Value Option Election | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 4,873,353 | ||||
Fair Value, Recurring [Member] | Fair Value Option Election | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 2,152,204 | 2,262,388 | |||
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] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | [6] | 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 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Advances, Fair Value Disclosure | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Total assests at fair value | 0 | 0 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 0 | ||||
Derivative liabilities | 0 | 0 | |||
Total liabilities at fair value | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, 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, 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, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Fair Value, 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, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [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, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Derivative assets | 2,672 | 2,732 | |||
Derivative liabilities | 110,513 | 165,737 | |||
Mortgage loans held for portfolio, net | 7,885,250 | 9,798,019 | |||
Fair Value, Inputs, Level 2 [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 26,609,275 | [6] | 27,501,296 | ||
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 | 25,144,280 | [7] | 32,785,647 | [8] | |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Advances, Fair Value Disclosure | 25,918 | 27,202 | |||
Derivative assets | 2,672 | 2,732 | |||
Total assests at fair value | 10,991,010 | 10,809,645 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 7,025,557 | ||||
Derivative liabilities | 110,513 | 165,737 | |||
Total liabilities at fair value | 7,136,070 | 2,428,125 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 4,873,353 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 2,152,204 | 2,262,388 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 2,237 | 1,676 | |||
Derivative liabilities | 110,037 | 165,737 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 435 | 1,056 | |||
Derivative liabilities | 476 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,338,124 | 8,362,211 | |||
Available-for-sale securities | 3,496,051 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,770,088 | 2,125,580 | |||
Available-for-sale securities | 137,090 | 142,402 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, 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 | 234 | 333 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | 220,833 | 149,185 | |||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | 0 | |||
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 | 32,777 | 63,783 | |||
Fair Value, Inputs, Level 3 [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | [6] | 0 | ||
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 | [7] | 0 | [8] | |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Advances, Fair Value Disclosure | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Total assests at fair value | 0 | 0 | |||
Federal Home Loan Bank, Consolidated Obligations Fair Value Disclosure | 0 | ||||
Derivative liabilities | 0 | 0 | |||
Total liabilities at fair value | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, 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, 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, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 0 | 0 | |||
Derivative liabilities | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Fair Value, 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, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [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, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | 108 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Derivative assets | 245,787 | 215,888 | |||
Derivative liabilities | 3,197 | 3,813 | |||
Mortgage loans held for portfolio, net | 7,918,027 | 9,861,802 | |||
Estimate of Fair Value Measurement [Member] | Discount Notes [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Discount Notes | 26,609,275 | [6] | 27,501,296 | ||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Consolidated Obligations, Bonds | 25,144,280 | [7] | 32,785,647 | [8] | |
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 7,108,446 | 10,488,124 | |||
Available-for-sale securities | 3,853,974 | 291,587 | |||
Derivative assets | 245,787 | 215,888 | |||
Total assests at fair value | 11,234,125 | 11,022,801 | |||
Derivative liabilities | 3,197 | 3,813 | |||
Total liabilities at fair value | 7,028,754 | 2,266,201 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Interest Rate Contract [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 245,352 | 214,832 | |||
Derivative liabilities | 2,721 | 3,813 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Derivative assets | 435 | 1,056 | |||
Derivative liabilities | 476 | ||||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | US Treasury Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 5,338,124 | 8,362,211 | |||
Available-for-sale securities | 3,496,051 | ||||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | US Government-sponsored Enterprises Debt Securities [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Trading securities | 1,770,088 | 2,125,580 | |||
Available-for-sale securities | 137,090 | 142,402 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, 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 | 234 | 333 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Available-for-sale securities | $ 220,833 | 149,185 | |||
Estimate of Fair Value Measurement [Member] | Fair Value, Nonrecurring | |||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||
Mortgage loans held for portfolio, net | [9] | $ 108 | |||
[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] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted, including accrued interest, was (in thousands) $350,891 and $375,390 at September 30, 2021 and December 31, 2020. Cash collateral received, including accrued interest, was (in thousands) $460 and $310 at September 30, 2021 and December 31, 2020. | ||||
[3] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[4] | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. | ||||
[5] | 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] | Includes (in thousands) $4,873,353 of Consolidated Obligation Discount Notes recorded under the fair value option at September 30, 2021. | ||||
[7] | Includes (in thousands) $2,152,204 of Consolidated Obligation Bonds recorded under the fair value option at September 30, 2021. | ||||
[8] | Includes (in thousands) $2,262,388 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2020. | ||||
[9] | The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2020. |
Fair Value Disclosures Fair V_4
Fair Value Disclosures Fair Value Impact on Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 1,301 | $ 10,687 | $ 7,808 | $ (14,402) |
Other Comprehensive Income (Loss), Financial Liability, Fair Value Option, Unrealized Gain (Loss) Arising During Period, before Tax | 0 | |||
Advances [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (148) | 526 | (1,283) | 704 |
Discount Notes [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (108) | 1,222 | (58) | 1,060 |
Consolidated Obligation Bonds [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 1,557 | $ 8,939 | $ 9,149 | $ (16,166) |
Fair Value Disclosures Fair V_5
Fair Value Disclosures Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 26,500 | $ 26,500 |
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | (582) | 702 |
Fair Value Option Election | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Advances, Fair Value Disclosure | 25,918 | 27,202 |
Consolidated Obligation Bonds [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value Option, Principle Balance, Consolidated Obligation Bonds | 2,149,000 | 2,241,000 |
Fair Value Option, Aggregate Differences, Consolidated Obligations Bonds | 3,204 | 21,388 |
Consolidated Obligation Bonds [Member] | Fair Value Option Election | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Consolidated Obligations, Bonds, Fair Value | 2,152,204 | 2,262,388 |
Discount Notes [Member] | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Fair Value Option, Principal Balance, Consolidated Obligation Discount Notes | 4,873,700 | 0 |
Fair Value Option, Aggregate Differences, Consolidated Obligation Discount Notes | (347) | 0 |
Discount Notes [Member] | Fair Value Option Election | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Consolidated Obligations, Discount Notes, Fair Value | $ 4,873,353 | $ 0 |
Commitments and Contingencies N
Commitments and Contingencies Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Loss Contingencies [Line Items] | ||
Other Liabilities | $ 1,464,610 | $ 331,008 |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Other Liabilities | $ 7,948 | $ 8,675 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | $ 32,946,853 | $ 27,741,220 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 507,236 | 1,071,029 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 33,454,089 | 28,812,249 | |
Financial Standby Letter of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 14,635 | 0 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | 13,435 | 35,030 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 28,070 | 35,030 | |
Forward Contracts [Member] | Mortgage Receivable [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | 264,587 | 137,352 | |
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 | 264,587 | 137,352 | |
Consolidated Obligation Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 300,000 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring After One Year | [1] | 0 | 0 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | [1] | 300,000 | 0 |
Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring Within One Year | [1] | 1,016,000 | 321,551 |
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] | $ 1,016,000 | $ 321,551 |
[1] | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Transactions with Other FHLBa_3
Transactions with Other FHLBanks (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Schedule of Other Transactions [Line Items] | ||
Par Amount of 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 | 0 | 6,569 |
Short-term Debt, Average Outstanding Amount | $ 183 | $ 182 |
Transactions with Stockholder_2
Transactions with Stockholders (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Schedule of Other Transactions [Line Items] | |||
Advances | $ 22,616,589 | $ 25,007,397 | |
Loans and Leases Receivable, before Fees, Gross | 7,495,556 | 9,315,995 | |
Director [Member] | |||
Schedule of Other Transactions [Line Items] | |||
Advances | $ 6,195,000 | $ 7,048,000 | |
Federal Home Loan Bank Advances, Percent of Principal | [1] | 27.40% | 28.20% |
Loans and Leases Receivable, before Fees, Gross | $ 164,000 | $ 159,000 | |
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance, Percent of Total | [1] | 2.20% | 1.70% |
Regulatory Capital Stock, Value | $ 393,000 | $ 467,000 | |
Regulatory Capital Stock, Percent of Total | [1] | 16.10% | 17.60% |
[1] | Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Transactions with Stockholder_3
Transactions with Stockholders (Concentrations) (Details) $ in Thousands | Sep. 30, 2021USD ($)Banks | Dec. 31, 2020USD ($) |
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 22,616,589 | $ 25,007,397 |
U.S. Bank, N.A. [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 186,000 | $ 288,000 |
Concentration Risk, Percentage | 8.00% | 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 | $ 3,272,000 | $ 4,273,000 |
U.S. Bank, N.A. [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 10,000 | 13,000 |
Third Federal Savings and Loan Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 163,000 | $ 137,000 |
Concentration Risk, Percentage | 7.00% | 5.00% |
Third Federal Savings and Loan Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 3,090,000 | $ 3,443,000 |
Third Federal Savings and Loan Association [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 31,000 | 42,000 |
Nationwide Life Insurance Company [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 138,000 | |
Concentration Risk, Percentage | 6.00% | |
Nationwide Life Insurance Company [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 2,555,000 | |
Nationwide Life Insurance Company [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | $ 0 | |
JPMorgan Chase Bank National Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 163,000 | |
Concentration Risk, Percentage | 6.00% | |
JPMorgan Chase Bank National Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 0 | |
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 | |
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 |